******************************************************************************** Trades report produced on 11/08/2023 21:38 from 10/08/2023 21:38 to 11/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4162 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-11 09:03:49 [-1] 97.03 4163 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-11 14:00:01 [-1] 1928.90 4164 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-11 14:00:04 [-1] 1928.60 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4162 EURIBOR-ICE caleb_strategy_v3 2023-08-10 2023-08-11 09:00:02.246 2023-08-11 09:03:49 118802 226.754 4163 GOLD_micro caleb_strategy_v3 2023-08-10 2023-08-11 14:00:01.308 2023-08-11 14:00:01 136801 NaN 4164 GOLD_micro caleb_strategy_v3 2023-08-10 2023-08-11 14:00:04.322 2023-08-11 14:00:04 136804 NaN =========================================================================================================================================================================================================================== Slippage (ticks per lot) =========================================================================================================================================================================================================================== instrument_code strategy_name trade parent_reference_price parent_limit_price mid_price side_price offside_price limit_price filled_price delay bid_ask execution versus_limit versus_parent_limit total_trading 4162 EURIBOR-ICE caleb_strategy_v3 [-1] 97.05 None 97.035 97.03 97.04 97.04 97.03 -0.015 -0.005 -0 -0.01 NaN -0.005 4163 GOLD_micro caleb_strategy_v3 [-1] 1928.6 None 1929.1 1929 1929.2 1929.2 1928.9 0.5 -0.1 -0.1 -0.3 NaN -0.2 4164 GOLD_micro caleb_strategy_v3 [-1] 1928.6 None 1929 1928.9 1929.1 1929.1 1928.6 0.4 -0.1 -0.3 -0.5 NaN -0.4 ============================================================================================================================================================ Slippage (normalised by annual vol, BP of annual SR) ============================================================================================================================================================ instrument_code strategy_name trade last_annual_vol delay_vol bid_ask_vol execution_vol versus_limit_vol versus_parent_limit_vol total_trading_vol 4162 EURIBOR-ICE caleb_strategy_v3 [-1] 1.12628 -133.181 -44.3938 -0 -88.7876 NaN -44.3938 4163 GOLD_micro caleb_strategy_v3 [-1] 214.961 23.26 -4.652 -4.652 -13.956 NaN -9.304 4164 GOLD_micro caleb_strategy_v3 [-1] 214.961 18.608 -4.652 -13.956 -23.26 NaN -18.608 ======================================================================================================================================================================= Slippage (In base currency) ======================================================================================================================================================================= instrument_code strategy_name trade value_of_price_point delay_cash bid_ask_cash execution_cash versus_limit_cash versus_parent_limit_cash total_trading_cash 4162 EURIBOR-ICE caleb_strategy_v3 [-1] 2747.88 -41.2181 -13.7394 -0 -27.4788 NaN -13.7394 4163 GOLD_micro caleb_strategy_v3 [-1] 10 5 -1 -1 -3 NaN -2 4164 GOLD_micro caleb_strategy_v3 [-1] 10 4 -1 -3 -5 NaN -4 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -41.218125 GOLD_micro 9.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -32.218125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.739375 GOLD_micro -2.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -15.739375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -0.0 GOLD_micro -4.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -4.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -27.47875 GOLD_micro -8.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -35.47875 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 GOLD_micro 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.739375 GOLD_micro -6.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -19.739375 ******************************************************************************** END OF REPORT ********************************************************************************