******************************************************************************** Trades report report produced on 21/03/2023 21:35 from 20/03/2023 21:35 to 21/03/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1937 GAS_US _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-21 14:00:46 [1, -1] -0.23 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1937 GAS_US _ROLL_PSEUDO_STRATEGY 2023-03-20 20:00:00 2023-03-21 14:00:01.655 2023-03-21 14:00:46 64801.7 44.345 ===================================================================================================================================================================================================================================== 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 1937 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] -0.22 None -0.23 -0.229 -0.231 -0.231 -0.23 0.01 -0.001 0.001 -0.001 NaN -2.77556e-17 ======================================================================================================================================================================= 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 1937 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] 2.75739 36.2662 -3.62662 3.62662 -3.62662 NaN -1.00659e-13 ================================================================================================================================================================================== 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 1937 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] 10000 100 -10 10 -10 NaN -2.77556e-13 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US 100.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 100.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -10.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US 10.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -10.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US 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 GAS_US -2.775558e-13 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.775558e-13 ******************************************************************************** END OF REPORT ********************************************************************************