******************************************************************************** Trades report produced on 30/10/2024 21:37 from 29/10/2024 21:37 to 30/10/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15182 MXP caleb_strategy_v3 [20241200] 2024-10-30 19:45:08.731 [0] NaN 15183 MXP caleb_strategy_v3 [20241200] 2024-10-30 15:14:58.000 [-1] 0.04922 15181 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-10-30 15:00:48.000 [1] 20647.75000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15181 NASDAQ_micro caleb_strategy_v3 2024-10-29 2024-10-30 15:00:48.062 2024-10-30 15:00:48.000 140448.062 NaN 15182 MXP caleb_strategy_v3 2024-10-29 2024-10-30 15:00:49.242 2024-10-30 19:45:08.731 140449.242 17059.489 15183 MXP caleb_strategy_v3 2024-10-29 2024-10-30 15:10:52.741 2024-10-30 15:14:58.000 141052.741 245.259 ================================================================================================================================================================================================================================= 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 15181 NASDAQ_micro caleb_strategy_v3 [1] 20695.25 None 20648.25 20648.5 20648.0 20648.0 20647.75 47.0 -0.25 0.75 0.25 NaN 0.5 15182 MXP caleb_strategy_v3 [-1] 0.04937 None 0.049315 0.04931 0.04932 0.04932 NaN -0.000055 -0.000005 NaN NaN NaN NaN 15183 MXP caleb_strategy_v3 [-1] 0.04937 None 0.04924 0.04923 0.04925 0.04925 0.04922 -0.00013 -0.00001 -0.00001 -0.00003 NaN -0.00002 =============================================================================================================================================================== 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 15181 NASDAQ_micro caleb_strategy_v3 [1] 2902.684959 161.919053 -0.861272 2.583815 0.861272 NaN 1.722543 15182 MXP caleb_strategy_v3 [-1] 0.006022 -91.337184 -8.30338 NaN NaN NaN NaN 15183 MXP caleb_strategy_v3 [-1] 0.006022 -215.887891 -16.606761 -16.606761 -49.820282 NaN -33.213522 ======================================================================================================================================================================== 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 15181 NASDAQ_micro caleb_strategy_v3 [1] 2.0 94.0 -0.5 1.5 0.5 NaN 1.0 15182 MXP caleb_strategy_v3 [-1] 500000.0 -27.5 -2.5 NaN NaN NaN NaN 15183 MXP caleb_strategy_v3 [-1] 500000.0 -65.0 -5.0 -5.0 -15.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 MXP -92.5 NASDAQ_micro 94.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 MXP -7.5 NASDAQ_micro -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -8.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 MXP -5.0 NASDAQ_micro 1.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -3.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 MXP -15.0 NASDAQ_micro 0.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -14.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 MXP 0 NASDAQ_micro 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 -10.0 NASDAQ_micro 1.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -9.0 ******************************************************************************** END OF REPORT ********************************************************************************