******************************************************************************** Trades report report produced on 19/04/2023 21:37 from 18/04/2023 21:37 to 19/04/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2296 VIX _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-19 15:00:08 [1] 21.50 2297 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-19 15:03:46 [-1] 22.55 2298 VIX _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-19 15:03:56 [1] 21.55 2299 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-19 15:03:57 [-1] 22.55 2300 VIX _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-19 15:05:54 [1] 21.55 2301 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-19 15:06:23 [-1] 22.55 2302 VIX _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-19 15:06:38 [1] 21.55 2303 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-19 15:06:46 [-1] 22.55 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2296 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:00:01.161 2023-04-19 15:00:08 68401.2 6.839 2297 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:00:08.574 2023-04-19 15:03:46 68408.6 217.426 2298 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:03:47.765 2023-04-19 15:03:56 68627.8 8.235 2299 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:03:56.307 2023-04-19 15:03:57 68636.3 0.693 2300 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:03:59.674 2023-04-19 15:05:54 68639.7 114.326 2301 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:05:54.896 2023-04-19 15:06:23 68754.9 28.104 2302 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:06:25.155 2023-04-19 15:06:38 68785.2 12.845 2303 VIX _ROLL_PSEUDO_STRATEGY 2023-04-18 20:00:00 2023-04-19 15:06:38.929 2023-04-19 15:06:46 68798.9 7.071 =================================================================================================================================================================================================================================== 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 2296 VIX _ROLL_PSEUDO_STRATEGY [1] 21.2 None 21.525 21.55 21.5 21.5 21.5 -0.325 -0.025 0.05 0 NaN 0.025 2297 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.3 None 22.625 22.6 22.65 22.65 22.55 0.325 -0.025 -0.05 -0.1 NaN -0.075 2298 VIX _ROLL_PSEUDO_STRATEGY [1] 21.2 None 21.475 21.5 21.45 21.45 21.55 -0.275 -0.025 -0.05 -0.1 NaN -0.075 2299 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.3 None 22.625 22.6 22.65 22.65 22.55 0.325 -0.025 -0.05 -0.1 NaN -0.075 2300 VIX _ROLL_PSEUDO_STRATEGY [1] 21.2 None 21.475 21.5 21.45 21.45 21.55 -0.275 -0.025 -0.05 -0.1 NaN -0.075 2301 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.3 None 22.6 22.55 22.65 22.65 22.55 0.3 -0.05 -0 -0.1 NaN -0.05 2302 VIX _ROLL_PSEUDO_STRATEGY [1] 21.2 None 21.475 21.5 21.45 21.45 21.55 -0.275 -0.025 -0.05 -0.1 NaN -0.075 2303 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.3 None 22.625 22.6 22.65 22.65 22.55 0.325 -0.025 -0.05 -0.1 NaN -0.075 ==================================================================================================================================================================== 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 2296 VIX _ROLL_PSEUDO_STRATEGY [1] 10.7272 -302.967 -23.3052 46.6104 0 NaN 23.3052 2297 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.7272 302.967 -23.3052 -46.6104 -93.2207 NaN -69.9155 2298 VIX _ROLL_PSEUDO_STRATEGY [1] 10.7272 -256.357 -23.3052 -46.6104 -93.2207 NaN -69.9155 2299 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.7272 302.967 -23.3052 -46.6104 -93.2207 NaN -69.9155 2300 VIX _ROLL_PSEUDO_STRATEGY [1] 10.7272 -256.357 -23.3052 -46.6104 -93.2207 NaN -69.9155 2301 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.7272 279.662 -46.6104 -0 -93.2207 NaN -46.6104 2302 VIX _ROLL_PSEUDO_STRATEGY [1] 10.7272 -256.357 -23.3052 -46.6104 -93.2207 NaN -69.9155 2303 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.7272 302.967 -23.3052 -46.6104 -93.2207 NaN -69.9155 =============================================================================================================================================================================== 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 2296 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -325 -25 50 0 NaN 25 2297 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 325 -25 -50 -100 NaN -75 2298 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -275 -25 -50 -100 NaN -75 2299 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 325 -25 -50 -100 NaN -75 2300 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -275 -25 -50 -100 NaN -75 2301 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 300 -50 -0 -100 NaN -50 2302 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -275 -25 -50 -100 NaN -75 2303 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 325 -25 -50 -100 NaN -75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 125.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 125.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -225.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -225.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -250.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -250.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -700.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -700.0 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 -475.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -475.0 ******************************************************************************** END OF REPORT ********************************************************************************