******************************************************************************** Trades report produced on 23/09/2024 21:37 from 22/09/2024 21:37 to 23/09/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14874 HEATOIL _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-23 13:10:05 [1] 2.1888 14875 HEATOIL _ROLL_PSEUDO_STRATEGY [20250100] 2024-09-23 13:10:08 [-1] 2.1980 14872 ROBUSTA _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-23 09:18:34 [-1] 5144.0000 14873 ROBUSTA _ROLL_PSEUDO_STRATEGY [20250100] 2024-09-23 09:24:44 [1] 4900.0000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14872 ROBUSTA _ROLL_PSEUDO_STRATEGY 2024-09-20 17:00:00 2024-09-23 10:18:33.563 2024-09-23 09:18:34 235113.563 NaN 14873 ROBUSTA _ROLL_PSEUDO_STRATEGY 2024-09-20 17:00:00 2024-09-23 10:18:35.463 2024-09-23 09:24:44 235115.463 NaN 14874 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-09-20 19:00:00 2024-09-23 14:00:07.926 2024-09-23 13:10:05 241207.926 NaN 14875 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-09-20 19:00:00 2024-09-23 14:10:07.098 2024-09-23 13:10:08 241807.098 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 14872 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 5063.0 None 5125.0 5123.0 5127.0 5127.0 5144.0 62.0 -2.0 21.0 17.0 NaN 19.0 14873 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 4808.0 None 4873.0 4875.0 4871.0 4871.0 4900.0 -65.0 -2.0 -25.0 -29.0 NaN -27.0 14874 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.1881 None 2.18835 2.1886 2.1881 2.1881 2.1888 -0.00025 -0.00025 -0.0002 -0.0007 NaN -0.00045 14875 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.1972 None 2.19775 2.1975 2.198 2.198 2.198 0.00055 -0.00025 0.0005 -0.0 NaN 0.00025 =================================================================================================================================================================== 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 14872 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 1579.963322 392.414173 -12.658522 132.914478 107.597434 NaN 120.255956 14873 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 1579.963322 -411.401955 -12.658522 -158.231521 -183.548565 NaN -170.890043 14874 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.634404 -3.940708 -3.940708 -3.152566 -11.033983 NaN -7.093275 14875 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.634404 8.669558 -3.940708 7.881416 -0.0 NaN 3.940708 ============================================================================================================================================================================ 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 14872 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10.0 620.0 -20.0 210.0 170.0 NaN 190.0 14873 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10.0 -650.0 -20.0 -250.0 -290.0 NaN -270.0 14874 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 -10.5 -10.5 -8.4 -29.4 NaN -18.9 14875 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 23.1 -10.5 21.0 -0.0 NaN 10.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 12.6 ROBUSTA -30.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -17.4 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -21.0 ROBUSTA -40.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -61.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 12.6 ROBUSTA -40.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -27.4 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -29.4 ROBUSTA -120.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -149.4 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0 ROBUSTA 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 -8.4 ROBUSTA -80.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -88.4 ******************************************************************************** END OF REPORT ********************************************************************************