******************************************************************************** Trades report produced on 25/12/2023 21:37 from 24/12/2023 21:37 to 25/12/2023 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9417 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-12-25 03:06:22 [-1] 146.62 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9417 JGB-SGX-mini caleb_strategy_v3 2023-12-22 2023-12-25 03:01:22.338 2023-12-25 03:06:22 270082.338 299.662 =========================================================================================================================================================================================================================== 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 9417 JGB-SGX-mini caleb_strategy_v3 [-1] 146.48 None 146.685 146.62 146.75 146.75 146.62 0.205 -0.065 -0.0 -0.13 NaN -0.065 ============================================================================================================================================================== 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 9417 JGB-SGX-mini caleb_strategy_v3 [-1] 6.182839 331.562919 -105.129706 -0.0 -210.259412 NaN -105.129706 ======================================================================================================================================================================== 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 9417 JGB-SGX-mini caleb_strategy_v3 [-1] 702.757974 144.065385 -45.679268 -0.0 -91.358537 NaN -45.679268 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 JGB-SGX-mini 144.065385 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 144.065385 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 JGB-SGX-mini -45.679268 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -45.679268 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 -91.358537 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -91.358537 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 -45.679268 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -45.679268 ******************************************************************************** END OF REPORT ********************************************************************************