******************************************************************************** Trades report produced on 04/12/2024 21:41 from 03/12/2024 21:41 to 04/12/2024 21:41 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15524 CAD caleb_strategy_v3 [20250300] 2024-12-04 15:00:14 [-1] 0.713900 15525 JPY _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-04 15:01:19 [1, -1] -0.000074 15523 NIKKEI caleb_strategy_v3 [20250300] 2024-12-04 03:02:10 [1] 39085.000000 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15523 NIKKEI caleb_strategy_v3 2024-12-03 00:00:00 2024-12-04 03:01:19.490000 2024-12-04 03:02:10 97279.49 50.51 15524 CAD caleb_strategy_v3 2024-12-03 00:00:00 2024-12-04 15:00:13.730000 2024-12-04 15:00:14 140413.73 0.27 15525 JPY _ROLL_PSEUDO_STRATEGY 2024-12-03 19:00:00 2024-12-04 15:00:15.970000 2024-12-04 15:01:19 72015.97 63.03 ======================================================================================================================================================================================================================================== 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 15523 NIKKEI caleb_strategy_v3 [1] 39275.0 None 39077.5 39080.0 39075.0 39075.0 39085.0 197.5 -2.5 -5.0 -10.0 NaN -7.5 15524 CAD caleb_strategy_v3 [-1] 0.7137 None 0.7139 0.71385 0.71395 0.71395 0.7139 0.0002 -0.00005 0.00005 -0.00005 NaN 0.0 15525 JPY _ROLL_PSEUDO_STRATEGY [1, -1] -0.000076 None -0.000074 -0.000073 -0.000075 -0.000075 -0.000074 -0.000001 -0.000001 0.000001 -0.000001 NaN -0.0 ====================================================================================================================================================================== 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 15523 NIKKEI caleb_strategy_v3 [1] 7359.122251 268.374397 -3.397144 -6.794289 -13.588577 NaN -10.191433 15524 CAD caleb_strategy_v3 [-1] 0.035292 56.669882 -14.167471 14.167471 -14.167471 NaN 0.0 15525 JPY _ROLL_PSEUDO_STRATEGY [1, -1] 0.000747 -16.734967 -10.04098 10.04098 -10.04098 NaN -0.0 ================================================================================================================================================================================ 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 15523 NIKKEI caleb_strategy_v3 [1] 0.666373 131.608759 -1.665934 -3.331867 -6.663735 NaN -4.997801 15524 CAD caleb_strategy_v3 [-1] 100000.0 20.0 -5.0 5.0 -5.0 NaN 0.0 15525 JPY _ROLL_PSEUDO_STRATEGY [1, -1] 12500000.0 -15.625 -9.375 9.375 -9.375 NaN -0.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JPY -15.625 caleb_strategy_v3 CAD 20.0 NIKKEI 131.608759 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -15.625 caleb_strategy_v3 151.608759 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JPY -9.375 caleb_strategy_v3 CAD -5.0 NIKKEI -1.665934 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -9.375 caleb_strategy_v3 -6.665934 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JPY 9.375 caleb_strategy_v3 CAD 5.0 NIKKEI -3.331867 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 9.375 caleb_strategy_v3 1.668133 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JPY -9.375 caleb_strategy_v3 CAD -5.0 NIKKEI -6.663735 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -9.375 caleb_strategy_v3 -11.663735 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JPY 0 caleb_strategy_v3 CAD 0 NIKKEI 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 JPY -0.0 caleb_strategy_v3 CAD 0.0 NIKKEI -4.997801 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.0 caleb_strategy_v3 -4.997801 ******************************************************************************** END OF REPORT ********************************************************************************