******************************************************************************** Trades report produced on 12/10/2023 21:38 from 11/10/2023 21:38 to 12/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7736 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-10-12 08:00:46 [-1] 97.055 7735 NIKKEI caleb_strategy_v3 [20231200] 2023-10-12 02:00:37 [1] 32360.000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7735 NIKKEI caleb_strategy_v3 2023-10-11 2023-10-12 03:00:28.770 2023-10-12 02:00:37 97228.8 NaN 7736 EURIBOR-ICE caleb_strategy_v3 2023-10-11 2023-10-12 09:00:02.734 2023-10-12 08:00:46 118803 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 7735 NIKKEI caleb_strategy_v3 [1] 31960 None 32352.5 32355 32350 32350 32360 -392.5 -2.5 -5 -10 NaN -7.5 7736 EURIBOR-ICE caleb_strategy_v3 [-1] 97.06 None 97.0625 97.06 97.065 97.065 97.055 0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 ============================================================================================================================================================ 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 7735 NIKKEI caleb_strategy_v3 [1] 5686.3 -690.256 -4.39653 -8.79307 -17.5861 NaN -13.1896 7736 EURIBOR-ICE caleb_strategy_v3 [-1] 1.10868 22.5493 -22.5493 -45.0987 -90.1973 NaN -67.648 ======================================================================================================================================================================= 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 7735 NIKKEI caleb_strategy_v3 [1] 0.670662 -263.235 -1.67665 -3.35331 -6.70662 NaN -5.02996 7736 EURIBOR-ICE caleb_strategy_v3 [-1] 2658.88 6.64719 -6.64719 -13.2944 -26.5887 NaN -19.9416 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 6.647187 NIKKEI -263.234668 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -256.58748 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -6.647187 NIKKEI -1.676654 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -8.323841 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.294375 NIKKEI -3.353308 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -16.647683 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -26.588750 NIKKEI -6.706616 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -33.295366 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 NIKKEI 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 EURIBOR-ICE -19.941562 NIKKEI -5.029962 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -24.971524 ******************************************************************************** END OF REPORT ********************************************************************************