******************************************************************************** Trades report produced on 23/10/2023 21:38 from 22/10/2023 21:38 to 23/10/2023 21:38 ******************************************************************************** ============================================================================================ Broker orders ============================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price 7876 BOBL caleb_strategy_v3 [20231200] 2023-10-23 08:50:15 [1] 115.45 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7876 BOBL caleb_strategy_v3 2023-10-20 2023-10-23 09:50:14.486 2023-10-23 08:50:15 294614 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 7876 BOBL caleb_strategy_v3 [1] 115.58 None 115.455 115.46 115.45 115.45 115.45 0.125 -0.005 0.01 0 NaN 0.005 ============================================================================================================================================================ 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 7876 BOBL caleb_strategy_v3 [1] 5.63708 221.746 -8.86984 17.7397 0 NaN 8.86984 ======================================================================================================================================================================= 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 7876 BOBL caleb_strategy_v3 [1] 1057.95 132.244 -5.28975 10.5795 0 NaN 5.28975 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL 132.24375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 132.24375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.28975 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -5.28975 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.5795 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 10.5795 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 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 BOBL 5.28975 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 5.28975 ******************************************************************************** END OF REPORT ********************************************************************************