******************************************************************************** Trades report produced on 23/09/2025 21:38 from 22/09/2025 21:38 to 23/09/2025 21:38 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 18971 OJ _ROLL_PSEUDO_STRATEGY [20251100, 20260100] 2025-09-23 13:01:31 [1, -1] -0.45 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18971 OJ _ROLL_PSEUDO_STRATEGY 2025-09-22 18:00:00 2025-09-23 14:00:40.502000 2025-09-23 13:01:31 72040.502 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 18971 OJ _ROLL_PSEUDO_STRATEGY [1, -1] -1.4 None -0.65 0.85 -2.15 -2.15 -0.45 -0.75 -1.5 1.3 -1.7 NaN -0.2 ===================================================================================================================================================================== 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 18971 OJ _ROLL_PSEUDO_STRATEGY [1, -1] 155.543266 -48.218095 -96.43619 83.578032 -109.294349 NaN -12.858159 =============================================================================================================================================================================== 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 18971 OJ _ROLL_PSEUDO_STRATEGY [1, -1] 150.0 -112.5 -225.0 195.0 -255.0 NaN -30.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -112.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -112.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -225.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -225.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ 195.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 195.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -255.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -255.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ 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 OJ -30.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.0 ******************************************************************************** END OF REPORT ********************************************************************************