******************************************************************************** Trades report report produced on 16/05/2023 21:37 from 15/05/2023 21:37 to 16/05/2023 21:37 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2797 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700, 20230800] 2023-05-16 15:30:02 [1, -1] -0.175 2798 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700, 20230800] 2023-05-16 15:30:05 [1, -1] -0.175 2799 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700, 20230800] 2023-05-16 15:30:07 [1, -1] -0.175 2800 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700, 20230800] 2023-05-16 15:30:09 [1, -1] -0.175 2801 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700, 20230800] 2023-05-16 15:30:11 [1, -1] -0.175 2802 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700, 20230800] 2023-05-16 15:30:12 [1, -1] -0.175 2803 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700, 20230800] 2023-05-16 15:30:15 [1, -1] -0.175 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2797 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-05-15 19:00:00 2023-05-16 15:30:02.252 2023-05-16 15:30:02 73802.3 NaN 2798 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-05-15 19:00:00 2023-05-16 15:30:05.009 2023-05-16 15:30:05 73805 NaN 2799 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-05-15 19:00:00 2023-05-16 15:30:06.991 2023-05-16 15:30:07 73807 0.009 2800 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-05-15 19:00:00 2023-05-16 15:30:09.121 2023-05-16 15:30:09 73809.1 NaN 2801 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-05-15 19:00:00 2023-05-16 15:30:11.011 2023-05-16 15:30:11 73811 NaN 2802 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-05-15 19:00:00 2023-05-16 15:30:12.844 2023-05-16 15:30:12 73812.8 NaN 2803 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-05-15 19:00:00 2023-05-16 15:30:14.992 2023-05-16 15:30:15 73815 0.008 ========================================================================================================================================================================================================================================== 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 2797 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -0.225 None -0.1875 -0.175 -0.2 -0.2 -0.175 -0.0375 -0.0125 -2.83107e-15 -0.025 NaN -0.0125 2798 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -0.225 None 0 0 0 0 -0.175 -0.225 0 0.175 0.175 NaN 0.175 2799 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -0.225 None 0 0 0 0 -0.175 -0.225 0 0.175 0.175 NaN 0.175 2800 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -0.225 None 0 0 0 0 -0.175 -0.225 0 0.175 0.175 NaN 0.175 2801 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -0.225 None 0 0 0 0 -0.175 -0.225 0 0.175 0.175 NaN 0.175 2802 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -0.225 None 0 0 0 0 -0.175 -0.225 0 0.175 0.175 NaN 0.175 2803 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -0.225 None 0 0 0 0 -0.175 -0.225 0 0.175 0.175 NaN 0.175 ======================================================================================================================================================================= 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 2797 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.4187 -16.0128 -5.33762 -1.20889e-12 -10.6752 NaN -5.33762 2798 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.4187 -96.0771 0 74.7266 74.7266 NaN 74.7266 2799 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.4187 -96.0771 0 74.7266 74.7266 NaN 74.7266 2800 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.4187 -96.0771 0 74.7266 74.7266 NaN 74.7266 2801 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.4187 -96.0771 0 74.7266 74.7266 NaN 74.7266 2802 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.4187 -96.0771 0 74.7266 74.7266 NaN 74.7266 2803 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.4187 -96.0771 0 74.7266 74.7266 NaN 74.7266 ================================================================================================================================================================================== 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 2797 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -15 -5 -1.13243e-12 -10 NaN -5 2798 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -90 0 70 70 NaN 70 2799 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -90 0 70 70 NaN 70 2800 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -90 0 70 70 NaN 70 2801 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -90 0 70 70 NaN 70 2802 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -90 0 70 70 NaN 70 2803 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -90 0 70 70 NaN 70 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -555.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -555.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -5.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 420.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 420.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 410.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 410.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 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 LEANHOG 415.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 415.0 ******************************************************************************** END OF REPORT ********************************************************************************