******************************************************************************** Trades report produced on 03/07/2023 21:37 from 02/07/2023 21:37 to 03/07/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3412 GASOLINE _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-03 15:44:19 [-1] 2.4445 3413 GASOLINE _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-03 15:44:21 [1] 2.2041 3411 NIKKEI caleb_strategy_v3 [20230900] 2023-07-03 03:00:17 [1] 33680.0000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3411 NIKKEI caleb_strategy_v3 2023-06-29 00:00:00 2023-07-03 03:00:16.310 2023-07-03 03:00:17 356416 0.69 3412 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-06-30 20:00:00 2023-07-03 15:44:18.232 2023-07-03 15:44:19 243858 0.768 3413 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-06-30 20:00:00 2023-07-03 15:44:19.947 2023-07-03 15:44:21 243860 1.053 ====================================================================================================================================================================================================================================== 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 3411 NIKKEI caleb_strategy_v3 [1] 33145 None 33675 33680 33670 33670 33680 -530 -5 0 -10 NaN -5 3412 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.4629 None 2.4453 2.4449 2.4457 2.4457 2.4445 -0.0176 -0.0004 -0.0004 -0.0012 NaN -0.0008 3413 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.218 None 2.20375 2.2043 2.2032 2.2032 2.2041 0.01425 -0.00055 0.0002 -0.0009 NaN -0.00035 ==================================================================================================================================================================== 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 3411 NIKKEI caleb_strategy_v3 [1] 5251.99 -1009.14 -9.5202 0 -19.0404 NaN -9.5202 3412 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.762438 -230.838 -5.24633 -5.24633 -15.739 NaN -10.4927 3413 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.762438 186.9 -7.2137 2.62316 -11.8042 NaN -4.59054 =============================================================================================================================================================================== 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 3411 NIKKEI caleb_strategy_v3 [1] 0.691869 -366.691 -3.45935 0 -6.91869 NaN -3.45935 3412 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000 -739.2 -16.8 -16.8 -50.4 NaN -33.6 3413 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000 598.5 -23.1 8.4 -37.8 NaN -14.7 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -140.700000 caleb_strategy_v3 NIKKEI -366.690651 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -140.700000 caleb_strategy_v3 -366.690651 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -39.900000 caleb_strategy_v3 NIKKEI -3.459346 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -39.900000 caleb_strategy_v3 -3.459346 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -8.4 caleb_strategy_v3 NIKKEI 0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -8.4 caleb_strategy_v3 0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -88.200000 caleb_strategy_v3 NIKKEI -6.918692 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -88.200000 caleb_strategy_v3 -6.918692 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 0 caleb_strategy_v3 NIKKEI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -48.300000 caleb_strategy_v3 NIKKEI -3.459346 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -48.300000 caleb_strategy_v3 -3.459346 ******************************************************************************** END OF REPORT ********************************************************************************