******************************************************************************** Trades report produced on 27/08/2024 21:37 from 26/08/2024 21:37 to 27/08/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14493 AUD caleb_strategy_v3 [20240900] 2024-08-27 14:03:34 [1] 0.67770 14491 CRUDE_W caleb_strategy_v3 [20241200] 2024-08-27 13:01:28 [1] 74.62000 14490 DAX caleb_strategy_v3 [20240900] 2024-08-27 07:00:35 [1] 18689.00000 14494 LIVECOW caleb_strategy_v3 [20241200] 2024-08-27 14:30:42 [-1] 178.07500 14492 MXP caleb_strategy_v3 [20240900] 2024-08-27 14:03:12 [-1] 0.05089 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14490 DAX caleb_strategy_v3 2024-08-26 2024-08-27 08:00:34.326 2024-08-27 07:00:35 115234.326 NaN 14491 CRUDE_W caleb_strategy_v3 2024-08-26 2024-08-27 14:00:46.966 2024-08-27 13:01:28 136846.966 NaN 14492 MXP caleb_strategy_v3 2024-08-26 2024-08-27 15:00:59.730 2024-08-27 14:03:12 140459.73 NaN 14493 AUD caleb_strategy_v3 2024-08-26 2024-08-27 15:03:14.099 2024-08-27 14:03:34 140594.099 NaN 14494 LIVECOW caleb_strategy_v3 2024-08-26 2024-08-27 15:30:42.626 2024-08-27 14:30:42 142242.626 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 14490 DAX caleb_strategy_v3 [1] 18693.0 None 18696.0 18697.0 18695.0 18695.0 18689.0 -3.0 -1.0 8.0 6.0 NaN 7.0 14491 CRUDE_W caleb_strategy_v3 [1] 75.18 None 74.59 74.6 74.58 74.58 74.62 0.59 -0.01 -0.02 -0.04 NaN -0.03 14492 MXP caleb_strategy_v3 [-1] 0.05158 None 0.050925 0.05092 0.05093 0.05093 0.05089 -0.000655 -0.000005 -0.00003 -0.00004 NaN -0.000035 14493 AUD caleb_strategy_v3 [1] 0.678 None 0.67775 0.6778 0.6777 0.6777 0.6777 0.00025 -0.00005 0.0001 0.0 NaN 0.00005 14494 LIVECOW caleb_strategy_v3 [-1] 176.225 None 177.825 177.8 177.85 177.85 178.075 1.6 -0.025 0.275 0.225 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 14490 DAX caleb_strategy_v3 [1] 2457.230953 -12.208865 -4.069622 32.556972 24.417729 NaN 28.487351 14491 CRUDE_W caleb_strategy_v3 [1] 19.763598 298.52864 -5.059807 -10.119615 -20.23923 NaN -15.179422 14492 MXP caleb_strategy_v3 [-1] 0.008927 -733.721442 -5.600927 -33.605562 -44.807416 NaN -39.206489 14493 AUD caleb_strategy_v3 [1] 0.062444 40.035916 -8.007183 16.014367 0.0 NaN 8.007183 14494 LIVECOW caleb_strategy_v3 [-1] 24.680548 648.283825 -10.129435 111.423782 91.164913 NaN 101.294348 ======================================================================================================================================================================== 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 14490 DAX caleb_strategy_v3 [1] 1.11655 -3.34965 -1.11655 8.9324 6.6993 NaN 7.81585 14491 CRUDE_W caleb_strategy_v3 [1] 1000.0 590.0 -10.0 -20.0 -40.0 NaN -30.0 14492 MXP caleb_strategy_v3 [-1] 500000.0 -327.5 -2.5 -15.0 -20.0 NaN -17.5 14493 AUD caleb_strategy_v3 [1] 100000.0 25.0 -5.0 10.0 0.0 NaN 5.0 14494 LIVECOW caleb_strategy_v3 [-1] 400.0 640.0 -10.0 110.0 90.0 NaN 100.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 25.0 CRUDE_W 590.0 DAX -3.34965 LIVECOW 640.0 MXP -327.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 924.15035 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 CRUDE_W -10.0 DAX -1.11655 LIVECOW -10.0 MXP -2.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -28.61655 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 10.0 CRUDE_W -20.0 DAX 8.9324 LIVECOW 110.0 MXP -15.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 93.9324 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0.0 CRUDE_W -40.0 DAX 6.6993 LIVECOW 90.0 MXP -20.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 36.6993 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 CRUDE_W 0 DAX 0 LIVECOW 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 AUD 5.0 CRUDE_W -30.0 DAX 7.81585 LIVECOW 100.0 MXP -17.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 65.31585 ******************************************************************************** END OF REPORT ********************************************************************************