******************************************************************************** Trades report produced on 24/12/2024 21:40 from 23/12/2024 21:40 to 24/12/2024 21:40 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15878 PLAT _ROLL_PSEUDO_STRATEGY [20250100, 20250400] 2024-12-24 14:00:56 [1, -1] -4.3 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15878 PLAT _ROLL_PSEUDO_STRATEGY 2024-12-23 20:00:00 2024-12-24 14:00:43.522000 2024-12-24 14:00:56 64843.522 12.478 ================================================================================================================================================================================================================================== 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 15878 PLAT _ROLL_PSEUDO_STRATEGY [1, -1] -2.8 None -3.9 -3.5 -4.3 -4.3 -4.3 1.1 -0.4 0.8 -0.0 NaN 0.4 ===================================================================================================================================================================== 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 15878 PLAT _ROLL_PSEUDO_STRATEGY [1, -1] 217.35283 50.608957 -18.403257 36.806514 -0.0 NaN 18.403257 =============================================================================================================================================================================== 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 15878 PLAT _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 55.0 -20.0 40.0 -0.0 NaN 20.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY PLAT 55.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 55.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY PLAT -20.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -20.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY PLAT 40.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 40.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY PLAT -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 PLAT 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 PLAT 20.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 20.0 ******************************************************************************** END OF REPORT ********************************************************************************