******************************************************************************** Trades report produced on 20/06/2024 21:37 from 19/06/2024 21:37 to 20/06/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13437 EUROSTX _ROLL_PSEUDO_STRATEGY [20240600] 2024-06-20 07:00:31 [-1] 4895.0 13438 EUROSTX _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-20 07:00:34 [1] 4938.0 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13437 EUROSTX _ROLL_PSEUDO_STRATEGY 2024-06-19 19:00:00 2024-06-20 08:00:31.014 2024-06-20 07:00:31 46831.014 NaN 13438 EUROSTX _ROLL_PSEUDO_STRATEGY 2024-06-19 19:00:00 2024-06-20 08:00:33.266 2024-06-20 07:00:34 46833.266 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 13437 EUROSTX _ROLL_PSEUDO_STRATEGY [-1] 4881.0 None 4894.5 4894.0 4895.0 4895.0 4895.0 13.5 -0.5 1.0 -0.0 NaN 0.5 13438 EUROSTX _ROLL_PSEUDO_STRATEGY [1] 4923.0 None 4936.5 4937.0 4936.0 4936.0 4938.0 -13.5 -0.5 -1.0 -2.0 NaN -1.5 =================================================================================================================================================================== 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 13437 EUROSTX _ROLL_PSEUDO_STRATEGY [-1] 730.542123 184.794272 -6.844232 13.688465 -0.0 NaN 6.844232 13438 EUROSTX _ROLL_PSEUDO_STRATEGY [1] 730.542123 -184.794272 -6.844232 -13.688465 -27.376929 NaN -20.532697 ============================================================================================================================================================================ 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 13437 EUROSTX _ROLL_PSEUDO_STRATEGY [-1] 10.737 144.9495 -5.3685 10.737 -0.0 NaN 5.3685 13438 EUROSTX _ROLL_PSEUDO_STRATEGY [1] 10.737 -144.9495 -5.3685 -10.737 -21.474 NaN -16.1055 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX 0.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX -10.737 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.737 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX 0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX -21.474 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -21.474 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX 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 EUROSTX -10.737 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.737 ******************************************************************************** END OF REPORT ********************************************************************************