******************************************************************************** Trades report produced on 29/01/2024 21:36 from 28/01/2024 21:36 to 29/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9985 FEEDCOW caleb_strategy_v3 [20240500] 2024-01-29 15:30:51 [1] 250.475000 9984 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-29 15:01:44 [1] 17554.750000 9981 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-29 15:00:43 [1] 17548.750000 9983 RUSSELL caleb_strategy_v3 [20240300] 2024-01-29 15:01:40 [-1] 1986.500000 9982 US5 caleb_strategy_v3 [20240300] 2024-01-29 15:01:40 [-1] 107.859375 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9982 US5 caleb_strategy_v3 2024-01-26 2024-01-29 15:00:43.922 2024-01-29 15:01:40 313243.922 56.078 9983 RUSSELL caleb_strategy_v3 2024-01-26 2024-01-29 15:01:40.938 2024-01-29 15:01:40 313300.938 NaN 9984 NASDAQ_micro caleb_strategy_v3 2024-01-26 2024-01-29 15:01:44.362 2024-01-29 15:01:44 313304.362 NaN 9981 NASDAQ_micro caleb_strategy_v3 2024-01-26 2024-01-29 15:00:42.710 2024-01-29 15:00:43 313242.71 0.29 9985 FEEDCOW caleb_strategy_v3 2024-01-26 2024-01-29 15:30:51.118 2024-01-29 15:30:51 315051.118 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 9982 US5 caleb_strategy_v3 [-1] 107.679688 None 107.855469 107.851562 107.859375 107.859375 107.859375 0.175781 -0.003906 0.007812 -0.0 NaN 0.003906 9983 RUSSELL caleb_strategy_v3 [-1] 1989.5 None 1986.55 1986.5 1986.6 NaN 1986.5 -2.95 -0.05 -0.0 NaN NaN -0.05 9984 NASDAQ_micro caleb_strategy_v3 [1] 17553.0 None 17548.625 17548.75 17548.5 17548.5 17554.75 4.375 -0.125 -6.0 -6.25 NaN -6.125 9981 NASDAQ_micro caleb_strategy_v3 [1] 17553.0 None 17550.375 17550.5 17550.25 17550.25 17548.75 2.625 -0.125 1.75 1.5 NaN 1.625 9985 FEEDCOW caleb_strategy_v3 [1] 251.275 None 250.0 250.0 250.0 250.0 250.475 1.275 0.0 -0.475 -0.475 NaN -0.475 ============================================================================================================================================================== 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 9982 US5 caleb_strategy_v3 [-1] 4.946034 355.398369 -7.897742 15.795483 -0.0 NaN 7.897742 9983 RUSSELL caleb_strategy_v3 [-1] 394.325677 -74.811258 -1.267987 -0.0 NaN NaN -1.267987 9984 NASDAQ_micro caleb_strategy_v3 [1] 2530.507707 17.289021 -0.493972 -23.710657 -24.698601 NaN -24.204629 9981 NASDAQ_micro caleb_strategy_v3 [1] 2530.507707 10.373412 -0.493972 6.915608 5.927664 NaN 6.421636 9985 FEEDCOW caleb_strategy_v3 [1] 32.089362 397.327936 0.0 -148.024133 -148.024133 NaN -148.024133 ======================================================================================================================================================================= 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 9982 US5 caleb_strategy_v3 [-1] 1000.0 175.78125 -3.90625 7.8125 -0.0 NaN 3.90625 9983 RUSSELL caleb_strategy_v3 [-1] 5.0 -14.75 -0.25 -0.0 NaN NaN -0.25 9984 NASDAQ_micro caleb_strategy_v3 [1] 2.0 8.75 -0.25 -12.0 -12.5 NaN -12.25 9981 NASDAQ_micro caleb_strategy_v3 [1] 2.0 5.25 -0.25 3.5 3.0 NaN 3.25 9985 FEEDCOW caleb_strategy_v3 [1] 500.0 637.5 0.0 -237.5 -237.5 NaN -237.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW 637.5 NASDAQ_micro 14.0 RUSSELL -14.75 US5 175.78125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 812.53125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW 0.0 NASDAQ_micro -0.5 RUSSELL -0.25 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -4.65625 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW -237.5 NASDAQ_micro -8.5 RUSSELL -0.0 US5 7.8125 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -238.1875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW -237.5 NASDAQ_micro -9.5 RUSSELL 0 US5 -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -247.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW 0 NASDAQ_micro 0 RUSSELL 0 US5 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 FEEDCOW -237.5 NASDAQ_micro -9.0 RUSSELL -0.25 US5 3.90625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -242.84375 ******************************************************************************** END OF REPORT ********************************************************************************