forked from robcarver17/reports
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathTrade_report
171 lines (150 loc) · 13.6 KB
/
Trade_report
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
********************************************************************************
Trades report report produced on 14/11/2022 21:12 from 13/11/2022 21:12 to 14/11/2022 21:12
********************************************************************************
================================================================================================
Broker orders
================================================================================================
instrument_code strategy_name contract_date fill_datetime fill filled_price
order_id
32482 BOBL dynamic_TF_carry [20221200] 2022-11-14 09:12:35 [1] 119.34000
32481 EU-TECH dynamic_TF_carry [20221200] 2022-11-14 09:08:17 [1] 622.50000
32483 GOLD_micro dynamic_TF_carry [20230200] 2022-11-14 14:00:30 [1] 1781.40000
32480 KOSDAQ dynamic_TF_carry [20221200] 2022-11-14 02:00:31 [-1] 1048.30000
32484 MXP dynamic_TF_carry [20221200] 2022-11-14 15:00:30 [-1] 0.05107
32479 NIKKEI dynamic_TF_carry [20221200] 2022-11-14 01:45:29 [-1] 28115.00000
32485 SOYOIL dynamic_TF_carry [20230300] 2022-11-14 15:30:28 [1] 72.31000
===========================================================================================================================================================
Delays
===========================================================================================================================================================
instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
order_id
32479 NIKKEI dynamic_TF_carry 2022-11-10 2022-11-14 01:45:30.571 2022-11-14 01:45:29 351931 NaN
32480 KOSDAQ dynamic_TF_carry 2022-11-10 2022-11-14 02:00:33.451 2022-11-14 02:00:31 352833 NaN
32481 EU-TECH dynamic_TF_carry 2022-11-11 2022-11-14 09:08:10.541 2022-11-14 09:08:17 292091 6.459
32482 BOBL dynamic_TF_carry 2022-11-11 2022-11-14 09:12:12.819 2022-11-14 09:12:35 292333 22.181
32483 GOLD_micro dynamic_TF_carry 2022-11-11 2022-11-14 14:00:32.154 2022-11-14 14:00:30 309632 NaN
32484 MXP dynamic_TF_carry 2022-11-11 2022-11-14 15:00:32.437 2022-11-14 15:00:30 313232 NaN
32485 SOYOIL dynamic_TF_carry 2022-11-11 2022-11-14 15:30:31.871 2022-11-14 15:30:28 315032 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
order_id
32479 NIKKEI dynamic_TF_carry [-1] 27950 None 28117.5 28115 28120 NaN 28115 167.5 -2.5 -0 NaN NaN -2.5
32480 KOSDAQ dynamic_TF_carry [-1] 1001.3 None 1047.85 1047.8 1047.9 NaN 1048.3 46.55 -0.05 0.5 NaN NaN 0.45
32481 EU-TECH dynamic_TF_carry [1] 620.8 None 622.1 622.4 621.8 621.8 622.5 -1.3 -0.3 -0.1 -0.7 NaN -0.4
32482 BOBL dynamic_TF_carry [1] 119.45 None 119.345 119.35 119.34 119.34 119.34 0.105 -0.005 0.01 0 NaN 0.005
32483 GOLD_micro dynamic_TF_carry [1] 1783.4 None 1781.2 1781.3 1781.1 NaN 1781.4 2.2 -0.1 -0.1 NaN NaN -0.2
32484 MXP dynamic_TF_carry [-1] 0.05097 None 0.051075 0.05107 0.05108 NaN 0.05107 0.000105 -5e-06 -0 NaN NaN -5e-06
32485 SOYOIL dynamic_TF_carry [1] 72.41 None 72.28 72.29 72.27 NaN 72.31 0.13 -0.01 -0.02 NaN NaN -0.03
===============================================================================================================================================================
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
order_id
32479 NIKKEI dynamic_TF_carry [-1] 4886.29 342.796 -5.11636 -0 NaN NaN -5.11636
32480 KOSDAQ dynamic_TF_carry [-1] 369.966 1258.22 -1.35147 13.5147 NaN NaN 12.1633
32481 EU-TECH dynamic_TF_carry [1] 207.115 -62.7672 -14.4847 -4.82825 -33.7977 NaN -19.313
32482 BOBL dynamic_TF_carry [1] 7.67526 136.803 -6.51444 13.0289 0 NaN 6.51444
32483 GOLD_micro dynamic_TF_carry [1] 323.672 67.9699 -3.08954 -3.08954 NaN NaN -6.17909
32484 MXP dynamic_TF_carry [-1] 0.00476915 220.165 -10.484 -0 NaN NaN -10.484
32485 SOYOIL dynamic_TF_carry [1] 17.5289 74.1632 -5.70486 -11.4097 NaN NaN -17.1146
==========================================================================================================================================================================
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
order_id
32479 NIKKEI dynamic_TF_carry [-1] 0.607067 101.684 -1.51767 -0 NaN NaN -1.51767
32480 KOSDAQ dynamic_TF_carry [-1] 6.42195 298.942 -0.321098 3.21098 NaN NaN 2.88988
32481 EU-TECH dynamic_TF_carry [1] 44.0156 -57.2203 -13.2047 -4.40156 -30.8109 NaN -17.6063
32482 BOBL dynamic_TF_carry [1] 880.313 92.4328 -4.40156 8.80313 0 NaN 4.40156
32483 GOLD_micro dynamic_TF_carry [1] 8.5217 18.7477 -0.85217 -0.85217 NaN NaN -1.70434
32484 MXP dynamic_TF_carry [-1] 426085 44.7389 -2.13042 -0 NaN NaN -2.13042
32485 SOYOIL dynamic_TF_carry [1] 511.302 66.4692 -5.11302 -10.226 NaN NaN -15.3391
delay_cash Sum
delay_cash
strategy_name instrument_code
dynamic_TF_carry BOBL 92.432838
EU-TECH -57.220329
GOLD_micro 18.747736
KOSDAQ 298.941861
MXP 44.738916
NIKKEI 101.683667
SOYOIL 66.469247
delay_cash Total Sum
delay_cash
strategy_name
dynamic_TF_carry 565.793938
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
dynamic_TF_carry BOBL -4.401564
EU-TECH -13.204691
GOLD_micro -0.852170
KOSDAQ -0.321098
MXP -2.130425
NIKKEI -1.517667
SOYOIL -5.113019
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
dynamic_TF_carry -27.540633
execution_cash Sum
execution_cash
strategy_name instrument_code
dynamic_TF_carry BOBL 8.803127
EU-TECH -4.401564
GOLD_micro -0.852170
KOSDAQ 3.210976
MXP -0.000000
NIKKEI -0.000000
SOYOIL -10.226038
execution_cash Total Sum
execution_cash
strategy_name
dynamic_TF_carry -3.465668
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
dynamic_TF_carry BOBL 0.000000
EU-TECH -30.810946
GOLD_micro 0.000000
KOSDAQ 0.000000
MXP 0.000000
NIKKEI 0.000000
SOYOIL 0.000000
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
dynamic_TF_carry -30.810946
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
dynamic_TF_carry BOBL 0
EU-TECH 0
GOLD_micro 0
KOSDAQ 0
MXP 0
NIKKEI 0
SOYOIL 0
versus_parent_limit_cash Total Sum
versus_parent_limit_cash
strategy_name
dynamic_TF_carry 0
total_trading_cash Sum
total_trading_cash
strategy_name instrument_code
dynamic_TF_carry BOBL 4.401564
EU-TECH -17.606255
GOLD_micro -1.704340
KOSDAQ 2.889878
MXP -2.130425
NIKKEI -1.517667
SOYOIL -15.339057
total_trading_cash Total Sum
total_trading_cash
strategy_name
dynamic_TF_carry -31.006301
********************************************************************************
END OF REPORT
********************************************************************************