******************************************************************************** Trades report produced on 18/10/2023 21:38 from 17/10/2023 21:38 to 18/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7849 DOW caleb_strategy_v3 [20231200] 2023-10-18 14:00:02 [-1] 34028.0 7848 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-18 14:00:01 [-1] 15165.5 7847 NIKKEI caleb_strategy_v3 [20231200] 2023-10-18 02:01:00 [-1] 31960.0 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7847 NIKKEI caleb_strategy_v3 2023-10-17 2023-10-18 03:00:31.737 2023-10-18 02:01:00 97231.7 NaN 7848 NASDAQ_micro caleb_strategy_v3 2023-10-17 2023-10-18 15:00:00.919 2023-10-18 14:00:01 140401 NaN 7849 DOW caleb_strategy_v3 2023-10-17 2023-10-18 15:00:02.279 2023-10-18 14:00:02 140402 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 7847 NIKKEI caleb_strategy_v3 [-1] 32070 None 31967.5 31965 31970 31970 31960 -102.5 -2.5 -5 -10 NaN -7.5 7848 NASDAQ_micro caleb_strategy_v3 [-1] 15212.8 None 15163.1 15163 15163.2 NaN 15165.5 -49.625 -0.125 2.5 NaN NaN 2.375 7849 DOW caleb_strategy_v3 [-1] 34052 None 34027.5 34027 34028 34028 34028 -24.5 -0.5 1 -0 NaN 0.5 ============================================================================================================================================================ 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 7847 NIKKEI caleb_strategy_v3 [-1] 6135 -167.074 -4.07498 -8.14995 -16.2999 NaN -12.2249 7848 NASDAQ_micro caleb_strategy_v3 [-1] 2913.08 -170.352 -0.429099 8.58197 NaN NaN 8.15287 7849 DOW caleb_strategy_v3 [-1] 4060.23 -60.3415 -1.23146 2.46292 -0 NaN 1.23146 ======================================================================================================================================================================= 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 7847 NIKKEI caleb_strategy_v3 [-1] 0.668172 -68.4877 -1.67043 -3.34086 -6.68172 NaN -5.01129 7848 NASDAQ_micro caleb_strategy_v3 [-1] 2 -99.25 -0.25 5 NaN NaN 4.75 7849 DOW caleb_strategy_v3 [-1] 0.5 -12.25 -0.25 0.5 -0 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW -12.250000 NASDAQ_micro -99.250000 NIKKEI -68.487659 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -179.987659 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.250000 NASDAQ_micro -0.250000 NIKKEI -1.670431 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -2.170431 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 0.500000 NASDAQ_micro 5.000000 NIKKEI -3.340861 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 2.159139 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.000000 NASDAQ_micro 0.000000 NIKKEI -6.681723 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -6.681723 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 NASDAQ_micro 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 DOW 0.250000 NASDAQ_micro 4.750000 NIKKEI -5.011292 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -0.011292 ******************************************************************************** END OF REPORT ********************************************************************************