******************************************************************************** Trades report produced on 29/05/2024 21:37 from 28/05/2024 21:37 to 29/05/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12717 LIVECOW caleb_strategy_v3 [20240800] 2024-05-29 17:51:07.275 [-6] 181.625 ===================================================================================================================================================== Delays ===================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12717 LIVECOW caleb_strategy_v3 None None 2024-05-29 17:51:07.275 NaN 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 12717 LIVECOW caleb_strategy_v3 [-6] None None None None None None 181.625 NaN NaN NaN NaN NaN NaN ============================================================================================================================================================= 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 12717 LIVECOW caleb_strategy_v3 [-6] 22.200058 NaN NaN NaN NaN NaN NaN ======================================================================================================================================================================== 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 12717 LIVECOW caleb_strategy_v3 [-6] 400.0 NaN NaN NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 LIVECOW 0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 LIVECOW 0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 LIVECOW 0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 LIVECOW 0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 LIVECOW 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 LIVECOW 0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 0 ******************************************************************************** END OF REPORT ********************************************************************************