******************************************************************************** Trades report produced on 15/11/2024 21:39 from 14/11/2024 21:39 to 15/11/2024 21:39 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15302 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:05:47 [1, -1] -0.52 15318 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:55:21 [1, -1] -0.50 15317 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:49:22 [1, -1] -0.51 15316 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:49:18 [1, -1] -0.51 15315 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:47:18 [1, -1] -0.50 15314 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:47:14 [1, -1] -0.50 15313 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:42:19 [1, -1] -0.50 15312 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:37:15 [1, -1] -0.49 15319 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:57:59 [1, -1] -0.50 15311 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:31:16 [1, -1] -0.50 15309 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:29:48 [1, -1] -0.50 15308 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:23:48 [1, -1] -0.48 15307 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:23:44 [1, -1] -0.48 15306 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:21:12 [1, -1] -0.49 15305 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:19:29 [1, -1] -0.49 15304 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:14:14 [1, -1] -0.49 15303 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:08:23 [1, -1] -0.51 15310 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:31:12 [1, -1] -0.50 15320 VIX _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-15 15:58:49 [1, -1] -0.50 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15302 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:00:43.799000 2024-11-15 15:05:47 244843.799 303.201 15303 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:05:50.688000 2024-11-15 15:08:23 245150.688 152.312 15304 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:08:26.463000 2024-11-15 15:14:14 245306.463 347.537 15305 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:14:17.522000 2024-11-15 15:19:29 245657.522 311.478 15306 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:19:32.478000 2024-11-15 15:21:12 245972.478 99.522 15307 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:21:15.490000 2024-11-15 15:23:44 246075.49 148.51 15308 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:23:47.434000 2024-11-15 15:23:48 246227.434 0.566 15309 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:24:48.005000 2024-11-15 15:29:48 246288.005 299.995 15310 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:29:51.610000 2024-11-15 15:31:12 246591.61 80.39 15311 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:31:15.570000 2024-11-15 15:31:16 246675.57 0.43 15312 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:32:15.569000 2024-11-15 15:37:15 246735.569 299.431 15313 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:37:19.017000 2024-11-15 15:42:19 247039.017 299.983 15314 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:42:22.493000 2024-11-15 15:47:14 247342.493 291.507 15315 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:47:17.641000 2024-11-15 15:47:18 247637.641 0.359 15316 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:48:17.645000 2024-11-15 15:49:18 247697.645 60.355 15317 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:49:21.614000 2024-11-15 15:49:22 247761.614 0.386 15318 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:50:21.509000 2024-11-15 15:55:21 247821.509 299.491 15319 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:55:25.005000 2024-11-15 15:57:59 248125.005 153.995 15320 VIX _ROLL_PSEUDO_STRATEGY 2024-11-12 19:00:00 2024-11-15 15:58:26.829000 2024-11-15 15:58:49 248306.829 22.171 =================================================================================================================================================================================================================================== 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 15302 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.52 -0.0 -0.05 0.02 -0.08 NaN -0.03 15303 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.51 -0.0 -0.05 0.01 -0.09 NaN -0.04 15304 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.49 -0.05 -0.05 0.04 -0.06 NaN -0.01 15305 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.49 -0.05 -0.05 0.04 -0.06 NaN -0.01 15306 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.49 -0.05 -0.05 0.04 -0.06 NaN -0.01 15307 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.45 -0.4 -0.5 -0.5 -0.48 -0.1 -0.05 0.08 -0.02 NaN 0.03 15308 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 NaN -0.48 -0.05 -0.05 0.03 NaN NaN -0.02 15309 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.475 -0.4 -0.55 -0.55 -0.5 -0.075 -0.075 0.1 -0.05 NaN 0.025 15310 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.5 -0.05 -0.05 0.05 -0.05 NaN 0.0 15311 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.45 -0.4 -0.5 -0.5 -0.5 -0.1 -0.05 0.1 0.0 NaN 0.05 15312 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.475 -0.4 -0.55 -0.55 -0.49 -0.075 -0.075 0.09 -0.06 NaN 0.015 15313 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.5 -0.05 -0.05 0.05 -0.05 NaN 0.0 15314 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.5 -0.05 -0.05 0.05 -0.05 NaN 0.0 15315 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.45 -0.4 -0.5 -0.5 -0.5 -0.1 -0.05 0.1 0.0 NaN 0.05 15316 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.51 -0.05 -0.05 0.06 -0.04 NaN 0.01 15317 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.45 -0.4 -0.5 -0.5 -0.51 -0.1 -0.05 0.11 0.01 NaN 0.06 15318 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.5 -0.05 -0.05 0.05 -0.05 NaN 0.0 15319 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.5 -0.45 -0.55 -0.55 -0.5 -0.05 -0.05 0.05 -0.05 NaN 0.0 15320 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.5 -0.0 -0.05 0.0 -0.1 NaN -0.05 ===================================================================================================================================================================== 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 15302 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -0.0 -59.647275 23.85891 -95.43564 NaN -35.788365 15303 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -0.0 -59.647275 11.929455 -107.365095 NaN -47.71782 15304 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 47.71782 -71.57673 NaN -11.929455 15305 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 47.71782 -71.57673 NaN -11.929455 15306 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 47.71782 -71.57673 NaN -11.929455 15307 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -119.29455 -59.647275 95.43564 -23.85891 NaN 35.788365 15308 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 35.788365 NaN NaN -23.85891 15309 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -89.470913 -89.470913 119.29455 -59.647275 NaN 29.823638 15310 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 59.647275 -59.647275 NaN 0.0 15311 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -119.29455 -59.647275 119.29455 0.0 NaN 59.647275 15312 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -89.470913 -89.470913 107.365095 -71.57673 NaN 17.894183 15313 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 59.647275 -59.647275 NaN 0.0 15314 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 59.647275 -59.647275 NaN 0.0 15315 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -119.29455 -59.647275 119.29455 0.0 NaN 59.647275 15316 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 71.57673 -47.71782 NaN 11.929455 15317 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -119.29455 -59.647275 131.224006 11.929455 NaN 71.57673 15318 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 59.647275 -59.647275 NaN 0.0 15319 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -59.647275 -59.647275 59.647275 -59.647275 NaN 0.0 15320 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.382613 -0.0 -59.647275 0.0 -119.29455 NaN -59.647275 =============================================================================================================================================================================== 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 15302 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 20.0 -80.0 NaN -30.0 15303 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 10.0 -90.0 NaN -40.0 15304 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 40.0 -60.0 NaN -10.0 15305 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 40.0 -60.0 NaN -10.0 15306 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 40.0 -60.0 NaN -10.0 15307 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -100.0 -50.0 80.0 -20.0 NaN 30.0 15308 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 30.0 NaN NaN -20.0 15309 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -75.0 -75.0 100.0 -50.0 NaN 25.0 15310 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 50.0 -50.0 NaN 0.0 15311 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -100.0 -50.0 100.0 0.0 NaN 50.0 15312 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -75.0 -75.0 90.0 -60.0 NaN 15.0 15313 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 50.0 -50.0 NaN 0.0 15314 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 50.0 -50.0 NaN 0.0 15315 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -100.0 -50.0 100.0 0.0 NaN 50.0 15316 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 60.0 -40.0 NaN 10.0 15317 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -100.0 -50.0 110.0 10.0 NaN 60.0 15318 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 50.0 -50.0 NaN 0.0 15319 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -50.0 -50.0 50.0 -50.0 NaN 0.0 15320 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 0.0 -100.0 NaN -50.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1050.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1050.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1000.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -1000.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 1070.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1070.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -860.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -860.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 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 VIX 70.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 70.0 ******************************************************************************** END OF REPORT ********************************************************************************