******************************************************************************** Trades report produced on 23/05/2024 21:37 from 22/05/2024 21:37 to 23/05/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 12644 DOW caleb_strategy_v3 [20240600] 2024-05-23 14:00:47 [1] 39566.000 12643 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-23 13:00:51 [1] 3.075 12645 RUSSELL caleb_strategy_v3 [20240600] 2024-05-23 14:00:48 [1] 2077.500 12646 RUSSELL caleb_strategy_v3 [20240600] 2024-05-23 14:01:47 [1] 2077.900 12647 RUSSELL caleb_strategy_v3 [20240600] 2024-05-23 14:02:47 [1] 2076.200 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12643 GAS_US_mini caleb_strategy_v3 2024-05-22 2024-05-23 14:00:40.922 2024-05-23 13:00:51 136840.922 NaN 12644 DOW caleb_strategy_v3 2024-05-22 2024-05-23 15:00:47.542 2024-05-23 14:00:47 140447.542 NaN 12645 RUSSELL caleb_strategy_v3 2024-05-22 2024-05-23 15:00:48.390 2024-05-23 14:00:48 140448.39 NaN 12646 RUSSELL caleb_strategy_v3 2024-05-22 2024-05-23 15:01:47.384 2024-05-23 14:01:47 140507.384 NaN 12647 RUSSELL caleb_strategy_v3 2024-05-22 2024-05-23 15:02:47.234 2024-05-23 14:02:47 140567.234 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 12643 GAS_US_mini caleb_strategy_v3 [1] 2.985 None 3.0775 3.08 3.075 3.075 3.075 -0.0925 -0.0025 0.005 0.0 NaN 0.0025 12644 DOW caleb_strategy_v3 [1] 39754.0 None 39566.5 39567.0 39566.0 39566.0 39566.0 187.5 -0.5 1.0 0.0 NaN 0.5 12645 RUSSELL caleb_strategy_v3 [1] 2087.8 None 2077.3 2077.4 2077.2 2077.2 2077.5 10.5 -0.1 -0.1 -0.3 NaN -0.2 12646 RUSSELL caleb_strategy_v3 [1] 2087.8 None 2077.4 2077.5 2077.3 2077.3 2077.9 10.4 -0.1 -0.4 -0.6 NaN -0.5 12647 RUSSELL caleb_strategy_v3 [1] 2087.8 None 2077.85 2077.9 2077.8 2077.8 2076.2 9.95 -0.05 1.7 1.6 NaN 1.65 =============================================================================================================================================================== 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 12643 GAS_US_mini caleb_strategy_v3 [1] 1.565608 -590.824872 -15.96824 31.93648 0.0 NaN 15.96824 12644 DOW caleb_strategy_v3 [1] 4428.888148 423.356819 -1.128952 2.257903 0.0 NaN 1.128952 12645 RUSSELL caleb_strategy_v3 [1] 362.725004 289.475495 -2.756909 -2.756909 -8.270728 NaN -5.513819 12646 RUSSELL caleb_strategy_v3 [1] 362.725004 286.718585 -2.756909 -11.027638 -16.541457 NaN -13.784547 12647 RUSSELL caleb_strategy_v3 [1] 362.725004 274.312493 -1.378455 46.867461 44.110552 NaN 45.489006 ======================================================================================================================================================================== 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 12643 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -231.25 -6.25 12.5 0.0 NaN 6.25 12644 DOW caleb_strategy_v3 [1] 0.5 93.75 -0.25 0.5 0.0 NaN 0.25 12645 RUSSELL caleb_strategy_v3 [1] 5.0 52.5 -0.5 -0.5 -1.5 NaN -1.0 12646 RUSSELL caleb_strategy_v3 [1] 5.0 52.0 -0.5 -2.0 -3.0 NaN -2.5 12647 RUSSELL caleb_strategy_v3 [1] 5.0 49.75 -0.25 8.5 8.0 NaN 8.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 93.75 GAS_US_mini -231.25 RUSSELL 154.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 16.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.25 GAS_US_mini -6.25 RUSSELL -1.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -7.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 0.5 GAS_US_mini 12.5 RUSSELL 6.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 19.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0.0 GAS_US_mini 0.0 RUSSELL 3.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 3.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 GAS_US_mini 0 RUSSELL 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 0.25 GAS_US_mini 6.25 RUSSELL 4.75 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 11.25 ******************************************************************************** END OF REPORT ********************************************************************************