******************************************************************************** Trades report report produced on 16/01/2023 21:35 from 15/01/2023 21:35 to 16/01/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 937 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:04 [1, -1] -0.7 957 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:33 [1, -1] -0.7 956 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:32 [1, -1] -0.7 955 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:30 [1, -1] -0.7 954 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:28 [1, -1] -0.7 953 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:26 [1, -1] -0.7 952 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:24 [1, -1] -0.7 951 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:22 [1, -1] -0.7 950 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:01:45 [1, -1] -0.7 949 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:01:43 [1, -1] -0.7 958 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:02:35 [1, -1] -0.7 948 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:01:42 [1, -1] -0.7 946 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:01:38 [1, -1] -0.7 945 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:01:37 [1, -1] -0.7 944 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:16 [1, -1] -0.7 943 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:14 [1, -1] -0.7 942 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:12 [1, -1] -0.7 941 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:11 [1, -1] -0.7 940 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:09 [1, -1] -0.7 939 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:07 [1, -1] -0.7 938 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:00:05 [1, -1] -0.7 947 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:01:40 [1, -1] -0.7 959 VIX _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-01-16 15:08:40 [1, -1] -0.7 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 937 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:02.022 2023-01-16 15:00:04 241202 1.978 938 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:05.817 2023-01-16 15:00:05 241206 NaN 939 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:07.501 2023-01-16 15:00:07 241208 NaN 940 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:09.298 2023-01-16 15:00:09 241209 NaN 941 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:10.999 2023-01-16 15:00:11 241211 0.001 942 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:12.750 2023-01-16 15:00:12 241213 NaN 943 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:14.343 2023-01-16 15:00:14 241214 NaN 944 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:00:16.213 2023-01-16 15:00:16 241216 NaN 945 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:01:18.430 2023-01-16 15:01:37 241278 18.57 946 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:01:38.761 2023-01-16 15:01:38 241299 NaN 947 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:01:40.455 2023-01-16 15:01:40 241300 NaN 948 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:01:42.172 2023-01-16 15:01:42 241302 NaN 949 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:01:43.884 2023-01-16 15:01:43 241304 NaN 950 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:01:45.734 2023-01-16 15:01:45 241306 NaN 951 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:01:47.401 2023-01-16 15:02:22 241307 34.599 952 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:24.796 2023-01-16 15:02:24 241345 NaN 953 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:26.683 2023-01-16 15:02:26 241347 NaN 954 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:28.503 2023-01-16 15:02:28 241349 NaN 955 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:30.323 2023-01-16 15:02:30 241350 NaN 956 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:32.110 2023-01-16 15:02:32 241352 NaN 957 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:33.910 2023-01-16 15:02:33 241354 NaN 958 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:35.708 2023-01-16 15:02:35 241356 NaN 959 VIX _ROLL_PSEUDO_STRATEGY 2023-01-13 20:00:00 2023-01-16 15:02:37.456 2023-01-16 15:08:40 241357 362.544 ========================================================================================================================================================================================================================================= 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 937 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 938 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 939 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 940 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 941 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 942 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 943 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 944 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 945 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 946 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 947 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 948 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 949 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 950 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 951 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 952 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 953 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 954 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 955 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 956 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 957 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 958 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 959 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.75 None -0.705 -0.7 -0.71 None -0.7 -0.045 -0.005 -6.66134e-16 NaN NaN -0.005 ======================================================================================================================================================================= 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 937 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 938 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 939 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 940 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 941 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 942 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 943 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 944 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 945 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 946 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 947 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 948 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 949 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 950 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 951 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 952 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 953 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 954 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 955 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 956 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 957 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 958 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 959 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.56369 -52.5475 -5.83861 -7.77859e-13 NaN NaN -5.83861 ================================================================================================================================================================================== 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 937 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 938 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 939 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 940 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 941 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 942 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 943 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 944 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 945 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 946 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 947 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 948 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 949 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 950 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 951 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 952 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 953 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 954 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 955 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 956 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 957 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 958 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 959 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -45 -5 -6.66134e-13 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1035.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1035.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -115.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -115.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1.532108e-11 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -1.532108e-11 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 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 VIX -115.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -115.0 ******************************************************************************** END OF REPORT ********************************************************************************