******************************************************************************** Trades report produced on 18/06/2024 21:37 from 17/06/2024 21:37 to 18/06/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13404 EUROSTX caleb_strategy_v3 [20240600] 2024-06-18 07:00:31 [-1] 4920.0 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13404 EUROSTX caleb_strategy_v3 2024-06-17 2024-06-18 08:00:30.466 2024-06-18 07:00:31 115230.466 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 13404 EUROSTX caleb_strategy_v3 [-1] 4899.0 None 4917.5 4917.0 4918.0 4918.0 4920.0 18.5 -0.5 3.0 2.0 NaN 2.5 =============================================================================================================================================================== 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 13404 EUROSTX caleb_strategy_v3 [-1] 733.721609 252.139228 -6.814574 40.887442 27.258295 NaN 34.072869 ======================================================================================================================================================================== 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 13404 EUROSTX caleb_strategy_v3 [-1] 10.7255 198.42175 -5.36275 32.1765 21.451 NaN 26.81375 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 198.42175 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 198.42175 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX -5.36275 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -5.36275 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 32.1765 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 32.1765 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 21.451 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 21.451 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 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 EUROSTX 26.81375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 26.81375 ******************************************************************************** END OF REPORT ********************************************************************************