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Trades report produced on 05/12/2025 23:11 from 04/12/2025 23:11 to 05/12/2025 23:11
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Broker orders
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instrument_code strategy_name contract_date fill_datetime fill filled_price
1321 DOW fut_strategy_v1_8 [20251200] 2025-12-05 15:01:22 [-1] 48096.0000
1320 EUROSTX fut_strategy_v1_8 [20251200] 2025-12-05 08:06:00 [1] 5735.0000
1319 FTSECHINAA fut_strategy_v1_8 [20251200] 2025-12-05 02:00:27 [-1] 15096.0000
1322 US10 fut_strategy_v1_8 [20260300] 2025-12-05 15:01:31 [-1] 112.6875
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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
1319 FTSECHINAA fut_strategy_v1_8 2025-12-04 00:00:00 2025-12-05 02:00:26.212000 2025-12-05 02:00:27 93626.212 0.788
1320 EUROSTX fut_strategy_v1_8 2025-12-04 00:00:00 2025-12-05 08:05:57.637000 2025-12-05 08:06:00 115557.637 2.363
1321 DOW fut_strategy_v1_8 2025-12-04 00:00:00 2025-12-05 15:01:21.375000 2025-12-05 15:01:22 140481.375 0.625
1322 US10 fut_strategy_v1_8 2025-12-04 00:00:00 2025-12-05 15:01:24.658000 2025-12-05 15:01:31 140484.658 6.342
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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
1319 FTSECHINAA fut_strategy_v1_8 [-1] 15110.0 None 15097.5 15097.0 15098.0 NaN 15096.0 -12.5 -0.5 -1.0 NaN NaN -1.5
1320 EUROSTX fut_strategy_v1_8 [1] 5716.0 None 5735.5 5736.0 5735.0 5735.0 5735.0 -19.5 -0.5 1.0 0.0 NaN 0.5
1321 DOW fut_strategy_v1_8 [-1] 47906.0 None 48096.0 48095.0 48097.0 48097.0 48096.0 190.0 -1.0 1.0 -1.0 NaN 0.0
1322 US10 fut_strategy_v1_8 [-1] 112.71875 None 112.710938 112.703125 112.71875 112.71875 112.6875 -0.007812 -0.007812 -0.015625 -0.03125 NaN -0.023438
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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
1319 FTSECHINAA fut_strategy_v1_8 [-1] 2485.602067 -50.289627 -2.011585 -4.02317 NaN NaN -6.034755
1320 EUROSTX fut_strategy_v1_8 [1] 721.162299 -270.396831 -6.933252 13.866504 0.0 NaN 6.933252
1321 DOW fut_strategy_v1_8 [-1] 5860.318759 324.214446 -1.706392 1.706392 -1.706392 NaN 0.0
1322 US10 fut_strategy_v1_8 [-1] 4.802143 -16.268779 -16.268779 -32.537558 -65.075116 NaN -48.806337
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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
1319 FTSECHINAA fut_strategy_v1_8 [-1] 0.750086 -9.376078 -0.375043 -0.750086 NaN NaN -1.125129
1320 EUROSTX fut_strategy_v1_8 [1] 8.73543 -170.340877 -4.367715 8.73543 0.0 NaN 4.367715
1321 DOW fut_strategy_v1_8 [-1] 0.375043 71.258195 -0.375043 0.375043 -0.375043 NaN 0.0
1322 US10 fut_strategy_v1_8 [-1] 750.08626 -5.860049 -5.860049 -11.720098 -23.440196 NaN -17.580147
delay_cash Sum
delay_cash
strategy_name instrument_code
fut_strategy_v1_8 DOW 71.258195
EUROSTX -170.340877
FTSECHINAA -9.376078
US10 -5.860049
delay_cash Total Sum
delay_cash
strategy_name
fut_strategy_v1_8 -114.318809
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
fut_strategy_v1_8 DOW -0.375043
EUROSTX -4.367715
FTSECHINAA -0.375043
US10 -5.860049
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
fut_strategy_v1_8 -10.97785
execution_cash Sum
execution_cash
strategy_name instrument_code
fut_strategy_v1_8 DOW 0.375043
EUROSTX 8.73543
FTSECHINAA -0.750086
US10 -11.720098
execution_cash Total Sum
execution_cash
strategy_name
fut_strategy_v1_8 -3.359711
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
fut_strategy_v1_8 DOW -0.375043
EUROSTX 0.0
FTSECHINAA 0
US10 -23.440196
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
fut_strategy_v1_8 -23.815239
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
fut_strategy_v1_8 DOW 0
EUROSTX 0
FTSECHINAA 0
US10 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 DOW 0.0
EUROSTX 4.367715
FTSECHINAA -1.125129
US10 -17.580147
total_trading_cash Total Sum
total_trading_cash
strategy_name
fut_strategy_v1_8 -14.337561
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END OF REPORT
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