******************************************************************************** Trades report produced on 14/10/2024 21:37 from 13/10/2024 21:37 to 14/10/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15052 DAX caleb_strategy_v3 [20241200] 2024-10-14 07:01:00 [1] 19534.000000 15053 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-14 13:04:02 [-1] 2669.000000 15050 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-14 02:06:14 [-1] 143.940000 15051 NIKKEI caleb_strategy_v3 [20241200] 2024-10-14 02:06:16 [1] 39570.000000 15054 NZD caleb_strategy_v3 [20241200] 2024-10-14 14:01:10 [-1] 0.609450 15055 US5 caleb_strategy_v3 [20241200] 2024-10-14 14:07:40 [-1] 108.179688 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15050 JGB-SGX-mini caleb_strategy_v3 2024-10-11 2024-10-14 03:01:14.638 2024-10-14 02:06:14 270074.638 NaN 15051 NIKKEI caleb_strategy_v3 2024-10-11 2024-10-14 03:06:15.602 2024-10-14 02:06:16 270375.602 NaN 15052 DAX caleb_strategy_v3 2024-10-11 2024-10-14 08:00:43.115 2024-10-14 07:01:00 288043.115 NaN 15053 GOLD_micro caleb_strategy_v3 2024-10-11 2024-10-14 14:00:58.998 2024-10-14 13:04:02 309658.998 NaN 15054 NZD caleb_strategy_v3 2024-10-11 2024-10-14 15:00:15.307 2024-10-14 14:01:10 313215.307 NaN 15055 US5 caleb_strategy_v3 2024-10-11 2024-10-14 15:01:11.414 2024-10-14 14:07:40 313271.414 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 15050 JGB-SGX-mini caleb_strategy_v3 [-1] 143.98 None 143.955 143.94 143.97 143.97 143.94 -0.025 -0.015 -0.0 -0.03 NaN -0.015 15051 NIKKEI caleb_strategy_v3 [1] 39870.0 None 39607.5 39610.0 39605.0 39605.0 39570.0 262.5 -2.5 40.0 35.0 NaN 37.5 15052 DAX caleb_strategy_v3 [1] 19514.0 None 19535.0 19536.0 19534.0 19534.0 19534.0 -21.0 -1.0 2.0 0.0 NaN 1.0 15053 GOLD_micro caleb_strategy_v3 [-1] 2675.7 None 2668.8 2668.7 2668.9 2668.9 2669.0 -6.9 -0.1 0.3 0.1 NaN 0.2 15054 NZD caleb_strategy_v3 [-1] 0.6118 None 0.60985 0.6098 0.6099 0.6099 0.60945 -0.00195 -0.00005 -0.00035 -0.00045 NaN -0.0004 15055 US5 caleb_strategy_v3 [-1] 108.484375 None 108.199219 108.195312 108.203125 108.203125 108.179688 -0.285156 -0.003906 -0.015625 -0.023437 NaN -0.019531 =============================================================================================================================================================== 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 15050 JGB-SGX-mini caleb_strategy_v3 [-1] 4.206532 -59.431376 -35.658826 -0.0 -71.317652 NaN -35.658826 15051 NIKKEI caleb_strategy_v3 [1] 10674.892526 245.904115 -2.341944 37.471103 32.787215 NaN 35.129159 15052 DAX caleb_strategy_v3 [1] 2376.23509 -88.375094 -4.208338 8.416676 0.0 NaN 4.208338 15053 GOLD_micro caleb_strategy_v3 [-1] 307.308691 -224.529934 -3.254057 9.762171 3.254057 NaN 6.508114 15054 NZD caleb_strategy_v3 [-1] 0.06467 -301.529499 -7.731526 -54.120679 -69.583731 NaN -61.852205 15055 US5 caleb_strategy_v3 [-1] 4.528271 -629.724344 -8.626361 -34.504339 -51.757061 NaN -43.1307 ========================================================================================================================================================================= 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 15050 JGB-SGX-mini caleb_strategy_v3 [-1] 670.196368 -16.754909 -10.052946 -0.0 -20.105891 NaN -10.052946 15051 NIKKEI caleb_strategy_v3 [1] 0.670196 175.926546 -1.675491 26.807855 23.456873 NaN 25.132364 15052 DAX caleb_strategy_v3 [1] 1.0927 -22.9467 -1.0927 2.1854 0.0 NaN 1.0927 15053 GOLD_micro caleb_strategy_v3 [-1] 10.0 -69.0 -1.0 3.0 1.0 NaN 2.0 15054 NZD caleb_strategy_v3 [-1] 100000.0 -195.0 -5.0 -35.0 -45.0 NaN -40.0 15055 US5 caleb_strategy_v3 [-1] 1000.0 -285.15625 -3.90625 -15.6245 -23.437 NaN -19.53075 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX -22.9467 GOLD_micro -69.0 JGB-SGX-mini -16.754909 NIKKEI 175.926546 NZD -195.0 US5 -285.15625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -412.931313 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -1.0927 GOLD_micro -1.0 JGB-SGX-mini -10.052946 NIKKEI -1.675491 NZD -5.0 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -22.727386 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX 2.1854 GOLD_micro 3.0 JGB-SGX-mini -0.0 NIKKEI 26.807855 NZD -35.0 US5 -15.6245 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -18.631245 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0.0 GOLD_micro 1.0 JGB-SGX-mini -20.105891 NIKKEI 23.456873 NZD -45.0 US5 -23.437 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -64.086018 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 GOLD_micro 0 JGB-SGX-mini 0 NIKKEI 0 NZD 0 US5 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 DAX 1.0927 GOLD_micro 2.0 JGB-SGX-mini -10.052946 NIKKEI 25.132364 NZD -40.0 US5 -19.53075 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -41.358632 ******************************************************************************** END OF REPORT ********************************************************************************