******************************************************************************** Trades report produced on 25/12/2024 21:40 from 24/12/2024 21:40 to 25/12/2024 21:40 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15880 NIKKEI caleb_strategy_v3 [20250300] 2024-12-25 03:03:24 [1] 39025.0 15879 NIKKEI caleb_strategy_v3 [20250300] 2024-12-25 03:01:21 [1] 39025.0 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15880 NIKKEI caleb_strategy_v3 2024-12-24 00:00:00 2024-12-25 03:02:20.051000 2024-12-25 03:03:24 97340.051 63.949 15879 NIKKEI caleb_strategy_v3 2024-12-24 00:00:00 2024-12-25 03:01:19.986000 2024-12-25 03:01:21 97279.986 1.014 ============================================================================================================================================================================================================================ 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 15880 NIKKEI caleb_strategy_v3 [1] 39240.0 None 39027.5 39030.0 39025.0 39025.0 39025.0 212.5 -2.5 5.0 0.0 NaN 2.5 15879 NIKKEI caleb_strategy_v3 [1] 39240.0 None 39027.5 39030.0 39025.0 39025.0 39025.0 212.5 -2.5 5.0 0.0 NaN 2.5 =============================================================================================================================================================== 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 15880 NIKKEI caleb_strategy_v3 [1] 6856.137792 309.941262 -3.646368 7.292736 0.0 NaN 3.646368 15879 NIKKEI caleb_strategy_v3 [1] 6856.137792 309.941262 -3.646368 7.292736 0.0 NaN 3.646368 ========================================================================================================================================================================= 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 15880 NIKKEI caleb_strategy_v3 [1] 0.636663 135.290859 -1.591657 3.183314 0.0 NaN 1.591657 15879 NIKKEI caleb_strategy_v3 [1] 0.636663 135.290859 -1.591657 3.183314 0.0 NaN 1.591657 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI 270.581719 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 270.581719 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI -3.183314 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -3.183314 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI 6.366629 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 6.366629 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 NIKKEI 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 NIKKEI 3.183314 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 3.183314 ******************************************************************************** END OF REPORT ********************************************************************************