******************************************************************************** Trades report produced on 17/12/2024 21:40 from 16/12/2024 21:40 to 17/12/2024 21:40 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15741 SP400 _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-17 15:00:58 [-1, 1] -38.55 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15741 SP400 _ROLL_PSEUDO_STRATEGY 2024-12-16 20:00:00 2024-12-17 15:00:50.406000 2024-12-17 15:00:58 68450.406 7.594 ================================================================================================================================================================================================================================== 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 15741 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -37.4 None -38.0 -39.0 -37.0 -37.0 -38.55 -0.6 -1.0 0.45 -1.55 NaN -0.55 ===================================================================================================================================================================== 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 15741 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 458.119516 -13.097019 -21.828365 9.822764 -33.833966 NaN -12.005601 =============================================================================================================================================================================== 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 15741 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100.0 -60.0 -100.0 45.0 -155.0 NaN -55.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP400 -60.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -60.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP400 -100.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -100.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP400 45.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 45.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP400 -155.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -155.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP400 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 SP400 -55.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -55.0 ******************************************************************************** END OF REPORT ********************************************************************************