******************************************************************************** Trades report produced on 13/08/2024 21:37 from 12/08/2024 21:37 to 13/08/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 14365 MXP caleb_strategy_v3 [20240900] 2024-08-13 14:00:51 [1] 0.0524 14364 NIKKEI caleb_strategy_v3 [20240900] 2024-08-13 02:01:16 [1] 35795.0000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14364 NIKKEI caleb_strategy_v3 2024-08-09 2024-08-13 03:01:16.002 2024-08-13 02:01:16 356476.002 NaN 14365 MXP caleb_strategy_v3 2024-08-12 2024-08-13 15:00:50.782 2024-08-13 14:00:51 140450.782 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 14364 NIKKEI caleb_strategy_v3 [1] 35050.0 None 35902.5 35905.0 35900.0 35900.0 35795.0 -852.5 -2.5 110.0 105.0 NaN 107.5 14365 MXP caleb_strategy_v3 [1] 0.05218 None 0.052455 0.05246 0.05245 0.05245 0.0524 -0.000275 -0.000005 0.00006 0.00005 NaN 0.000055 =============================================================================================================================================================== 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 14364 NIKKEI caleb_strategy_v3 [1] 16702.057459 -510.416158 -1.496822 65.860149 62.866506 NaN 64.363328 14365 MXP caleb_strategy_v3 [1] 0.008261 -332.880109 -6.052366 72.628388 60.523656 NaN 66.576022 ========================================================================================================================================================================= 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 14364 NIKKEI caleb_strategy_v3 [1] 0.677585 -577.641056 -1.693962 74.53433 71.146406 NaN 72.840368 14365 MXP caleb_strategy_v3 [1] 500000.0 -137.5 -2.5 30.0 25.0 NaN 27.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 MXP -137.5 NIKKEI -577.641056 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -715.141056 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 MXP -2.5 NIKKEI -1.693962 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -4.193962 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 MXP 30.0 NIKKEI 74.53433 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 104.53433 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 MXP 25.0 NIKKEI 71.146406 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 96.146406 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 MXP 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 MXP 27.5 NIKKEI 72.840368 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 100.340368 ******************************************************************************** END OF REPORT ********************************************************************************