******************************************************************************** Trades report produced on 30/05/2024 21:35 from 29/05/2024 21:35 to 30/05/2024 21:35 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12732 GAS_US_mini caleb_strategy_v3 [20240800] 2024-05-30 13:00:45 [1] 2.685 12733 GAS_US_mini caleb_strategy_v3 [20240800] 2024-05-30 13:00:58 [1] 2.685 12734 REDWHEAT caleb_strategy_v3 [20240900] 2024-05-30 14:30:57 [1] 725.750 12735 REDWHEAT caleb_strategy_v3 [20240900] 2024-05-30 14:30:58 [-1] 725.250 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12732 GAS_US_mini caleb_strategy_v3 2024-05-28 2024-05-30 14:00:43.114 2024-05-30 13:00:45 223243.114 NaN 12733 GAS_US_mini caleb_strategy_v3 2024-05-29 2024-05-30 14:00:45.918 2024-05-30 13:00:58 136845.918 NaN 12734 REDWHEAT caleb_strategy_v3 2024-05-28 2024-05-30 15:30:46.502 2024-05-30 14:30:57 228646.502 NaN 12735 REDWHEAT caleb_strategy_v3 2024-05-29 2024-05-30 15:30:57.886 2024-05-30 14:30:58 142257.886 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 12732 GAS_US_mini caleb_strategy_v3 [1] 2.86 None 2.68 2.685 2.675 2.675 2.685 0.18 -0.005 0.0 -0.01 NaN -0.005 12733 GAS_US_mini caleb_strategy_v3 [1] 2.72 None 2.68 2.685 2.675 2.675 2.685 0.04 -0.005 0.0 -0.01 NaN -0.005 12734 REDWHEAT caleb_strategy_v3 [1] 746.5 None 725.25 725.5 725.0 725.0 725.75 21.25 -0.25 -0.25 -0.75 NaN -0.5 12735 REDWHEAT caleb_strategy_v3 [-1] 734.0 None 725.5 725.25 725.75 725.75 725.25 -8.5 -0.25 -0.0 -0.5 NaN -0.25 ================================================================================================================================================================ 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 12732 GAS_US_mini caleb_strategy_v3 [1] 1.744461 1031.837183 -28.662144 0.0 -57.324288 NaN -28.662144 12733 GAS_US_mini caleb_strategy_v3 [1] 1.744461 229.297152 -28.662144 0.0 -57.324288 NaN -28.662144 12734 REDWHEAT caleb_strategy_v3 [1] 224.855448 945.051598 -11.118254 -11.118254 -33.354762 NaN -22.236508 12735 REDWHEAT caleb_strategy_v3 [-1] 224.855448 -378.020639 -11.118254 -0.0 -22.236508 NaN -11.118254 ======================================================================================================================================================================== 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 12732 GAS_US_mini caleb_strategy_v3 [1] 2500.0 450.0 -12.5 0.0 -25.0 NaN -12.5 12733 GAS_US_mini caleb_strategy_v3 [1] 2500.0 100.0 -12.5 0.0 -25.0 NaN -12.5 12734 REDWHEAT caleb_strategy_v3 [1] 50.0 1062.5 -12.5 -12.5 -37.5 NaN -25.0 12735 REDWHEAT caleb_strategy_v3 [-1] 50.0 -425.0 -12.5 -0.0 -25.0 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 550.0 REDWHEAT 637.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1187.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -25.0 REDWHEAT -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -50.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 0.0 REDWHEAT -12.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -12.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -50.0 REDWHEAT -62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -112.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 0 REDWHEAT 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 GAS_US_mini -25.0 REDWHEAT -37.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -62.5 ******************************************************************************** END OF REPORT ********************************************************************************