******************************************************************************** Trades report produced on 28/03/2024 21:37 from 27/03/2024 21:37 to 28/03/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11530 FEEDCOW caleb_strategy_v3 [20240800] 2024-03-28 15:30:45 [-1] 258.35 11529 NIKKEI caleb_strategy_v3 [20240600] 2024-03-28 03:01:32 [1] 40310.00 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11529 NIKKEI caleb_strategy_v3 2024-03-27 2024-03-28 03:01:15.370 2024-03-28 03:01:32 97275.37 16.63 11530 FEEDCOW caleb_strategy_v3 2024-03-27 2024-03-28 15:30:45.270 2024-03-28 15:30:45 142245.27 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 11529 NIKKEI caleb_strategy_v3 [1] 40495.0 None 40302.5 40305.0 40300.0 40300.0 40310.0 192.5 -2.5 -5.0 -10.0 NaN -7.5 11530 FEEDCOW caleb_strategy_v3 [-1] 258.05 None 257.5 257.5 257.5 257.5 258.35 -0.55 -0.0 0.85 0.85 NaN 0.85 =============================================================================================================================================================== 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 11529 NIKKEI caleb_strategy_v3 [1] 6210.650218 309.951443 -4.025343 -8.050687 -16.101374 NaN -12.07603 11530 FEEDCOW caleb_strategy_v3 [-1] 32.885247 -167.248249 -0.0 258.474567 258.474567 NaN 258.474567 ========================================================================================================================================================================= 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 11529 NIKKEI caleb_strategy_v3 [1] 0.66072 127.188636 -1.6518 -3.303601 -6.607202 NaN -4.955401 11530 FEEDCOW caleb_strategy_v3 [-1] 500.0 -275.0 -0.0 425.0 425.0 NaN 425.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW -275.0 NIKKEI 127.188636 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -147.811364 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW -0.0 NIKKEI -1.6518 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -1.6518 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW 425.0 NIKKEI -3.303601 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 421.696399 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW 425.0 NIKKEI -6.607202 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 418.392798 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 FEEDCOW 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 FEEDCOW 425.0 NIKKEI -4.955401 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 420.044599 ******************************************************************************** END OF REPORT 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