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Trades report produced on 16/03/2026 23:20 from 15/03/2026 23:20 to 16/03/2026 23:20
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Broker orders
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instrument_code strategy_name contract_date fill_datetime fill filled_price
1785 COPPER-micro fut_strategy_v1_8 [20260500] 2026-03-16 14:01:23 [1] 5.82550
1786 CRUDE_W_micro fut_strategy_v1_8 [20260600] 2026-03-16 14:01:26 [1] 89.02000
1787 EUR_micro fut_strategy_v1_8 [20260600] 2026-03-16 15:02:07 [-1] 1.15400
1784 KOSDAQ fut_strategy_v1_8 [20260600] 2026-03-16 01:10:24 [-1] 1996.60000
1788 MXP fut_strategy_v1_8 [20260600] 2026-03-16 15:02:21 [-1] 0.05572
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Delays
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instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
1784 KOSDAQ fut_strategy_v1_8 2026-03-13 00:00:00 2026-03-16 01:10:23.381000 2026-03-16 01:10:24 263423.381 0.619
1785 COPPER-micro fut_strategy_v1_8 2026-03-13 00:00:00 2026-03-16 14:01:23.316000 2026-03-16 14:01:23 309683.316 NaN
1786 CRUDE_W_micro fut_strategy_v1_8 2026-03-13 00:00:00 2026-03-16 14:01:26.378000 2026-03-16 14:01:26 309686.378 NaN
1787 EUR_micro fut_strategy_v1_8 2026-03-13 00:00:00 2026-03-16 15:01:28.086000 2026-03-16 15:02:07 313288.086 38.914
1788 MXP fut_strategy_v1_8 2026-03-13 00:00:00 2026-03-16 15:02:09.908000 2026-03-16 15:02:21 313329.908 11.092
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Slippage (ticks per lot)
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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
1784 KOSDAQ fut_strategy_v1_8 [-1] 2007.4 None 1997.2 1997.1 1997.3 1997.3 1996.6 -10.2 -0.1 -0.5 -0.7 NaN -0.6
1785 COPPER-micro fut_strategy_v1_8 [1] 5.7 None 5.8245 5.825 5.824 5.824 5.8255 -0.1245 -0.0005 -0.0005 -0.0015 NaN -0.001
1786 CRUDE_W_micro fut_strategy_v1_8 [1] 91.91 None 88.995 89.01 88.98 88.98 89.02 2.915 -0.015 -0.01 -0.04 NaN -0.025
1787 EUR_micro fut_strategy_v1_8 [-1] 1.1471 None 1.15395 1.1539 1.154 1.154 1.154 0.00685 -0.00005 0.0001 -0.0 NaN 0.00005
1788 MXP fut_strategy_v1_8 [-1] 0.05522 None 0.055735 0.05573 0.05574 0.05574 0.05572 0.000515 -0.000005 -0.00001 -0.00002 NaN -0.000015
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Slippage (normalised by annual vol, BP of annual SR)
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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
1784 KOSDAQ fut_strategy_v1_8 [-1] 990.395256 -102.989185 -1.009698 -5.048489 -7.067885 NaN -6.058187
1785 COPPER-micro fut_strategy_v1_8 [1] 1.679835 -741.144212 -2.976483 -2.976483 -8.929448 NaN -5.952966
1786 CRUDE_W_micro fut_strategy_v1_8 [1] 37.779265 771.587273 -3.970432 -2.646955 -10.587819 NaN -6.617387
1787 EUR_micro fut_strategy_v1_8 [-1] 0.086178 794.864101 -5.801928 11.603855 -0.0 NaN 5.801928
1788 MXP fut_strategy_v1_8 [-1] 0.006856 751.15739 -7.29279 -14.58558 -29.171161 NaN -21.878371
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Slippage (In base currency)
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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
1784 KOSDAQ fut_strategy_v1_8 [-1] 5.043168 -51.44031 -0.504317 -2.521584 -3.530217 NaN -3.025901
1785 COPPER-micro fut_strategy_v1_8 [1] 1884.22564 -234.586092 -0.942113 -0.942113 -2.826338 NaN -1.884226
1786 CRUDE_W_micro fut_strategy_v1_8 [1] 75.369026 219.70071 -1.130535 -0.75369 -3.014761 NaN -1.884226
1787 EUR_micro fut_strategy_v1_8 [-1] 9421.128199 64.534728 -0.471056 0.942113 -0.0 NaN 0.471056
1788 MXP fut_strategy_v1_8 [-1] 376845.127958 194.075241 -1.884226 -3.768451 -7.536903 NaN -5.652677
delay_cash Sum
delay_cash
strategy_name instrument_code
fut_strategy_v1_8 COPPER-micro -234.586092
CRUDE_W_micro 219.70071
EUR_micro 64.534728
KOSDAQ -51.44031
MXP 194.075241
delay_cash Total Sum
delay_cash
strategy_name
fut_strategy_v1_8 192.284277
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
fut_strategy_v1_8 COPPER-micro -0.942113
CRUDE_W_micro -1.130535
EUR_micro -0.471056
KOSDAQ -0.504317
MXP -1.884226
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
fut_strategy_v1_8 -4.932247
execution_cash Sum
execution_cash
strategy_name instrument_code
fut_strategy_v1_8 COPPER-micro -0.942113
CRUDE_W_micro -0.75369
EUR_micro 0.942113
KOSDAQ -2.521584
MXP -3.768451
execution_cash Total Sum
execution_cash
strategy_name
fut_strategy_v1_8 -7.043725
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
fut_strategy_v1_8 COPPER-micro -2.826338
CRUDE_W_micro -3.014761
EUR_micro -0.0
KOSDAQ -3.530217
MXP -7.536903
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
fut_strategy_v1_8 -16.908219
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
fut_strategy_v1_8 COPPER-micro 0
CRUDE_W_micro 0
EUR_micro 0
KOSDAQ 0
MXP 0
versus_parent_limit_cash Total Sum
versus_parent_limit_cash
strategy_name
fut_strategy_v1_8 0
total_trading_cash Sum
total_trading_cash
strategy_name instrument_code
fut_strategy_v1_8 COPPER-micro -1.884226
CRUDE_W_micro -1.884226
EUR_micro 0.471056
KOSDAQ -3.025901
MXP -5.652677
total_trading_cash Total Sum
total_trading_cash
strategy_name
fut_strategy_v1_8 -11.975972
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END OF REPORT
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