-
Notifications
You must be signed in to change notification settings - Fork 14
/
Trade_report
155 lines (134 loc) · 11.5 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
********************************************************************************
Trades report produced on 09/01/2025 22:50 from 08/01/2025 22:50 to 09/01/2025 22:50
********************************************************************************
=============================================================================================
Broker orders
=============================================================================================
instrument_code strategy_name contract_date fill_datetime fill filled_price
34279 ALUMINIUM dynamic_TF_carry [20250300] 2025-01-09 14:00:24 [-1] 2517.5
34280 BITCOIN dynamic_TF_carry [20250100] 2025-01-09 15:00:02 [-1] 93025.0
34278 DAX dynamic_TF_carry [20250300] 2025-01-09 08:55:42 [-1] 20438.0
34276 EUROSTX dynamic_TF_carry [20250300] 2025-01-09 08:52:21 [-1] 5003.0
34277 MIB dynamic_TF_carry [20250300] 2025-01-09 08:52:39 [1] 35125.0
34281 SOYMEAL dynamic_TF_carry [20250500] 2025-01-09 15:30:04 [-1] 306.1
=============================================================================================================================================================
Delays
=============================================================================================================================================================
instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
34276 EUROSTX dynamic_TF_carry 2025-01-08 00:00:00 2025-01-09 08:52:07.030000 2025-01-09 08:52:21 118327.03 13.97
34277 MIB dynamic_TF_carry 2025-01-08 00:00:00 2025-01-09 08:52:25.841000 2025-01-09 08:52:39 118345.841 13.159
34278 DAX dynamic_TF_carry 2025-01-08 00:00:00 2025-01-09 08:55:37.911000 2025-01-09 08:55:42 118537.911 4.089
34279 ALUMINIUM dynamic_TF_carry 2025-01-08 00:00:00 2025-01-09 14:00:08.988000 2025-01-09 14:00:24 136808.988 15.012
34280 BITCOIN dynamic_TF_carry 2025-01-08 00:00:00 2025-01-09 15:00:01.939000 2025-01-09 15:00:02 140401.939 0.061
34281 SOYMEAL dynamic_TF_carry 2025-01-08 00:00:00 2025-01-09 15:30:04.029000 2025-01-09 15:30:04 142204.029 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
34276 EUROSTX dynamic_TF_carry [-1] 5006.0 None 5002.5 5002.0 5003.0 5003.0 5003.0 -3.5 -0.5 1.0 -0.0 NaN 0.5
34277 MIB dynamic_TF_carry [1] 35085.0 None 35122.5 35125.0 35120.0 35120.0 35125.0 -37.5 -2.5 0.0 -5.0 NaN -2.5
34278 DAX dynamic_TF_carry [-1] 20456.0 None 20437.0 20436.0 20438.0 20438.0 20438.0 -19.0 -1.0 2.0 -0.0 NaN 1.0
34279 ALUMINIUM dynamic_TF_carry [-1] 2480.0 None 2518.625 2517.5 2519.75 2519.75 2517.5 38.625 -1.125 -0.0 -2.25 NaN -1.125
34280 BITCOIN dynamic_TF_carry [-1] 94385.0 None 93037.5 93025.0 93050.0 93050.0 93025.0 -1347.5 -12.5 -0.0 -25.0 NaN -12.5
34281 SOYMEAL dynamic_TF_carry [-1] 308.0 None 306.2 306.1 306.3 306.3 306.1 -1.8 -0.1 -0.0 -0.2 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
34276 EUROSTX dynamic_TF_carry [-1] 705.119766 -49.636958 -7.090994 14.181988 -0.0 NaN 7.090994
34277 MIB dynamic_TF_carry [1] 4611.504512 -81.318363 -5.421224 0.0 -10.842448 NaN -5.421224
34278 DAX dynamic_TF_carry [-1] 2248.876559 -84.486629 -4.446665 8.893329 -0.0 NaN 4.446665
34279 ALUMINIUM dynamic_TF_carry [-1] 515.387856 749.435587 -21.828221 -0.0 -43.656442 NaN -21.828221
34280 BITCOIN dynamic_TF_carry [-1] 45341.393087 -297.18981 -2.756863 -0.0 -5.513726 NaN -2.756863
34281 SOYMEAL dynamic_TF_carry [-1] 74.86786 -240.423594 -13.356866 -0.0 -26.713733 NaN -13.356866
========================================================================================================================================================================
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
34276 EUROSTX dynamic_TF_carry [-1] 8.387248 -29.355367 -4.193624 8.387248 -0.0 NaN 4.193624
34277 MIB dynamic_TF_carry [1] 4.193624 -157.260896 -10.48406 0.0 -20.968119 NaN -10.48406
34278 DAX dynamic_TF_carry [-1] 0.838725 -15.935771 -0.838725 1.67745 -0.0 NaN 0.838725
34279 ALUMINIUM dynamic_TF_carry [-1] 20.352754 786.125121 -22.896848 -0.0 -45.793696 NaN -22.896848
34280 BITCOIN dynamic_TF_carry [-1] 0.081411 -109.701344 -1.017638 -0.0 -2.035275 NaN -1.017638
34281 SOYMEAL dynamic_TF_carry [-1] 81.411016 -146.539828 -8.141102 -0.0 -16.282203 NaN -8.141102
delay_cash Sum
delay_cash
strategy_name instrument_code
dynamic_TF_carry ALUMINIUM 786.125121
BITCOIN -109.701344
DAX -15.935771
EUROSTX -29.355367
MIB -157.260896
SOYMEAL -146.539828
delay_cash Total Sum
delay_cash
strategy_name
dynamic_TF_carry 327.331915
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
dynamic_TF_carry ALUMINIUM -22.896848
BITCOIN -1.017638
DAX -0.838725
EUROSTX -4.193624
MIB -10.48406
SOYMEAL -8.141102
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
dynamic_TF_carry -47.571996
execution_cash Sum
execution_cash
strategy_name instrument_code
dynamic_TF_carry ALUMINIUM -0.0
BITCOIN -0.0
DAX 1.67745
EUROSTX 8.387248
MIB 0.0
SOYMEAL -0.0
execution_cash Total Sum
execution_cash
strategy_name
dynamic_TF_carry 10.064697
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
dynamic_TF_carry ALUMINIUM -45.793696
BITCOIN -2.035275
DAX -0.0
EUROSTX -0.0
MIB -20.968119
SOYMEAL -16.282203
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
dynamic_TF_carry -85.079294
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
dynamic_TF_carry ALUMINIUM 0
BITCOIN 0
DAX 0
EUROSTX 0
MIB 0
SOYMEAL 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 ALUMINIUM -22.896848
BITCOIN -1.017638
DAX 0.838725
EUROSTX 4.193624
MIB -10.48406
SOYMEAL -8.141102
total_trading_cash Total Sum
total_trading_cash
strategy_name
dynamic_TF_carry -37.507298
********************************************************************************
END OF REPORT
********************************************************************************