******************************************************************************** Trades report produced on 25/10/2024 21:38 from 24/10/2024 21:38 to 25/10/2024 21:38 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15170 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:03:05 [1, -1] -0.245 15171 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:04:54 [1, -1] -0.245 15172 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:06:58 [1, -1] -0.245 15173 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:07:03 [1, -1] -0.245 15174 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:08:27 [1, -1] -0.245 15175 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:10:04 [1, -1] -0.245 15176 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:10:58 [1, -1] -0.245 15177 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:11:59 [1, -1] -0.240 15178 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-25 13:12:09 [1, -1] -0.240 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15170 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:00:43.303 2024-10-25 13:03:05 68443.303 NaN 15171 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:03:09.434 2024-10-25 13:04:54 68589.434 NaN 15172 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:04:57.943 2024-10-25 13:06:58 68697.943 NaN 15173 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:07:02.481 2024-10-25 13:07:03 68822.481 NaN 15174 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:08:03.030 2024-10-25 13:08:27 68883.03 NaN 15175 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:09:03.542 2024-10-25 13:10:04 68943.542 NaN 15176 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:10:07.799 2024-10-25 13:10:58 69007.799 NaN 15177 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:11:07.850 2024-10-25 13:11:59 69067.85 NaN 15178 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-10-24 19:00:00 2024-10-25 14:12:07.827 2024-10-25 13:12:09 69127.827 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 15170 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.25 -0.245 -0.255 -0.255 -0.245 -0.005 -0.005 0.0 -0.01 NaN -0.005 15171 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.25 -0.245 -0.255 -0.255 -0.245 -0.005 -0.005 0.0 -0.01 NaN -0.005 15172 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.245 -0.24 -0.25 -0.25 -0.245 -0.01 -0.005 0.005 -0.005 NaN 0.0 15173 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.2475 -0.24 -0.255 NaN -0.245 -0.0075 -0.0075 0.005 NaN NaN -0.0025 15174 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.245 -0.24 -0.25 -0.25 -0.245 -0.01 -0.005 0.005 -0.005 NaN -0.0 15175 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.2475 -0.24 -0.255 -0.255 -0.245 -0.0075 -0.0075 0.005 -0.01 NaN -0.0025 15176 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.245 -0.24 -0.25 -0.25 -0.245 -0.01 -0.005 0.005 -0.005 NaN 0.0 15177 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.245 -0.24 -0.25 -0.25 -0.24 -0.01 -0.005 0.0 -0.01 NaN -0.005 15178 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.255 None -0.245 -0.24 -0.25 NaN -0.24 -0.01 -0.005 0.0 NaN NaN -0.005 ===================================================================================================================================================================== 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 15170 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -40.112112 -40.112112 0.0 -80.224225 NaN -40.112112 15171 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -40.112112 -40.112112 0.0 -80.224225 NaN -40.112112 15172 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -80.224225 -40.112112 40.112112 -40.112112 NaN 0.0 15173 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -60.168169 -60.168169 40.112112 NaN NaN -20.056056 15174 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -80.224225 -40.112112 40.112112 -40.112112 NaN -0.0 15175 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -60.168169 -60.168169 40.112112 -80.224225 NaN -20.056056 15176 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -80.224225 -40.112112 40.112112 -40.112112 NaN 0.0 15177 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -80.224225 -40.112112 0.0 -80.224225 NaN -40.112112 15178 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.246506 -80.224225 -40.112112 0.0 NaN NaN -40.112112 =============================================================================================================================================================================== 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 15170 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -12.5 -12.5 0.0 -25.0 NaN -12.5 15171 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -12.5 -12.5 0.0 -25.0 NaN -12.5 15172 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -25.0 -12.5 12.5 -12.5 NaN 0.0 15173 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -18.75 -18.75 12.5 NaN NaN -6.25 15174 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -25.0 -12.5 12.5 -12.5 NaN -0.0 15175 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -18.75 -18.75 12.5 -25.0 NaN -6.25 15176 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -25.0 -12.5 12.5 -12.5 NaN 0.0 15177 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -25.0 -12.5 0.0 -25.0 NaN -12.5 15178 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -25.0 -12.5 0.0 NaN NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -187.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -187.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -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 GAS_US_mini 62.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 62.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -137.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -137.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 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 GAS_US_mini -62.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -62.5 ******************************************************************************** END OF REPORT ********************************************************************************