******************************************************************************** Trades report produced on 31/08/2023 21:38 from 30/08/2023 21:38 to 31/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 6245 DOW caleb_strategy_v3 [20230900] 2023-08-31 14:00:03 [1] 35057.00000 6248 EUR caleb_strategy_v3 [20230900] 2023-08-31 14:00:10 [1] 1.08575 6249 EUR caleb_strategy_v3 [20230900] 2023-08-31 14:00:12 [1] 1.08570 6246 EUR caleb_strategy_v3 [20230900] 2023-08-31 14:00:04 [1] 1.08565 6247 GBP caleb_strategy_v3 [20230900] 2023-08-31 14:00:07 [-1] 1.26770 6244 PLAT caleb_strategy_v3 [20231000] 2023-08-31 13:00:02 [1] 985.70000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6244 PLAT caleb_strategy_v3 2023-08-30 2023-08-31 14:00:02.004 2023-08-31 13:00:02 136802 NaN 6245 DOW caleb_strategy_v3 2023-08-30 2023-08-31 15:00:02.864 2023-08-31 14:00:03 140403 NaN 6247 GBP caleb_strategy_v3 2023-08-30 2023-08-31 15:00:05.628 2023-08-31 14:00:07 140406 NaN 6248 EUR caleb_strategy_v3 2023-08-30 2023-08-31 15:00:09.377 2023-08-31 14:00:10 140409 NaN 6249 EUR caleb_strategy_v3 2023-08-30 2023-08-31 15:00:12.236 2023-08-31 14:00:12 140412 NaN 6246 EUR caleb_strategy_v3 2023-08-30 2023-08-31 15:00:04.263 2023-08-31 14:00:04 140404 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 6244 PLAT caleb_strategy_v3 [1] 984.8 None 985.45 985.6 985.3 985.3 985.7 -0.65 -0.15 -0.1 -0.4 NaN -0.25 6245 DOW caleb_strategy_v3 [1] 34966 None 35054.5 35055 35054 35054 35057 -88.5 -0.5 -2 -3 NaN -2.5 6247 GBP caleb_strategy_v3 [-1] 1.2719 None 1.26765 1.2676 1.2677 1.2677 1.2677 -0.00425 -5e-05 0.0001 -0 NaN 5e-05 6248 EUR caleb_strategy_v3 [1] 1.0932 None 1.08568 1.0857 1.08565 1.08565 1.08575 0.007525 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 6249 EUR caleb_strategy_v3 [1] 1.0932 None 1.08573 1.08575 1.0857 1.0857 1.0857 0.007475 -2.5e-05 5e-05 0 NaN 2.5e-05 6246 EUR caleb_strategy_v3 [1] 1.0932 None 1.08568 1.0857 1.08565 1.08565 1.08565 0.007525 -2.5e-05 5e-05 0 NaN 2.5e-05 ============================================================================================================================================================ 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 6244 PLAT caleb_strategy_v3 [1] 234.576 -27.7095 -6.39451 -4.26301 -17.052 NaN -10.6575 6245 DOW caleb_strategy_v3 [1] 4092.38 -216.256 -1.22178 -4.88713 -7.3307 NaN -6.10892 6247 GBP caleb_strategy_v3 [-1] 0.0968665 -438.748 -5.16174 10.3235 -0 NaN 5.16174 6248 EUR caleb_strategy_v3 [1] 0.0761689 987.935 -3.28218 -6.56436 -13.1287 NaN -9.84653 6249 EUR caleb_strategy_v3 [1] 0.0761689 981.371 -3.28218 6.56436 0 NaN 3.28218 6246 EUR caleb_strategy_v3 [1] 0.0761689 987.935 -3.28218 6.56436 0 NaN 3.28218 ======================================================================================================================================================================= 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 6244 PLAT caleb_strategy_v3 [1] 50 -32.5 -7.5 -5 -20 NaN -12.5 6245 DOW caleb_strategy_v3 [1] 0.5 -44.25 -0.25 -1 -1.5 NaN -1.25 6247 GBP caleb_strategy_v3 [-1] 62500 -265.625 -3.125 6.25 -0 NaN 3.125 6248 EUR caleb_strategy_v3 [1] 125000 940.625 -3.125 -6.25 -12.5 NaN -9.375 6249 EUR caleb_strategy_v3 [1] 125000 934.375 -3.125 6.25 0 NaN 3.125 6246 EUR caleb_strategy_v3 [1] 125000 940.625 -3.125 6.25 0 NaN 3.125 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW -44.250 EUR 2815.625 GBP -265.625 PLAT -32.500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 2473.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.250 EUR -9.375 GBP -3.125 PLAT -7.500 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -20.25 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.00 EUR 6.25 GBP 6.25 PLAT -5.00 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 6.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.5 EUR -12.5 GBP -0.0 PLAT -20.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -34.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 EUR 0 GBP 0 PLAT 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 DOW -1.250 EUR -3.125 GBP 3.125 PLAT -12.500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -13.75 ******************************************************************************** END OF REPORT ********************************************************************************