******************************************************************************** Trades report report produced on 13/02/2023 21:35 from 12/02/2023 21:35 to 13/02/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1461 BITCOIN caleb_strategy_v1 [20230200] 2023-02-13 15:00:00 [-1] 21710.000000 1468 BITCOIN caleb_strategy_v1 [20230200] 2023-02-13 15:00:26 [-1] 21715.000000 1459 CRUDE_W caleb_strategy_v1 [20231200] 2023-02-13 14:00:08 [1] 76.840000 1458 GASOILINE caleb_strategy_v1 [20230500] 2023-02-13 14:00:06 [-1] 2.670000 1457 GAS_US caleb_strategy_v1 [20230400] 2023-02-13 14:00:04 [1] 2.517000 1460 HEATOIL caleb_strategy_v1 [20230500] 2023-02-13 14:00:09 [-1] 2.781700 1462 JPY caleb_strategy_v1 [20230300] 2023-02-13 15:00:01 [-1] 0.007571 1467 RUSSELL caleb_strategy_v1 [20230300] 2023-02-13 15:00:23 [1] 1932.300000 1466 SP400 caleb_strategy_v1 [20230300] 2023-02-13 15:00:21 [1] 2659.900000 1465 US10U caleb_strategy_v1 [20230300] 2023-02-13 15:00:18 [-1] 119.296875 1464 US5 caleb_strategy_v1 [20230300] 2023-02-13 15:00:16 [-1] 107.921875 1489 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:12 [1, -1] -0.310000 1485 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:07 [1, -1] -0.310000 1486 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:08 [1, -1] -0.310000 1487 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:09 [1, -1] -0.310000 1488 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:11 [1, -1] -0.310000 1490 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:14 [1, -1] -0.310000 1495 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:25 [1, -1] -0.310000 1492 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:17 [1, -1] -0.310000 1493 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:19 [1, -1] -0.310000 1494 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:21 [1, -1] -0.310000 1484 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:55 [1, -1] -0.310000 1496 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:26 [1, -1] -0.310000 1491 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:15 [1, -1] -0.310000 1483 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:43 [1, -1] -0.310000 1477 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:19 [1, -1] -0.310000 1481 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:31 [1, -1] -0.310000 1480 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:27 [1, -1] -0.310000 1479 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:25 [1, -1] -0.310000 1478 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:20 [1, -1] -0.310000 1497 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:02:31 [1, -1] -0.300000 1476 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:16 [1, -1] -0.310000 1475 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:15 [1, -1] -0.310000 1474 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:13 [1, -1] -0.310000 1473 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:12 [1, -1] -0.310000 1472 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:11 [1, -1] -0.310000 1471 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:09 [1, -1] -0.310000 1470 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:08 [1, -1] -0.310000 1469 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:00:27 [1, -1] -0.310000 1463 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:00:03 [1, -1] -0.310000 1482 VIX _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-13 15:01:37 [1, -1] -0.310000 1498 WHEAT caleb_strategy_v1 [20231200] 2023-02-13 15:30:20 [-1] 818.000000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1457 GAS_US caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 14:00:01.201 2023-02-13 14:00:04 396001 2.799 1458 GASOILINE caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 14:00:05.213 2023-02-13 14:00:06 396005 0.787 1459 CRUDE_W caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 14:00:06.983 2023-02-13 14:00:08 396007 1.017 1460 HEATOIL caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 14:00:08.627 2023-02-13 14:00:09 396009 0.373 1462 JPY caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:00:01.203 2023-02-13 15:00:01 399601 NaN 1464 US5 caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:00:05.161 2023-02-13 15:00:16 399605 10.839 1465 US10U caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:00:16.730 2023-02-13 15:00:18 399617 1.27 1466 SP400 caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:00:19.696 2023-02-13 15:00:21 399620 1.304 1467 RUSSELL caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:00:22.317 2023-02-13 15:00:23 399622 0.683 1468 BITCOIN caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:00:24.214 2023-02-13 15:00:26 399624 1.786 1461 BITCOIN caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:00:00.411 2023-02-13 15:00:00 399600 NaN 1463 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:00:03.436 2023-02-13 15:00:03 241203 NaN 1469 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:00:27.183 2023-02-13 15:00:27 241227 NaN 1470 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:08.205 2023-02-13 15:01:08 241268 NaN 1471 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:09.443 2023-02-13 15:01:09 241269 NaN 1472 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:10.953 2023-02-13 15:01:11 241271 0.047 1473 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:12.155 2023-02-13 15:01:12 241272 NaN 1474 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:13.591 2023-02-13 15:01:13 241274 NaN 1475 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:14.982 2023-02-13 15:01:15 241275 0.018 1476 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:16.349 2023-02-13 15:01:16 241276 NaN 1477 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:19.468 2023-02-13 15:01:19 241279 NaN 1478 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:20.922 2023-02-13 15:01:20 241281 NaN 1479 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:25.383 2023-02-13 15:01:25 241285 NaN 1480 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:26.867 2023-02-13 15:01:27 241287 0.133 1481 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:31.509 2023-02-13 15:01:31 241292 NaN 1482 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:37.353 2023-02-13 15:01:37 241297 NaN 1483 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:43.289 2023-02-13 15:01:43 241303 NaN 1484 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:01:55.373 2023-02-13 15:01:55 241315 NaN 1485 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:07.318 2023-02-13 15:02:07 241327 NaN 1486 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:08.532 2023-02-13 15:02:08 241329 NaN 1487 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:09.890 2023-02-13 15:02:09 241330 NaN 1488 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:11.261 2023-02-13 15:02:11 241331 NaN 1489 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:12.722 2023-02-13 15:02:12 241333 NaN 1490 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:14.113 2023-02-13 15:02:14 241334 NaN 1491 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:15.442 2023-02-13 15:02:15 241335 NaN 1492 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:17.059 2023-02-13 15:02:17 241337 NaN 1493 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:19.481 2023-02-13 15:02:19 241339 NaN 1494 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:20.743 2023-02-13 15:02:21 241341 0.257 1495 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:25.394 2023-02-13 15:02:25 241345 NaN 1496 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:26.871 2023-02-13 15:02:26 241347 NaN 1497 VIX _ROLL_PSEUDO_STRATEGY 2023-02-10 20:00:00 2023-02-13 15:02:31.422 2023-02-13 15:02:31 241351 NaN 1498 WHEAT caleb_strategy_v1 2023-02-09 00:00:00 2023-02-13 15:30:00.626 2023-02-13 15:30:20 401401 19.374 =================================================================================================================================================================================================================================================== 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 1457 GAS_US caleb_strategy_v1 [1] 2.516 None 2.518 2.519 2.517 2.517 2.517 -0.002 -0.001 0.002 0 NaN 0.001 1458 GASOILINE caleb_strategy_v1 [-1] 2.6201 None 2.67095 2.6705 2.6714 2.6714 2.67 0.05085 -0.00045 -0.0005 -0.0014 NaN -0.00095 1459 CRUDE_W caleb_strategy_v1 [1] 75.35 None 76.855 76.87 76.84 76.84 76.84 -1.505 -0.015 0.03 0 NaN 0.015 1460 HEATOIL caleb_strategy_v1 [-1] 2.7356 None 2.78265 2.7816 2.7837 2.7837 2.7817 0.04705 -0.00105 0.0001 -0.002 NaN -0.00095 1462 JPY caleb_strategy_v1 [-1] 0.007632 None 0.00757175 0.0075715 0.007572 0.007572 0.007571 -6.025e-05 -2.5e-07 -5e-07 -1e-06 NaN -7.5e-07 1464 US5 caleb_strategy_v1 [-1] 108.117 None 107.918 107.914 107.922 107.922 107.922 -0.199219 -0.00390625 0.0078125 -0 NaN 0.00390625 1465 US10U caleb_strategy_v1 [-1] 119.578 None 119.289 119.281 119.297 119.297 119.297 -0.289062 -0.0078125 0.015625 -0 NaN 0.0078125 1466 SP400 caleb_strategy_v1 [1] 2643.4 None 2659.6 2659.9 2659.3 2659.3 2659.9 -16.2 -0.3 0 -0.6 NaN -0.3 1467 RUSSELL caleb_strategy_v1 [1] 1924.5 None 1932.25 1932.3 1932.2 1932.2 1932.3 -7.75 -0.05 0 -0.1 NaN -0.05 1468 BITCOIN caleb_strategy_v1 [-1] 21940 None 21715 21710 21720 21720 21715 -225 -5 5 -5 NaN 0 1461 BITCOIN caleb_strategy_v1 [-1] 21940 None 21717.5 21710 21725 NaN 21710 -222.5 -7.5 -0 NaN NaN -7.5 1463 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 -1.27676e-15 0.01 NaN -0.005 1469 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1470 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1471 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1472 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1473 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1474 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1475 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1476 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1477 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1478 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1479 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1480 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1481 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1482 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1483 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1484 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1485 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1486 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1487 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1488 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1489 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1490 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1491 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1492 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1493 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1494 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1495 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1496 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.31 0.065 -0.005 2.27596e-15 0.01 NaN -0.005 1497 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.315 -0.31 -0.32 -0.3 -0.3 0.065 -0.005 -0.01 6.66134e-16 NaN -0.015 1498 WHEAT caleb_strategy_v1 [-1] 794 None 818.625 818.5 818.75 818.75 818 24.625 -0.125 -0.5 -0.75 NaN -0.625 ======================================================================================================================================================================= 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 1457 GAS_US caleb_strategy_v1 [1] 3.02717 -6.60683 -3.30342 6.60683 0 NaN 3.30342 1458 GASOILINE caleb_strategy_v1 [-1] 0.935551 543.53 -4.81 -5.34444 -14.9644 NaN -10.1544 1459 CRUDE_W caleb_strategy_v1 [1] 23.9127 -629.373 -6.27282 12.5456 0 NaN 6.27282 1460 HEATOIL caleb_strategy_v1 [-1] 1.1322 415.563 -9.27399 0.883237 -17.6647 NaN -8.39075 1462 JPY caleb_strategy_v1 [-1] 0.000994512 -605.825 -2.5138 -5.02759 -10.0552 NaN -7.54139 1464 US5 caleb_strategy_v1 [-1] 5.89174 -338.132 -6.63004 13.2601 -0 NaN 6.63004 1465 US10U caleb_strategy_v1 [-1] 11.8856 -243.204 -6.57308 13.1462 -0 NaN 6.57308 1466 SP400 caleb_strategy_v1 [1] 503.988 -321.436 -5.95252 0 -11.905 NaN -5.95252 1467 RUSSELL caleb_strategy_v1 [1] 426.454 -181.731 -1.17246 0 -2.34492 NaN -1.17246 1468 BITCOIN caleb_strategy_v1 [-1] 14200.7 -158.442 -3.52094 3.52094 -3.52094 NaN 0 1461 BITCOIN caleb_strategy_v1 [-1] 14200.7 -156.682 -5.28141 -0 NaN NaN -5.28141 1463 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 -1.53393e-12 12.0143 NaN -6.00715 1469 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1470 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1471 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1472 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1473 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1474 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1475 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1476 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1477 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1478 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1479 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1480 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1481 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1482 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1483 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1484 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1485 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1486 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1487 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1488 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1489 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1490 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1491 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1492 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1493 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1494 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1495 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1496 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 2.7344e-12 12.0143 NaN -6.00715 1497 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 8.32342 78.0929 -6.00715 -12.0143 8.00312e-13 NaN -18.0214 1498 WHEAT caleb_strategy_v1 [-1] 199.819 1232.36 -6.25566 -25.0226 -37.534 NaN -31.2783 ================================================================================================================================================================================== 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 1457 GAS_US caleb_strategy_v1 [1] 10000 -20 -10 20 0 NaN 10 1458 GASOILINE caleb_strategy_v1 [-1] 42000 2135.7 -18.9 -21 -58.8 NaN -39.9 1459 CRUDE_W caleb_strategy_v1 [1] 1000 -1505 -15 30 0 NaN 15 1460 HEATOIL caleb_strategy_v1 [-1] 42000 1976.1 -44.1 4.2 -84 NaN -39.9 1462 JPY caleb_strategy_v1 [-1] 1.25e+07 -753.125 -3.125 -6.25 -12.5 NaN -9.375 1464 US5 caleb_strategy_v1 [-1] 1000 -199.219 -3.90625 7.8125 -0 NaN 3.90625 1465 US10U caleb_strategy_v1 [-1] 1000 -289.062 -7.8125 15.625 -0 NaN 7.8125 1466 SP400 caleb_strategy_v1 [1] 100 -1620 -30 0 -60 NaN -30 1467 RUSSELL caleb_strategy_v1 [1] 5 -38.75 -0.25 0 -0.5 NaN -0.25 1468 BITCOIN caleb_strategy_v1 [-1] 0.1 -22.5 -0.5 0.5 -0.5 NaN 0 1461 BITCOIN caleb_strategy_v1 [-1] 0.1 -22.25 -0.75 -0 NaN NaN -0.75 1463 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 -1.27676e-12 10 NaN -5 1469 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1470 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1471 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1472 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1473 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1474 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1475 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1476 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1477 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1478 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1479 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1480 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1481 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1482 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1483 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1484 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1485 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1486 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1487 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1488 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1489 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1490 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1491 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1492 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1493 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1494 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1495 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1496 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 2.27596e-12 10 NaN -5 1497 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 65 -5 -10 6.66134e-13 NaN -15 1498 WHEAT caleb_strategy_v1 [-1] 50 1231.25 -6.25 -25 -37.5 NaN -31.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 1950.00000 caleb_strategy_v1 BITCOIN -44.75000 CRUDE_W -1505.00000 GASOILINE 2135.70000 GAS_US -20.00000 HEATOIL 1976.10000 JPY -753.12500 RUSSELL -38.75000 SP400 -1620.00000 US10U -289.06250 US5 -199.21875 WHEAT 1231.25000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 1950.00000 caleb_strategy_v1 873.14375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -150.00000 caleb_strategy_v1 BITCOIN -1.25000 CRUDE_W -15.00000 GASOILINE -18.90000 GAS_US -10.00000 HEATOIL -44.10000 JPY -3.12500 RUSSELL -0.25000 SP400 -30.00000 US10U -7.81250 US5 -3.90625 WHEAT -6.25000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -150.00000 caleb_strategy_v1 -140.59375 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -10.0000 caleb_strategy_v1 BITCOIN 0.5000 CRUDE_W 30.0000 GASOILINE -21.0000 GAS_US 20.0000 HEATOIL 4.2000 JPY -6.2500 RUSSELL 0.0000 SP400 0.0000 US10U 15.6250 US5 7.8125 WHEAT -25.0000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0000 caleb_strategy_v1 25.8875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 290.0 caleb_strategy_v1 BITCOIN -0.5 CRUDE_W 0.0 GASOILINE -58.8 GAS_US 0.0 HEATOIL -84.0 JPY -12.5 RUSSELL -0.5 SP400 -60.0 US10U -0.0 US5 -0.0 WHEAT -37.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 290.0 caleb_strategy_v1 -253.8 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v1 BITCOIN 0 CRUDE_W 0 GASOILINE 0 GAS_US 0 HEATOIL 0 JPY 0 RUSSELL 0 SP400 0 US10U 0 US5 0 WHEAT 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 VIX -160.00000 caleb_strategy_v1 BITCOIN -0.75000 CRUDE_W 15.00000 GASOILINE -39.90000 GAS_US 10.00000 HEATOIL -39.90000 JPY -9.37500 RUSSELL -0.25000 SP400 -30.00000 US10U 7.81250 US5 3.90625 WHEAT -31.25000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -160.00000 caleb_strategy_v1 -114.70625 ******************************************************************************** END OF REPORT ********************************************************************************