******************************************************************************** Trades report report produced on 14/04/2023 21:37 from 13/04/2023 21:37 to 14/04/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2164 CAC _ROLL_PSEUDO_STRATEGY [20230400] 2023-04-14 08:00:02 [-1] 7505.0 2165 CAC _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-14 08:00:38 [1] 7433.0 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2164 CAC _ROLL_PSEUDO_STRATEGY 2023-04-13 18:00:00 2023-04-14 08:00:02.195 2023-04-14 08:00:02 50402.2 NaN 2165 CAC _ROLL_PSEUDO_STRATEGY 2023-04-13 18:00:00 2023-04-14 08:00:03.395 2023-04-14 08:00:38 50403.4 34.605 ================================================================================================================================================================================================================================== 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 2164 CAC _ROLL_PSEUDO_STRATEGY [-1] 7503.5 None 7505 7504.5 7505.5 NaN 7505 1.5 -0.5 0.5 NaN NaN 0 2165 CAC _ROLL_PSEUDO_STRATEGY [1] 7421 None 7430.5 7432.5 7428.5 7428.5 7433 -9.5 -2 -0.5 -4.5 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 order_id 2164 CAC _ROLL_PSEUDO_STRATEGY [-1] 1200.39 12.4959 -4.16531 4.16531 NaN NaN 0 2165 CAC _ROLL_PSEUDO_STRATEGY [1] 1200.39 -79.1409 -16.6612 -4.16531 -37.4878 NaN -20.8265 =============================================================================================================================================================================== 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 2164 CAC _ROLL_PSEUDO_STRATEGY [-1] 11.0695 16.6043 -5.53475 5.53475 NaN NaN 0 2165 CAC _ROLL_PSEUDO_STRATEGY [1] 11.0695 -105.16 -22.139 -5.53475 -49.8128 NaN -27.6738 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -88.556 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -88.556 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -27.67375 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -27.67375 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 -49.81275 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -49.81275 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 -27.67375 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -27.67375 ******************************************************************************** END OF REPORT ********************************************************************************