******************************************************************************** Trades report produced on 29/10/2024 21:37 from 28/10/2024 21:37 to 29/10/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15179 AUD caleb_strategy_v3 [20241200] 2024-10-29 19:45:23.390 [0] NaN 15180 AUD caleb_strategy_v3 [20241200] 2024-10-29 15:18:14.000 [-1] 0.65575 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15179 AUD caleb_strategy_v3 2024-10-28 2024-10-29 15:00:51.046 2024-10-29 19:45:23.390 140451.046 17072.344 15180 AUD caleb_strategy_v3 2024-10-28 2024-10-29 15:10:54.230 2024-10-29 15:18:14.000 141054.23 439.77 ================================================================================================================================================================================================================================= 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 15179 AUD caleb_strategy_v3 [-1] 0.6587 None 0.656525 0.6565 0.65655 0.65655 NaN -0.002175 -0.000025 NaN NaN NaN NaN 15180 AUD caleb_strategy_v3 [-1] 0.6587 None 0.656275 0.65625 0.6563 0.6563 0.65575 -0.002425 -0.000025 -0.0005 -0.00055 NaN -0.000525 =============================================================================================================================================================== 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 15179 AUD caleb_strategy_v3 [-1] 0.055957 -388.692333 -4.467728 NaN NaN NaN NaN 15180 AUD caleb_strategy_v3 [-1] 0.055957 -433.369612 -4.467728 -89.354559 -98.290015 NaN -93.822287 ======================================================================================================================================================================== 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 15179 AUD caleb_strategy_v3 [-1] 100000.0 -217.5 -2.5 NaN NaN NaN NaN 15180 AUD caleb_strategy_v3 [-1] 100000.0 -242.5 -2.5 -50.0 -55.0 NaN -52.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -460.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -460.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -5.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -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 AUD -55.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -55.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 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 -52.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -52.5 ******************************************************************************** END OF REPORT ********************************************************************************