******************************************************************************** Trades report produced on 16/09/2025 21:38 from 15/09/2025 21:38 to 16/09/2025 21:38 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 18802 CORN _ROLL_PSEUDO_STRATEGY [20251200, 20261200] 2025-09-16 14:34:29 [1, -1] -40.500 18797 CORN _ROLL_PSEUDO_STRATEGY [20251200, 20261200] 2025-09-16 14:32:04 [1, -1] -40.500 18799 CORN _ROLL_PSEUDO_STRATEGY [20251200, 20261200] 2025-09-16 14:32:12 [1, -1] -40.500 18801 RICE _ROLL_PSEUDO_STRATEGY [20251100, 20260100] 2025-09-16 14:33:11 [1, -1] -0.265 18796 RICE _ROLL_PSEUDO_STRATEGY [20251100, 20260100] 2025-09-16 14:31:38 [1, -1] -0.265 18798 RICE _ROLL_PSEUDO_STRATEGY [20251100, 20260100] 2025-09-16 14:32:11 [1, -1] -0.265 18794 SP400 _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-16 14:01:08 [-1, 1] -24.600 18795 SP400 _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-16 14:01:46 [-1, 1] -24.600 18793 SP500_micro _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-16 14:00:47 [1, -1] -57.650 18800 WHEAT _ROLL_PSEUDO_STRATEGY [20251200, 20261200] 2025-09-16 14:32:59 [1, -1] -68.000 18803 WHEAT _ROLL_PSEUDO_STRATEGY [20251200, 20261200] 2025-09-16 14:34:30 [1, -1] -68.000 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18793 SP500_micro _ROLL_PSEUDO_STRATEGY 2025-09-15 20:00:00 2025-09-16 15:00:46.262000 2025-09-16 14:00:47 68446.262 NaN 18794 SP400 _ROLL_PSEUDO_STRATEGY 2025-09-15 20:00:00 2025-09-16 15:00:49.438000 2025-09-16 14:01:08 68449.438 NaN 18795 SP400 _ROLL_PSEUDO_STRATEGY 2025-09-15 20:00:00 2025-09-16 15:01:45.610000 2025-09-16 14:01:46 68505.61 NaN 18801 RICE _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:33:10.361000 2025-09-16 14:33:11 73990.361 NaN 18796 RICE _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:30:47.335000 2025-09-16 14:31:38 73847.335 NaN 18798 RICE _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:32:09.954000 2025-09-16 14:32:11 73929.954 NaN 18802 CORN _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:33:12.270000 2025-09-16 14:34:29 73992.27 NaN 18797 CORN _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:31:40.130000 2025-09-16 14:32:04 73900.13 NaN 18799 CORN _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:32:11.766000 2025-09-16 14:32:12 73931.766 NaN 18800 WHEAT _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:32:14.094000 2025-09-16 14:32:59 73934.094 NaN 18803 WHEAT _ROLL_PSEUDO_STRATEGY 2025-09-15 19:00:00 2025-09-16 15:34:29.876000 2025-09-16 14:34:30 74069.876 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 18793 SP500_micro _ROLL_PSEUDO_STRATEGY [1, -1] -58.0 None -58.0 -57.75 -58.25 NaN -57.65 0.0 -0.25 -0.1 NaN NaN -0.35 18794 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -22.5 None -24.55 -25.6 -23.5 -23.5 -24.6 -2.05 -1.05 1.0 -1.1 NaN -0.05 18795 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -22.5 None -13.45 -26.9 0.0 0.0 -24.6 9.05 -13.45 2.3 -24.6 NaN -11.15 18801 RICE _ROLL_PSEUDO_STRATEGY [1, -1] -0.245 None -0.27 -0.23 -0.31 -0.31 -0.265 0.025 -0.04 0.035 -0.045 NaN -0.005 18796 RICE _ROLL_PSEUDO_STRATEGY [1, -1] -0.245 None -0.27 -0.245 -0.295 -0.295 -0.265 0.025 -0.025 0.02 -0.03 NaN -0.005 18798 RICE _ROLL_PSEUDO_STRATEGY [1, -1] -0.245 None -0.1275 -0.255 0.0 0.0 -0.265 -0.1175 0.1275 0.01 0.265 NaN 0.1375 18802 CORN _ROLL_PSEUDO_STRATEGY [1, -1] -42.5 None -40.375 -40.0 -40.75 -40.75 -40.5 -2.125 -0.375 0.5 -0.25 NaN 0.125 18797 CORN _ROLL_PSEUDO_STRATEGY [1, -1] -42.5 None -40.375 -40.0 -40.75 -40.75 -40.5 -2.125 -0.375 0.5 -0.25 NaN 0.125 18799 CORN _ROLL_PSEUDO_STRATEGY [1, -1] -42.5 None -20.125 -40.25 0.0 0.0 -40.5 -22.375 20.125 0.25 40.5 NaN 20.375 18800 WHEAT _ROLL_PSEUDO_STRATEGY [1, -1] -68.75 None -68.375 -68.0 -68.75 -68.75 -68.0 -0.375 -0.375 0.0 -0.75 NaN -0.375 18803 WHEAT _ROLL_PSEUDO_STRATEGY [1, -1] -68.75 None -34.0 -68.0 0.0 0.0 -68.0 -34.75 34.0 0.0 68.0 NaN 34.0 ======================================================================================================================================================================== 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 18793 SP500_micro _ROLL_PSEUDO_STRATEGY [1, -1] 642.49002 0.0 -3.891111 -1.556444 NaN NaN -5.447555 18794 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 503.000436 -40.755432 -20.874733 19.880698 -21.868768 NaN -0.994035 18795 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 503.000436 179.920321 -267.395394 45.725606 -489.065182 NaN -221.669788 18801 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2.784589 89.779865 -143.647784 125.691811 -161.603757 NaN -17.955973 18796 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2.784589 89.779865 -89.779865 71.823892 -107.735838 NaN -17.955973 18798 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2.784589 -421.965365 457.877311 35.911946 951.666567 NaN 493.789257 18802 CORN _ROLL_PSEUDO_STRATEGY [1, -1] 71.996559 -295.152996 -52.085823 69.447764 -34.723882 NaN 17.361941 18797 CORN _ROLL_PSEUDO_STRATEGY [1, -1] 71.996559 -295.152996 -52.085823 69.447764 -34.723882 NaN 17.361941 18799 CORN _ROLL_PSEUDO_STRATEGY [1, -1] 71.996559 -3107.787429 2795.272492 34.723882 5625.268866 NaN 2829.996374 18800 WHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 98.692447 -37.996829 -37.996829 0.0 -75.993657 NaN -37.996829 18803 WHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 98.692447 -3521.039441 3445.045784 0.0 6890.091569 NaN 3445.045784 =============================================================================================================================================================================== 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 18793 SP500_micro _ROLL_PSEUDO_STRATEGY [1, -1] 5.0 0.0 -1.25 -0.5 NaN NaN -1.75 18794 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100.0 -205.0 -105.0 100.0 -110.0 NaN -5.0 18795 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100.0 905.0 -1345.0 230.0 -2460.0 NaN -1115.0 18801 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2000.0 50.0 -80.0 70.0 -90.0 NaN -10.0 18796 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2000.0 50.0 -50.0 40.0 -60.0 NaN -10.0 18798 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2000.0 -235.0 255.0 20.0 530.0 NaN 275.0 18802 CORN _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 -106.25 -18.75 25.0 -12.5 NaN 6.25 18797 CORN _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 -106.25 -18.75 25.0 -12.5 NaN 6.25 18799 CORN _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 -1118.75 1006.25 12.5 2025.0 NaN 1018.75 18800 WHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 -18.75 -18.75 0.0 -37.5 NaN -18.75 18803 WHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 -1737.5 1700.0 0.0 3400.0 NaN 1700.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN -1331.25 RICE -135.0 SP400 700.0 SP500_micro 0.0 WHEAT -1756.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -2522.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN 968.75 RICE 125.0 SP400 -1450.0 SP500_micro -1.25 WHEAT 1681.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 1323.75 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN 62.5 RICE 130.0 SP400 330.0 SP500_micro -0.5 WHEAT 0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 522.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN 2000.0 RICE 380.0 SP400 -2570.0 SP500_micro 0 WHEAT 3362.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 3172.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN 0 RICE 0 SP400 0 SP500_micro 0 WHEAT 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 CORN 1031.25 RICE 255.0 SP400 -1120.0 SP500_micro -1.75 WHEAT 1681.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1845.75 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