******************************************************************************** Trades report produced on 26/08/2024 21:37 from 25/08/2024 21:37 to 26/08/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14481 HEATOIL _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-26 19:45:10.243 [0] NaN 14482 HEATOIL _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-26 13:10:50.000 [-1] 2.3866 14483 HEATOIL _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-26 13:15:42.000 [1] 2.3826 14484 HEATOIL _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-26 13:15:43.000 [-1] 2.3866 14485 HEATOIL _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-26 13:15:47.000 [1] 2.3826 14488 LIVECOW _ROLL_PSEUDO_STRATEGY [20241000] 2024-08-26 14:33:18.000 [-1] 177.7750 14489 LIVECOW _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-26 14:35:44.000 [1] 176.9500 14486 LIVECOW _ROLL_PSEUDO_STRATEGY [20241000] 2024-08-26 14:30:24.000 [-1] 177.7500 14487 LIVECOW _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-26 14:32:57.000 [1] 176.8750 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14488 LIVECOW _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 15:33:00.979 2024-08-26 14:33:18.000 246780.979 NaN 14489 LIVECOW _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 15:33:18.857 2024-08-26 14:35:44.000 246798.857 NaN 14486 LIVECOW _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 15:30:04.646 2024-08-26 14:30:24.000 246604.646 NaN 14487 LIVECOW _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 15:30:26.366 2024-08-26 14:32:57.000 246626.366 NaN 14481 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 14:00:48.690 2024-08-26 19:45:10.243 241248.69 20661.553 14482 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 14:10:50.766 2024-08-26 13:10:50.000 241850.766 NaN 14483 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 14:10:54.395 2024-08-26 13:15:42.000 241854.395 NaN 14484 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 14:15:43.336 2024-08-26 13:15:43.000 242143.336 NaN 14485 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-08-23 19:00:00 2024-08-26 14:15:46.814 2024-08-26 13:15:47.000 242146.814 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 14488 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 175.575 None 177.7625 177.75 177.775 177.775 177.775 2.1875 -0.0125 0.025 -0.0 NaN 0.0125 14489 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 175.15 None 176.8375 176.875 176.8 176.8 176.95 -1.6875 -0.0375 -0.075 -0.15 NaN -0.1125 14486 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 175.575 None 177.7875 177.775 177.8 177.8 177.75 2.2125 -0.0125 -0.025 -0.05 NaN -0.0375 14487 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 175.15 None 176.7625 176.8 176.725 176.725 176.875 -1.6125 -0.0375 -0.075 -0.15 NaN -0.1125 14481 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.3351 None 2.37835 2.3786 2.3781 2.3781 NaN -0.04325 -0.00025 NaN NaN NaN NaN 14482 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.3402 None 2.3842 2.3839 2.3845 2.3845 2.3866 0.044 -0.0003 0.0027 0.0021 NaN 0.0024 14483 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.3351 None 2.37975 2.38 2.3795 2.3795 2.3826 -0.04465 -0.00025 -0.0026 -0.0031 NaN -0.00285 14484 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.3402 None 2.3842 2.3839 2.3845 2.3845 2.3866 0.044 -0.0003 0.0027 0.0021 NaN 0.0024 14485 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.3351 None 2.3824 2.3826 2.3822 2.3822 2.3826 -0.0473 -0.0002 0.0 -0.0004 NaN -0.0002 =================================================================================================================================================================== 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 14488 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 24.079285 908.457217 -5.191184 10.382368 -0.0 NaN 5.191184 14489 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 24.079285 -700.809853 -15.573552 -31.147105 -62.294209 NaN -46.720657 14486 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 24.079285 918.839586 -5.191184 -10.382368 -20.764736 NaN -15.573552 14487 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 24.079285 -669.662749 -15.573552 -31.147105 -62.294209 NaN -46.720657 14481 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.671151 -644.415753 -3.724947 NaN NaN NaN NaN 14482 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.671151 655.590593 -4.469936 40.229423 31.289551 NaN 35.759487 14483 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.671151 -665.275454 -3.724947 -38.739444 -46.189337 NaN -42.464391 14484 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.671151 655.590593 -4.469936 40.229423 31.289551 NaN 35.759487 14485 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.671151 -704.759887 -2.979957 0.0 -5.959914 NaN -2.979957 ============================================================================================================================================================================ 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 14488 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 400.0 875.0 -5.0 10.0 -0.0 NaN 5.0 14489 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 400.0 -675.0 -15.0 -30.0 -60.0 NaN -45.0 14486 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 400.0 885.0 -5.0 -10.0 -20.0 NaN -15.0 14487 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 400.0 -645.0 -15.0 -30.0 -60.0 NaN -45.0 14481 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 -1816.5 -10.5 NaN NaN NaN NaN 14482 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 1848.0 -12.6 113.4 88.2 NaN 100.8 14483 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 -1875.3 -10.5 -109.2 -130.2 NaN -119.7 14484 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 1848.0 -12.6 113.4 88.2 NaN 100.8 14485 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 -1986.6 -8.4 0.0 -16.8 NaN -8.4 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -1982.4 LIVECOW 440.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1542.4 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -54.6 LIVECOW -40.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -94.6 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 117.6 LIVECOW -60.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 57.6 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 29.4 LIVECOW -140.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -110.6 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0 LIVECOW 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 HEATOIL 73.5 LIVECOW -100.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -26.5 ******************************************************************************** END OF REPORT ********************************************************************************