******************************************************************************** Trades report produced on 02/02/2024 21:37 from 01/02/2024 21:37 to 02/02/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 10073 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-02 09:01:33 [1] 97.895 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10073 EURIBOR-ICE caleb_strategy_v3 2024-02-01 2024-02-02 09:00:31.023 2024-02-02 09:01:33 118831.023 61.977 ============================================================================================================================================================================================================================= 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 10073 EURIBOR-ICE caleb_strategy_v3 [1] 97.94 None 97.8975 97.9 97.895 97.895 97.895 0.0425 -0.0025 0.005 0.0 NaN 0.0025 =============================================================================================================================================================== 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 10073 EURIBOR-ICE caleb_strategy_v3 [1] 1.13089 375.810168 -22.10648 44.212961 0.0 NaN 22.10648 ========================================================================================================================================================================= 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 10073 EURIBOR-ICE caleb_strategy_v3 [1] 2720.125 115.605312 -6.800312 13.600625 0.0 NaN 6.800313 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 115.605312 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 115.605312 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -6.800312 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -6.800312 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 13.600625 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 13.600625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 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 EURIBOR-ICE 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 6.800313 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 6.800313 ******************************************************************************** END OF REPORT ********************************************************************************