******************************************************************************** Trades report produced on 29/08/2024 21:37 from 28/08/2024 21:37 to 29/08/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14549 NIKKEI _ROLL_PSEUDO_STRATEGY [20240900] 2024-08-29 02:02:09.000 [1] 38245.0 14550 NIKKEI _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-29 02:02:19.000 [-1] 38025.0 14551 SOYMEAL caleb_strategy_v3 [20240900] 2024-08-29 10:14:22.810 [2] 310.5 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14549 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-08-28 19:00:00 2024-08-29 03:01:22.139 2024-08-29 02:02:09.000 28882.139 NaN 14550 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-08-28 19:00:00 2024-08-29 03:02:10.138 2024-08-29 02:02:19.000 28930.138 NaN 14551 SOYMEAL caleb_strategy_v3 NaT NaT 2024-08-29 10:14:22.810 NaN 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 14549 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 38030.0 None 38225.0 38230.0 38220.0 38220.0 38245.0 -195.0 -5.0 -15.0 -25.0 NaN -20.0 14550 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 37815.0 None 38035.0 38030.0 38040.0 38040.0 38025.0 220.0 -5.0 -5.0 -15.0 NaN -10.0 14551 SOYMEAL caleb_strategy_v3 [2] NaN None NaN NaN NaN NaN 310.5 NaN NaN NaN NaN NaN NaN =================================================================================================================================================================== 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 14549 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 13195.037799 -147.782828 -3.789303 -11.36791 -18.946516 NaN -15.157213 14550 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 13195.037799 166.729344 -3.789303 -3.789303 -11.36791 NaN -7.578607 14551 SOYMEAL caleb_strategy_v3 [2] 80.281734 NaN NaN NaN NaN NaN NaN ============================================================================================================================================================================= 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 14549 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.691582 -134.858502 -3.45791 -10.373731 -17.289552 NaN -13.831641 14550 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.691582 152.148054 -3.45791 -3.45791 -10.373731 NaN -6.915821 14551 SOYMEAL caleb_strategy_v3 [2] 100.0 NaN NaN NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 17.289552 caleb_strategy_v3 SOYMEAL 0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 17.289552 caleb_strategy_v3 0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -6.915821 caleb_strategy_v3 SOYMEAL 0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -6.915821 caleb_strategy_v3 0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -13.831641 caleb_strategy_v3 SOYMEAL 0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -13.831641 caleb_strategy_v3 0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -27.663283 caleb_strategy_v3 SOYMEAL 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -27.663283 caleb_strategy_v3 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 0 caleb_strategy_v3 SOYMEAL 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -20.747462 caleb_strategy_v3 SOYMEAL 0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -20.747462 caleb_strategy_v3 0 ******************************************************************************** END OF REPORT 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