-
Notifications
You must be signed in to change notification settings - Fork 14
/
Copy pathTrade_report
100 lines (79 loc) · 6.14 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
********************************************************************************
Trades report produced on 10/02/2025 22:50 from 09/02/2025 22:50 to 10/02/2025 22:50
********************************************************************************
============================================================================================
Broker orders
============================================================================================
instrument_code strategy_name contract_date fill_datetime fill filled_price
34378 RUSSELL dynamic_TF_carry [20250300] 2025-02-10 15:00:05 [1] 2286.8
=============================================================================================================================================================
Delays
=============================================================================================================================================================
instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
34378 RUSSELL dynamic_TF_carry 2025-02-07 00:00:00 2025-02-10 15:00:04.605000 2025-02-10 15:00:05 313204.605 0.395
==========================================================================================================================================================================================================================
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
34378 RUSSELL dynamic_TF_carry [1] 2287.7 None 2286.7 2286.8 2286.6 None 2286.8 1.0 -0.1 0.0 NaN NaN -0.1
=============================================================================================================================================================
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
34378 RUSSELL dynamic_TF_carry [1] 367.131797 27.238175 -2.723817 0.0 NaN NaN -2.723817
=======================================================================================================================================================================
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
34378 RUSSELL dynamic_TF_carry [1] 4.029155 4.029155 -0.402915 0.0 NaN NaN -0.402915
delay_cash Sum
delay_cash
strategy_name instrument_code
dynamic_TF_carry RUSSELL 4.029155
delay_cash Total Sum
delay_cash
strategy_name
dynamic_TF_carry 4.029155
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
dynamic_TF_carry RUSSELL -0.402915
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
dynamic_TF_carry -0.402915
execution_cash Sum
execution_cash
strategy_name instrument_code
dynamic_TF_carry RUSSELL 0.0
execution_cash Total Sum
execution_cash
strategy_name
dynamic_TF_carry 0.0
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
dynamic_TF_carry RUSSELL 0
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
dynamic_TF_carry 0
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
dynamic_TF_carry RUSSELL 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 RUSSELL -0.402915
total_trading_cash Total Sum
total_trading_cash
strategy_name
dynamic_TF_carry -0.402915
********************************************************************************
END OF REPORT
********************************************************************************