******************************************************************************** Trades report produced on 16/09/2024 21:37 from 15/09/2024 21:37 to 16/09/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14762 WHEAT _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-16 19:45:18.099 [0] NaN 14763 WHEAT _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-16 14:40:55.000 [-1] 638.00 14764 WHEAT _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-16 14:43:08.000 [1] 578.25 14765 WHEAT _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-16 14:43:09.000 [-1] 638.25 14766 WHEAT _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-16 14:43:12.000 [1] 578.50 14767 WHEAT _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-16 14:43:13.000 [-1] 638.25 14768 WHEAT _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-16 14:44:15.000 [1] 578.25 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14762 WHEAT _ROLL_PSEUDO_STRATEGY 2024-09-13 19:00:00 2024-09-16 15:30:54.567 2024-09-16 19:45:18.099 246654.567 15263.532 14763 WHEAT _ROLL_PSEUDO_STRATEGY 2024-09-13 19:00:00 2024-09-16 15:40:55.739 2024-09-16 14:40:55.000 247255.739 NaN 14764 WHEAT _ROLL_PSEUDO_STRATEGY 2024-09-13 19:00:00 2024-09-16 15:40:59.411 2024-09-16 14:43:08.000 247259.411 NaN 14765 WHEAT _ROLL_PSEUDO_STRATEGY 2024-09-13 19:00:00 2024-09-16 15:43:09.100 2024-09-16 14:43:09.000 247389.1 NaN 14766 WHEAT _ROLL_PSEUDO_STRATEGY 2024-09-13 19:00:00 2024-09-16 15:43:12.670 2024-09-16 14:43:12.000 247392.67 NaN 14767 WHEAT _ROLL_PSEUDO_STRATEGY 2024-09-13 19:00:00 2024-09-16 15:43:13.354 2024-09-16 14:43:13.000 247393.354 NaN 14768 WHEAT _ROLL_PSEUDO_STRATEGY 2024-09-13 19:00:00 2024-09-16 15:44:12.766 2024-09-16 14:44:15.000 247452.766 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 14762 WHEAT _ROLL_PSEUDO_STRATEGY [1] 595.25 None 576.125 576.25 576.0 576.0 NaN 19.125 -0.125 NaN NaN NaN NaN 14763 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 651.5 None 637.625 637.5 637.75 637.75 638.0 -13.875 -0.125 0.5 0.25 NaN 0.375 14764 WHEAT _ROLL_PSEUDO_STRATEGY [1] 595.25 None 577.625 577.75 577.5 577.5 578.25 17.625 -0.125 -0.5 -0.75 NaN -0.625 14765 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 651.5 None 637.625 637.5 637.75 637.75 638.25 -13.875 -0.125 0.75 0.5 NaN 0.625 14766 WHEAT _ROLL_PSEUDO_STRATEGY [1] 595.25 None 578.125 578.25 578.0 578.0 578.5 17.125 -0.125 -0.25 -0.5 NaN -0.375 14767 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 651.5 None 637.625 637.5 637.75 637.75 638.25 -13.875 -0.125 0.75 0.5 NaN 0.625 14768 WHEAT _ROLL_PSEUDO_STRATEGY [1] 595.25 None 578.375 578.5 578.25 578.25 578.25 16.875 -0.125 0.25 0.0 NaN 0.125 ==================================================================================================================================================================== 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 14762 WHEAT _ROLL_PSEUDO_STRATEGY [1] 156.990893 1218.223528 -7.962245 NaN NaN NaN NaN 14763 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 156.990893 -883.809226 -7.962245 31.848981 15.924491 NaN 23.886736 14764 WHEAT _ROLL_PSEUDO_STRATEGY [1] 156.990893 1122.676584 -7.962245 -31.848981 -47.773472 NaN -39.811226 14765 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 156.990893 -883.809226 -7.962245 47.773472 31.848981 NaN 39.811226 14766 WHEAT _ROLL_PSEUDO_STRATEGY [1] 156.990893 1090.827603 -7.962245 -15.924491 -31.848981 NaN -23.886736 14767 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 156.990893 -883.809226 -7.962245 47.773472 31.848981 NaN 39.811226 14768 WHEAT _ROLL_PSEUDO_STRATEGY [1] 156.990893 1074.903113 -7.962245 15.924491 0.0 NaN 7.962245 ============================================================================================================================================================================ 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 14762 WHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 956.25 -6.25 NaN NaN NaN NaN 14763 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 -693.75 -6.25 25.0 12.5 NaN 18.75 14764 WHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 881.25 -6.25 -25.0 -37.5 NaN -31.25 14765 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 -693.75 -6.25 37.5 25.0 NaN 31.25 14766 WHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 856.25 -6.25 -12.5 -25.0 NaN -18.75 14767 WHEAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 -693.75 -6.25 37.5 25.0 NaN 31.25 14768 WHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 843.75 -6.25 12.5 0.0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY WHEAT 1456.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 1456.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY WHEAT -43.75 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -43.75 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY WHEAT 75.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 75.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY WHEAT 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY WHEAT 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 WHEAT 37.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 37.5 ******************************************************************************** END OF REPORT ********************************************************************************