******************************************************************************** Trades report produced on 13/06/2024 21:38 from 12/06/2024 21:38 to 13/06/2024 21:38 ******************************************************************************** ======================================================================================================= Broker orders ======================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 13312 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:17:47.000 [1] 3.050 13311 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:11:03.000 [-1] 3.070 13309 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:04:41.000 [-1] 3.065 13308 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:03:43.000 [1] 3.030 13307 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:03:41.000 [-1] 3.050 13306 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:03:37.000 [1] 3.030 13305 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:01:41.000 [-1] 3.065 13304 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:01:13.000 [1] 3.040 13303 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:00:43.000 [-1] 3.070 13322 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:21:58.000 [1] 3.050 13310 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:10:59.000 [1] 3.050 13320 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:21:26.000 [1] 3.055 13321 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:21:58.000 [-1] 3.075 13314 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:18:34.000 [1] 3.055 13315 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:18:51.000 [-1] 3.075 13313 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:17:51.000 [-1] 3.075 13317 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:19:54.000 [-1] 3.080 13318 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:20:39.000 [1] 3.050 13319 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 13:20:52.000 [-1] 3.075 13316 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 13:18:52.000 [1] 3.055 13338 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 19:45:32.158 [0] NaN 13332 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 14:38:48.000 [-1] 15.550 13337 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:45:00.000 [1] 14.900 13336 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 14:44:04.000 [-1] 15.600 13335 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:44:03.000 [1] 14.900 13334 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 14:43:54.000 [-1] 15.600 13333 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:43:54.000 [1] 14.950 13331 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:38:47.000 [1] 14.900 13327 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 19:45:32.072 [0] NaN 13329 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:37:09.000 [1] 14.950 13328 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 14:31:04.000 [-1] 15.550 13326 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 14:20:59.000 [-1] 15.500 13325 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:20:59.000 [1] 14.800 13324 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 14:10:59.000 [-1] 15.450 13323 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:05:58.000 [1] 14.750 13339 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-13 14:56:34.000 [49] 14.950 13330 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 14:37:09.000 [-1] 15.600 13340 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-13 15:02:12.000 [-49] 15.650 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13312 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:11:03.596 2024-06-13 13:17:47.000 69063.596 NaN 13313 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:17:51.104 2024-06-13 13:17:51.000 69471.104 NaN 13314 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:17:51.684 2024-06-13 13:18:34.000 69471.684 NaN 13315 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:18:51.492 2024-06-13 13:18:51.000 69531.492 NaN 13316 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:18:52.088 2024-06-13 13:18:52.000 69532.088 NaN 13317 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:19:51.579 2024-06-13 13:19:54.000 69591.579 NaN 13318 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:19:54.647 2024-06-13 13:20:39.000 69594.647 NaN 13319 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:20:51.670 2024-06-13 13:20:52.000 69651.67 NaN 13320 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:20:52.735 2024-06-13 13:21:26.000 69652.735 NaN 13321 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:21:51.909 2024-06-13 13:21:58.000 69711.909 NaN 13322 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:21:58.518 2024-06-13 13:21:58.000 69718.518 NaN 13303 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:00:41.686 2024-06-13 13:00:43.000 68441.686 NaN 13304 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:00:44.688 2024-06-13 13:01:13.000 68444.688 NaN 13305 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:01:41.338 2024-06-13 13:01:41.000 68501.338 NaN 13306 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:01:42.122 2024-06-13 13:03:37.000 68502.122 NaN 13307 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:03:40.824 2024-06-13 13:03:41.000 68620.824 NaN 13308 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:03:41.639 2024-06-13 13:03:43.000 68621.639 NaN 13309 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:04:41.327 2024-06-13 13:04:41.000 68681.327 NaN 13310 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:04:41.971 2024-06-13 13:10:59.000 68681.971 NaN 13311 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-06-12 19:00:00 2024-06-13 14:11:02.997 2024-06-13 13:11:03.000 69062.997 NaN 13323 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:00:58.594 2024-06-13 14:05:58.000 68458.594 NaN 13324 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:05:59.891 2024-06-13 14:10:59.000 68759.891 NaN 13325 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:11:04.019 2024-06-13 14:20:59.000 69064.019 NaN 13326 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:20:59.617 2024-06-13 14:20:59.000 69659.617 NaN 13327 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:21:03.585 2024-06-13 19:45:32.072 69663.585 15868.487 13328 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:31:04.154 2024-06-13 14:31:04.000 70264.154 NaN 13329 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:31:08.170 2024-06-13 14:37:09.000 70268.17 NaN 13330 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:37:09.616 2024-06-13 14:37:09.000 70629.616 NaN 13331 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:37:13.582 2024-06-13 14:38:47.000 70633.582 NaN 13332 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:38:48.165 2024-06-13 14:38:48.000 70728.165 NaN 13333 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:38:52.131 2024-06-13 14:43:54.000 70732.131 NaN 13334 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:43:54.660 2024-06-13 14:43:54.000 71034.66 NaN 13335 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:43:58.620 2024-06-13 14:44:03.000 71038.62 NaN 13336 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:44:04.114 2024-06-13 14:44:04.000 71044.114 NaN 13337 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:44:58.687 2024-06-13 14:45:00.000 71098.687 NaN 13338 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:45:00.838 2024-06-13 19:45:32.158 71100.838 14431.32 13339 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:55:05.490 2024-06-13 14:56:34.000 71705.49 NaN 13340 VIX _ROLL_PSEUDO_STRATEGY 2024-06-12 20:00:00 2024-06-13 15:56:34.641 2024-06-13 15:02:12.000 71794.641 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 13312 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.045 3.05 3.04 3.04 3.05 0.045 -0.005 0.0 -0.01 NaN -0.005 13313 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.07 3.065 3.075 3.075 3.075 -0.045 -0.005 0.01 -0.0 NaN 0.005 13314 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.045 3.05 3.04 3.04 3.055 0.045 -0.005 -0.005 -0.015 NaN -0.01 13315 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.07 3.065 3.075 3.075 3.075 -0.045 -0.005 0.01 -0.0 NaN 0.005 13316 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.05 3.055 3.045 3.045 3.055 0.04 -0.005 0.0 -0.01 NaN -0.005 13317 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.08 3.075 3.085 3.085 3.08 -0.035 -0.005 0.005 -0.005 NaN 0.0 13318 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.0525 3.055 3.05 3.05 3.05 0.0375 -0.0025 0.005 0.0 NaN 0.0025 13319 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.0825 3.08 3.085 NaN 3.075 -0.0325 -0.0025 -0.005 NaN NaN -0.0075 13320 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.0475 3.05 3.045 3.045 3.055 0.0425 -0.0025 -0.005 -0.01 NaN -0.0075 13321 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.075 3.07 3.08 3.08 3.075 -0.04 -0.005 0.005 -0.005 NaN 0.0 13322 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.0525 3.055 3.05 3.05 3.05 0.0375 -0.0025 0.005 0.0 NaN 0.0025 13303 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.0675 3.065 3.07 3.07 3.07 -0.0475 -0.0025 0.005 -0.0 NaN 0.0025 13304 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.04 3.045 3.035 3.035 3.04 0.05 -0.005 0.005 -0.005 NaN 0.0 13305 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.0675 3.065 3.07 3.07 3.065 -0.0475 -0.0025 -0.0 -0.005 NaN -0.0025 13306 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.035 3.04 3.03 3.03 3.03 0.055 -0.005 0.01 0.0 NaN 0.005 13307 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.06 3.055 3.065 3.065 3.05 -0.055 -0.005 -0.005 -0.015 NaN -0.01 13308 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.025 3.03 3.02 3.02 3.03 0.065 -0.005 0.0 -0.01 NaN -0.005 13309 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.0525 3.05 3.055 3.055 3.065 -0.0625 -0.0025 0.015 0.01 NaN 0.0125 13310 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.09 None 3.0275 3.03 3.025 3.025 3.05 0.0625 -0.0025 -0.02 -0.025 NaN -0.0225 13311 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.115 None 3.0525 3.05 3.055 3.055 3.07 -0.0625 -0.0025 0.02 0.015 NaN 0.0175 13323 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.725 14.75 14.7 14.7 14.75 -0.025 -0.025 0.0 -0.05 NaN -0.025 13324 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.45 None 15.45 15.4 15.5 15.5 15.45 -0.0 -0.05 0.05 -0.05 NaN 0.0 13325 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.725 14.75 14.7 14.7 14.8 -0.025 -0.025 -0.05 -0.1 NaN -0.075 13326 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.45 None 15.475 15.45 15.5 15.5 15.5 0.025 -0.025 0.05 -0.0 NaN 0.025 13327 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.775 14.8 14.75 14.75 NaN -0.075 -0.025 NaN NaN NaN NaN 13328 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.45 None 15.475 15.45 15.5 15.5 15.55 0.025 -0.025 0.1 0.05 NaN 0.075 13329 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.775 14.8 14.75 14.75 14.95 -0.075 -0.025 -0.15 -0.2 NaN -0.175 13330 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.45 None 15.475 15.45 15.5 15.5 15.6 0.025 -0.025 0.15 0.1 NaN 0.125 13331 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.925 14.95 14.9 14.9 14.9 -0.225 -0.025 0.05 0.0 NaN 0.025 13332 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.45 None 15.475 15.45 15.5 15.5 15.55 0.025 -0.025 0.1 0.05 NaN 0.075 13333 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.875 14.9 14.85 14.85 14.95 -0.175 -0.025 -0.05 -0.1 NaN -0.075 13334 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.45 None 15.575 15.55 15.6 15.6 15.6 0.125 -0.025 0.05 -0.0 NaN 0.025 13335 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.925 14.95 14.9 14.9 14.9 -0.225 -0.025 0.05 0.0 NaN 0.025 13336 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.45 None 15.575 15.55 15.6 15.6 15.6 0.125 -0.025 0.05 -0.0 NaN 0.025 13337 VIX _ROLL_PSEUDO_STRATEGY [1] 14.7 None 14.925 14.95 14.9 14.9 14.9 -0.225 -0.025 0.05 0.0 NaN 0.025 13338 VIX _ROLL_PSEUDO_STRATEGY [-49] 15.45 None 15.625 15.6 15.65 15.65 NaN 0.175 -0.025 NaN NaN NaN NaN 13339 VIX _ROLL_PSEUDO_STRATEGY [49] 14.7 None 14.875 14.9 14.85 14.85 14.95 -0.175 -0.025 -0.05 -0.1 NaN -0.075 13340 VIX _ROLL_PSEUDO_STRATEGY [-49] 15.45 None 15.625 15.6 15.65 15.65 15.65 0.175 -0.025 0.05 -0.0 NaN 0.025 ==================================================================================================================================================================== 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 13312 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 246.887811 -27.431979 0.0 -54.863958 NaN -27.431979 13313 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -246.887811 -27.431979 54.863958 -0.0 NaN 27.431979 13314 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 246.887811 -27.431979 -27.431979 -82.295937 NaN -54.863958 13315 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -246.887811 -27.431979 54.863958 -0.0 NaN 27.431979 13316 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 219.455832 -27.431979 0.0 -54.863958 NaN -27.431979 13317 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -192.023853 -27.431979 27.431979 -27.431979 NaN 0.0 13318 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 205.739842 -13.715989 27.431979 0.0 NaN 13.715989 13319 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -178.307863 -13.715989 -27.431979 NaN NaN -41.147968 13320 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 233.171821 -13.715989 -27.431979 -54.863958 NaN -41.147968 13321 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -219.455832 -27.431979 27.431979 -27.431979 NaN 0.0 13322 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 205.739842 -13.715989 27.431979 0.0 NaN 13.715989 13303 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -260.6038 -13.715989 27.431979 -0.0 NaN 13.715989 13304 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 274.31979 -27.431979 27.431979 -27.431979 NaN 0.0 13305 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -260.6038 -13.715989 -0.0 -27.431979 NaN -13.715989 13306 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 301.751769 -27.431979 54.863958 0.0 NaN 27.431979 13307 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -301.751769 -27.431979 -27.431979 -82.295937 NaN -54.863958 13308 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 356.615727 -27.431979 0.0 -54.863958 NaN -27.431979 13309 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -342.899737 -13.715989 82.295937 54.863958 NaN 68.579947 13310 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.82269 342.899737 -13.715989 -109.727916 -137.159895 NaN -123.443905 13311 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.82269 -342.899737 -13.715989 109.727916 82.295937 NaN 96.011926 13323 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -54.193297 -54.193297 0.0 -108.386594 NaN -54.193297 13324 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.613117 -0.0 -108.386594 108.386594 -108.386594 NaN 0.0 13325 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -54.193297 -54.193297 -108.386594 -216.773187 NaN -162.579891 13326 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.613117 54.193297 -54.193297 108.386594 -0.0 NaN 54.193297 13327 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -162.579891 -54.193297 NaN NaN NaN NaN 13328 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.613117 54.193297 -54.193297 216.773187 108.386594 NaN 162.579891 13329 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -162.579891 -54.193297 -325.159781 -433.546375 NaN -379.353078 13330 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.613117 54.193297 -54.193297 325.159781 216.773187 NaN 270.966484 13331 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -487.739672 -54.193297 108.386594 0.0 NaN 54.193297 13332 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.613117 54.193297 -54.193297 216.773187 108.386594 NaN 162.579891 13333 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -379.353078 -54.193297 -108.386594 -216.773187 NaN -162.579891 13334 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.613117 270.966484 -54.193297 108.386594 -0.0 NaN 54.193297 13335 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -487.739672 -54.193297 108.386594 0.0 NaN 54.193297 13336 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.613117 270.966484 -54.193297 108.386594 -0.0 NaN 54.193297 13337 VIX _ROLL_PSEUDO_STRATEGY [1] 4.613117 -487.739672 -54.193297 108.386594 0.0 NaN 54.193297 13338 VIX _ROLL_PSEUDO_STRATEGY [-49] 4.613117 379.353078 -54.193297 NaN NaN NaN NaN 13339 VIX _ROLL_PSEUDO_STRATEGY [49] 4.613117 -379.353078 -54.193297 -108.386594 -216.773187 NaN -162.579891 13340 VIX _ROLL_PSEUDO_STRATEGY [-49] 4.613117 379.353078 -54.193297 108.386594 -0.0 NaN 54.193297 ============================================================================================================================================================================= 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 13312 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 112.5 -12.5 0.0 -25.0 NaN -12.5 13313 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -112.5 -12.5 25.0 -0.0 NaN 12.5 13314 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 112.5 -12.5 -12.5 -37.5 NaN -25.0 13315 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -112.5 -12.5 25.0 -0.0 NaN 12.5 13316 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 100.0 -12.5 0.0 -25.0 NaN -12.5 13317 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -87.5 -12.5 12.5 -12.5 NaN 0.0 13318 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 93.75 -6.25 12.5 0.0 NaN 6.25 13319 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -81.25 -6.25 -12.5 NaN NaN -18.75 13320 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 106.25 -6.25 -12.5 -25.0 NaN -18.75 13321 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -100.0 -12.5 12.5 -12.5 NaN 0.0 13322 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 93.75 -6.25 12.5 0.0 NaN 6.25 13303 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -118.75 -6.25 12.5 -0.0 NaN 6.25 13304 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 125.0 -12.5 12.5 -12.5 NaN 0.0 13305 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -118.75 -6.25 -0.0 -12.5 NaN -6.25 13306 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 137.5 -12.5 25.0 0.0 NaN 12.5 13307 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -137.5 -12.5 -12.5 -37.5 NaN -25.0 13308 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 162.5 -12.5 0.0 -25.0 NaN -12.5 13309 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -156.25 -6.25 37.5 25.0 NaN 31.25 13310 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 156.25 -6.25 -50.0 -62.5 NaN -56.25 13311 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -156.25 -6.25 50.0 37.5 NaN 43.75 13323 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 0.0 -50.0 NaN -25.0 13324 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -0.0 -50.0 50.0 -50.0 NaN 0.0 13325 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 -50.0 -100.0 NaN -75.0 13326 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 50.0 -0.0 NaN 25.0 13327 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 NaN NaN NaN NaN 13328 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 100.0 50.0 NaN 75.0 13329 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 -150.0 -200.0 NaN -175.0 13330 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 150.0 100.0 NaN 125.0 13331 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 50.0 0.0 NaN 25.0 13332 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 100.0 50.0 NaN 75.0 13333 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 -50.0 -100.0 NaN -75.0 13334 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 50.0 -0.0 NaN 25.0 13335 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 50.0 0.0 NaN 25.0 13336 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 50.0 -0.0 NaN 25.0 13337 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 50.0 0.0 NaN 25.0 13338 VIX _ROLL_PSEUDO_STRATEGY [-49] 1000.0 175.0 -25.0 NaN NaN NaN NaN 13339 VIX _ROLL_PSEUDO_STRATEGY [49] 1000.0 -175.0 -25.0 -50.0 -100.0 NaN -75.0 13340 VIX _ROLL_PSEUDO_STRATEGY [-49] 1000.0 175.0 -25.0 50.0 -0.0 NaN 25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 18.75 VIX -525.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -506.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -193.75 VIX -475.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -668.75 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 137.5 VIX 450.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 587.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -225.0 VIX -400.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -625.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 0 VIX 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 GAS_US_mini -56.25 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -31.25 ******************************************************************************** END OF REPORT ********************************************************************************