******************************************************************************** Trades report produced on 28/09/2023 21:38 from 27/09/2023 21:38 to 28/09/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7385 CAC caleb_strategy_v3 [20231000] 2023-09-28 07:01:10 [-1] 7095.5 7386 CAC caleb_strategy_v3 [20231000] 2023-09-28 07:01:23 [-1] 7096.0 7383 CAC caleb_strategy_v3 [20231000] 2023-09-28 07:01:02 [-1] 7095.5 7379 NIKKEI caleb_strategy_v3 [20231200] 2023-09-28 02:00:32 [1] 32110.0 7380 NIKKEI caleb_strategy_v3 [20231200] 2023-09-28 02:00:38 [1] 32120.0 7381 NIKKEI caleb_strategy_v3 [20231200] 2023-09-28 02:00:45 [1] 32115.0 7384 SMI caleb_strategy_v3 [20231200] 2023-09-28 07:01:09 [-1] 10929.0 7382 SMI caleb_strategy_v3 [20231200] 2023-09-28 07:00:01 [-1] 10927.0 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7379 NIKKEI caleb_strategy_v3 2023-09-27 00:00:00 2023-09-28 03:00:27.655 2023-09-28 02:00:32 97227.7 NaN 7380 NIKKEI caleb_strategy_v3 2023-09-27 00:00:00 2023-09-28 03:00:34.801 2023-09-28 02:00:38 97234.8 NaN 7381 NIKKEI caleb_strategy_v3 2023-09-27 00:00:00 2023-09-28 03:00:40.029 2023-09-28 02:00:45 97240 NaN 7384 SMI caleb_strategy_v3 2023-09-27 00:00:00 2023-09-28 08:01:08.395 2023-09-28 07:01:09 115268 NaN 7382 SMI caleb_strategy_v3 2023-09-27 00:00:00 2023-09-28 08:00:01.383 2023-09-28 07:00:01 115201 NaN 7385 CAC caleb_strategy_v3 2023-09-27 16:00:00 2023-09-28 08:01:09.725 2023-09-28 07:01:10 57669.7 NaN 7386 CAC caleb_strategy_v3 2023-09-27 16:00:00 2023-09-28 08:01:12.243 2023-09-28 07:01:23 57672.2 NaN 7383 CAC caleb_strategy_v3 2023-09-27 16:00:00 2023-09-28 08:00:03.435 2023-09-28 07:01:02 57603.4 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 7379 NIKKEI caleb_strategy_v3 [1] 32160 None 32112.5 32115 32110 32110 32110 47.5 -2.5 5 0 NaN 2.5 7380 NIKKEI caleb_strategy_v3 [1] 32160 None 32112.5 32115 32110 32110 32120 47.5 -2.5 -5 -10 NaN -7.5 7381 NIKKEI caleb_strategy_v3 [1] 32160 None 32117.5 32120 32115 32115 32115 42.5 -2.5 5 0 NaN 2.5 7384 SMI caleb_strategy_v3 [-1] 10927 None 10930 10929 10931 10931 10929 3 -1 -0 -2 NaN -1 7382 SMI caleb_strategy_v3 [-1] 10927 None 10926 10925 10927 10927 10927 -1 -1 2 -0 NaN 1 7385 CAC caleb_strategy_v3 [-1] 7073 None 7096 7095.5 7096.5 7096.5 7095.5 23 -0.5 -0 -1 NaN -0.5 7386 CAC caleb_strategy_v3 [-1] 7073 None 7095.5 7095 7096 7096 7096 22.5 -0.5 1 -0 NaN 0.5 7383 CAC caleb_strategy_v3 [-1] 7073 None 7097 7096.5 7097.5 7097.5 7095.5 24 -0.5 -1 -2 NaN -1.5 ============================================================================================================================================================ 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 7379 NIKKEI caleb_strategy_v3 [1] 4772.95 99.5192 -5.23785 10.4757 0 NaN 5.23785 7380 NIKKEI caleb_strategy_v3 [1] 4772.95 99.5192 -5.23785 -10.4757 -20.9514 NaN -15.7136 7381 NIKKEI caleb_strategy_v3 [1] 4772.95 89.0435 -5.23785 10.4757 0 NaN 5.23785 7384 SMI caleb_strategy_v3 [-1] 1252.35 23.955 -7.98499 -0 -15.97 NaN -7.98499 7382 SMI caleb_strategy_v3 [-1] 1252.35 -7.98499 -7.98499 15.97 -0 NaN 7.98499 7385 CAC caleb_strategy_v3 [-1] 1004.95 228.866 -4.97535 -0 -9.9507 NaN -4.97535 7386 CAC caleb_strategy_v3 [-1] 1004.95 223.891 -4.97535 9.9507 -0 NaN 4.97535 7383 CAC caleb_strategy_v3 [-1] 1004.95 238.817 -4.97535 -9.9507 -19.9014 NaN -14.926 ======================================================================================================================================================================= 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 7379 NIKKEI caleb_strategy_v3 [1] 0.66949 31.8008 -1.67372 3.34745 0 NaN 1.67372 7380 NIKKEI caleb_strategy_v3 [1] 0.66949 31.8008 -1.67372 -3.34745 -6.6949 NaN -5.02117 7381 NIKKEI caleb_strategy_v3 [1] 0.66949 28.4533 -1.67372 3.34745 0 NaN 1.67372 7384 SMI caleb_strategy_v3 [-1] 10.862 32.586 -10.862 -0 -21.724 NaN -10.862 7382 SMI caleb_strategy_v3 [-1] 10.862 -10.862 -10.862 21.724 -0 NaN 10.862 7385 CAC caleb_strategy_v3 [-1] 10.508 241.684 -5.254 -0 -10.508 NaN -5.254 7386 CAC caleb_strategy_v3 [-1] 10.508 236.43 -5.254 10.508 -0 NaN 5.254 7383 CAC caleb_strategy_v3 [-1] 10.508 252.192 -5.254 -10.508 -21.016 NaN -15.762 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAC 730.306000 NIKKEI 92.054831 SMI 21.724000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 844.084831 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAC -15.762000 NIKKEI -5.021173 SMI -21.724000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -42.507173 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAC 0.000000 NIKKEI 3.347448 SMI 21.724000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 25.071448 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC -31.524000 NIKKEI -6.694897 SMI -21.724000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -59.942897 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 0 NIKKEI 0 SMI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 CAC -15.762000 NIKKEI -1.673724 SMI 0.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -17.435724 ******************************************************************************** END OF REPORT ********************************************************************************