******************************************************************************** Trades report report produced on 16/12/2022 21:35 from 15/12/2022 21:35 to 16/12/2022 21:35 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 828 NIKKEI caleb_strategy_v1 [20221200] 2022-12-16 12:36:32.922 [1] 0.0 829 NIKKEI caleb_strategy_v1 [20221200] 2022-12-16 12:39:42.796 [-2] 0.0 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 828 NIKKEI caleb_strategy_v1 None None 2022-12-16 12:36:32.922 NaN NaN 829 NIKKEI caleb_strategy_v1 None None 2022-12-16 12:39:42.796 NaN 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 828 NIKKEI caleb_strategy_v1 [1] None None None None None None 0 NaN NaN NaN NaN NaN NaN 829 NIKKEI caleb_strategy_v1 [-2] None None None None None None 0 NaN NaN NaN NaN NaN NaN ================================================================================================================================================================ 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 828 NIKKEI caleb_strategy_v1 [1] 4418.87 NaN NaN NaN NaN NaN NaN 829 NIKKEI caleb_strategy_v1 [-2] 4418.87 NaN NaN NaN NaN NaN NaN =========================================================================================================================================================================== 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 828 NIKKEI caleb_strategy_v1 [1] 0.732126 NaN NaN NaN NaN NaN NaN 829 NIKKEI caleb_strategy_v1 [-2] 0.732126 NaN NaN NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 NIKKEI 0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 NIKKEI 0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 NIKKEI 0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 NIKKEI 0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 NIKKEI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v1 NIKKEI 0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 0 ******************************************************************************** END OF REPORT ********************************************************************************