******************************************************************************** Trades report produced on 16/08/2024 21:37 from 15/08/2024 21:37 to 16/08/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14401 EUROSTX caleb_strategy_v3 [20240900] 2024-08-16 07:04:30 [-1] 4853.00000 14402 GAS_US_mini caleb_strategy_v3 [20241000] 2024-08-16 13:00:58 [1] 2.28000 14403 MXP caleb_strategy_v3 [20240900] 2024-08-16 14:05:59 [1] 0.05349 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14401 EUROSTX caleb_strategy_v3 2024-08-15 2024-08-16 08:00:28.822 2024-08-16 07:04:30 115228.822 NaN 14402 GAS_US_mini caleb_strategy_v3 2024-08-15 2024-08-16 14:00:58.266 2024-08-16 13:00:58 136858.266 NaN 14403 MXP caleb_strategy_v3 2024-08-15 2024-08-16 15:01:00.519 2024-08-16 14:05:59 140460.519 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 14401 EUROSTX caleb_strategy_v3 [-1] 4841.0 None 4854.5 4854.0 4855.0 4855.0 4853.0 13.5 -0.5 -1.0 -2.0 NaN -1.5 14402 GAS_US_mini caleb_strategy_v3 [1] 2.335 None 2.2825 2.285 2.28 2.28 2.28 0.0525 -0.0025 0.005 0.0 NaN 0.0025 14403 MXP caleb_strategy_v3 [1] 0.05342 None 0.053465 0.05347 0.05346 0.05346 0.05349 -0.000045 -0.000005 -0.00002 -0.00003 NaN -0.000025 =============================================================================================================================================================== 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 14401 EUROSTX caleb_strategy_v3 [-1] 818.082632 165.020005 -6.111852 -12.223704 -24.447408 NaN -18.335556 14402 GAS_US_mini caleb_strategy_v3 [1] 1.326008 395.925353 -18.853588 37.707176 0.0 NaN 18.853588 14403 MXP caleb_strategy_v3 [1] 0.008116 -55.443593 -6.160399 -24.641597 -36.962396 NaN -30.801996 ======================================================================================================================================================================== 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 14401 EUROSTX caleb_strategy_v3 [-1] 10.986 148.311 -5.493 -10.986 -21.972 NaN -16.479 14402 GAS_US_mini caleb_strategy_v3 [1] 2500.0 131.25 -6.25 12.5 0.0 NaN 6.25 14403 MXP caleb_strategy_v3 [1] 500000.0 -22.5 -2.5 -10.0 -15.0 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 148.311 GAS_US_mini 131.25 MXP -22.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 257.061 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX -5.493 GAS_US_mini -6.25 MXP -2.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -14.243 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX -10.986 GAS_US_mini 12.5 MXP -10.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -8.486 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX -21.972 GAS_US_mini 0.0 MXP -15.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -36.972 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 0 GAS_US_mini 0 MXP 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 -16.479 GAS_US_mini 6.25 MXP -12.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -22.729 ******************************************************************************** END OF REPORT ********************************************************************************