******************************************************************************** Trades report produced on 10/09/2024 21:37 from 09/09/2024 21:37 to 10/09/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14711 DAX _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-10 07:26:28.000 [1] 18647.00 14709 DAX _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-10 07:24:40.000 [-1] 18470.00 14708 DAX _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-10 19:45:01.789 [0] NaN 14707 DAX _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-10 07:14:36.000 [-1] 18463.00 14706 DAX _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-10 07:14:33.000 [1] 18645.00 14705 DAX _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-10 07:08:45.000 [-1] 18456.00 14710 DAX _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-10 07:25:00.000 [1] 18648.00 14719 SOYBEAN _ROLL_PSEUDO_STRATEGY [20251100] 2024-09-10 14:31:10.000 [-1] 1046.50 14718 SOYBEAN _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-10 14:31:09.000 [1] 998.00 14717 SOYBEAN _ROLL_PSEUDO_STRATEGY [20251100] 2024-09-10 14:30:14.000 [-1] 1046.00 14723 SOYBEAN _ROLL_PSEUDO_STRATEGY [20251100] 2024-09-10 14:33:10.000 [-1] 1046.25 14722 SOYBEAN _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-10 14:33:09.000 [1] 998.00 14721 SOYBEAN _ROLL_PSEUDO_STRATEGY [20251100] 2024-09-10 14:32:36.000 [-1] 1046.25 14720 SOYBEAN _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-10 14:32:09.000 [1] 997.50 14716 SOYBEAN _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-10 14:30:10.000 [1] 997.50 14715 SP500_micro _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-10 14:01:08.000 [-1] 5552.00 14714 SP500_micro _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-10 14:01:08.000 [1] 5494.00 14713 SP500_micro _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-10 14:00:14.000 [-1] 5551.00 14712 SP500_micro _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-10 14:00:09.000 [1] 5493.00 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14712 SP500_micro _ROLL_PSEUDO_STRATEGY 2024-09-09 20:00:00 2024-09-10 15:00:09.254 2024-09-10 14:00:09.000 68409.254 NaN 14713 SP500_micro _ROLL_PSEUDO_STRATEGY 2024-09-09 20:00:00 2024-09-10 15:00:10.362 2024-09-10 14:00:14.000 68410.362 NaN 14714 SP500_micro _ROLL_PSEUDO_STRATEGY 2024-09-09 20:00:00 2024-09-10 15:01:08.194 2024-09-10 14:01:08.000 68468.194 NaN 14715 SP500_micro _ROLL_PSEUDO_STRATEGY 2024-09-09 20:00:00 2024-09-10 15:01:08.776 2024-09-10 14:01:08.000 68468.776 NaN 14720 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:32:09.621 2024-09-10 14:32:09.000 73929.621 NaN 14721 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:32:10.026 2024-09-10 14:32:36.000 73930.026 NaN 14722 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:33:09.461 2024-09-10 14:33:09.000 73989.461 NaN 14723 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:33:09.831 2024-09-10 14:33:10.000 73989.831 NaN 14716 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:30:10.426 2024-09-10 14:30:10.000 73810.426 NaN 14717 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:30:11.734 2024-09-10 14:30:14.000 73811.734 NaN 14718 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:31:09.611 2024-09-10 14:31:09.000 73869.611 NaN 14719 SOYBEAN _ROLL_PSEUDO_STRATEGY 2024-09-09 19:00:00 2024-09-10 15:31:10.065 2024-09-10 14:31:10.000 73870.065 NaN 14705 DAX _ROLL_PSEUDO_STRATEGY 2024-09-09 18:00:00 2024-09-10 08:00:27.682 2024-09-10 07:08:45.000 50427.682 NaN 14706 DAX _ROLL_PSEUDO_STRATEGY 2024-09-09 18:00:00 2024-09-10 08:08:46.822 2024-09-10 07:14:33.000 50926.822 NaN 14707 DAX _ROLL_PSEUDO_STRATEGY 2024-09-09 18:00:00 2024-09-10 08:14:36.598 2024-09-10 07:14:36.000 51276.598 NaN 14708 DAX _ROLL_PSEUDO_STRATEGY 2024-09-09 18:00:00 2024-09-10 08:14:37.052 2024-09-10 19:45:01.789 51277.052 41424.737 14709 DAX _ROLL_PSEUDO_STRATEGY 2024-09-09 18:00:00 2024-09-10 08:24:40.385 2024-09-10 07:24:40.000 51880.385 NaN 14710 DAX _ROLL_PSEUDO_STRATEGY 2024-09-09 18:00:00 2024-09-10 08:24:41.074 2024-09-10 07:25:00.000 51881.074 NaN 14711 DAX _ROLL_PSEUDO_STRATEGY 2024-09-09 18:00:00 2024-09-10 08:25:40.453 2024-09-10 07:26:28.000 51940.453 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 14712 SP500_micro _ROLL_PSEUDO_STRATEGY [1] 5465.0 None 5494.125 5494.25 5494.0 5494.0 5493.0 -29.125 -0.125 1.25 1.0 NaN 1.125 14713 SP500_micro _ROLL_PSEUDO_STRATEGY [-1] 5523.0 None 5552.5 5552.25 5552.75 5552.75 5551.0 29.5 -0.25 -1.25 -1.75 NaN -1.5 14714 SP500_micro _ROLL_PSEUDO_STRATEGY [1] 5465.0 None 5494.125 5494.25 5494.0 5494.0 5494.0 -29.125 -0.125 0.25 0.0 NaN 0.125 14715 SP500_micro _ROLL_PSEUDO_STRATEGY [-1] 5523.0 None 5551.25 5551.0 5551.5 5551.5 5552.0 28.25 -0.25 1.0 0.5 NaN 0.75 14720 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 1018.75 None 999.625 999.75 999.5 999.5 997.5 19.125 -0.125 2.25 2.0 NaN 2.125 14721 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 1063.75 None 1046.25 1046.0 1046.5 1046.5 1046.25 -17.5 -0.25 0.25 -0.25 NaN 0.0 14722 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 1018.75 None 999.625 999.75 999.5 999.5 998.0 19.125 -0.125 1.75 1.5 NaN 1.625 14723 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 1063.75 None 1046.5 1046.25 1046.75 NaN 1046.25 -17.25 -0.25 -0.0 NaN NaN -0.25 14716 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 1018.75 None 999.375 999.5 999.25 999.25 997.5 19.375 -0.125 2.0 1.75 NaN 1.875 14717 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 1063.75 None 1046.5 1046.25 1046.75 1046.75 1046.0 -17.25 -0.25 -0.25 -0.75 NaN -0.5 14718 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 1018.75 None 999.375 999.5 999.25 999.25 998.0 19.375 -0.125 1.5 1.25 NaN 1.375 14719 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 1063.75 None 1046.25 1046.0 1046.5 1046.5 1046.5 -17.5 -0.25 0.5 -0.0 NaN 0.25 14705 DAX _ROLL_PSEUDO_STRATEGY [-1] 18484.0 None 18462.5 18462.0 18463.0 18463.0 18456.0 -21.5 -0.5 -6.0 -7.0 NaN -6.5 14706 DAX _ROLL_PSEUDO_STRATEGY [1] 18661.0 None 18631.5 18638.0 18625.0 18625.0 18645.0 29.5 -6.5 -7.0 -20.0 NaN -13.5 14707 DAX _ROLL_PSEUDO_STRATEGY [-1] 18484.0 None 18457.0 18456.0 18458.0 18458.0 18463.0 -27.0 -1.0 7.0 5.0 NaN 6.0 14708 DAX _ROLL_PSEUDO_STRATEGY [1] 18661.0 None 18640.0 18645.0 18635.0 18635.0 NaN 21.0 -5.0 NaN NaN NaN NaN 14709 DAX _ROLL_PSEUDO_STRATEGY [-1] 18484.0 None 18457.0 18456.0 18458.0 18458.0 18470.0 -27.0 -1.0 14.0 12.0 NaN 13.0 14710 DAX _ROLL_PSEUDO_STRATEGY [1] 18661.0 None 18637.5 18642.0 18633.0 18633.0 18648.0 23.5 -4.5 -6.0 -15.0 NaN -10.5 14711 DAX _ROLL_PSEUDO_STRATEGY [1] 18661.0 None 18642.5 18648.0 18637.0 18637.0 18647.0 18.5 -5.5 1.0 -10.0 NaN -4.5 =================================================================================================================================================================== 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 14712 SP500_micro _ROLL_PSEUDO_STRATEGY [1] 831.929357 -350.089821 -1.502531 15.025314 12.020251 NaN 13.522783 14713 SP500_micro _ROLL_PSEUDO_STRATEGY [-1] 831.929357 354.597416 -3.005063 -15.025314 -21.03544 NaN -18.030377 14714 SP500_micro _ROLL_PSEUDO_STRATEGY [1] 831.929357 -350.089821 -1.502531 3.005063 0.0 NaN 1.502531 14715 SP500_micro _ROLL_PSEUDO_STRATEGY [-1] 831.929357 339.572101 -3.005063 12.020251 6.010126 NaN 9.015189 14720 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 215.392128 887.915459 -5.803369 104.460642 92.853904 NaN 98.657273 14721 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 215.392128 -812.471662 -11.606738 11.606738 -11.606738 NaN 0.0 14722 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 215.392128 887.915459 -5.803369 81.247166 69.640428 NaN 75.443797 14723 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 215.392128 -800.864924 -11.606738 -0.0 NaN NaN -11.606738 14716 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 215.392128 899.522197 -5.803369 92.853904 81.247166 NaN 87.050535 14717 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 215.392128 -800.864924 -11.606738 -11.606738 -34.820214 NaN -23.213476 14718 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 215.392128 899.522197 -5.803369 69.640428 58.03369 NaN 63.837059 14719 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 215.392128 -812.471662 -11.606738 23.213476 -0.0 NaN 11.606738 14705 DAX _ROLL_PSEUDO_STRATEGY [-1] 2429.054779 -88.511796 -2.058414 -24.700966 -28.817794 NaN -26.75938 14706 DAX _ROLL_PSEUDO_STRATEGY [1] 2429.054779 121.446417 -26.75938 -28.817794 -82.336554 NaN -55.577174 14707 DAX _ROLL_PSEUDO_STRATEGY [-1] 2429.054779 -111.154348 -4.116828 28.817794 20.584138 NaN 24.700966 14708 DAX _ROLL_PSEUDO_STRATEGY [1] 2429.054779 86.453382 -20.584138 NaN NaN NaN NaN 14709 DAX _ROLL_PSEUDO_STRATEGY [-1] 2429.054779 -111.154348 -4.116828 57.635588 49.401932 NaN 53.51876 14710 DAX _ROLL_PSEUDO_STRATEGY [1] 2429.054779 96.745451 -18.525725 -24.700966 -61.752415 NaN -43.226691 14711 DAX _ROLL_PSEUDO_STRATEGY [1] 2429.054779 76.161312 -22.642552 4.116828 -41.168277 NaN -18.525725 ============================================================================================================================================================================ 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 14712 SP500_micro _ROLL_PSEUDO_STRATEGY [1] 5.0 -145.625 -0.625 6.25 5.0 NaN 5.625 14713 SP500_micro _ROLL_PSEUDO_STRATEGY [-1] 5.0 147.5 -1.25 -6.25 -8.75 NaN -7.5 14714 SP500_micro _ROLL_PSEUDO_STRATEGY [1] 5.0 -145.625 -0.625 1.25 0.0 NaN 0.625 14715 SP500_micro _ROLL_PSEUDO_STRATEGY [-1] 5.0 141.25 -1.25 5.0 2.5 NaN 3.75 14720 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 50.0 956.25 -6.25 112.5 100.0 NaN 106.25 14721 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -875.0 -12.5 12.5 -12.5 NaN 0.0 14722 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 50.0 956.25 -6.25 87.5 75.0 NaN 81.25 14723 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -862.5 -12.5 -0.0 NaN NaN -12.5 14716 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 50.0 968.75 -6.25 100.0 87.5 NaN 93.75 14717 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -862.5 -12.5 -12.5 -37.5 NaN -25.0 14718 SOYBEAN _ROLL_PSEUDO_STRATEGY [1] 50.0 968.75 -6.25 75.0 62.5 NaN 68.75 14719 SOYBEAN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -875.0 -12.5 25.0 -0.0 NaN 12.5 14705 DAX _ROLL_PSEUDO_STRATEGY [-1] 1.1037 -23.72955 -0.55185 -6.6222 -7.7259 NaN -7.17405 14706 DAX _ROLL_PSEUDO_STRATEGY [1] 1.1037 32.55915 -7.17405 -7.7259 -22.074 NaN -14.89995 14707 DAX _ROLL_PSEUDO_STRATEGY [-1] 1.1037 -29.7999 -1.1037 7.7259 5.5185 NaN 6.6222 14708 DAX _ROLL_PSEUDO_STRATEGY [1] 1.1037 23.1777 -5.5185 NaN NaN NaN NaN 14709 DAX _ROLL_PSEUDO_STRATEGY [-1] 1.1037 -29.7999 -1.1037 15.4518 13.2444 NaN 14.3481 14710 DAX _ROLL_PSEUDO_STRATEGY [1] 1.1037 25.93695 -4.96665 -6.6222 -16.5555 NaN -11.58885 14711 DAX _ROLL_PSEUDO_STRATEGY [1] 1.1037 20.41845 -6.07035 1.1037 -11.037 NaN -4.96665 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX 18.7629 SOYBEAN 375.0 SP500_micro -2.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 391.2629 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX -26.4888 SOYBEAN -75.0 SP500_micro -3.75 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -105.2388 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX 3.3111 SOYBEAN 400.0 SP500_micro 6.25 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 409.5611 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX -38.6295 SOYBEAN 275.0 SP500_micro -1.25 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 235.1205 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX 0 SOYBEAN 0 SP500_micro 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 DAX -17.6592 SOYBEAN 325.0 SP500_micro 2.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 309.8408 ******************************************************************************** END OF REPORT ********************************************************************************