******************************************************************************** Trades report produced on 16/10/2024 21:38 from 15/10/2024 21:38 to 16/10/2024 21:38 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15079 CORN caleb_strategy_v3 [20251200] 2024-10-16 14:30:20 [-1] 437.500 15077 DAX caleb_strategy_v3 [20241200] 2024-10-16 07:01:01 [1] 19601.000 15078 GAS_US_mini caleb_strategy_v3 [20250100] 2024-10-16 13:02:00 [-1] 3.165 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15077 DAX caleb_strategy_v3 2024-10-15 2024-10-16 08:00:28.595 2024-10-16 07:01:01 115228.595 NaN 15078 GAS_US_mini caleb_strategy_v3 2024-10-15 2024-10-16 14:00:42.103 2024-10-16 13:02:00 136842.103 NaN 15079 CORN caleb_strategy_v3 2024-10-15 2024-10-16 15:30:19.059 2024-10-16 14:30:20 142219.059 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 15077 DAX caleb_strategy_v3 [1] 19602.0 None 19601.5 19602.0 19601.0 19601.0 19601.0 0.5 -0.5 1.0 0.0 NaN 0.5 15078 GAS_US_mini caleb_strategy_v3 [-1] 3.205 None 3.1725 3.17 3.175 3.175 3.165 -0.0325 -0.0025 -0.005 -0.01 NaN -0.0075 15079 CORN caleb_strategy_v3 [-1] 437.0 None 437.375 437.25 437.5 437.5 437.5 0.375 -0.125 0.25 -0.0 NaN 0.125 =============================================================================================================================================================== 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 15077 DAX caleb_strategy_v3 [1] 2274.486368 2.198299 -2.198299 4.396597 0.0 NaN 2.198299 15078 GAS_US_mini caleb_strategy_v3 [-1] 1.282113 -253.487793 -19.499061 -38.998122 -77.996244 NaN -58.497183 15079 CORN caleb_strategy_v3 [-1] 68.830394 54.481745 -18.160582 36.321163 -0.0 NaN 18.160582 ======================================================================================================================================================================== 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 15077 DAX caleb_strategy_v3 [1] 1.08815 0.544075 -0.544075 1.08815 0.0 NaN 0.544075 15078 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -81.25 -6.25 -12.5 -25.0 NaN -18.75 15079 CORN caleb_strategy_v3 [-1] 50.0 18.75 -6.25 12.5 -0.0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CORN 18.75 DAX 0.544075 GAS_US_mini -81.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -61.955925 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CORN -6.25 DAX -0.544075 GAS_US_mini -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -13.044075 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CORN 12.5 DAX 1.08815 GAS_US_mini -12.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1.08815 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN -0.0 DAX 0.0 GAS_US_mini -25.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -25.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN 0 DAX 0 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 CORN 6.25 DAX 0.544075 GAS_US_mini -18.75 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -11.955925 ******************************************************************************** END OF REPORT ********************************************************************************