******************************************************************************** Trades report report produced on 15/05/2023 21:37 from 14/05/2023 21:37 to 15/05/2023 21:37 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2796 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230800, 20230900] 2023-05-15 15:30:32 [1, -1] 14.1 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2796 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-05-12 19:00:00 2023-05-15 15:30:02.295 2023-05-15 15:30:32 246602 29.705 ===================================================================================================================================================================================================================================== 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 2796 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] 14.4 None 14.1 14.2 14 14 14.1 0.3 -0.1 0.1 -0.1 NaN 3.37508e-14 ======================================================================================================================================================================= 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 2796 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] 81.415 36.8482 -12.2827 12.2827 -12.2827 NaN 4.14552e-12 ================================================================================================================================================================================== 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 2796 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] 100 30 -10 10 -10 NaN 3.37508e-12 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYMEAL 30.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 30.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYMEAL -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 SOYMEAL 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 SOYMEAL -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 SOYMEAL 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 SOYMEAL 3.375078e-12 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 3.375078e-12 ******************************************************************************** END OF REPORT ********************************************************************************