******************************************************************************** Trades report produced on 09/04/2024 21:37 from 08/04/2024 21:37 to 09/04/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11664 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-04-09 08:04:08 [1] 97.570 11661 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260300] 2024-04-09 08:00:47 [-1] 97.530 11662 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-04-09 08:02:41 [1] 97.565 11663 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260300] 2024-04-09 08:04:07 [-1] 97.535 11665 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-09 14:30:44 [1] 573.500 11666 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240900] 2024-04-09 14:30:45 [-1] 585.500 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11664 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-04-08 20:00:00 2024-04-09 09:04:07.770 2024-04-09 08:04:08 47047.77 NaN 11661 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-04-08 20:00:00 2024-04-09 09:00:39.098 2024-04-09 08:00:47 46839.098 NaN 11662 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-04-08 20:00:00 2024-04-09 09:00:48.583 2024-04-09 08:02:41 46848.583 NaN 11663 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-04-08 20:00:00 2024-04-09 09:02:45.351 2024-04-09 08:04:07 46965.351 NaN 11665 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-04-08 19:00:00 2024-04-09 15:30:44.534 2024-04-09 14:30:44 73844.534 NaN 11666 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-04-08 19:00:00 2024-04-09 15:30:45.622 2024-04-09 14:30:45 73845.622 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 11664 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.55 None 97.5625 97.565 97.56 97.56 97.57 -0.0125 -0.0025 -0.005 -0.01 NaN -0.0075 11661 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.52 None 97.5275 97.525 97.53 97.53 97.53 0.0075 -0.0025 0.005 -0.0 NaN 0.0025 11662 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.55 None 97.5675 97.57 97.565 97.565 97.565 -0.0175 -0.0025 0.005 0.0 NaN 0.0025 11663 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.52 None 97.53 97.525 97.535 97.535 97.535 0.01 -0.005 0.01 -0.0 NaN 0.005 11665 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 584.25 None 575.0 575.0 575.0 575.0 573.5 9.25 0.0 1.5 1.5 NaN 1.5 11666 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 596.25 None 585.625 585.5 585.75 585.75 585.5 -10.625 -0.125 -0.0 -0.25 NaN -0.125 =================================================================================================================================================================== 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 11664 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.925568 -135.052151 -27.01043 -54.020861 -108.041721 NaN -81.031291 11661 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.925568 81.031291 -27.01043 54.020861 -0.0 NaN 27.01043 11662 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.925568 -189.073012 -27.01043 54.020861 0.0 NaN 27.01043 11663 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.925568 108.041721 -54.020861 108.041721 -0.0 NaN 54.020861 11665 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 176.447161 524.236261 0.0 85.011286 85.011286 NaN 85.011286 11666 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 176.447161 -602.163273 -7.084274 -0.0 -14.168548 NaN -7.084274 ============================================================================================================================================================================ 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 11664 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2714.875 -33.935938 -6.787187 -13.574375 -27.14875 NaN -20.361562 11661 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2714.875 20.361563 -6.787187 13.574375 -0.0 NaN 6.787187 11662 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2714.875 -47.510312 -6.787187 13.574375 0.0 NaN 6.787187 11663 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2714.875 27.14875 -13.574375 27.14875 -0.0 NaN 13.574375 11665 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 462.5 0.0 75.0 75.0 NaN 75.0 11666 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 -531.25 -6.25 -0.0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -33.935937 REDWHEAT -68.75 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -102.685937 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -33.935937 REDWHEAT -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -40.185937 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE 40.723125 REDWHEAT 75.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 115.723125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -27.14875 REDWHEAT 62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 35.35125 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE 0 REDWHEAT 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 EURIBOR-ICE 6.787187 REDWHEAT 68.75 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 75.537187 ******************************************************************************** END OF REPORT ********************************************************************************