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Trades report produced on 27/10/2023 22:36 from 26/10/2023 22:36 to 27/10/2023 22:36
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Broker orders
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instrument_code strategy_name contract_date fill_datetime fill filled_price
1608 BRENT_W_fsb fsb_static_strategy_v5_1 [20231200] 2023-10-27 04:45:10.542 [-1.02] 8914.5
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Delays
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instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
1608 BRENT_W_fsb fsb_static_strategy_v5_1 2023-10-26 21:30:40.971 2023-10-27 05:45:10.436 2023-10-27 04:45:10.542 29669.5 NaN
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Slippage (ticks per lot)
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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
1608 BRENT_W_fsb fsb_static_strategy_v5_1 [-1.02] 8797 None 8917.5 8920.5 8914.5 None 8914.5 120.5 3 -6 NaN NaN -3
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Slippage (normalised by annual vol, BP of annual SR)
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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
1608 BRENT_W_fsb fsb_static_strategy_v5_1 [-1.02] 3142.7 383.429 9.54595 -19.0919 NaN NaN -9.54595
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Slippage (In base currency)
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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
1608 BRENT_W_fsb fsb_static_strategy_v5_1 [-1.02] 1 120.5 3 -6 NaN NaN -3
delay_cash Sum
delay_cash
strategy_name instrument_code
fsb_static_strategy_v5_1 BRENT_W_fsb 120.5
delay_cash Total Sum
delay_cash
strategy_name
fsb_static_strategy_v5_1 120.5
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
fsb_static_strategy_v5_1 BRENT_W_fsb 3.0
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
fsb_static_strategy_v5_1 3.0
execution_cash Sum
execution_cash
strategy_name instrument_code
fsb_static_strategy_v5_1 BRENT_W_fsb -6.0
execution_cash Total Sum
execution_cash
strategy_name
fsb_static_strategy_v5_1 -6.0
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
fsb_static_strategy_v5_1 BRENT_W_fsb 0
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
fsb_static_strategy_v5_1 0
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
fsb_static_strategy_v5_1 BRENT_W_fsb 0
versus_parent_limit_cash Total Sum
versus_parent_limit_cash
strategy_name
fsb_static_strategy_v5_1 0
total_trading_cash Sum
total_trading_cash
strategy_name instrument_code
fsb_static_strategy_v5_1 BRENT_W_fsb -3.0
total_trading_cash Total Sum
total_trading_cash
strategy_name
fsb_static_strategy_v5_1 -3.0
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END OF REPORT
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