******************************************************************************** Trades report produced on 23/07/2024 21:37 from 22/07/2024 21:37 to 23/07/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14034 AUD caleb_strategy_v3 [20240900] 2024-07-23 14:00:54 [-1] 0.66245 14033 DAX caleb_strategy_v3 [20240900] 2024-07-23 07:00:30 [-1] 18637.00000 14035 LIVECOW caleb_strategy_v3 [20241000] 2024-07-23 14:33:50 [-1] 184.60000 14032 NIKKEI caleb_strategy_v3 [20240900] 2024-07-23 02:02:17 [-1] 39695.00000 14031 NIKKEI caleb_strategy_v3 [20240900] 2024-07-23 02:01:19 [-1] 39700.00000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14032 NIKKEI caleb_strategy_v3 2024-07-19 2024-07-23 03:02:17.187 2024-07-23 02:02:17 356537.187 NaN 14031 NIKKEI caleb_strategy_v3 2024-07-19 2024-07-23 03:01:17.394 2024-07-23 02:01:19 356477.394 NaN 14033 DAX caleb_strategy_v3 2024-07-19 2024-07-23 08:00:29.934 2024-07-23 07:00:30 374429.934 NaN 14034 AUD caleb_strategy_v3 2024-07-19 2024-07-23 15:00:53.954 2024-07-23 14:00:54 399653.954 NaN 14035 LIVECOW caleb_strategy_v3 2024-07-19 2024-07-23 15:30:53.866 2024-07-23 14:33:50 401453.866 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 14032 NIKKEI caleb_strategy_v3 [-1] 39610.0 None 39672.5 39670.0 39675.0 39675.0 39695.0 62.5 -2.5 25.0 20.0 NaN 22.5 14031 NIKKEI caleb_strategy_v3 [-1] 39610.0 None 39707.5 39705.0 39710.0 39710.0 39700.0 97.5 -2.5 -5.0 -10.0 NaN -7.5 14033 DAX caleb_strategy_v3 [-1] 18298.0 None 18608.0 18607.0 18609.0 18609.0 18637.0 310.0 -1.0 30.0 28.0 NaN 29.0 14034 AUD caleb_strategy_v3 [-1] 0.6693 None 0.662275 0.66225 0.6623 0.6623 0.66245 -0.007025 -0.000025 0.0002 0.00015 NaN 0.000175 14035 LIVECOW caleb_strategy_v3 [-1] 183.275 None 184.675 184.65 184.7 184.7 184.6 1.4 -0.025 -0.05 -0.1 NaN -0.075 ================================================================================================================================================================ 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 14032 NIKKEI caleb_strategy_v3 [-1] 6612.130937 94.523234 -3.780929 37.809294 30.247435 NaN 34.028364 14031 NIKKEI caleb_strategy_v3 [-1] 6612.130937 147.456245 -3.780929 -7.561859 -15.123717 NaN -11.342788 14033 DAX caleb_strategy_v3 [-1] 2419.385129 1281.317291 -4.133282 123.998448 115.731884 NaN 119.865166 14034 AUD caleb_strategy_v3 [-1] 0.049856 -1409.059329 -5.014446 40.115568 30.086676 NaN 35.101122 14035 LIVECOW caleb_strategy_v3 [-1] 20.53647 681.714035 -12.173465 -24.34693 -48.69386 NaN -36.520395 ======================================================================================================================================================================== 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 14032 NIKKEI caleb_strategy_v3 [-1] 0.639765 39.985285 -1.599411 15.994114 12.795291 NaN 14.394703 14031 NIKKEI caleb_strategy_v3 [-1] 0.639765 62.377045 -1.599411 -3.198823 -6.397646 NaN -4.798234 14033 DAX caleb_strategy_v3 [-1] 1.0887 337.497 -1.0887 32.661 30.4836 NaN 31.5723 14034 AUD caleb_strategy_v3 [-1] 100000.0 -702.5 -2.5 20.0 15.0 NaN 17.5 14035 LIVECOW caleb_strategy_v3 [-1] 400.0 560.0 -10.0 -20.0 -40.0 NaN -30.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -702.5 DAX 337.497 LIVECOW 560.0 NIKKEI 102.362331 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 297.359331 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 DAX -1.0887 LIVECOW -10.0 NIKKEI -3.198823 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -16.787523 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 20.0 DAX 32.661 LIVECOW -20.0 NIKKEI 12.795291 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 45.456291 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 15.0 DAX 30.4836 LIVECOW -40.0 NIKKEI 6.397646 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 11.881246 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 DAX 0 LIVECOW 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 AUD 17.5 DAX 31.5723 LIVECOW -30.0 NIKKEI 9.596468 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 28.668768 ******************************************************************************** END OF REPORT ********************************************************************************