******************************************************************************** Trades report report produced on 11/01/2023 21:35 from 10/01/2023 21:35 to 11/01/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 919 CAC _ROLL_PSEUDO_STRATEGY [20230100, 20230200] 2023-01-11 13:10:49 [-1, 1] -10.0 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 919 CAC _ROLL_PSEUDO_STRATEGY 2023-01-10 16:00:00 2023-01-11 13:05:49.375 2023-01-11 13:10:49 75949.4 299.625 ====================================================================================================================================================================================================================================== 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 order_id 919 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 1 None -9.75 -10 -9.5 -9.5 -10 -10.75 -0.25 -0 -0.5 NaN -0.25 ======================================================================================================================================================================= 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 order_id 919 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 1172.62 -91.675 -2.13198 -0 -4.26395 NaN -2.13198 ================================================================================================================================================================================== 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 order_id 919 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 10.7592 -115.661 -2.6898 -0 -5.3796 NaN -2.6898 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -115.6614 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -115.6614 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -2.6898 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.6898 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -5.3796 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.3796 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -2.6898 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.6898 ******************************************************************************** END OF REPORT ********************************************************************************