******************************************************************************** Trades report produced on 17/10/2024 21:37 from 16/10/2024 21:37 to 17/10/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15086 CAD caleb_strategy_v3 [20241200] 2024-10-17 14:00:56.000 [-1] 0.7271 15084 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-17 13:01:26.000 [1] 2694.0000 15085 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-17 13:01:43.000 [1] 2694.1000 15080 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-17 02:06:34.000 [-1] 143.9700 15081 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-17 02:07:33.000 [-1] 143.9700 15082 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-17 02:09:29.000 [-1] 143.9700 15083 LEANHOG caleb_strategy_v3 [20241000] 2024-10-17 09:10:55.005 [-1] 84.1000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15080 JGB-SGX-mini caleb_strategy_v3 2024-10-16 2024-10-17 03:01:18.766 2024-10-17 02:06:34.000 97278.766 NaN 15081 JGB-SGX-mini caleb_strategy_v3 2024-10-16 2024-10-17 03:06:37.662 2024-10-17 02:07:33.000 97597.662 NaN 15082 JGB-SGX-mini caleb_strategy_v3 2024-10-16 2024-10-17 03:07:38.154 2024-10-17 02:09:29.000 97658.154 NaN 15083 LEANHOG caleb_strategy_v3 NaT NaT 2024-10-17 09:10:55.005 NaN NaN 15084 GOLD_micro caleb_strategy_v3 2024-10-16 2024-10-17 14:00:10.375 2024-10-17 13:01:26.000 136810.375 NaN 15085 GOLD_micro caleb_strategy_v3 2024-10-16 2024-10-17 14:01:43.214 2024-10-17 13:01:43.000 136903.214 NaN 15086 CAD caleb_strategy_v3 2024-10-16 2024-10-17 15:00:56.611 2024-10-17 14:00:56.000 140456.611 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 15080 JGB-SGX-mini caleb_strategy_v3 [-1] 144.08 None 143.975 143.97 143.98 143.98 143.97 -0.105 -0.005 -0.0 -0.01 NaN -0.005 15081 JGB-SGX-mini caleb_strategy_v3 [-1] 144.08 None 143.98 143.97 143.99 143.99 143.97 -0.1 -0.01 -0.0 -0.02 NaN -0.01 15082 JGB-SGX-mini caleb_strategy_v3 [-1] 144.08 None 143.98 143.97 143.99 143.99 143.97 -0.1 -0.01 -0.0 -0.02 NaN -0.01 15083 LEANHOG caleb_strategy_v3 [-1] NaN None NaN NaN NaN NaN 84.1 NaN NaN NaN NaN NaN NaN 15084 GOLD_micro caleb_strategy_v3 [1] 2692.0 None 2693.65 2693.7 2693.6 2693.6 2694.0 -1.65 -0.05 -0.3 -0.4 NaN -0.35 15085 GOLD_micro caleb_strategy_v3 [1] 2692.0 None 2693.95 2694.0 2693.9 2693.9 2694.1 -1.95 -0.05 -0.1 -0.2 NaN -0.15 15086 CAD caleb_strategy_v3 [-1] 0.72795 None 0.726975 0.72695 0.727 0.727 0.7271 -0.000975 -0.000025 0.00015 0.0001 NaN 0.000125 =============================================================================================================================================================== 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 15080 JGB-SGX-mini caleb_strategy_v3 [-1] 4.190662 -250.557043 -11.931288 -0.0 -23.862576 NaN -11.931288 15081 JGB-SGX-mini caleb_strategy_v3 [-1] 4.190662 -238.625755 -23.862576 -0.0 -47.725151 NaN -23.862576 15082 JGB-SGX-mini caleb_strategy_v3 [-1] 4.190662 -238.625755 -23.862576 -0.0 -47.725151 NaN -23.862576 15083 LEANHOG caleb_strategy_v3 [-1] 16.688255 NaN NaN NaN NaN NaN NaN 15084 GOLD_micro caleb_strategy_v3 [1] 293.774371 -56.165553 -1.701986 -10.211919 -13.615892 NaN -11.913905 15085 GOLD_micro caleb_strategy_v3 [1] 293.774371 -66.377472 -1.701986 -3.403973 -6.807946 NaN -5.105959 15086 CAD caleb_strategy_v3 [-1] 0.035341 -275.886607 -7.074016 42.444093 28.296062 NaN 35.370078 ======================================================================================================================================================================== 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 15080 JGB-SGX-mini caleb_strategy_v3 [-1] 669.095483 -70.255026 -3.345477 -0.0 -6.690955 NaN -3.345477 15081 JGB-SGX-mini caleb_strategy_v3 [-1] 669.095483 -66.909548 -6.690955 -0.0 -13.38191 NaN -6.690955 15082 JGB-SGX-mini caleb_strategy_v3 [-1] 669.095483 -66.909548 -6.690955 -0.0 -13.38191 NaN -6.690955 15083 LEANHOG caleb_strategy_v3 [-1] 400.0 NaN NaN NaN NaN NaN NaN 15084 GOLD_micro caleb_strategy_v3 [1] 10.0 -16.5 -0.5 -3.0 -4.0 NaN -3.5 15085 GOLD_micro caleb_strategy_v3 [1] 10.0 -19.5 -0.5 -1.0 -2.0 NaN -1.5 15086 CAD caleb_strategy_v3 [-1] 100000.0 -97.5 -2.5 15.0 10.0 NaN 12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAD -97.5 GOLD_micro -36.0 JGB-SGX-mini -204.074122 LEANHOG 0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -337.574122 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAD -2.5 GOLD_micro -1.0 JGB-SGX-mini -16.727387 LEANHOG 0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -20.227387 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAD 15.0 GOLD_micro -4.0 JGB-SGX-mini -0.0 LEANHOG 0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 11.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 10.0 GOLD_micro -6.0 JGB-SGX-mini -33.454774 LEANHOG 0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -29.454774 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 0 GOLD_micro 0 JGB-SGX-mini 0 LEANHOG 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 CAD 12.5 GOLD_micro -5.0 JGB-SGX-mini -16.727387 LEANHOG 0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -9.227387 ******************************************************************************** END OF REPORT ********************************************************************************