******************************************************************************** Trades report produced on 22/01/2024 21:36 from 21/01/2024 21:36 to 22/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9875 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-22 09:01:57 [-1] 97.745 9876 GOLD_micro caleb_strategy_v3 [20240200] 2024-01-22 14:00:36 [1] 2024.400 9877 GOLD_micro caleb_strategy_v3 [20240200] 2024-01-22 14:01:32 [1] 2024.100 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9875 EURIBOR-ICE caleb_strategy_v3 2024-01-19 2024-01-22 09:00:30.755 2024-01-22 09:01:57 291630.755 86.245 9876 GOLD_micro caleb_strategy_v3 2024-01-19 2024-01-22 14:00:32.278 2024-01-22 14:00:36 309632.278 3.722 9877 GOLD_micro caleb_strategy_v3 2024-01-19 2024-01-22 14:01:32.146 2024-01-22 14:01:32 309692.146 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 9875 EURIBOR-ICE caleb_strategy_v3 [-1] 97.725 None 97.75 97.745 97.755 97.755 97.745 0.025 -0.005 -0.0 -0.01 NaN -0.005 9876 GOLD_micro caleb_strategy_v3 [1] 2031.1 None 2024.15 2024.2 2024.1 2024.1 2024.4 6.95 -0.05 -0.2 -0.3 NaN -0.25 9877 GOLD_micro caleb_strategy_v3 [1] 2031.1 None 2024.3 2024.4 2024.2 2024.2 2024.1 6.8 -0.1 0.3 0.1 NaN 0.2 ============================================================================================================================================================== 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 9875 EURIBOR-ICE caleb_strategy_v3 [-1] 1.068464 233.980703 -46.796141 -0.0 -93.592281 NaN -46.796141 9876 GOLD_micro caleb_strategy_v3 [1] 254.331676 273.265215 -1.965937 -7.863747 -11.795621 NaN -9.829684 9877 GOLD_micro caleb_strategy_v3 [1] 254.331676 267.367404 -3.931874 11.795621 3.931874 NaN 7.863747 ======================================================================================================================================================================= 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 9875 EURIBOR-ICE caleb_strategy_v3 [-1] 2725.75 68.14375 -13.62875 -0.0 -27.2575 NaN -13.62875 9876 GOLD_micro caleb_strategy_v3 [1] 10.0 69.5 -0.5 -2.0 -3.0 NaN -2.5 9877 GOLD_micro caleb_strategy_v3 [1] 10.0 68.0 -1.0 3.0 1.0 NaN 2.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 68.14375 GOLD_micro 137.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 205.64375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.62875 GOLD_micro -1.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -15.12875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -0.0 GOLD_micro 1.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -27.2575 GOLD_micro -2.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -29.2575 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 -13.62875 GOLD_micro -0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -14.12875 ******************************************************************************** END OF REPORT ********************************************************************************