******************************************************************************** Trades report produced on 11/10/2024 21:36 from 10/10/2024 21:36 to 11/10/2024 21:36 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15049 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-11 13:10:06 [-1] 3.12 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15049 GAS_US_mini caleb_strategy_v3 2024-10-10 2024-10-11 14:00:45.391 2024-10-11 13:10:06 136845.391 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 15049 GAS_US_mini caleb_strategy_v3 [-1] 3.105 None 3.1425 3.14 3.145 3.145 3.12 0.0375 -0.0025 -0.02 -0.025 NaN -0.0225 =============================================================================================================================================================== 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 15049 GAS_US_mini caleb_strategy_v3 [-1] 1.261418 297.284584 -19.818972 -158.551778 -198.189722 NaN -178.37075 ======================================================================================================================================================================== 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 15049 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 93.75 -6.25 -50.0 -62.5 NaN -56.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 93.75 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 93.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -6.25 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -50.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -62.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 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 GAS_US_mini -56.25 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -56.25 ******************************************************************************** END OF REPORT ********************************************************************************