******************************************************************************** Trades report produced on 09/08/2024 21:37 from 08/08/2024 21:37 to 09/08/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14358 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-08-09 14:00:51.000 [1] 23.00 14359 VIX _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-09 19:45:10.174 [0] NaN 14360 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-08-09 14:10:56.000 [1] 22.50 14361 VIX _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-09 14:16:29.000 [-1] 20.60 14362 VIX _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-09 14:16:54.000 [-1] 20.65 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14358 VIX _ROLL_PSEUDO_STRATEGY 2024-08-08 20:00:00 2024-08-09 15:00:50.990 2024-08-09 14:00:51.000 68450.99 NaN 14359 VIX _ROLL_PSEUDO_STRATEGY 2024-08-08 20:00:00 2024-08-09 15:00:52.638 2024-08-09 19:45:10.174 68452.638 17057.536 14360 VIX _ROLL_PSEUDO_STRATEGY 2024-08-08 20:00:00 2024-08-09 15:10:56.183 2024-08-09 14:10:56.000 69056.183 NaN 14361 VIX _ROLL_PSEUDO_STRATEGY 2024-08-08 20:00:00 2024-08-09 15:10:56.775 2024-08-09 14:16:29.000 69056.775 NaN 14362 VIX _ROLL_PSEUDO_STRATEGY 2024-08-08 20:00:00 2024-08-09 15:16:32.758 2024-08-09 14:16:54.000 69392.758 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 14358 VIX _ROLL_PSEUDO_STRATEGY [1] 23.05 None 23.025 23.05 23.0 23.0 23.0 0.025 -0.025 0.05 0.0 NaN 0.025 14359 VIX _ROLL_PSEUDO_STRATEGY [-1] 21.15 None 20.975 20.95 21.0 21.0 NaN -0.175 -0.025 NaN NaN NaN NaN 14360 VIX _ROLL_PSEUDO_STRATEGY [1] 23.05 None 23.025 23.05 23.0 23.0 22.5 0.025 -0.025 0.55 0.5 NaN 0.525 14361 VIX _ROLL_PSEUDO_STRATEGY [-1] 21.15 None 20.925 20.9 20.95 20.95 20.6 -0.225 -0.025 -0.3 -0.35 NaN -0.325 14362 VIX _ROLL_PSEUDO_STRATEGY [-1] 21.15 None 20.625 20.6 20.65 20.65 20.65 -0.525 -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 14358 VIX _ROLL_PSEUDO_STRATEGY [1] 20.685266 12.085897 -12.085897 24.171795 0.0 NaN 12.085897 14359 VIX _ROLL_PSEUDO_STRATEGY [-1] 20.685266 -84.601281 -12.085897 NaN NaN NaN NaN 14360 VIX _ROLL_PSEUDO_STRATEGY [1] 20.685266 12.085897 -12.085897 265.88974 241.717945 NaN 253.803842 14361 VIX _ROLL_PSEUDO_STRATEGY [-1] 20.685266 -108.773075 -12.085897 -145.030767 -169.202562 NaN -157.116664 14362 VIX _ROLL_PSEUDO_STRATEGY [-1] 20.685266 -253.803842 -12.085897 24.171795 -0.0 NaN 12.085897 ============================================================================================================================================================================ 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 14358 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 50.0 0.0 NaN 25.0 14359 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -175.0 -25.0 NaN NaN NaN NaN 14360 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 550.0 500.0 NaN 525.0 14361 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -225.0 -25.0 -300.0 -350.0 NaN -325.0 14362 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -525.0 -25.0 50.0 -0.0 NaN 25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -875.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -875.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -125.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -125.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 350.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 350.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 150.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 150.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY 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 VIX 250.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 250.0 ******************************************************************************** END OF REPORT ********************************************************************************