******************************************************************************** Trades report produced on 29/03/2024 21:37 from 28/03/2024 21:37 to 29/03/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 11531 NIKKEI caleb_strategy_v3 [20240600] 2024-03-29 03:01:35 [1] 40420.0 11532 NIKKEI caleb_strategy_v3 [20240600] 2024-03-29 03:02:16 [1] 40395.0 11533 NIKKEI caleb_strategy_v3 [20240600] 2024-03-29 03:03:17 [1] 40400.0 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11531 NIKKEI caleb_strategy_v3 2024-03-28 2024-03-29 03:01:16.230 2024-03-29 03:01:35 97276.23 18.77 11532 NIKKEI caleb_strategy_v3 2024-03-28 2024-03-29 03:02:16.607 2024-03-29 03:02:16 97336.607 NaN 11533 NIKKEI caleb_strategy_v3 2024-03-28 2024-03-29 03:03:16.696 2024-03-29 03:03:17 97396.696 0.304 =========================================================================================================================================================================================================================== 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 11531 NIKKEI caleb_strategy_v3 [1] 40360.0 None 40412.5 40415.0 40410.0 40410.0 40420.0 -52.5 -2.5 -5.0 -10.0 NaN -7.5 11532 NIKKEI caleb_strategy_v3 [1] 40360.0 None 40417.5 40420.0 40415.0 40415.0 40395.0 -57.5 -2.5 25.0 20.0 NaN 22.5 11533 NIKKEI caleb_strategy_v3 [1] 40360.0 None 40392.5 40395.0 40390.0 40390.0 40400.0 -32.5 -2.5 -5.0 -10.0 NaN -7.5 ============================================================================================================================================================== 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 11531 NIKKEI caleb_strategy_v3 [1] 6088.352765 -86.23022 -4.106201 -8.212402 -16.424804 NaN -12.318603 11532 NIKKEI caleb_strategy_v3 [1] 6088.352765 -94.442622 -4.106201 41.06201 32.849608 NaN 36.955809 11533 NIKKEI caleb_strategy_v3 [1] 6088.352765 -53.380613 -4.106201 -8.212402 -16.424804 NaN -12.318603 ======================================================================================================================================================================== 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 11531 NIKKEI caleb_strategy_v3 [1] 0.660474 -34.674865 -1.651184 -3.302368 -6.604736 NaN -4.953552 11532 NIKKEI caleb_strategy_v3 [1] 0.660474 -37.977233 -1.651184 16.511841 13.209473 NaN 14.860657 11533 NIKKEI caleb_strategy_v3 [1] 0.660474 -21.465393 -1.651184 -3.302368 -6.604736 NaN -4.953552 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI -94.117492 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -94.117492 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI -4.953552 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -4.953552 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI 9.907104 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 9.907104 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 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 NIKKEI 4.953552 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 4.953552 ******************************************************************************** END OF REPORT ********************************************************************************