Todays trades Code: code contractid filled_datetime filledtrade filledprice 2765 AUSSTIR 201606 2015-02-13 08:07:32 1 97.86 2766 SP500 201503 2015-02-13 14:18:10 1 2087.50 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 2766 SP500 -16.36 4.09 0.00 4.09 -12.27 2765 AUSSTIR NaN 12.19 -24.37 -12.19 NaN The reason there are is no slippage for processing is because I'm rolling into the next contract, for which I don't yet have a sample price (until I've completely rolled out I calculate my signals from the old contract). Might be a good time to talk to you about rolling. This is the kind of report I get 3 times a day. Code: code msg near_expiry_days position price_contract relative_volume rollstatus suggest 25 V2X Roll positions ongoing 4 -1 201503 0.974434 ALLOW CONTINUE 28 VIX Roll positions ongoing 4 -1 201503 0.218656 ALLOW CONTINUE 40 GAS_US Roll positions ongoing 11 -1 201504 0.282547 ALLOW CONTINUE 41 AUSSTIR Roll positions ongoing 16 1 201603 0.672121 ALLOW CONTINUE 42 EDOLLAR Roll positions ongoing 3 2 201806 1.008589 ALLOW CONTINUE 20 AEX Roll near on price, not liquid. 6 1 201502 0.003839 NOT START ROLL...NOTLIQUID 21 CAC Roll near on price, not liquid. 6 2 201502 0.011452 NOT START ROLL...NOTLIQUID msg: Current rolling status. Roll positions ongoing means I will do closing trades in the near contract, and opening trades in the far one (a natural one). If that doesn't work out and I still have positions when the time comes I will do a forced roll near_expiry_days: Number of days to when I'd ideally get out. The ideal contract depends on the market. So for example for STIR to avoid the very low volatility at the front end I like to stay about 3.5 years out for Eurodollar and about a year for Aussie STIR. price_contract relative_volume: 1.0 means the next and current contract have the same price suggest: What the report thinks I should do. For the first 5 instruments, nothing. For the last two, nothing yet because there is no liquidity yet (and there won't be until Wednesday or Thursday). PROFIT: £2295 It's quite dull reading this thread this isn't it? Automated trading is dull, if done correctly. Tens of thousands of lines of code to make sure things stay as boring as possible.