******************************************************************************** Trades report produced on 04/11/2025 21:39 from 03/11/2025 21:39 to 04/11/2025 21:39 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19565 GASOIL _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-04 09:00:39 [-1, 1] 9.5 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19565 GASOIL _ROLL_PSEUDO_STRATEGY 2025-11-03 19:00:00 2025-11-04 09:00:31.302000 2025-11-04 09:00:39 50431.302 7.698 =================================================================================================================================================================================================================================== 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 19565 GASOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 10.25 None 9.625 9.25 10.0 10.0 9.5 -0.625 -0.375 0.25 -0.5 NaN -0.125 ===================================================================================================================================================================== 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 19565 GASOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 175.691475 -35.573724 -21.344234 14.22949 -28.458979 NaN -7.114745 =============================================================================================================================================================================== 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 19565 GASOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 100.0 -62.5 -37.5 25.0 -50.0 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -62.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -62.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -37.5 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 25.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 25.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 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 GASOIL -12.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.5 ******************************************************************************** END OF REPORT ********************************************************************************