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Trade_report
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********************************************************************************
Trades report produced on 21/01/2025 22:50 from 20/01/2025 22:50 to 21/01/2025 22:50
********************************************************************************
=============================================================================================
Broker orders
=============================================================================================
instrument_code strategy_name contract_date fill_datetime fill filled_price
34314 BUXL dynamic_TF_carry [20250300] 2025-01-21 08:00:05 [1] 128.26000
34319 CAD dynamic_TF_carry [20250300] 2025-01-21 15:00:07 [1] 0.69525
34318 COPPER-micro dynamic_TF_carry [20250300] 2025-01-21 14:00:08 [1] 4.28950
34316 DAX dynamic_TF_carry [20250300] 2025-01-21 08:00:10 [-1] 21050.00000
34320 JPY dynamic_TF_carry [20250300] 2025-01-21 15:00:10 [1] 0.00647
34315 MIB dynamic_TF_carry [20250300] 2025-01-21 08:00:08 [1] 36260.00000
34313 MSCISING dynamic_TF_carry [20250100] 2025-01-21 02:02:12 [1] 376.50000
34317 OAT dynamic_TF_carry [20250300] 2025-01-21 08:00:18 [-1] 122.47000
=============================================================================================================================================================
Delays
=============================================================================================================================================================
instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
34313 MSCISING dynamic_TF_carry 2025-01-20 00:00:00 2025-01-21 02:02:06.598000 2025-01-21 02:02:12 93726.598 5.402
34314 BUXL dynamic_TF_carry 2025-01-20 00:00:00 2025-01-21 08:00:05.255000 2025-01-21 08:00:05 115205.255 NaN
34315 MIB dynamic_TF_carry 2025-01-20 00:00:00 2025-01-21 08:00:08.216000 2025-01-21 08:00:08 115208.216 NaN
34316 DAX dynamic_TF_carry 2025-01-20 00:00:00 2025-01-21 08:00:09.726000 2025-01-21 08:00:10 115209.726 0.274
34317 OAT dynamic_TF_carry 2025-01-20 00:00:00 2025-01-21 08:00:15.159000 2025-01-21 08:00:18 115215.159 2.841
34318 COPPER-micro dynamic_TF_carry 2024-02-29 00:00:00 2025-01-21 14:00:08.459000 2025-01-21 14:00:08 28303208.459 NaN
34319 CAD dynamic_TF_carry 2025-01-20 00:00:00 2025-01-21 15:00:02.842000 2025-01-21 15:00:07 140402.842 4.158
34320 JPY dynamic_TF_carry 2025-01-20 00:00:00 2025-01-21 15:00:08.718000 2025-01-21 15:00:10 140408.718 1.282
===============================================================================================================================================================================================================================
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
34313 MSCISING dynamic_TF_carry [1] 379.95 None 376.45 376.5 376.4 376.4 376.5 3.5 -0.05 0.0 -0.1 NaN -0.05
34314 BUXL dynamic_TF_carry [1] 128.04 None 128.27 128.28 128.26 128.26 128.26 -0.23 -0.01 0.02 0.0 NaN 0.01
34315 MIB dynamic_TF_carry [1] 36390.0 None 36282.5 36285.0 36280.0 36280.0 36260.0 107.5 -2.5 25.0 20.0 NaN 22.5
34316 DAX dynamic_TF_carry [-1] 21122.0 None 21054.5 21053.0 21056.0 21056.0 21050.0 -67.5 -1.5 -3.0 -6.0 NaN -4.5
34317 OAT dynamic_TF_carry [-1] 122.43 None 122.475 122.47 122.48 122.48 122.47 0.045 -0.005 -0.0 -0.01 NaN -0.005
34318 COPPER-micro dynamic_TF_carry [1] 3.92 None 4.28875 4.289 4.2885 4.2885 4.2895 -0.36875 -0.00025 -0.0005 -0.001 NaN -0.00075
34319 CAD dynamic_TF_carry [1] 0.70055 None 0.6952 0.69525 0.69515 0.69515 0.69525 0.00535 -0.00005 0.0 -0.0001 NaN -0.00005
34320 JPY dynamic_TF_carry [1] 0.00647 None 0.006469 0.00647 0.006469 0.006469 0.00647 0.000001 -0.0 -0.0 -0.000001 NaN -0.000001
===============================================================================================================================================================
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
34313 MSCISING dynamic_TF_carry [1] 47.117885 742.817718 -10.611682 0.0 -21.223363 NaN -10.611682
34314 BUXL dynamic_TF_carry [1] 17.061142 -134.809267 -5.861272 11.722545 0.0 NaN 5.861272
34315 MIB dynamic_TF_carry [1] 4633.819448 231.990049 -5.395117 53.951174 43.160939 NaN 48.556057
34316 DAX dynamic_TF_carry [-1] 2334.099 -289.190818 -6.426463 -12.852925 -25.705851 NaN -19.279388
34317 OAT dynamic_TF_carry [-1] 7.514006 59.888165 -6.654241 -0.0 -13.308481 NaN -6.654241
34318 COPPER-micro dynamic_TF_carry [1] 0.797025 -4626.581932 -3.136666 -6.273331 -12.546663 NaN -9.409997
34319 CAD dynamic_TF_carry [1] 0.044693 1197.066647 -11.187539 0.0 -22.375078 NaN -11.187539
34320 JPY dynamic_TF_carry [1] 0.000622 20.10335 -4.02067 -8.04134 -16.08268 NaN -12.06201
========================================================================================================================================================================
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
34313 MSCISING dynamic_TF_carry [1] 60.020763 210.072671 -3.001038 0.0 -6.002076 NaN -3.001038
34314 BUXL dynamic_TF_carry [1] 845.915349 -194.56053 -8.459153 16.918307 0.0 NaN 8.459153
34315 MIB dynamic_TF_carry [1] 4.229577 454.6795 -10.573942 105.739419 84.591535 NaN 95.165477
34316 DAX dynamic_TF_carry [-1] 0.845915 -57.099286 -1.268873 -2.537746 -5.075492 NaN -3.806619
34317 OAT dynamic_TF_carry [-1] 845.915349 38.066191 -4.229577 -0.0 -8.459153 NaN -4.229577
34318 COPPER-micro dynamic_TF_carry [1] 2039.775625 -752.167262 -0.509944 -1.019888 -2.039776 NaN -1.529832
34319 CAD dynamic_TF_carry [1] 81591.024987 436.511984 -4.079551 0.0 -8.159102 NaN -4.079551
34320 JPY dynamic_TF_carry [1] 10198878.123406 12.748598 -2.54972 -5.099439 -10.198878 NaN -7.649159
delay_cash Sum
delay_cash
strategy_name instrument_code
dynamic_TF_carry BUXL -194.56053
CAD 436.511984
COPPER-micro -752.167262
DAX -57.099286
JPY 12.748598
MIB 454.6795
MSCISING 210.072671
OAT 38.066191
delay_cash Total Sum
delay_cash
strategy_name
dynamic_TF_carry 148.251865
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
dynamic_TF_carry BUXL -8.459153
CAD -4.079551
COPPER-micro -0.509944
DAX -1.268873
JPY -2.54972
MIB -10.573942
MSCISING -3.001038
OAT -4.229577
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
dynamic_TF_carry -34.671798
execution_cash Sum
execution_cash
strategy_name instrument_code
dynamic_TF_carry BUXL 16.918307
CAD 0.0
COPPER-micro -1.019888
DAX -2.537746
JPY -5.099439
MIB 105.739419
MSCISING 0.0
OAT -0.0
execution_cash Total Sum
execution_cash
strategy_name
dynamic_TF_carry 114.000653
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
dynamic_TF_carry BUXL 0.0
CAD -8.159102
COPPER-micro -2.039776
DAX -5.075492
JPY -10.198878
MIB 84.591535
MSCISING -6.002076
OAT -8.459153
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
dynamic_TF_carry 44.657057
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
dynamic_TF_carry BUXL 0
CAD 0
COPPER-micro 0
DAX 0
JPY 0
MIB 0
MSCISING 0
OAT 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 BUXL 8.459153
CAD -4.079551
COPPER-micro -1.529832
DAX -3.806619
JPY -7.649159
MIB 95.165477
MSCISING -3.001038
OAT -4.229577
total_trading_cash Total Sum
total_trading_cash
strategy_name
dynamic_TF_carry 79.328855
********************************************************************************
END OF REPORT
********************************************************************************