******************************************************************************** Trades report produced on 08/10/2025 21:38 from 07/10/2025 21:38 to 08/10/2025 21:38 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19146 LEANHOG _ROLL_PSEUDO_STRATEGY [20251200, 20260200] 2025-10-08 14:31:27 [-1, 1] -1.975 19147 LEANHOG _ROLL_PSEUDO_STRATEGY [20251200, 20260200] 2025-10-08 14:31:41 [-1, 1] -2.000 19148 LEANHOG _ROLL_PSEUDO_STRATEGY [20251200, 20260200] 2025-10-08 14:32:42 [-1, 1] -1.975 19149 LEANHOG _ROLL_PSEUDO_STRATEGY [20251200, 20260200] 2025-10-08 14:33:41 [-1, 1] -1.975 19150 LEANHOG _ROLL_PSEUDO_STRATEGY [20251200, 20260200] 2025-10-08 14:34:41 [-1, 1] -1.975 19151 LEANHOG _ROLL_PSEUDO_STRATEGY [20251200, 20260200] 2025-10-08 14:35:42 [-1, 1] -1.950 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19146 LEANHOG _ROLL_PSEUDO_STRATEGY 2025-10-07 19:00:00 2025-10-08 15:30:43.323000 2025-10-08 14:31:27 73843.323 NaN 19147 LEANHOG _ROLL_PSEUDO_STRATEGY 2025-10-07 19:00:00 2025-10-08 15:31:41.673000 2025-10-08 14:31:41 73901.673 NaN 19148 LEANHOG _ROLL_PSEUDO_STRATEGY 2025-10-07 19:00:00 2025-10-08 15:32:41.846000 2025-10-08 14:32:42 73961.846 NaN 19149 LEANHOG _ROLL_PSEUDO_STRATEGY 2025-10-07 19:00:00 2025-10-08 15:33:41.820000 2025-10-08 14:33:41 74021.82 NaN 19150 LEANHOG _ROLL_PSEUDO_STRATEGY 2025-10-07 19:00:00 2025-10-08 15:34:41.662000 2025-10-08 14:34:41 74081.662 NaN 19151 LEANHOG _ROLL_PSEUDO_STRATEGY 2025-10-07 19:00:00 2025-10-08 15:35:41.854000 2025-10-08 14:35:42 74141.854 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 19146 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -2.075 None -1.9875 -2.025 -1.95 -1.95 -1.975 0.0875 -0.0375 0.05 -0.025 NaN 0.0125 19147 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -2.075 None -1.0125 -2.025 0.0 0.0 -2.0 1.0625 -1.0125 0.025 -2.0 NaN -0.9875 19148 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -2.075 None -1.0125 -2.025 0.0 0.0 -1.975 1.0625 -1.0125 0.05 -1.975 NaN -0.9625 19149 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -2.075 None -1.0125 -2.025 0.0 0.0 -1.975 1.0625 -1.0125 0.05 -1.975 NaN -0.9625 19150 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -2.075 None -1.0 -2.0 0.0 0.0 -1.975 1.075 -1.0 0.025 -1.975 NaN -0.975 19151 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -2.075 None -1.0125 -2.025 0.0 0.0 -1.95 1.0625 -1.0125 0.075 -1.95 NaN -0.9375 ====================================================================================================================================================================== 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 19146 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.816943 49.110557 -21.047381 28.063175 -14.031588 NaN 7.015794 19147 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.816943 596.342474 -568.279298 14.031588 -1122.527009 NaN -554.247711 19148 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.816943 596.342474 -568.279298 28.063175 -1108.495422 NaN -540.216123 19149 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.816943 596.342474 -568.279298 28.063175 -1108.495422 NaN -540.216123 19150 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.816943 603.358268 -561.263505 14.031588 -1108.495422 NaN -547.231917 19151 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.816943 596.342474 -568.279298 42.094763 -1094.463834 NaN -526.184536 =============================================================================================================================================================================== 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 19146 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 35.0 -15.0 20.0 -10.0 NaN 5.0 19147 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 425.0 -405.0 10.0 -800.0 NaN -395.0 19148 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 425.0 -405.0 20.0 -790.0 NaN -385.0 19149 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 425.0 -405.0 20.0 -790.0 NaN -385.0 19150 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 430.0 -400.0 10.0 -790.0 NaN -390.0 19151 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 425.0 -405.0 30.0 -780.0 NaN -375.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 2165.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 2165.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -2035.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -2035.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 110.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 110.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -3960.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -3960.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 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 LEANHOG -1925.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -1925.0 ******************************************************************************** END OF REPORT ********************************************************************************