******************************************************************************** Trades report produced on 27/07/2023 21:38 from 26/07/2023 21:38 to 27/07/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3918 GASOLINE _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:09 [-1] 2.5927 3919 GASOLINE _ROLL_PSEUDO_STRATEGY [20231100] 2023-07-27 14:00:10 [1] 2.4780 3922 GASOLINE _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:16 [-1] 2.5925 3923 GASOLINE _ROLL_PSEUDO_STRATEGY [20231100] 2023-07-27 14:00:17 [1] 2.4765 3926 GASOLINE _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:24 [-1] 2.5923 3927 GASOLINE _ROLL_PSEUDO_STRATEGY [20231100] 2023-07-27 14:00:25 [1] 2.4764 3930 GASOLINE _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:39 [-1] 2.5920 3931 GASOLINE _ROLL_PSEUDO_STRATEGY [20231100] 2023-07-27 14:00:45 [1] 2.4759 3934 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:50 [1] 1959.6000 3941 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:05 [-1] 1978.5000 3942 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:07 [1] 1958.9000 3943 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:08 [-1] 1978.3000 3944 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:10 [1] 1958.8000 3945 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:11 [-1] 1978.2000 3946 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:13 [1] 1958.6000 3951 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:21 [-1] 1978.4000 3948 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:16 [1] 1958.9000 3949 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:18 [-1] 1978.5000 3950 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:20 [1] 1958.9000 3940 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:03 [1] 1959.0000 3952 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:24 [1] 1958.5000 3953 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:24 [-1] 1978.0000 3947 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:14 [-1] 1978.0000 3939 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:01 [-1] 1978.8000 3955 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:01:28 [-1] 1977.9000 3937 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:54 [-1] 1979.0000 3916 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:05 [1] 1960.2000 3917 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:06 [-1] 1979.3000 3920 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:13 [1] 1959.9000 3921 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:16 [-1] 1979.3000 3924 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:19 [1] 1960.1000 3938 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:56 [1] 1959.4000 3925 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:20 [-1] 1979.5000 3929 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:38 [-1] 1978.7000 3932 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:47 [1] 1959.9000 3933 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:47 [-1] 1979.3000 3954 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:01:27 [1] 1958.5000 3935 GOLD_micro _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:50 [-1] 1979.2000 3936 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:53 [1] 1959.5000 3928 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-27 14:00:38 [1] 1959.2000 3915 SUGAR11 _ROLL_PSEUDO_STRATEGY [20240300] 2023-07-27 14:00:03 [1] 24.3400 3914 SUGAR11 _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-27 14:00:02 [-1] 24.0500 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3914 SUGAR11 _ROLL_PSEUDO_STRATEGY 2023-07-26 17:00:00 2023-07-27 14:00:01.688 2023-07-27 14:00:02 75601.7 0.312 3915 SUGAR11 _ROLL_PSEUDO_STRATEGY 2023-07-26 17:00:00 2023-07-27 14:00:03.152 2023-07-27 14:00:03 75603.2 NaN 3918 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:07.031 2023-07-27 14:00:09 64807 1.969 3919 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:09.792 2023-07-27 14:00:10 64809.8 0.208 3922 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:16.496 2023-07-27 14:00:16 64816.5 NaN 3923 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:17.054 2023-07-27 14:00:17 64817.1 NaN 3926 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:20.725 2023-07-27 14:00:24 64820.7 3.275 3927 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:25.139 2023-07-27 14:00:25 64825.1 NaN 3930 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:38.980 2023-07-27 14:00:39 64839 0.02 3931 GASOLINE _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:40.000 2023-07-27 14:00:45 64840 5 3916 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:04.558 2023-07-27 14:00:05 64804.6 0.442 3917 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:05.951 2023-07-27 14:00:06 64806 0.049 3920 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:12.775 2023-07-27 14:00:13 64812.8 0.225 3921 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:13.604 2023-07-27 14:00:16 64813.6 2.396 3924 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:18.877 2023-07-27 14:00:19 64818.9 0.123 3925 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:20.220 2023-07-27 14:00:20 64820.2 NaN 3928 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:37.607 2023-07-27 14:00:38 64837.6 0.393 3929 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:38.398 2023-07-27 14:00:38 64838.4 NaN 3932 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:46.926 2023-07-27 14:00:47 64846.9 0.074 3933 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:47.607 2023-07-27 14:00:47 64847.6 NaN 3934 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:50.093 2023-07-27 14:00:50 64850.1 NaN 3935 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:50.702 2023-07-27 14:00:50 64850.7 NaN 3936 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:52.570 2023-07-27 14:00:53 64852.6 0.43 3937 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:54.292 2023-07-27 14:00:54 64854.3 NaN 3938 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:56.752 2023-07-27 14:00:56 64856.8 NaN 3939 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:00:57.305 2023-07-27 14:01:01 64857.3 3.695 3940 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:03.456 2023-07-27 14:01:03 64863.5 NaN 3941 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:03.983 2023-07-27 14:01:05 64864 1.017 3942 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:06.956 2023-07-27 14:01:07 64867 0.044 3943 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:08.121 2023-07-27 14:01:08 64868.1 NaN 3944 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:10.873 2023-07-27 14:01:10 64870.9 NaN 3945 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:11.335 2023-07-27 14:01:11 64871.3 NaN 3946 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:13.459 2023-07-27 14:01:13 64873.5 NaN 3947 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:14.090 2023-07-27 14:01:14 64874.1 NaN 3948 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:16.556 2023-07-27 14:01:16 64876.6 NaN 3949 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:17.181 2023-07-27 14:01:18 64877.2 0.819 3950 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:20.705 2023-07-27 14:01:20 64880.7 NaN 3951 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:21.304 2023-07-27 14:01:21 64881.3 NaN 3952 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:24.114 2023-07-27 14:01:24 64884.1 NaN 3953 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:24.734 2023-07-27 14:01:24 64884.7 NaN 3954 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:27.015 2023-07-27 14:01:27 64887 NaN 3955 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-07-26 20:00:00 2023-07-27 14:01:27.661 2023-07-27 14:01:28 64887.7 0.339 ================================================================================================================================================================================================================================== 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 3914 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 24.37 None 24.055 24.05 24.06 24.06 24.05 -0.315 -0.005 -0 -0.01 NaN -0.005 3915 SUGAR11 _ROLL_PSEUDO_STRATEGY [1] 24.58 None 24.315 24.32 24.31 24.31 24.34 0.265 -0.005 -0.02 -0.03 NaN -0.025 3918 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.5659 None 2.59355 2.5931 2.594 2.594 2.5927 0.02765 -0.00045 -0.0004 -0.0013 NaN -0.00085 3919 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.4542 None 2.4757 2.4764 2.475 2.475 2.478 -0.0215 -0.0007 -0.0016 -0.003 NaN -0.0023 3922 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.5659 None 2.59325 2.5927 2.5938 2.5938 2.5925 0.02735 -0.00055 -0.0002 -0.0013 NaN -0.00075 3923 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.4542 None 2.47745 2.478 2.4769 2.4769 2.4765 -0.02325 -0.00055 0.0015 0.0004 NaN 0.00095 3926 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.5659 None 2.59295 2.5925 2.5934 2.5934 2.5923 0.02705 -0.00045 -0.0002 -0.0011 NaN -0.00065 3927 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.4542 None 2.47585 2.4765 2.4752 2.4752 2.4764 -0.02165 -0.00065 0.0001 -0.0012 NaN -0.00055 3930 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.5659 None 2.59265 2.5923 2.593 2.593 2.592 0.02675 -0.00035 -0.0003 -0.001 NaN -0.00065 3931 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.4542 None 2.47615 2.4764 2.4759 2.4759 2.4759 -0.02195 -0.00025 0.0005 0 NaN 0.00025 3916 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1959.75 1959.8 1959.7 1959.7 1960.2 14.65 -0.05 -0.4 -0.5 NaN -0.45 3917 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1979.75 1979.6 1979.9 1979.9 1979.3 -14.25 -0.15 -0.3 -0.6 NaN -0.45 3920 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1960.2 1960.3 1960.1 1960.1 1959.9 14.2 -0.1 0.4 0.2 NaN 0.3 3921 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1979.45 1979.3 1979.6 1979.6 1979.3 -14.55 -0.15 -0 -0.3 NaN -0.15 3924 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1959.85 1959.9 1959.8 1959.8 1960.1 14.55 -0.05 -0.2 -0.3 NaN -0.25 3925 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1979.4 1979.3 1979.5 1979.5 1979.5 -14.6 -0.1 0.2 -0 NaN 0.1 3928 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1960 1960.1 1959.9 1959.9 1959.2 14.4 -0.1 0.9 0.7 NaN 0.8 3929 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1979.6 1979.5 1979.7 1979.7 1978.7 -14.4 -0.1 -0.8 -1 NaN -0.9 3932 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1959.1 1959.2 1959 1959 1959.9 15.3 -0.1 -0.7 -0.9 NaN -0.8 3933 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.85 1978.7 1979 NaN 1979.3 -15.15 -0.15 0.6 NaN NaN 0.45 3934 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1959.85 1959.9 1959.8 1959.8 1959.6 14.55 -0.05 0.3 0.2 NaN 0.25 3935 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1979.35 1979.2 1979.5 1979.5 1979.2 -14.65 -0.15 -0 -0.3 NaN -0.15 3936 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1959.55 1959.6 1959.5 1959.5 1959.5 14.85 -0.05 0.1 0 NaN 0.05 3937 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1979.2 1979 1979.4 1979.4 1979 -14.8 -0.2 -0 -0.4 NaN -0.2 3938 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1959.5 1959.6 1959.4 1959.4 1959.4 14.9 -0.1 0.2 0 NaN 0.1 3939 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1979 1978.8 1979.2 1979.2 1978.8 -15 -0.2 -0 -0.4 NaN -0.2 3940 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1959.3 1959.4 1959.2 1959.2 1959 15.1 -0.1 0.4 0.2 NaN 0.3 3941 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.65 1978.5 1978.8 1978.8 1978.5 -15.35 -0.15 -0 -0.3 NaN -0.15 3942 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1958.95 1959 1958.9 1958.9 1958.9 15.45 -0.05 0.1 0 NaN 0.05 3943 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.55 1978.5 1978.6 1978.6 1978.3 -15.45 -0.05 -0.2 -0.3 NaN -0.25 3944 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1958.85 1958.9 1958.8 1958.8 1958.8 15.55 -0.05 0.1 2.27374e-13 NaN 0.05 3945 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.4 1978.3 1978.5 1978.5 1978.2 -15.6 -0.1 -0.1 -0.3 NaN -0.2 3946 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1958.7 1958.8 1958.6 1958.6 1958.6 15.7 -0.1 0.2 2.27374e-13 NaN 0.1 3947 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.1 1978 1978.2 1978.2 1978 -15.9 -0.1 -0 -0.2 NaN -0.1 3948 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1958.45 1958.5 1958.4 1958.4 1958.9 15.95 -0.05 -0.4 -0.5 NaN -0.45 3949 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.4 1978.3 1978.5 1978.5 1978.5 -15.6 -0.1 0.2 -0 NaN 0.1 3950 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1958.8 1958.9 1958.7 1958.7 1958.9 15.6 -0.1 0 -0.2 NaN -0.1 3951 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.5 1978.4 1978.6 1978.6 1978.4 -15.5 -0.1 -0 -0.2 NaN -0.1 3952 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1958.8 1958.9 1958.7 1958.7 1958.5 15.6 -0.1 0.4 0.2 NaN 0.3 3953 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.15 1978 1978.3 1978.3 1978 -15.85 -0.15 -0 -0.3 NaN -0.15 3954 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 1974.4 None 1958.45 1958.5 1958.4 1958.4 1958.5 15.95 -0.05 0 -0.1 NaN -0.05 3955 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 1994 None 1978.15 1978 1978.3 1978.3 1977.9 -15.85 -0.15 -0.1 -0.4 NaN -0.25 ================================================================================================================================================================ 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 3914 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 5.62075 -560.424 -8.89561 -0 -17.7912 NaN -8.89561 3915 SUGAR11 _ROLL_PSEUDO_STRATEGY [1] 5.62075 471.468 -8.89561 -35.5825 -53.3737 NaN -44.4781 3918 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.694661 398.036 -6.47798 -5.7582 -18.7142 NaN -12.2362 3919 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.694661 -309.503 -10.0769 -23.0328 -43.1865 NaN -33.1097 3922 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.694661 393.717 -7.91753 -2.8791 -18.7142 NaN -10.7966 3923 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.694661 -334.696 -7.91753 21.5933 5.7582 NaN 13.6757 3926 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.694661 389.399 -6.47798 -2.8791 -15.8351 NaN -9.35708 3927 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.694661 -311.663 -9.35708 1.43955 -17.2746 NaN -7.91753 3930 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.694661 385.08 -5.03843 -4.31865 -14.3955 NaN -9.35708 3931 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.694661 -315.981 -3.59888 7.19775 0 NaN 3.59888 3916 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 623.67 -2.12857 -17.0285 -21.2857 NaN -19.1571 3917 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -606.642 -6.3857 -12.7714 -25.5428 NaN -19.1571 3920 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 604.513 -4.25714 17.0285 8.51427 NaN 12.7714 3921 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -619.413 -6.3857 -0 -12.7714 NaN -6.3857 3924 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 619.413 -2.12857 -8.51427 -12.7714 NaN -10.6428 3925 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -621.542 -4.25714 8.51427 -0 NaN 4.25714 3928 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 613.027 -4.25714 38.3142 29.7999 NaN 34.0571 3929 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -613.027 -4.25714 -34.0571 -42.5714 NaN -38.3142 3932 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 651.342 -4.25714 -29.7999 -38.3142 NaN -34.0571 3933 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -644.956 -6.3857 25.5428 NaN NaN 19.1571 3934 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 619.413 -2.12857 12.7714 8.51427 NaN 10.6428 3935 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -623.67 -6.3857 -0 -12.7714 NaN -6.3857 3936 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 632.185 -2.12857 4.25714 0 NaN 2.12857 3937 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -630.056 -8.51427 -0 -17.0285 NaN -8.51427 3938 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 634.313 -4.25714 8.51427 0 NaN 4.25714 3939 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -638.57 -8.51427 -0 -17.0285 NaN -8.51427 3940 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 642.827 -4.25714 17.0285 8.51427 NaN 12.7714 3941 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -653.47 -6.3857 -0 -12.7714 NaN -6.3857 3942 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 657.727 -2.12857 4.25714 0 NaN 2.12857 3943 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -657.727 -2.12857 -8.51427 -12.7714 NaN -10.6428 3944 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 661.985 -2.12857 4.25714 9.67961e-12 NaN 2.12857 3945 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -664.113 -4.25714 -4.25714 -12.7714 NaN -8.51427 3946 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 668.37 -4.25714 8.51427 9.67961e-12 NaN 4.25714 3947 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -676.885 -4.25714 -0 -8.51427 NaN -4.25714 3948 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 679.013 -2.12857 -17.0285 -21.2857 NaN -19.1571 3949 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -664.113 -4.25714 8.51427 -0 NaN 4.25714 3950 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 664.113 -4.25714 0 -8.51427 NaN -4.25714 3951 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -659.856 -4.25714 -0 -8.51427 NaN -4.25714 3952 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 664.113 -4.25714 17.0285 8.51427 NaN 12.7714 3953 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -674.756 -6.3857 -0 -12.7714 NaN -6.3857 3954 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 234.9 679.013 -2.12857 0 -4.25714 NaN -2.12857 3955 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 234.9 -674.756 -6.3857 -4.25714 -17.0285 NaN -10.6428 =========================================================================================================================================================================== 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 3914 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 1120 -352.8 -5.6 -0 -11.2 NaN -5.6 3915 SUGAR11 _ROLL_PSEUDO_STRATEGY [1] 1120 296.8 -5.6 -22.4 -33.6 NaN -28 3918 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000 1161.3 -18.9 -16.8 -54.6 NaN -35.7 3919 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000 -903 -29.4 -67.2 -126 NaN -96.6 3922 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000 1148.7 -23.1 -8.4 -54.6 NaN -31.5 3923 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000 -976.5 -23.1 63 16.8 NaN 39.9 3926 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000 1136.1 -18.9 -8.4 -46.2 NaN -27.3 3927 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000 -909.3 -27.3 4.2 -50.4 NaN -23.1 3930 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000 1123.5 -14.7 -12.6 -42 NaN -27.3 3931 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000 -921.9 -10.5 21 0 NaN 10.5 3916 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 146.5 -0.5 -4 -5 NaN -4.5 3917 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -142.5 -1.5 -3 -6 NaN -4.5 3920 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 142 -1 4 2 NaN 3 3921 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -145.5 -1.5 -0 -3 NaN -1.5 3924 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 145.5 -0.5 -2 -3 NaN -2.5 3925 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -146 -1 2 -0 NaN 1 3928 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 144 -1 9 7 NaN 8 3929 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -144 -1 -8 -10 NaN -9 3932 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 153 -1 -7 -9 NaN -8 3933 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -151.5 -1.5 6 NaN NaN 4.5 3934 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 145.5 -0.5 3 2 NaN 2.5 3935 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -146.5 -1.5 -0 -3 NaN -1.5 3936 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 148.5 -0.5 1 0 NaN 0.5 3937 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -148 -2 -0 -4 NaN -2 3938 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 149 -1 2 0 NaN 1 3939 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -150 -2 -0 -4 NaN -2 3940 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 151 -1 4 2 NaN 3 3941 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -153.5 -1.5 -0 -3 NaN -1.5 3942 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 154.5 -0.5 1 0 NaN 0.5 3943 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -154.5 -0.5 -2 -3 NaN -2.5 3944 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 155.5 -0.5 1 2.27374e-12 NaN 0.5 3945 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -156 -1 -1 -3 NaN -2 3946 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 157 -1 2 2.27374e-12 NaN 1 3947 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -159 -1 -0 -2 NaN -1 3948 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 159.5 -0.5 -4 -5 NaN -4.5 3949 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -156 -1 2 -0 NaN 1 3950 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 156 -1 0 -2 NaN -1 3951 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -155 -1 -0 -2 NaN -1 3952 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 156 -1 4 2 NaN 3 3953 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -158.5 -1.5 -0 -3 NaN -1.5 3954 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10 159.5 -0.5 0 -1 NaN -0.5 3955 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10 -158.5 -1.5 -1 -4 NaN -2.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 858.9 GOLD_micro -2.0 SUGAR11 -56.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 800.9 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -165.9 GOLD_micro -33.0 SUGAR11 -11.2 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -210.1 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -25.2 GOLD_micro 9.0 SUGAR11 -22.4 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -38.6 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -357.0 GOLD_micro -60.0 SUGAR11 -44.8 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -461.8 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 0 GOLD_micro 0 SUGAR11 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 GASOLINE -191.1 GOLD_micro -24.0 SUGAR11 -33.6 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -248.7 ******************************************************************************** END OF REPORT ********************************************************************************