******************************************************************************** Trades report produced on 19/08/2024 21:37 from 18/08/2024 21:37 to 19/08/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14408 AUD caleb_strategy_v3 [20240900] 2024-08-19 14:22:12.000 [1] 0.6711 14409 AUD caleb_strategy_v3 [20240900] 2024-08-19 14:22:16.000 [1] 0.6711 14405 AUD caleb_strategy_v3 [20240900] 2024-08-19 19:45:22.391 [0] NaN 14404 RUSSELL caleb_strategy_v3 [20240900] 2024-08-19 14:06:38.000 [-1] 2156.9000 14407 RUSSELL caleb_strategy_v3 [20240900] 2024-08-19 14:22:11.000 [-1] 2157.1000 14406 US10U caleb_strategy_v3 [20240900] 2024-08-19 14:19:19.000 [-1] 117.4375 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14406 US10U caleb_strategy_v3 2024-08-16 2024-08-19 15:16:40.410 2024-08-19 14:19:19.000 314200.41 NaN 14404 RUSSELL caleb_strategy_v3 2024-08-16 2024-08-19 15:00:49.898 2024-08-19 14:06:38.000 313249.898 NaN 14407 RUSSELL caleb_strategy_v3 2024-08-16 2024-08-19 15:19:23.027 2024-08-19 14:22:11.000 314363.027 NaN 14408 AUD caleb_strategy_v3 2024-08-16 2024-08-19 15:22:12.200 2024-08-19 14:22:12.000 314532.2 NaN 14409 AUD caleb_strategy_v3 2024-08-16 2024-08-19 15:22:16.018 2024-08-19 14:22:16.000 314536.018 NaN 14405 AUD caleb_strategy_v3 2024-08-16 2024-08-19 15:06:39.502 2024-08-19 19:45:22.391 313599.502 16722.889 =================================================================================================================================================================================================================================== 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 14406 US10U caleb_strategy_v3 [-1] 117.421875 None 117.507812 117.5 117.515625 117.515625 117.4375 0.085938 -0.007812 -0.0625 -0.078125 NaN -0.070312 14404 RUSSELL caleb_strategy_v3 [-1] 2154.4 None 2157.1 2157.0 2157.2 2157.2 2156.9 2.7 -0.1 -0.1 -0.3 NaN -0.2 14407 RUSSELL caleb_strategy_v3 [-1] 2154.4 None 2157.0 2156.9 2157.1 2157.1 2157.1 2.6 -0.1 0.2 -0.0 NaN 0.1 14408 AUD caleb_strategy_v3 [1] 0.6675 None 0.670875 0.6709 0.67085 0.67085 0.6711 -0.003375 -0.000025 -0.0002 -0.00025 NaN -0.000225 14409 AUD caleb_strategy_v3 [1] 0.6675 None 0.67125 0.6713 0.6712 0.6712 0.6711 -0.00375 -0.00005 0.0002 0.0001 NaN 0.00015 14405 AUD caleb_strategy_v3 [1] 0.6675 None 0.6707 0.67075 0.67065 0.67065 NaN -0.0032 -0.00005 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 14406 US10U caleb_strategy_v3 [-1] 9.427909 91.152239 -8.286567 -66.292538 -82.865672 NaN -74.579105 14404 RUSSELL caleb_strategy_v3 [-1] 535.351292 50.434174 -1.867932 -1.867932 -5.603797 NaN -3.735865 14407 RUSSELL caleb_strategy_v3 [-1] 535.351292 48.566241 -1.867932 3.735865 -0.0 NaN 1.867932 14408 AUD caleb_strategy_v3 [1] 0.058798 -573.998807 -4.251843 -34.014744 -42.51843 NaN -38.266587 14409 AUD caleb_strategy_v3 [1] 0.058798 -637.776452 -8.503686 34.014744 17.007372 NaN 25.511058 14405 AUD caleb_strategy_v3 [1] 0.058798 -544.235906 -8.503686 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 14406 US10U caleb_strategy_v3 [-1] 1000.0 85.9375 -7.8125 -62.5 -78.125 NaN -70.3125 14404 RUSSELL caleb_strategy_v3 [-1] 5.0 13.5 -0.5 -0.5 -1.5 NaN -1.0 14407 RUSSELL caleb_strategy_v3 [-1] 5.0 13.0 -0.5 1.0 -0.0 NaN 0.5 14408 AUD caleb_strategy_v3 [1] 100000.0 -337.5 -2.5 -20.0 -25.0 NaN -22.5 14409 AUD caleb_strategy_v3 [1] 100000.0 -375.0 -5.0 20.0 10.0 NaN 15.0 14405 AUD caleb_strategy_v3 [1] 100000.0 -320.0 -5.0 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -1032.5 RUSSELL 26.5 US10U 85.9375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -920.0625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -12.5 RUSSELL -1.0 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -21.3125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 0.0 RUSSELL 0.5 US10U -62.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -62.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -15.0 RUSSELL -1.5 US10U -78.125 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -94.625 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 RUSSELL 0 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 AUD -7.5 RUSSELL -0.5 US10U -70.3125 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -78.3125 ******************************************************************************** END OF REPORT ********************************************************************************