******************************************************************************** Trades report produced on 13/06/2023 21:38 from 12/06/2023 21:38 to 13/06/2023 21:38 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3080 CHF _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:48 [1] 1.104350 3081 CHF _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:49 [-1] 1.114800 3070 CHF _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:26 [1] 1.104300 3071 CHF _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:29 [-1] 1.114700 3060 DAX _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 14:11:45 [-1] 16201.000000 3061 DAX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 14:13:50 [1] 16338.000000 3068 DOW _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:21 [1] 34224.000000 3069 DOW _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:22 [-1] 34528.000000 3067 EUR _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:20 [-1] 1.084900 3066 EUR _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:18 [1] 1.079650 3097 EUR _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:07 [-1] 1.084800 3096 EUR _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:05 [1] 1.079500 3089 EUR _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:59 [-1] 1.084750 3088 EUR _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:59 [1] 1.079450 3079 EUR _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:44 [-1] 1.084800 3078 EUR _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:43 [1] 1.079500 3090 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:00 [-1] 1.258200 3091 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:00 [1] 1.259800 3098 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:07 [-1] 1.258300 3099 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:07 [1] 1.259900 3104 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:16 [-1] 1.258400 3105 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:17 [1] 1.260000 3110 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:22 [-1] 1.258500 3131 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:02:20 [1] 1.259700 3116 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:41 [-1] 1.258500 3122 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:02:00 [-1] 1.258300 3123 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:02:01 [1] 1.259900 3126 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:02:07 [-1] 1.258200 3127 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:02:07 [1] 1.259900 3130 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:02:12 [-1] 1.258100 3083 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:55 [1] 1.259900 3111 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:23 [1] 1.260100 3082 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:50 [-1] 1.258300 3117 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:44 [1] 1.260000 3072 GBP _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:30 [-1] 1.258400 3073 GBP _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:30 [1] 1.260100 3100 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:11 [1] 0.007158 3101 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:12 [-1] 0.007260 3106 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:19 [1] 0.007158 3107 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:21 [-1] 0.007260 3113 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:26 [-1] 0.007260 3118 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:47 [1] 0.007158 3119 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:48 [-1] 0.007260 3093 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:04 [-1] 0.007261 3124 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:02:03 [1] 0.007157 3128 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:02:10 [1] 0.007157 3129 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:02:11 [-1] 0.007259 3132 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:02:23 [1] 0.007156 3133 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:02:23 [-1] 0.007258 3134 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:02:28 [1] 0.007157 3135 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:02:29 [-1] 0.007258 3062 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:06 [1] 0.007162 3063 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:07 [-1] 0.007264 3125 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:02:04 [-1] 0.007260 3092 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:03 [1] 0.007158 3112 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:26 [1] 0.007158 3084 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:57 [1] 0.007158 3075 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:33 [-1] 0.007264 3074 JPY _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:33 [1] 0.007162 3085 JPY _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:58 [-1] 0.007260 3149 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:39 [-1] 76.850000 3148 LEANHOG _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-13 15:30:39 [1] 86.050000 3147 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:34 [-1] 76.900000 3146 LEANHOG _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-13 15:30:33 [1] 86.100000 3145 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:21 [-1] 76.875000 3144 LEANHOG _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-13 15:30:20 [1] 86.075000 3143 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:18 [-1] 76.875000 3142 LEANHOG _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-13 15:30:18 [1] 86.075000 3141 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:12 [-1] 76.875000 3140 LEANHOG _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-13 15:30:12 [1] 86.100000 3137 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:02 [-1] 76.925000 3136 LEANHOG _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-13 15:30:01 [1] 86.175000 3151 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:42 [-1] 76.800000 3150 LEANHOG _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-13 15:30:41 [1] 86.000000 3138 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:30:06 [1] 385.000000 3139 SOYMEAL _ROLL_PSEUDO_STRATEGY [20231000] 2023-06-13 15:30:10 [-1] 377.100000 3095 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:05 [1] 2604.700000 3076 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:43 [-1] 2578.500000 3108 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:22 [-1] 2579.100000 3077 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:43 [1] 2603.500000 3109 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:22 [1] 2604.300000 3114 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:28 [-1] 2579.800000 3115 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:28 [1] 2605.000000 3086 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:58 [-1] 2580.500000 3087 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:59 [1] 2605.700000 3120 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:48 [-1] 2580.700000 3121 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:55 [1] 2606.000000 3094 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:04 [-1] 2579.500000 3103 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:01:13 [1] 2603.600000 3102 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:01:13 [-1] 2578.200000 3064 SP400 _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-13 15:00:09 [-1] 2578.900000 3065 SP400 _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-13 15:00:14 [1] 2604.400000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3060 DAX _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 14:11:35.057 2023-06-13 14:11:45 328295 9.943 3061 DAX _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 14:11:45.814 2023-06-13 14:13:50 328306 124.186 3068 DOW _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:21.098 2023-06-13 15:00:21 327621 NaN 3069 DOW _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:21.807 2023-06-13 15:00:22 327622 0.193 3080 CHF _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:44.697 2023-06-13 15:00:48 327645 3.303 3081 CHF _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:48.977 2023-06-13 15:00:49 327649 0.023 3070 CHF _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:22.611 2023-06-13 15:00:26 327623 3.389 3071 CHF _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:26.599 2023-06-13 15:00:29 327627 2.401 3078 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:43.880 2023-06-13 15:00:43 327644 NaN 3079 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:44.268 2023-06-13 15:00:44 327644 NaN 3088 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:59.371 2023-06-13 15:00:59 327659 NaN 3089 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:59.763 2023-06-13 15:00:59 327660 NaN 3096 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:05.372 2023-06-13 15:01:05 327665 NaN 3097 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:06.263 2023-06-13 15:01:07 327666 0.737 3066 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:14.547 2023-06-13 15:00:18 327615 3.453 3067 EUR _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:18.973 2023-06-13 15:00:20 327619 1.027 3076 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:34.114 2023-06-13 15:00:43 327634 8.886 3108 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:21.419 2023-06-13 15:01:22 327681 0.581 3077 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:43.511 2023-06-13 15:00:43 327644 NaN 3109 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:22.318 2023-06-13 15:01:22 327682 NaN 3114 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:26.525 2023-06-13 15:01:28 327687 1.475 3115 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:28.238 2023-06-13 15:01:28 327688 NaN 3086 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:58.574 2023-06-13 15:00:58 327659 NaN 3087 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:58.930 2023-06-13 15:00:59 327659 0.07 3120 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:48.912 2023-06-13 15:01:48 327709 NaN 3121 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:54.911 2023-06-13 15:01:55 327715 0.089 3094 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:04.519 2023-06-13 15:01:04 327665 NaN 3095 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:04.994 2023-06-13 15:01:05 327665 0.006 3064 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:08.235 2023-06-13 15:00:09 327608 0.765 3065 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:10.071 2023-06-13 15:00:14 327610 3.929 3102 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:13.162 2023-06-13 15:01:13 327673 NaN 3103 SP400 _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:13.600 2023-06-13 15:01:13 327674 NaN 3072 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:29.674 2023-06-13 15:00:30 327630 0.326 3073 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:30.598 2023-06-13 15:00:30 327631 NaN 3082 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:49.415 2023-06-13 15:00:50 327649 0.585 3083 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:50.695 2023-06-13 15:00:55 327651 4.305 3090 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:00.197 2023-06-13 15:01:00 327660 NaN 3091 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:00.910 2023-06-13 15:01:00 327661 NaN 3098 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:07.328 2023-06-13 15:01:07 327667 NaN 3099 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:07.721 2023-06-13 15:01:07 327668 NaN 3104 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:13.945 2023-06-13 15:01:16 327674 2.055 3105 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:16.831 2023-06-13 15:01:17 327677 0.169 3110 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:22.754 2023-06-13 15:01:22 327683 NaN 3111 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:23.149 2023-06-13 15:01:23 327683 NaN 3116 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:30.933 2023-06-13 15:01:41 327691 10.067 3117 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:42.195 2023-06-13 15:01:44 327702 1.805 3122 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:00.889 2023-06-13 15:02:00 327721 NaN 3123 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:01.255 2023-06-13 15:02:01 327721 NaN 3126 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:04.420 2023-06-13 15:02:07 327724 2.58 3127 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:07.371 2023-06-13 15:02:07 327727 NaN 3130 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:11.647 2023-06-13 15:02:12 327732 0.353 3131 GBP _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:12.339 2023-06-13 15:02:20 327732 7.661 3074 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:33.171 2023-06-13 15:00:33 327633 NaN 3075 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:33.619 2023-06-13 15:00:33 327634 NaN 3084 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:57.736 2023-06-13 15:00:57 327658 NaN 3085 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:58.152 2023-06-13 15:00:58 327658 NaN 3092 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:03.281 2023-06-13 15:01:03 327663 NaN 3093 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:03.729 2023-06-13 15:01:04 327664 0.271 3100 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:10.100 2023-06-13 15:01:11 327670 0.9 3101 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:11.382 2023-06-13 15:01:12 327671 0.618 3106 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:19.262 2023-06-13 15:01:19 327679 NaN 3107 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:19.658 2023-06-13 15:01:21 327680 1.342 3112 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:25.515 2023-06-13 15:01:26 327686 0.485 3113 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:26.213 2023-06-13 15:01:26 327686 NaN 3118 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:47.158 2023-06-13 15:01:47 327707 NaN 3119 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:01:47.544 2023-06-13 15:01:48 327708 0.456 3124 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:03.437 2023-06-13 15:02:03 327723 NaN 3125 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:03.847 2023-06-13 15:02:04 327724 0.153 3128 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:09.866 2023-06-13 15:02:10 327730 0.134 3129 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:11.194 2023-06-13 15:02:11 327731 NaN 3132 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:23.001 2023-06-13 15:02:23 327743 NaN 3133 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:23.302 2023-06-13 15:02:23 327743 NaN 3134 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:25.491 2023-06-13 15:02:28 327745 2.509 3135 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:02:29.174 2023-06-13 15:02:29 327749 NaN 3062 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:01.364 2023-06-13 15:00:06 327601 4.636 3063 JPY _ROLL_PSEUDO_STRATEGY 2023-06-09 20:00:00 2023-06-13 15:00:07.415 2023-06-13 15:00:07 327607 NaN 3138 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:03.555 2023-06-13 15:30:06 333004 2.445 3139 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:06.838 2023-06-13 15:30:10 333007 3.162 3136 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:00.450 2023-06-13 15:30:01 333000 0.55 3137 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:01.638 2023-06-13 15:30:02 333002 0.362 3140 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:12.206 2023-06-13 15:30:12 333012 NaN 3141 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:12.618 2023-06-13 15:30:12 333013 NaN 3142 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:15.290 2023-06-13 15:30:18 333015 2.71 3143 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:18.493 2023-06-13 15:30:18 333018 NaN 3144 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:20.910 2023-06-13 15:30:20 333021 NaN 3145 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:21.305 2023-06-13 15:30:21 333021 NaN 3146 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:23.836 2023-06-13 15:30:33 333024 9.164 3147 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:33.898 2023-06-13 15:30:34 333034 0.102 3148 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:36.046 2023-06-13 15:30:39 333036 2.954 3149 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:39.303 2023-06-13 15:30:39 333039 NaN 3150 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:41.841 2023-06-13 15:30:41 333042 NaN 3151 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-06-09 19:00:00 2023-06-13 15:30:42.166 2023-06-13 15:30:42 333042 NaN ========================================================================================================================================================================================================================================== 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 3060 DAX _ROLL_PSEUDO_STRATEGY [-1] 15978 None 16200.5 16200 16201 16201 16201 222.5 -0.5 1 -0 NaN 0.5 3061 DAX _ROLL_PSEUDO_STRATEGY [1] 16113 None 16341.5 16345 16338 16338 16338 -228.5 -3.5 7 0 NaN 3.5 3068 DOW _ROLL_PSEUDO_STRATEGY [1] 33892 None 34222.5 34224 34221 34221 34224 -330.5 -1.5 0 -3 NaN -1.5 3069 DOW _ROLL_PSEUDO_STRATEGY [-1] 34193 None 34529 34528 34530 34530 34528 336 -1 -0 -2 NaN -1 3080 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1085 None 1.10425 1.1043 1.1042 1.1042 1.10435 0.00425 -5e-05 -5e-05 -0.00015 NaN -0.0001 3081 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.11895 None 1.11475 1.1147 1.1148 1.1148 1.1148 -0.0042 -5e-05 0.0001 -0 NaN 5e-05 3070 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1085 None 1.10418 1.1042 1.10415 1.10415 1.1043 0.004325 -2.5e-05 -0.0001 -0.00015 NaN -0.000125 3071 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.11895 None 1.1148 1.11475 1.11485 1.11485 1.1147 -0.00415 -5e-05 -5e-05 -0.00015 NaN -0.0001 3078 EUR _ROLL_PSEUDO_STRATEGY [1] 1.07535 None 1.07963 1.07965 1.0796 1.0796 1.0795 -0.004275 -2.5e-05 0.00015 0.0001 NaN 0.000125 3079 EUR _ROLL_PSEUDO_STRATEGY [-1] 1.08075 None 1.08493 1.0849 1.08495 1.08495 1.0848 0.004175 -2.5e-05 -0.0001 -0.00015 NaN -0.000125 3088 EUR _ROLL_PSEUDO_STRATEGY [1] 1.07535 None 1.07947 1.0795 1.07945 1.07945 1.07945 -0.004125 -2.5e-05 5e-05 0 NaN 2.5e-05 3089 EUR _ROLL_PSEUDO_STRATEGY [-1] 1.08075 None 1.08482 1.0848 1.08485 1.08485 1.08475 0.004075 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 3096 EUR _ROLL_PSEUDO_STRATEGY [1] 1.07535 None 1.07943 1.07945 1.0794 1.0794 1.0795 -0.004075 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 3097 EUR _ROLL_PSEUDO_STRATEGY [-1] 1.08075 None 1.08478 1.08475 1.0848 1.0848 1.0848 0.004025 -2.5e-05 5e-05 -0 NaN 2.5e-05 3066 EUR _ROLL_PSEUDO_STRATEGY [1] 1.07535 None 1.07957 1.0796 1.07955 1.07955 1.07965 -0.004225 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 3067 EUR _ROLL_PSEUDO_STRATEGY [-1] 1.08075 None 1.08498 1.08495 1.085 1.085 1.0849 0.004225 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 3076 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2579.3 2578.9 2579.7 2579.7 2578.5 36.3 -0.4 -0.4 -1.2 NaN -0.8 3108 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2578.65 2578.2 2579.1 2579.1 2579.1 35.65 -0.45 0.9 -4.54747e-13 NaN 0.45 3077 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2604 2604.4 2603.6 2603.6 2603.5 -37.5 -0.4 0.9 0.1 NaN 0.5 3109 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2603.25 2603.6 2602.9 2602.9 2604.3 -36.75 -0.35 -0.7 -1.4 NaN -1.05 3114 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2579.45 2579.1 2579.8 2579.8 2579.8 36.45 -0.35 0.7 -0 NaN 0.35 3115 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2603.95 2604.3 2603.6 2603.6 2605 -37.45 -0.35 -0.7 -1.4 NaN -1.05 3086 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2578.85 2578.5 2579.2 2579.2 2580.5 35.85 -0.35 2 1.3 NaN 1.65 3087 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2603.2 2603.5 2602.9 2602.9 2605.7 -36.7 -0.3 -2.2 -2.8 NaN -2.5 3120 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2580.3 2580 2580.6 2580.6 2580.7 37.3 -0.3 0.7 0.1 NaN 0.4 3121 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2604.7 2605 2604.4 2604.4 2606 -38.2 -0.3 -1 -1.6 NaN -1.3 3094 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2580.65 2580.2 2581.1 2581.1 2579.5 37.65 -0.45 -0.7 -1.6 NaN -1.15 3095 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2605.3 2605.7 2604.9 2604.9 2604.7 -38.8 -0.4 1 0.2 NaN 0.6 3064 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2579.65 2579.3 2580 2580 2578.9 36.65 -0.35 -0.4 -1.1 NaN -0.75 3065 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2603.75 2604.2 2603.3 2603.3 2604.4 -37.25 -0.45 -0.2 -1.1 NaN -0.65 3102 SP400 _ROLL_PSEUDO_STRATEGY [-1] 2543 None 2579.9 2579.5 2580.3 2580.3 2578.2 36.9 -0.4 -1.3 -2.1 NaN -1.7 3103 SP400 _ROLL_PSEUDO_STRATEGY [1] 2566.5 None 2604.3 2604.7 2603.9 2603.9 2603.6 -37.8 -0.4 1.1 0.3 NaN 0.7 3072 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25855 1.2585 1.2586 1.2586 1.2584 0.00065 -5e-05 -0.0001 -0.0002 NaN -0.00015 3073 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.26005 1.2601 1.26 1.26 1.2601 -0.00045 -5e-05 0 -0.0001 NaN -5e-05 3082 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25845 1.2584 1.2585 1.2585 1.2583 0.00055 -5e-05 -0.0001 -0.0002 NaN -0.00015 3083 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.26 1.2601 1.2599 1.2599 1.2599 -0.0004 -0.0001 0.0002 0 NaN 0.0001 3090 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25835 1.2583 1.2584 1.2584 1.2582 0.00045 -5e-05 -0.0001 -0.0002 NaN -0.00015 3091 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.25995 1.26 1.2599 1.2599 1.2598 -0.00035 -5e-05 0.0002 0.0001 NaN 0.00015 3098 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25825 1.2582 1.2583 1.2583 1.2583 0.00035 -5e-05 0.0001 -0 NaN 5e-05 3099 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.2598 1.2599 1.2597 1.2597 1.2599 -0.0002 -0.0001 0 -0.0002 NaN -0.0001 3104 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25835 1.2583 1.2584 1.2584 1.2584 0.00045 -5e-05 0.0001 -0 NaN 5e-05 3105 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.25985 1.2599 1.2598 1.2598 1.26 -0.00025 -5e-05 -0.0001 -0.0002 NaN -0.00015 3110 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.2584 1.2583 1.2585 1.2585 1.2585 0.0005 -0.0001 0.0002 -0 NaN 0.0001 3111 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.25995 1.26 1.2599 1.2599 1.2601 -0.00035 -5e-05 -0.0001 -0.0002 NaN -0.00015 3116 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25855 1.2585 1.2586 1.2586 1.2585 0.00065 -5e-05 -0 -0.0001 NaN -5e-05 3117 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.26005 1.2601 1.26 1.26 1.26 -0.00045 -5e-05 0.0001 0 NaN 5e-05 3122 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25855 1.2585 1.2586 NaN 1.2583 0.00065 -5e-05 -0.0002 NaN NaN -0.00025 3123 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.26 1.2601 1.2599 1.2599 1.2599 -0.0004 -0.0001 0.0002 0 NaN 0.0001 3126 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.2583 1.2582 1.2584 1.2584 1.2582 0.0004 -0.0001 -0 -0.0002 NaN -0.0001 3127 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.25985 1.2599 1.2598 NaN 1.2599 -0.00025 -5e-05 0 NaN NaN -5e-05 3130 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2579 None 1.25825 1.2582 1.2583 1.2583 1.2581 0.00035 -5e-05 -0.0001 -0.0002 NaN -0.00015 3131 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2596 None 1.25975 1.2598 1.2597 1.2597 1.2597 -0.00015 -5e-05 0.0001 0 NaN 5e-05 3074 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.007161 0.0071615 0.0071605 0.0071605 0.007162 2.15e-05 -5e-07 -5e-07 -1.5e-06 NaN -1e-06 3075 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.0072635 0.007263 0.007264 0.007264 0.007264 -2.25e-05 -5e-07 1e-06 -0 NaN 5e-07 3084 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00716125 0.0071615 0.007161 0.007161 0.007158 2.125e-05 -2.5e-07 3.5e-06 3e-06 NaN 3.25e-06 3085 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.00726375 0.0072635 0.007264 0.007264 0.00726 -2.225e-05 -2.5e-07 -3.5e-06 -4e-06 NaN -3.75e-06 3092 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715725 0.0071575 0.007157 0.007157 0.007158 2.525e-05 -2.5e-07 -5e-07 -1e-06 NaN -7.5e-07 3093 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.00726 0.0072595 0.0072605 0.0072605 0.007261 -2.6e-05 -5e-07 1.5e-06 5e-07 NaN 1e-06 3100 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715775 0.007158 0.0071575 0.0071575 0.007158 2.475e-05 -2.5e-07 0 -5e-07 NaN -2.5e-07 3101 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.00726025 0.00726 0.0072605 0.0072605 0.00726 -2.575e-05 -2.5e-07 -0 -5e-07 NaN -2.5e-07 3106 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715775 0.007158 0.0071575 0.0071575 0.007158 2.475e-05 -2.5e-07 0 -5e-07 NaN -2.5e-07 3107 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.00725975 0.0072595 0.00726 0.00726 0.00726 -2.625e-05 -2.5e-07 5e-07 -0 NaN 2.5e-07 3112 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715725 0.0071575 0.007157 0.007157 0.007158 2.525e-05 -2.5e-07 -5e-07 -1e-06 NaN -7.5e-07 3113 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.00726025 0.00726 0.0072605 NaN 0.00726 -2.575e-05 -2.5e-07 -0 NaN NaN -2.5e-07 3118 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715775 0.007158 0.0071575 0.0071575 0.007158 2.475e-05 -2.5e-07 0 -5e-07 NaN -2.5e-07 3119 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.0072595 0.007259 0.00726 0.00726 0.00726 -2.65e-05 -5e-07 1e-06 -0 NaN 5e-07 3124 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715725 0.0071575 0.007157 0.007157 0.007157 2.525e-05 -2.5e-07 5e-07 -8.67362e-19 NaN 2.5e-07 3125 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.00725925 0.007259 0.0072595 0.0072595 0.00726 -2.675e-05 -2.5e-07 1e-06 5e-07 NaN 7.5e-07 3128 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715675 0.007157 0.0071565 0.0071565 0.007157 2.575e-05 -2.5e-07 0 -5e-07 NaN -2.5e-07 3129 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.007259 0.0072585 0.0072595 0.0072595 0.007259 -2.7e-05 -5e-07 5e-07 -5e-07 NaN 0 3132 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715625 0.0071565 0.007156 NaN 0.007156 2.625e-05 -2.5e-07 5e-07 NaN NaN 2.5e-07 3133 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.007258 0.0072575 0.0072585 0.0072585 0.007258 -2.8e-05 -5e-07 5e-07 -5e-07 NaN -8.67362e-19 3134 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00715575 0.007156 0.0071555 0.0071555 0.007157 2.675e-05 -2.5e-07 -1e-06 -1.5e-06 NaN -1.25e-06 3135 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.00725875 0.0072585 0.007259 NaN 0.007258 -2.725e-05 -2.5e-07 -5e-07 NaN NaN -7.5e-07 3062 JPY _ROLL_PSEUDO_STRATEGY [1] 0.0071825 None 0.00716075 0.007161 0.0071605 0.0071605 0.007162 2.175e-05 -2.5e-07 -1e-06 -1.5e-06 NaN -1.25e-06 3063 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.007286 None 0.0072635 0.007263 0.007264 0.007264 0.007264 -2.25e-05 -5e-07 1e-06 -0 NaN 5e-07 3138 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 378.4 None 384.8 384.9 384.7 384.7 385 -6.4 -0.1 -0.1 -0.3 NaN -0.2 3139 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 368.2 None 377.3 377.2 377.4 377.4 377.1 9.1 -0.1 -0.1 -0.3 NaN -0.2 3136 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 84.2 None 86.1375 86.175 86.1 86.1 86.175 -1.9375 -0.0375 0 -0.075 NaN -0.0375 3137 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 75.7 None 76.9625 76.925 77 77 76.925 1.2625 -0.0375 -0 -0.075 NaN -0.0375 3140 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 84.2 None 85 85 85 85 86.1 -0.8 0 -1.1 -1.1 NaN -1.1 3141 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 75.7 None 77.2125 76.925 77.5 77.5 76.875 1.5125 -0.2875 -0.05 -0.625 NaN -0.3375 3142 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 84.2 None 86.0875 86.1 86.075 86.075 86.075 -1.8875 -0.0125 0.025 0 NaN 0.0125 3143 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 75.7 None 77.1875 76.875 77.5 77.5 76.875 1.4875 -0.3125 -0 -0.625 NaN -0.3125 3144 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 84.2 None 85.5375 86.075 85 NaN 86.075 -1.3375 -0.5375 0 NaN NaN -0.5375 3145 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 75.7 None 77.1875 76.875 77.5 77.5 76.875 1.4875 -0.3125 -0 -0.625 NaN -0.3125 3146 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 84.2 None 86.0625 86.075 86.05 86.05 86.1 -1.8625 -0.0125 -0.025 -0.05 NaN -0.0375 3147 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 75.7 None 77.1875 76.875 77.5 77.5 76.9 1.4875 -0.3125 0.025 -0.6 NaN -0.2875 3148 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 84.2 None 86.075 86.1 86.05 86.05 86.05 -1.875 -0.025 0.05 0 NaN 0.025 3149 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 75.7 None 77.2 76.9 77.5 77.5 76.85 1.5 -0.3 -0.05 -0.65 NaN -0.35 3150 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 84.2 None 85.975 86 85.95 NaN 86 -1.775 -0.025 0 NaN NaN -0.025 3151 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 75.7 None 77.5 77.5 77.5 77.5 76.8 1.8 -0 -0.7 -0.7 NaN -0.7 ==================================================================================================================================================================== 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 3060 DAX _ROLL_PSEUDO_STRATEGY [-1] 2296.02 969.07 -2.17768 4.35537 -0 NaN 2.17768 3061 DAX _ROLL_PSEUDO_STRATEGY [1] 2296.02 -995.202 -15.2438 30.4876 0 NaN 15.2438 3068 DOW _ROLL_PSEUDO_STRATEGY [1] 4342.74 -761.04 -3.45404 0 -6.90808 NaN -3.45404 3069 DOW _ROLL_PSEUDO_STRATEGY [-1] 4342.74 773.705 -2.30269 -0 -4.60538 NaN -2.30269 3080 CHF _ROLL_PSEUDO_STRATEGY [1] 0.0870861 488.023 -5.74144 -5.74144 -17.2243 NaN -11.4829 3081 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.0870861 -482.281 -5.74144 11.4829 -0 NaN 5.74144 3070 CHF _ROLL_PSEUDO_STRATEGY [1] 0.0870861 496.635 -2.87072 -11.4829 -17.2243 NaN -14.3536 3071 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.0870861 -476.54 -5.74144 -5.74144 -17.2243 NaN -11.4829 3078 EUR _ROLL_PSEUDO_STRATEGY [1] 0.074133 -576.666 -3.37232 20.2339 13.4893 NaN 16.8616 3079 EUR _ROLL_PSEUDO_STRATEGY [-1] 0.074133 563.177 -3.37232 -13.4893 -20.2339 NaN -16.8616 3088 EUR _ROLL_PSEUDO_STRATEGY [1] 0.074133 -556.432 -3.37232 6.74463 0 NaN 3.37232 3089 EUR _ROLL_PSEUDO_STRATEGY [-1] 0.074133 549.687 -3.37232 -6.74463 -13.4893 NaN -10.1169 3096 EUR _ROLL_PSEUDO_STRATEGY [1] 0.074133 -549.687 -3.37232 -6.74463 -13.4893 NaN -10.1169 3097 EUR _ROLL_PSEUDO_STRATEGY [-1] 0.074133 542.943 -3.37232 6.74463 -0 NaN 3.37232 3066 EUR _ROLL_PSEUDO_STRATEGY [1] 0.074133 -569.921 -3.37232 -6.74463 -13.4893 NaN -10.1169 3067 EUR _ROLL_PSEUDO_STRATEGY [-1] 0.074133 569.921 -3.37232 -6.74463 -13.4893 NaN -10.1169 3076 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 711.309 -7.83812 -7.83812 -23.5143 NaN -15.6762 3108 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 698.572 -8.81788 17.6358 -8.91091e-12 NaN 8.81788 3077 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -734.823 -7.83812 17.6358 1.95953 NaN 9.79765 3109 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -720.127 -6.85835 -13.7167 -27.4334 NaN -20.5751 3114 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 714.248 -6.85835 13.7167 -0 NaN 6.85835 3115 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -733.844 -6.85835 -13.7167 -27.4334 NaN -20.5751 3086 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 702.491 -6.85835 39.1906 25.4739 NaN 32.3322 3087 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -719.147 -5.87859 -43.1096 -54.8668 NaN -48.9882 3120 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 730.904 -5.87859 13.7167 1.95953 NaN 7.83812 3121 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -748.54 -5.87859 -19.5953 -31.3525 NaN -25.4739 3094 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 737.763 -8.81788 -13.7167 -31.3525 NaN -22.5346 3095 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -760.297 -7.83812 19.5953 3.91906 NaN 11.7572 3064 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 718.167 -6.85835 -7.83812 -21.5548 NaN -14.6965 3065 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -729.925 -8.81788 -3.91906 -21.5548 NaN -12.7369 3102 SP400 _ROLL_PSEUDO_STRATEGY [-1] 510.327 723.066 -7.83812 -25.4739 -41.1501 NaN -33.312 3103 SP400 _ROLL_PSEUDO_STRATEGY [1] 510.327 -740.702 -7.83812 21.5548 5.87859 NaN 13.7167 3072 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 63.1811 -4.86008 -9.72017 -19.4403 NaN -14.5803 3073 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -43.7408 -4.86008 0 -9.72017 NaN -4.86008 3082 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 53.4609 -4.86008 -9.72017 -19.4403 NaN -14.5803 3083 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -38.8807 -9.72017 19.4403 0 NaN 9.72017 3090 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 43.7408 -4.86008 -9.72017 -19.4403 NaN -14.5803 3091 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -34.0206 -4.86008 19.4403 9.72017 NaN 14.5803 3098 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 34.0206 -4.86008 9.72017 -0 NaN 4.86008 3099 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -19.4403 -9.72017 0 -19.4403 NaN -9.72017 3104 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 43.7408 -4.86008 9.72017 -0 NaN 4.86008 3105 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -24.3004 -4.86008 -9.72017 -19.4403 NaN -14.5803 3110 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 48.6008 -9.72017 19.4403 -0 NaN 9.72017 3111 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -34.0206 -4.86008 -9.72017 -19.4403 NaN -14.5803 3116 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 63.1811 -4.86008 -0 -9.72017 NaN -4.86008 3117 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -43.7408 -4.86008 9.72017 0 NaN 4.86008 3122 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 63.1811 -4.86008 -19.4403 NaN NaN -24.3004 3123 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -38.8807 -9.72017 19.4403 0 NaN 9.72017 3126 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 38.8807 -9.72017 -0 -19.4403 NaN -9.72017 3127 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -24.3004 -4.86008 0 NaN NaN -4.86008 3130 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.102879 34.0206 -4.86008 -9.72017 -19.4403 NaN -14.5803 3131 GBP _ROLL_PSEUDO_STRATEGY [1] 0.102879 -14.5803 -4.86008 9.72017 0 NaN 4.86008 3074 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 315.506 -7.33734 -7.33734 -22.012 NaN -14.6747 3075 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -330.18 -7.33734 14.6747 -0 NaN 7.33734 3084 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 311.837 -3.66867 51.3614 44.024 NaN 47.6927 3085 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -326.512 -3.66867 -51.3614 -58.6987 NaN -55.0301 3092 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 370.536 -3.66867 -7.33734 -14.6747 NaN -11.006 3093 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -381.542 -7.33734 22.012 7.33734 NaN 14.6747 3100 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 363.198 -3.66867 0 -7.33734 NaN -3.66867 3101 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -377.873 -3.66867 -0 -7.33734 NaN -3.66867 3106 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 363.198 -3.66867 0 -7.33734 NaN -3.66867 3107 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -385.21 -3.66867 7.33734 -0 NaN 3.66867 3112 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 370.536 -3.66867 -7.33734 -14.6747 NaN -11.006 3113 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -377.873 -3.66867 -0 NaN NaN -3.66867 3118 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 363.198 -3.66867 0 -7.33734 NaN -3.66867 3119 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -388.879 -7.33734 14.6747 -0 NaN 7.33734 3124 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 370.536 -3.66867 7.33734 -1.27283e-11 NaN 3.66867 3125 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -392.548 -3.66867 14.6747 7.33734 NaN 11.006 3128 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 377.873 -3.66867 0 -7.33734 NaN -3.66867 3129 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -396.216 -7.33734 7.33734 -7.33734 NaN 0 3132 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 385.21 -3.66867 7.33734 NaN NaN 3.66867 3133 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -410.891 -7.33734 7.33734 -7.33734 NaN -1.27283e-11 3134 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 392.548 -3.66867 -14.6747 -22.012 NaN -18.3434 3135 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -399.885 -3.66867 -7.33734 NaN NaN -11.006 3062 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000681446 319.174 -3.66867 -14.6747 -22.012 NaN -18.3434 3063 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000681446 -330.18 -7.33734 14.6747 -0 NaN 7.33734 3138 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 70.7688 -904.353 -14.1305 -14.1305 -42.3915 NaN -28.261 3139 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 70.7688 1285.88 -14.1305 -14.1305 -42.3915 NaN -28.261 3136 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 29.0852 -666.147 -12.8932 0 -25.7863 NaN -12.8932 3137 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 29.0852 434.07 -12.8932 -0 -25.7863 NaN -12.8932 3140 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 29.0852 -275.054 0 -378.199 -378.199 NaN -378.199 3141 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 29.0852 520.024 -98.8476 -17.1909 -214.886 NaN -116.038 3142 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 29.0852 -648.956 -4.29772 8.59544 0 NaN 4.29772 3143 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 29.0852 511.429 -107.443 -0 -214.886 NaN -107.443 3144 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 29.0852 -459.856 -184.802 0 NaN NaN -184.802 3145 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 29.0852 511.429 -107.443 -0 -214.886 NaN -107.443 3146 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 29.0852 -640.36 -4.29772 -8.59544 -17.1909 NaN -12.8932 3147 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 29.0852 511.429 -107.443 8.59544 -206.291 NaN -98.8476 3148 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 29.0852 -644.658 -8.59544 17.1909 0 NaN 8.59544 3149 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 29.0852 515.726 -103.145 -17.1909 -223.481 NaN -120.336 3150 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 29.0852 -610.276 -8.59544 0 NaN NaN -8.59544 3151 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 29.0852 618.872 -0 -240.672 -240.672 NaN -240.672 =============================================================================================================================================================================== 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 3060 DAX _ROLL_PSEUDO_STRATEGY [-1] 1.0753 239.254 -0.53765 1.0753 -0 NaN 0.53765 3061 DAX _ROLL_PSEUDO_STRATEGY [1] 1.0753 -245.706 -3.76355 7.5271 0 NaN 3.76355 3068 DOW _ROLL_PSEUDO_STRATEGY [1] 0.5 -165.25 -0.75 0 -1.5 NaN -0.75 3069 DOW _ROLL_PSEUDO_STRATEGY [-1] 0.5 168 -0.5 -0 -1 NaN -0.5 3080 CHF _ROLL_PSEUDO_STRATEGY [1] 125000 531.25 -6.25 -6.25 -18.75 NaN -12.5 3081 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000 -525 -6.25 12.5 -0 NaN 6.25 3070 CHF _ROLL_PSEUDO_STRATEGY [1] 125000 540.625 -3.125 -12.5 -18.75 NaN -15.625 3071 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000 -518.75 -6.25 -6.25 -18.75 NaN -12.5 3078 EUR _ROLL_PSEUDO_STRATEGY [1] 125000 -534.375 -3.125 18.75 12.5 NaN 15.625 3079 EUR _ROLL_PSEUDO_STRATEGY [-1] 125000 521.875 -3.125 -12.5 -18.75 NaN -15.625 3088 EUR _ROLL_PSEUDO_STRATEGY [1] 125000 -515.625 -3.125 6.25 0 NaN 3.125 3089 EUR _ROLL_PSEUDO_STRATEGY [-1] 125000 509.375 -3.125 -6.25 -12.5 NaN -9.375 3096 EUR _ROLL_PSEUDO_STRATEGY [1] 125000 -509.375 -3.125 -6.25 -12.5 NaN -9.375 3097 EUR _ROLL_PSEUDO_STRATEGY [-1] 125000 503.125 -3.125 6.25 -0 NaN 3.125 3066 EUR _ROLL_PSEUDO_STRATEGY [1] 125000 -528.125 -3.125 -6.25 -12.5 NaN -9.375 3067 EUR _ROLL_PSEUDO_STRATEGY [-1] 125000 528.125 -3.125 -6.25 -12.5 NaN -9.375 3076 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3630 -40 -40 -120 NaN -80 3108 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3565 -45 90 -4.54747e-11 NaN 45 3077 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3750 -40 90 10 NaN 50 3109 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3675 -35 -70 -140 NaN -105 3114 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3645 -35 70 -0 NaN 35 3115 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3745 -35 -70 -140 NaN -105 3086 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3585 -35 200 130 NaN 165 3087 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3670 -30 -220 -280 NaN -250 3120 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3730 -30 70 10 NaN 40 3121 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3820 -30 -100 -160 NaN -130 3094 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3765 -45 -70 -160 NaN -115 3095 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3880 -40 100 20 NaN 60 3064 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3665 -35 -40 -110 NaN -75 3065 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3725 -45 -20 -110 NaN -65 3102 SP400 _ROLL_PSEUDO_STRATEGY [-1] 100 3690 -40 -130 -210 NaN -170 3103 SP400 _ROLL_PSEUDO_STRATEGY [1] 100 -3780 -40 110 30 NaN 70 3072 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 40.625 -3.125 -6.25 -12.5 NaN -9.375 3073 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -28.125 -3.125 0 -6.25 NaN -3.125 3082 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 34.375 -3.125 -6.25 -12.5 NaN -9.375 3083 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -25 -6.25 12.5 0 NaN 6.25 3090 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 28.125 -3.125 -6.25 -12.5 NaN -9.375 3091 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -21.875 -3.125 12.5 6.25 NaN 9.375 3098 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 21.875 -3.125 6.25 -0 NaN 3.125 3099 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -12.5 -6.25 0 -12.5 NaN -6.25 3104 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 28.125 -3.125 6.25 -0 NaN 3.125 3105 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -15.625 -3.125 -6.25 -12.5 NaN -9.375 3110 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 31.25 -6.25 12.5 -0 NaN 6.25 3111 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -21.875 -3.125 -6.25 -12.5 NaN -9.375 3116 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 40.625 -3.125 -0 -6.25 NaN -3.125 3117 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -28.125 -3.125 6.25 0 NaN 3.125 3122 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 40.625 -3.125 -12.5 NaN NaN -15.625 3123 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -25 -6.25 12.5 0 NaN 6.25 3126 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 25 -6.25 -0 -12.5 NaN -6.25 3127 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -15.625 -3.125 0 NaN NaN -3.125 3130 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500 21.875 -3.125 -6.25 -12.5 NaN -9.375 3131 GBP _ROLL_PSEUDO_STRATEGY [1] 62500 -9.375 -3.125 6.25 0 NaN 3.125 3074 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 268.75 -6.25 -6.25 -18.75 NaN -12.5 3075 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -281.25 -6.25 12.5 -0 NaN 6.25 3084 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 265.625 -3.125 43.75 37.5 NaN 40.625 3085 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -278.125 -3.125 -43.75 -50 NaN -46.875 3092 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 315.625 -3.125 -6.25 -12.5 NaN -9.375 3093 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -325 -6.25 18.75 6.25 NaN 12.5 3100 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 309.375 -3.125 0 -6.25 NaN -3.125 3101 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -321.875 -3.125 -0 -6.25 NaN -3.125 3106 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 309.375 -3.125 0 -6.25 NaN -3.125 3107 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -328.125 -3.125 6.25 -0 NaN 3.125 3112 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 315.625 -3.125 -6.25 -12.5 NaN -9.375 3113 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -321.875 -3.125 -0 NaN NaN -3.125 3118 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 309.375 -3.125 0 -6.25 NaN -3.125 3119 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -331.25 -6.25 12.5 -0 NaN 6.25 3124 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 315.625 -3.125 6.25 -1.0842e-11 NaN 3.125 3125 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -334.375 -3.125 12.5 6.25 NaN 9.375 3128 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 321.875 -3.125 0 -6.25 NaN -3.125 3129 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -337.5 -6.25 6.25 -6.25 NaN 0 3132 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 328.125 -3.125 6.25 NaN NaN 3.125 3133 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -350 -6.25 6.25 -6.25 NaN -1.0842e-11 3134 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 334.375 -3.125 -12.5 -18.75 NaN -15.625 3135 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -340.625 -3.125 -6.25 NaN NaN -9.375 3062 JPY _ROLL_PSEUDO_STRATEGY [1] 1.25e+07 271.875 -3.125 -12.5 -18.75 NaN -15.625 3063 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -281.25 -6.25 12.5 -0 NaN 6.25 3138 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 100 -640 -10 -10 -30 NaN -20 3139 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 100 910 -10 -10 -30 NaN -20 3136 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -775 -15 0 -30 NaN -15 3137 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 505 -15 -0 -30 NaN -15 3140 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -320 0 -440 -440 NaN -440 3141 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 605 -115 -20 -250 NaN -135 3142 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -755 -5 10 0 NaN 5 3143 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 595 -125 -0 -250 NaN -125 3144 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -535 -215 0 NaN NaN -215 3145 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 595 -125 -0 -250 NaN -125 3146 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -745 -5 -10 -20 NaN -15 3147 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 595 -125 10 -240 NaN -115 3148 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -750 -10 20 0 NaN 10 3149 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 600 -120 -20 -260 NaN -140 3150 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -710 -10 0 NaN NaN -10 3151 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 720 -0 -280 -280 NaN -280 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF 28.1250 DAX -6.4518 DOW 2.7500 EUR -25.0000 GBP 109.3750 JPY -165.6250 LEANHOG -375.0000 SOYMEAL 270.0000 SP400 -770.0000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -931.8268 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF -21.8750 DAX -4.3012 DOW -1.2500 EUR -25.0000 GBP -78.1250 JPY -96.8750 LEANHOG -885.0000 SOYMEAL -20.0000 SP400 -600.0000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -1732.4262 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF -12.5000 DAX 8.6024 DOW 0.0000 EUR -6.2500 GBP 25.0000 JPY 50.0000 LEANHOG -730.0000 SOYMEAL -20.0000 SP400 -30.0000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -715.1476 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF -56.25 DAX 0.00 DOW -2.50 EUR -56.25 GBP -106.25 JPY -125.00 LEANHOG -2050.00 SOYMEAL -60.00 SP400 -1230.00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -3686.25 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF 0 DAX 0 DOW 0 EUR 0 GBP 0 JPY 0 LEANHOG 0 SOYMEAL 0 SP400 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 CHF -34.3750 DAX 4.3012 DOW -1.2500 EUR -31.2500 GBP -53.1250 JPY -46.8750 LEANHOG -1615.0000 SOYMEAL -40.0000 SP400 -630.0000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -2447.5738 ******************************************************************************** END OF REPORT ********************************************************************************