******************************************************************************** Trades report produced on 31/10/2023 21:39 from 30/10/2023 21:39 to 31/10/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8108 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-10-31 03:06:15 [-1] 143.62 8109 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-10-31 03:11:18 [-1] 143.62 8110 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-10-31 03:16:20 [-1] 143.62 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8108 JGB-SGX-mini caleb_strategy_v3 2023-10-27 2023-10-31 03:01:15.337 2023-10-31 03:06:15 356475 299.663 8109 JGB-SGX-mini caleb_strategy_v3 2023-10-27 2023-10-31 03:06:17.904 2023-10-31 03:11:18 356778 300.096 8110 JGB-SGX-mini caleb_strategy_v3 2023-10-27 2023-10-31 03:11:20.650 2023-10-31 03:16:20 357081 299.35 ========================================================================================================================================================================================================================== 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 8108 JGB-SGX-mini caleb_strategy_v3 [-1] 144.29 None 143.68 143.62 143.74 143.74 143.62 -0.61 -0.06 -0 -0.12 NaN -0.06 8109 JGB-SGX-mini caleb_strategy_v3 [-1] 144.29 None 143.68 143.62 143.74 143.74 143.62 -0.61 -0.06 -0 -0.12 NaN -0.06 8110 JGB-SGX-mini caleb_strategy_v3 [-1] 144.29 None 143.68 143.62 143.74 143.74 143.62 -0.61 -0.06 -0 -0.12 NaN -0.06 ============================================================================================================================================================ 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 8108 JGB-SGX-mini caleb_strategy_v3 [-1] 4.09524 -1489.54 -146.512 -0 -293.023 NaN -146.512 8109 JGB-SGX-mini caleb_strategy_v3 [-1] 4.09524 -1489.54 -146.512 -0 -293.023 NaN -146.512 8110 JGB-SGX-mini caleb_strategy_v3 [-1] 4.09524 -1489.54 -146.512 -0 -293.023 NaN -146.512 ======================================================================================================================================================================= 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 8108 JGB-SGX-mini caleb_strategy_v3 [-1] 665.834 -406.159 -39.9501 -0 -79.9001 NaN -39.9501 8109 JGB-SGX-mini caleb_strategy_v3 [-1] 665.834 -406.159 -39.9501 -0 -79.9001 NaN -39.9501 8110 JGB-SGX-mini caleb_strategy_v3 [-1] 665.834 -406.159 -39.9501 -0 -79.9001 NaN -39.9501 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 JGB-SGX-mini -1218.476904 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1218.476904 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 JGB-SGX-mini -119.850187 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -119.850187 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 JGB-SGX-mini -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 JGB-SGX-mini -239.700375 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -239.700375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 JGB-SGX-mini 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 JGB-SGX-mini -119.850187 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -119.850187 ******************************************************************************** END OF REPORT ********************************************************************************