******************************************************************************** Trades report produced on 12/08/2024 21:37 from 11/08/2024 21:37 to 12/08/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14363 US10U caleb_strategy_v3 [20240900] 2024-08-12 14:00:49 [-1] 117.109375 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14363 US10U caleb_strategy_v3 2024-08-09 2024-08-12 15:00:49.146 2024-08-12 14:00:49 313249.146 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 14363 US10U caleb_strategy_v3 [-1] 117.015625 None 117.054688 117.046875 117.0625 117.0625 117.109375 0.039062 -0.007812 0.0625 0.046875 NaN 0.054688 ============================================================================================================================================================== 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 14363 US10U caleb_strategy_v3 [-1] 9.820978 39.774554 -7.954911 63.639286 47.729465 NaN 55.684375 ======================================================================================================================================================================== 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 14363 US10U caleb_strategy_v3 [-1] 1000.0 39.0625 -7.8125 62.5 46.875 NaN 54.6875 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 US10U 39.0625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 39.0625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -7.8125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 US10U 62.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 62.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 US10U 46.875 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 46.875 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 US10U 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 US10U 54.6875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 54.6875 ******************************************************************************** END OF REPORT ********************************************************************************