******************************************************************************** Trades report produced on 26/07/2024 21:38 from 25/07/2024 21:38 to 26/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14133 GASOLINE _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-26 13:10:14 [-1] 2.2331 14134 GASOLINE _ROLL_PSEUDO_STRATEGY [20241100] 2024-07-26 13:11:55 [1] 2.1683 14136 HEATOIL _ROLL_PSEUDO_STRATEGY [20241100] 2024-07-26 13:12:34 [-1] 2.4762 14135 HEATOIL _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-26 13:11:57 [1] 2.4740 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14133 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-07-24 19:00:00 2024-07-26 14:00:41.330 2024-07-26 13:10:14 154841.33 NaN 14134 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-07-24 19:00:00 2024-07-26 14:10:15.289 2024-07-26 13:11:55 155415.289 NaN 14136 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-07-24 20:00:00 2024-07-26 14:11:58.390 2024-07-26 13:12:34 151918.39 NaN 14135 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-07-24 20:00:00 2024-07-26 14:11:56.082 2024-07-26 13:11:57 151916.082 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 14133 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.2218 None 2.2379 2.2376 2.2382 2.2382 2.2331 0.0161 -0.0003 -0.0045 -0.0051 NaN -0.0048 14134 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1678 2.1681 2.1675 2.1675 2.1683 -0.0078 -0.0003 -0.0002 -0.0008 NaN -0.0005 14136 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.4793 None 2.4759 2.4756 2.4762 2.4762 2.4762 -0.0034 -0.0003 0.0006 -0.0 NaN 0.0003 14135 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.4789 None 2.4743 2.4746 2.474 2.474 2.474 0.0046 -0.0003 0.0006 0.0 NaN 0.0003 =================================================================================================================================================================== 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 14133 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.505676 318.385818 -5.932655 -88.989825 -100.855135 NaN -94.92248 14134 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.505676 -154.24903 -5.932655 -3.955103 -15.820413 NaN -9.887758 14136 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.609281 -55.803487 -4.923837 9.847674 -0.0 NaN 4.923837 14135 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.609281 75.498835 -4.923837 9.847674 0.0 NaN 4.923837 ============================================================================================================================================================================ 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 14133 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 676.2 -12.6 -189.0 -214.2 NaN -201.6 14134 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -327.6 -12.6 -8.4 -33.6 NaN -21.0 14136 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 -142.8 -12.6 25.2 -0.0 NaN 12.6 14135 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 193.2 -12.6 25.2 0.0 NaN 12.6 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 348.6 HEATOIL 50.4 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 399.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -25.2 HEATOIL -25.2 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.4 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -197.4 HEATOIL 50.4 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -147.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -247.8 HEATOIL 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -247.8 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 0 HEATOIL 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 -222.6 HEATOIL 25.2 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -197.4 ******************************************************************************** END OF REPORT ********************************************************************************