******************************************************************************** Trades report produced on 01/07/2024 21:38 from 30/06/2024 21:38 to 01/07/2024 21:38 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13588 GAS_US_mini caleb_strategy_v3 [20240900] 2024-07-01 13:00:34 [-1] 2.545 13589 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-01 14:10:19 [1] 19908.500 13587 NIKKEI caleb_strategy_v3 [20240900] 2024-07-01 02:02:49 [1] 39705.000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13587 NIKKEI caleb_strategy_v3 2024-06-28 2024-07-01 03:01:16.986 2024-07-01 02:02:49 270076.986 NaN 13588 GAS_US_mini caleb_strategy_v3 2024-06-28 2024-07-01 14:00:34.618 2024-07-01 13:00:34 309634.618 NaN 13589 NASDAQ_micro caleb_strategy_v3 2024-06-28 2024-07-01 15:00:40.930 2024-07-01 14:10:19 313240.93 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 13587 NIKKEI caleb_strategy_v3 [1] 39710.0 None 39692.5 39695.0 39690.0 39690.0 39705.0 17.5 -2.5 -10.0 -15.0 NaN -12.5 13588 GAS_US_mini caleb_strategy_v3 [-1] 2.595 None 2.5325 2.53 2.535 2.535 2.545 -0.0625 -0.0025 0.015 0.01 NaN 0.0125 13589 NASDAQ_micro caleb_strategy_v3 [1] 20012.5 None 19842.875 19843.0 19842.75 19842.75 19908.5 169.625 -0.125 -65.5 -65.75 NaN -65.625 =============================================================================================================================================================== 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 13587 NIKKEI caleb_strategy_v3 [1] 5422.745925 32.271473 -4.61021 -18.440842 -27.661263 NaN -23.051052 13588 GAS_US_mini caleb_strategy_v3 [-1] 1.717366 -363.929455 -14.557178 87.343069 58.228713 NaN 72.785891 13589 NASDAQ_micro caleb_strategy_v3 [1] 2598.074616 652.88733 -0.481126 -252.109772 -253.072023 NaN -252.590898 ======================================================================================================================================================================== 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 13587 NIKKEI caleb_strategy_v3 [1] 0.620975 10.867068 -1.552438 -6.209753 -9.31463 NaN -7.762191 13588 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -156.25 -6.25 37.5 25.0 NaN 31.25 13589 NASDAQ_micro caleb_strategy_v3 [1] 2.0 339.25 -0.25 -131.0 -131.5 NaN -131.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -156.25 NASDAQ_micro 339.25 NIKKEI 10.867068 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 193.867068 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -6.25 NASDAQ_micro -0.25 NIKKEI -1.552438 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -8.052438 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 37.5 NASDAQ_micro -131.0 NIKKEI -6.209753 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -99.709753 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 25.0 NASDAQ_micro -131.5 NIKKEI -9.31463 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -115.81463 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 0 NASDAQ_micro 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 GAS_US_mini 31.25 NASDAQ_micro -131.25 NIKKEI -7.762191 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -107.762191 ******************************************************************************** END OF REPORT ********************************************************************************