******************************************************************************** Trades report produced on 30/08/2024 21:37 from 29/08/2024 21:37 to 30/08/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 14552 RUSSELL caleb_strategy_v3 [20240900] 2024-08-30 14:05:51 [1] 2216.1 14553 RUSSELL caleb_strategy_v3 [20240900] 2024-08-30 14:05:55 [1] 2215.7 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14552 RUSSELL caleb_strategy_v3 2024-08-29 2024-08-30 15:00:51.214 2024-08-30 14:05:51 140451.214 NaN 14553 RUSSELL caleb_strategy_v3 2024-08-29 2024-08-30 15:05:54.957 2024-08-30 14:05:55 140754.957 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 14552 RUSSELL caleb_strategy_v3 [1] 2212.5 None 2211.95 2212.0 2211.9 2211.9 2216.1 0.55 -0.05 -4.1 -4.2 NaN -4.15 14553 RUSSELL caleb_strategy_v3 [1] 2212.5 None 2216.0 2216.1 2215.9 2215.9 2215.7 -3.5 -0.1 0.4 0.2 NaN 0.3 ============================================================================================================================================================== 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 14552 RUSSELL caleb_strategy_v3 [1] 494.870536 11.114018 -1.010365 -82.849952 -84.870682 NaN -83.860317 14553 RUSSELL caleb_strategy_v3 [1] 494.870536 -70.725569 -2.020731 8.082922 4.041461 NaN 6.062192 ======================================================================================================================================================================== 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 14552 RUSSELL caleb_strategy_v3 [1] 5.0 2.75 -0.25 -20.5 -21.0 NaN -20.75 14553 RUSSELL caleb_strategy_v3 [1] 5.0 -17.5 -0.5 2.0 1.0 NaN 1.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 RUSSELL -14.75 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -14.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 RUSSELL -0.75 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -0.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 RUSSELL -18.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -18.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 RUSSELL -20.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -20.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 RUSSELL 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 RUSSELL -19.25 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -19.25 ******************************************************************************** END OF REPORT ********************************************************************************