******************************************************************************** Trades report report produced on 30/11/2022 21:56 from 29/11/2022 21:56 to 30/11/2022 21:56 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 376 BOBL _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:01:12 [-1, 1] 1.140000 382 BOBL _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:14:47 [-1, 1] 1.130000 379 BOBL _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:09:41 [-1, 1] 1.130000 384 BOBL _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:19:59 [-1, 1] 1.130000 385 BOBL _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:25:01 [-1, 1] 1.130000 377 BTP _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:02:23 [-1, 1] 3.420000 380 BTP _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:09:43 [-1, 1] 3.430000 383 BTP _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:14:57 [-1, 1] 3.440000 378 BUND _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:04:40 [-1, 1] 0.660000 381 BUND _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:09:46 [-1, 1] 0.650000 375 BUND _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 08:00:20 [-1, 1] 0.650000 389 DOW caleb_strategy_v1 [20221200] 2022-11-30 15:00:00 [1] 33815.000000 388 GASOILINE _ROLL_PSEUDO_STRATEGY [20230200, 20230300] 2022-11-30 14:00:17 [-1, 1] -0.015100 386 GASOILINE _ROLL_PSEUDO_STRATEGY [20230200, 20230300] 2022-11-30 14:00:03 [-1, 1] -0.015100 387 HEATOIL _ROLL_PSEUDO_STRATEGY [20230200, 20230300] 2022-11-30 14:00:09 [-1, 1] 0.083100 398 LEANHOG caleb_strategy_v1 [20230200] 2022-11-30 15:30:04 [-1] 84.025000 399 LEANHOG caleb_strategy_v1 [20230200] 2022-11-30 15:30:11 [-1] 84.000000 373 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:03:07 [-1] 27910.000000 372 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:03:05 [-1] 27905.000000 371 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:03:02 [-1] 27910.000000 370 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:03:00 [-1] 27910.000000 369 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:02:55 [-1] 27905.000000 368 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:02:52 [-1] 27910.000000 374 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:03:27 [-1] 27910.000000 367 NIKKEI caleb_strategy_v1 [20221200] 2022-11-30 03:00:21 [-1] 27900.000000 390 RUSSELL caleb_strategy_v1 [20221200] 2022-11-30 15:00:01 [1] 1829.900000 391 US5 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 15:05:03 [1, -1] -0.335938 392 US5 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 15:12:53 [1, -1] -0.335938 393 US5 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 15:15:34 [1, -1] -0.328125 394 US5 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 15:15:41 [1, -1] -0.335938 395 US5 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 15:17:52 [1, -1] -0.335938 396 US5 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 15:19:05 [1, -1] -0.335938 397 US5 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-30 15:24:07 [1, -1] -0.328125 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 367 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:00:17.436 2022-11-30 03:00:21 183617 3.564 368 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:02:43.358 2022-11-30 03:02:52 183763 8.642 369 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:02:54.015 2022-11-30 03:02:55 183774 0.985 370 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:02:57.486 2022-11-30 03:03:00 183777 2.514 371 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:03:01.856 2022-11-30 03:03:02 183782 0.144 372 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:03:03.667 2022-11-30 03:03:05 183784 1.333 373 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:03:07.258 2022-11-30 03:03:07 183787 NaN 374 NIKKEI caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 03:03:09.028 2022-11-30 03:03:27 183789 17.972 378 BUND _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:04:40.551 2022-11-30 08:04:40 43480.6 NaN 381 BUND _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:09:45.665 2022-11-30 08:09:46 43785.7 0.335 375 BUND _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:00:03.119 2022-11-30 08:00:20 43203.1 16.881 377 BTP _ROLL_PSEUDO_STRATEGY 2022-11-29 17:00:00 2022-11-30 08:01:14.089 2022-11-30 08:02:23 54074.1 68.911 380 BTP _ROLL_PSEUDO_STRATEGY 2022-11-29 17:00:00 2022-11-30 08:09:43.370 2022-11-30 08:09:43 54583.4 NaN 383 BTP _ROLL_PSEUDO_STRATEGY 2022-11-29 17:00:00 2022-11-30 08:14:48.641 2022-11-30 08:14:57 54888.6 8.359 384 BOBL _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:14:58.982 2022-11-30 08:19:59 44099 300.018 385 BOBL _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:20:01.187 2022-11-30 08:25:01 44401.2 299.813 376 BOBL _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:00:22.518 2022-11-30 08:01:12 43222.5 49.482 379 BOBL _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:04:41.722 2022-11-30 08:09:41 43481.7 299.278 382 BOBL _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 08:09:47.219 2022-11-30 08:14:47 43787.2 299.781 387 HEATOIL _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 14:00:04.572 2022-11-30 14:00:09 64804.6 4.428 386 GASOILINE _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 14:00:01.658 2022-11-30 14:00:03 64801.7 1.342 388 GASOILINE _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 14:00:11.081 2022-11-30 14:00:17 64811.1 5.919 389 DOW caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 15:00:00.728 2022-11-30 15:00:00 226801 NaN 390 RUSSELL caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 15:00:01.513 2022-11-30 15:00:01 226802 NaN 391 US5 _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 15:00:03.483 2022-11-30 15:05:03 68403.5 299.517 392 US5 _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 15:07:52.865 2022-11-30 15:12:53 68872.9 300.135 393 US5 _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 15:12:54.685 2022-11-30 15:15:34 69174.7 159.315 394 US5 _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 15:15:36.654 2022-11-30 15:15:41 69336.7 4.346 395 US5 _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 15:15:42.595 2022-11-30 15:17:52 69342.6 129.405 396 US5 _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 15:17:54.355 2022-11-30 15:19:05 69474.4 70.645 397 US5 _ROLL_PSEUDO_STRATEGY 2022-11-29 20:00:00 2022-11-30 15:19:06.939 2022-11-30 15:24:07 69546.9 300.061 398 LEANHOG caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 15:30:00.465 2022-11-30 15:30:04 228600 3.535 399 LEANHOG caleb_strategy_v1 2022-11-28 00:00:00 2022-11-30 15:30:06.115 2022-11-30 15:30:11 228606 4.885 ================================================================================================================================================================================================================================================= 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 order_id 367 NIKKEI caleb_strategy_v1 [-1] 28090 None 27897.5 27895 27900 27900 27900 -192.5 -2.5 5 -0 NaN 2.5 368 NIKKEI caleb_strategy_v1 [-1] 28090 None 27907.5 27905 27910 27910 27910 -182.5 -2.5 5 -0 NaN 2.5 369 NIKKEI caleb_strategy_v1 [-1] 28090 None 27912.5 27910 27915 27915 27905 -177.5 -2.5 -5 -10 NaN -7.5 370 NIKKEI caleb_strategy_v1 [-1] 28090 None 27907.5 27905 27910 27910 27910 -182.5 -2.5 5 -0 NaN 2.5 371 NIKKEI caleb_strategy_v1 [-1] 28090 None 27910 27910 27910 27910 27910 -180 -0 -0 -0 NaN -0 372 NIKKEI caleb_strategy_v1 [-1] 28090 None 27912.5 27910 27915 27915 27905 -177.5 -2.5 -5 -10 NaN -7.5 373 NIKKEI caleb_strategy_v1 [-1] 28090 None 27907.5 27905 27910 27910 27910 -182.5 -2.5 5 -0 NaN 2.5 374 NIKKEI caleb_strategy_v1 [-1] 28090 None 27912.5 27910 27915 27915 27910 -177.5 -2.5 -0 -5 NaN -2.5 378 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.63 None 0.655 0.65 0.66 0.66 0.66 0.025 -0.005 0.01 -3.44169e-15 NaN 0.005 381 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.63 None 0.665 0.66 0.67 0.67 0.65 0.035 -0.005 -0.01 -0.02 NaN -0.015 375 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.63 None 0.665 0.66 0.67 0.67 0.65 0.035 -0.005 -0.01 -0.02 NaN -0.015 377 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 3.5 None 3.415 3.41 3.42 3.42 3.42 -0.085 -0.005 0.01 1.77636e-15 NaN 0.005 380 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 3.5 None 3.425 3.42 3.43 3.43 3.43 -0.075 -0.005 0.01 -7.54952e-15 NaN 0.005 383 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 3.5 None 3.435 3.43 3.44 3.44 3.44 -0.065 -0.005 0.01 -2.22045e-15 NaN 0.005 384 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.14 None 1.135 1.13 1.14 1.14 1.13 -0.005 -0.005 -4.44089e-15 -0.01 NaN -0.005 385 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.14 None 1.135 1.13 1.14 1.14 1.13 -0.005 -0.005 9.76996e-15 -0.01 NaN -0.005 376 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.14 None 1.135 1.13 1.14 1.14 1.14 -0.005 -0.005 0.01 4.44089e-16 NaN 0.005 379 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.14 None 1.135 1.13 1.14 1.14 1.13 -0.005 -0.005 -4.44089e-15 -0.01 NaN -0.005 382 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.14 None 1.135 1.13 1.14 1.14 1.13 -0.005 -0.005 9.76996e-15 -0.01 NaN -0.005 387 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.0788 None 0.083 0.0829 0.0831 0.0831 0.0831 0.0042 -0.0001 0.0002 -5.55112e-17 NaN 0.0001 386 GASOILINE _ROLL_PSEUDO_STRATEGY [-1, 1] -0.0155 None -0.0149 -0.015 -0.0148 -0.0148 -0.0151 0.0006 -0.0001 -0.0001 -0.0003 NaN -0.0002 388 GASOILINE _ROLL_PSEUDO_STRATEGY [-1, 1] -0.0155 None -0.015 -0.0151 -0.0149 -0.0149 -0.0151 0.0005 -0.0001 1.09288e-16 -0.0002 NaN -0.0001 389 DOW caleb_strategy_v1 [1] 33832 None 33817 33819 33815 33815 33815 15 -2 4 0 NaN 2 390 RUSSELL caleb_strategy_v1 [1] 1831.9 None 1829.75 1829.9 1829.6 1829.6 1829.9 2.15 -0.15 0 -0.3 NaN -0.15 391 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.351562 None -0.339844 -0.335938 -0.34375 -0.34375 -0.335938 -0.0117188 -0.00390625 0 -0.0078125 NaN -0.00390625 392 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.351562 None -0.339844 -0.335938 -0.34375 -0.34375 -0.335938 -0.0117188 -0.00390625 0 -0.0078125 NaN -0.00390625 393 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.351562 None -0.339844 -0.335938 -0.34375 -0.34375 -0.328125 -0.0117188 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 394 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.351562 None -0.332031 -0.328125 -0.335938 -0.335938 -0.335938 -0.0195312 -0.00390625 0.0078125 0 NaN 0.00390625 395 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.351562 None -0.332031 -0.328125 -0.335938 -0.335938 -0.335938 -0.0195312 -0.00390625 0.0078125 0 NaN 0.00390625 396 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.351562 None -0.332031 -0.328125 -0.335938 -0.335938 -0.335938 -0.0195312 -0.00390625 0.0078125 0 NaN 0.00390625 397 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.351562 None -0.332031 -0.328125 -0.335938 -0.335938 -0.328125 -0.0195312 -0.00390625 0 -0.0078125 NaN -0.00390625 398 LEANHOG caleb_strategy_v1 [-1] 85.075 None 84.0125 84 84.025 84.025 84.025 -1.0625 -0.0125 0.025 -0 NaN 0.0125 399 LEANHOG caleb_strategy_v1 [-1] 85.075 None 84.025 84 84.05 84.05 84 -1.05 -0.025 -0 -0.05 NaN -0.025 ======================================================================================================================================================================= 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 order_id 367 NIKKEI caleb_strategy_v1 [-1] 4565.13 -421.675 -5.4763 10.9526 -0 NaN 5.4763 368 NIKKEI caleb_strategy_v1 [-1] 4565.13 -399.77 -5.4763 10.9526 -0 NaN 5.4763 369 NIKKEI caleb_strategy_v1 [-1] 4565.13 -388.817 -5.4763 -10.9526 -21.9052 NaN -16.4289 370 NIKKEI caleb_strategy_v1 [-1] 4565.13 -399.77 -5.4763 10.9526 -0 NaN 5.4763 371 NIKKEI caleb_strategy_v1 [-1] 4565.13 -394.293 -0 -0 -0 NaN -0 372 NIKKEI caleb_strategy_v1 [-1] 4565.13 -388.817 -5.4763 -10.9526 -21.9052 NaN -16.4289 373 NIKKEI caleb_strategy_v1 [-1] 4565.13 -399.77 -5.4763 10.9526 -0 NaN 5.4763 374 NIKKEI caleb_strategy_v1 [-1] 4565.13 -388.817 -5.4763 -0 -10.9526 NaN -5.4763 378 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 14.294 17.4899 -3.49798 6.99597 -2.4078e-12 NaN 3.49798 381 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 14.294 24.4859 -3.49798 -6.99597 -13.9919 NaN -10.4939 375 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 14.294 24.4859 -3.49798 -6.99597 -13.9919 NaN -10.4939 377 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 17.2304 -49.3314 -2.90185 5.80369 1.03094e-12 NaN 2.90185 380 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 17.2304 -43.5277 -2.90185 5.80369 -4.38151e-12 NaN 2.90185 383 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 17.2304 -37.724 -2.90185 5.80369 -1.28868e-12 NaN 2.90185 384 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 6.58964 -7.58767 -7.58767 -6.73921e-12 -15.1753 NaN -7.58767 385 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 6.58964 -7.58767 -7.58767 1.48263e-11 -15.1753 NaN -7.58767 376 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 6.58964 -7.58767 -7.58767 15.1753 6.73921e-13 NaN 7.58767 379 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 6.58964 -7.58767 -7.58767 -6.73921e-12 -15.1753 NaN -7.58767 382 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 6.58964 -7.58767 -7.58767 1.48263e-11 -15.1753 NaN -7.58767 387 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.18312 35.4994 -0.845224 1.69045 -4.69194e-13 NaN 0.845224 386 GASOILINE _ROLL_PSEUDO_STRATEGY [-1, 1] 0.909521 6.59688 -1.09948 -1.09948 -3.29844 NaN -2.19896 388 GASOILINE _ROLL_PSEUDO_STRATEGY [-1, 1] 0.909521 5.4974 -1.09948 1.2016e-12 -2.19896 NaN -1.09948 389 DOW caleb_strategy_v1 [1] 6295.79 23.8254 -3.17672 6.35345 0 NaN 3.17672 390 RUSSELL caleb_strategy_v1 [1] 528.757 40.6614 -2.83684 0 -5.67368 NaN -2.83684 391 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 5.82829 -20.1067 -6.70222 0 -13.4044 NaN -6.70222 392 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 5.82829 -20.1067 -6.70222 0 -13.4044 NaN -6.70222 393 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 5.82829 -20.1067 -6.70222 -13.4044 -26.8089 NaN -20.1067 394 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 5.82829 -33.5111 -6.70222 13.4044 0 NaN 6.70222 395 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 5.82829 -33.5111 -6.70222 13.4044 0 NaN 6.70222 396 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 5.82829 -33.5111 -6.70222 13.4044 0 NaN 6.70222 397 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 5.82829 -33.5111 -6.70222 0 -13.4044 NaN -6.70222 398 LEANHOG caleb_strategy_v1 [-1] 23.7477 -447.412 -5.26367 10.5273 -0 NaN 5.26367 399 LEANHOG caleb_strategy_v1 [-1] 23.7477 -442.148 -10.5273 -0 -21.0547 NaN -10.5273 ================================================================================================================================================================================== 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 order_id 367 NIKKEI caleb_strategy_v1 [-1] 0.72473 -139.51 -1.81182 3.62365 -0 NaN 1.81182 368 NIKKEI caleb_strategy_v1 [-1] 0.72473 -132.263 -1.81182 3.62365 -0 NaN 1.81182 369 NIKKEI caleb_strategy_v1 [-1] 0.72473 -128.64 -1.81182 -3.62365 -7.2473 NaN -5.43547 370 NIKKEI caleb_strategy_v1 [-1] 0.72473 -132.263 -1.81182 3.62365 -0 NaN 1.81182 371 NIKKEI caleb_strategy_v1 [-1] 0.72473 -130.451 -0 -0 -0 NaN -0 372 NIKKEI caleb_strategy_v1 [-1] 0.72473 -128.64 -1.81182 -3.62365 -7.2473 NaN -5.43547 373 NIKKEI caleb_strategy_v1 [-1] 0.72473 -132.263 -1.81182 3.62365 -0 NaN 1.81182 374 NIKKEI caleb_strategy_v1 [-1] 0.72473 -128.64 -1.81182 -0 -3.62365 NaN -1.81182 378 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 26.033 -5.2066 10.4132 -3.5839e-12 NaN 5.2066 381 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 36.4462 -5.2066 -10.4132 -20.8264 NaN -15.6198 375 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 36.4462 -5.2066 -10.4132 -20.8264 NaN -15.6198 377 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -88.5122 -5.2066 10.4132 1.84976e-12 NaN 5.2066 380 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -78.099 -5.2066 10.4132 -7.86146e-12 NaN 5.2066 383 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -67.6858 -5.2066 10.4132 -2.31219e-12 NaN 5.2066 384 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -5.2066 -5.2066 -4.62439e-12 -10.4132 NaN -5.2066 385 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -5.2066 -5.2066 1.01737e-11 -10.4132 NaN -5.2066 376 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -5.2066 -5.2066 10.4132 4.62439e-13 NaN 5.2066 379 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -5.2066 -5.2066 -4.62439e-12 -10.4132 NaN -5.2066 382 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1041.32 -5.2066 -5.2066 1.01737e-11 -10.4132 NaN -5.2066 387 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 176.4 -4.2 8.4 -2.33147e-12 NaN 4.2 386 GASOILINE _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 25.2 -4.2 -4.2 -12.6 NaN -8.4 388 GASOILINE _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 21 -4.2 4.59008e-12 -8.4 NaN -4.2 389 DOW caleb_strategy_v1 [1] 0.5 7.5 -1 2 0 NaN 1 390 RUSSELL caleb_strategy_v1 [1] 5 10.75 -0.75 0 -1.5 NaN -0.75 391 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -11.7188 -3.90625 0 -7.8125 NaN -3.90625 392 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -11.7188 -3.90625 0 -7.8125 NaN -3.90625 393 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -11.7188 -3.90625 -7.8125 -15.625 NaN -11.7188 394 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -19.5312 -3.90625 7.8125 0 NaN 3.90625 395 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -19.5312 -3.90625 7.8125 0 NaN 3.90625 396 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -19.5312 -3.90625 7.8125 0 NaN 3.90625 397 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -19.5312 -3.90625 0 -7.8125 NaN -3.90625 398 LEANHOG caleb_strategy_v1 [-1] 400 -425 -5 10 -0 NaN 5 399 LEANHOG caleb_strategy_v1 [-1] 400 -420 -10 -0 -20 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -26.033000 BTP -234.297000 BUND 98.925400 GASOILINE 46.200000 HEATOIL 176.400000 US5 -113.281250 caleb_strategy_v1 DOW 7.500000 LEANHOG -845.000000 NIKKEI -1052.669723 RUSSELL 10.750000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -52.085850 caleb_strategy_v1 -1879.419723 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -26.033000 BTP -15.619800 BUND -15.619800 GASOILINE -8.400000 HEATOIL -4.200000 US5 -27.343750 caleb_strategy_v1 DOW -1.000000 LEANHOG -15.000000 NIKKEI -12.682768 RUSSELL -0.750000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -97.216350 caleb_strategy_v1 -29.432768 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 10.413200 BTP 31.239600 BUND -10.413200 GASOILINE -4.200000 HEATOIL 8.400000 US5 15.625000 caleb_strategy_v1 DOW 2.000000 LEANHOG 10.000000 NIKKEI 7.247296 RUSSELL 0.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 51.064600 caleb_strategy_v1 19.247296 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -4.165280e+01 BTP -8.323902e-12 BUND -4.165280e+01 GASOILINE -2.100000e+01 HEATOIL -2.331468e-12 US5 -3.906250e+01 caleb_strategy_v1 DOW 0.000000e+00 LEANHOG -2.000000e+01 NIKKEI -1.811824e+01 RUSSELL -1.500000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -143.36810 caleb_strategy_v1 -39.61824 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 0 BTP 0 BUND 0 GASOILINE 0 HEATOIL 0 US5 0 caleb_strategy_v1 DOW 0 LEANHOG 0 NIKKEI 0 RUSSELL 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -15.619800 BTP 15.619800 BUND -26.033000 GASOILINE -12.600000 HEATOIL 4.200000 US5 -11.718750 caleb_strategy_v1 DOW 1.000000 LEANHOG -5.000000 NIKKEI -5.435472 RUSSELL -0.750000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -46.151750 caleb_strategy_v1 -10.185472 ******************************************************************************** END OF REPORT ********************************************************************************