******************************************************************************** Trades report report produced on 15/03/2023 21:36 from 14/03/2023 21:36 to 15/03/2023 21:36 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1789 CAC _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-15 08:00:09 [-1, 1] -10.500000 1791 CAC _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-15 08:00:26 [-1, 1] -10.500000 1793 CAC caleb_strategy_v1 [20230400] 2023-03-15 08:48:06 [-1] 7104.000000 1843 CORN caleb_strategy_v1 [20231200] 2023-03-15 15:30:05 [-1] 557.500000 1795 CRUDE_W caleb_strategy_v1 [20231200] 2023-03-15 14:00:02 [-1] 67.420000 1792 DAX _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 08:00:27 [-1, 1] -168.000000 1790 DAX _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 08:00:20 [-1, 1] -167.000000 1800 GBP caleb_strategy_v1 [20230600] 2023-03-15 15:00:04 [-1] 1.209200 1794 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-15 14:00:01 [1] 1930.300000 1797 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-15 14:00:05 [1] 1930.600000 1799 JPY caleb_strategy_v1 [20230600] 2023-03-15 15:00:03 [1] 0.007635 1802 MXP caleb_strategy_v1 [20230600] 2023-03-15 15:00:06 [-1] 0.051780 1796 PLAT caleb_strategy_v1 [20230400] 2023-03-15 14:00:03 [1] 963.200000 1845 REDWHEAT caleb_strategy_v1 [20230700] 2023-03-15 15:30:11 [1] 807.500000 1809 RUSSELL caleb_strategy_v1 [20230600] 2023-03-15 15:01:22 [-1] 1748.100000 1801 RUSSELL caleb_strategy_v1 [20230600] 2023-03-15 15:00:04 [-1] 1749.900000 1812 RUSSELL caleb_strategy_v1 [20230600] 2023-03-15 15:04:06 [-1] 1749.500000 1806 RUSSELL caleb_strategy_v1 [20230600] 2023-03-15 15:01:16 [-1] 1748.700000 1844 SOYMEAL caleb_strategy_v1 [20230700] 2023-03-15 15:30:06 [-1] 469.900000 1818 SP400 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 15:04:11 [-1, 1] -17.600000 1814 SP400 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 15:04:07 [-1, 1] -17.600000 1816 SP400 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 15:04:09 [-1, 1] -17.600000 1808 SP400 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 15:01:21 [-1, 1] -17.450000 1804 SP400 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 15:00:29 [-1, 1] -17.500000 1811 SP400 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-15 15:04:04 [-1, 1] -17.550000 1805 US10U caleb_strategy_v1 [20230600] 2023-03-15 15:01:15 [1] 122.000000 1798 US10U caleb_strategy_v1 [20230600] 2023-03-15 15:00:02 [1] 121.968750 1834 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:10 [1, -1] 0.150000 1831 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:00 [1, -1] 0.150000 1832 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:06 [1, -1] 0.150000 1833 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:08 [1, -1] 0.150000 1835 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:11 [1, -1] 0.150000 1840 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:20 [1, -1] 0.150000 1837 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:14 [1, -1] 0.150000 1838 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:16 [1, -1] 0.150000 1839 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:18 [1, -1] 0.150000 1830 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:55 [1, -1] 0.140000 1841 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:21 [1, -1] 0.150000 1836 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:05:13 [1, -1] 0.150000 1829 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:52 [1, -1] 0.140000 1824 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:20 [1, -1] 0.150000 1827 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:48 [1, -1] 0.140000 1826 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:25 [1, -1] 0.140000 1825 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:21 [1, -1] 0.150000 1823 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:18 [1, -1] 0.140000 1822 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:17 [1, -1] 0.150000 1821 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:15 [1, -1] 0.150000 1820 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:14 [1, -1] 0.150000 1819 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:13 [1, -1] 0.150000 1817 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:11 [1, -1] 0.150000 1813 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:07 [1, -1] 0.150000 1810 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:02:42 [1, -1] 0.140000 1807 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:01:20 [1, -1] 0.130000 1803 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:00:12 [1, -1] 0.120000 1828 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:50 [1, -1] 0.140000 1815 VIX _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-03-15 15:04:09 [1, -1] 0.150000 1842 WHEAT caleb_strategy_v1 [20231200] 2023-03-15 15:30:04 [1] 735.250000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1789 CAC _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 08:00:03.747 2023-03-15 08:00:09 43203.7 5.253 1791 CAC _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 08:00:24.468 2023-03-15 08:00:26 43224.5 1.532 1792 DAX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 08:00:27.398 2023-03-15 08:00:27 43227.4 NaN 1790 DAX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 08:00:10.658 2023-03-15 08:00:20 43210.7 9.342 1793 CAC caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 08:48:04.507 2023-03-15 08:48:06 118085 1.493 1795 CRUDE_W caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 14:00:02.059 2023-03-15 14:00:02 136802 NaN 1796 PLAT caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 14:00:03.074 2023-03-15 14:00:03 136803 NaN 1794 GOLD_micro caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 14:00:01.246 2023-03-15 14:00:01 136801 NaN 1797 GOLD_micro caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 14:00:04.766 2023-03-15 14:00:05 136805 0.234 1799 JPY caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:00:02.868 2023-03-15 15:00:03 140403 0.132 1800 GBP caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:00:03.950 2023-03-15 15:00:04 140404 0.05 1802 MXP caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:00:05.326 2023-03-15 15:00:06 140405 0.674 1805 US10U caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:01:12.971 2023-03-15 15:01:15 140473 2.029 1798 US10U caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:00:01.470 2023-03-15 15:00:02 140401 0.53 1809 RUSSELL caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:01:22.261 2023-03-15 15:01:22 140482 NaN 1801 RUSSELL caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:00:04.643 2023-03-15 15:00:04 140405 NaN 1812 RUSSELL caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:04:05.669 2023-03-15 15:04:06 140646 0.331 1806 RUSSELL caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:01:16.038 2023-03-15 15:01:16 140476 NaN 1804 SP400 _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:00:13.674 2023-03-15 15:00:29 68413.7 15.326 1808 SP400 _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:01:21.002 2023-03-15 15:01:21 68481 NaN 1811 SP400 _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:02:43.214 2023-03-15 15:04:04 68563.2 80.786 1814 SP400 _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:07.686 2023-03-15 15:04:07 68647.7 NaN 1816 SP400 _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:09.645 2023-03-15 15:04:09 68649.6 NaN 1818 SP400 _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:11.767 2023-03-15 15:04:11 68651.8 NaN 1803 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:00:08.148 2023-03-15 15:00:12 68408.1 3.852 1807 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:01:16.612 2023-03-15 15:01:20 68476.6 3.388 1810 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:01:22.851 2023-03-15 15:02:42 68482.9 79.149 1813 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:06.965 2023-03-15 15:04:07 68647 0.035 1815 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:09.052 2023-03-15 15:04:09 68649.1 NaN 1817 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:11.194 2023-03-15 15:04:11 68651.2 NaN 1819 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:13.208 2023-03-15 15:04:13 68653.2 NaN 1820 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:14.582 2023-03-15 15:04:14 68654.6 NaN 1821 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:15.916 2023-03-15 15:04:15 68655.9 NaN 1822 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:17.353 2023-03-15 15:04:17 68657.4 NaN 1823 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:18.822 2023-03-15 15:04:18 68658.8 NaN 1824 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:20.220 2023-03-15 15:04:20 68660.2 NaN 1825 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:21.692 2023-03-15 15:04:21 68661.7 NaN 1826 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:24.946 2023-03-15 15:04:25 68664.9 0.054 1827 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:30.808 2023-03-15 15:04:48 68670.8 17.192 1828 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:50.413 2023-03-15 15:04:50 68690.4 NaN 1829 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:52.270 2023-03-15 15:04:52 68692.3 NaN 1830 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:04:53.568 2023-03-15 15:04:55 68693.6 1.432 1831 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:00.844 2023-03-15 15:05:00 68700.8 NaN 1832 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:06.920 2023-03-15 15:05:06 68706.9 NaN 1833 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:08.424 2023-03-15 15:05:08 68708.4 NaN 1834 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:09.989 2023-03-15 15:05:10 68710 0.011 1835 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:11.457 2023-03-15 15:05:11 68711.5 NaN 1836 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:12.968 2023-03-15 15:05:13 68713 0.032 1837 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:14.467 2023-03-15 15:05:14 68714.5 NaN 1838 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:16.078 2023-03-15 15:05:16 68716.1 NaN 1839 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:18.828 2023-03-15 15:05:18 68718.8 NaN 1840 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:20.272 2023-03-15 15:05:20 68720.3 NaN 1841 VIX _ROLL_PSEUDO_STRATEGY 2023-03-14 20:00:00 2023-03-15 15:05:21.820 2023-03-15 15:05:21 68721.8 NaN 1842 WHEAT caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:30:01.065 2023-03-15 15:30:04 142201 2.935 1843 CORN caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:30:05.021 2023-03-15 15:30:05 142205 NaN 1844 SOYMEAL caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:30:06.043 2023-03-15 15:30:06 142206 NaN 1845 REDWHEAT caleb_strategy_v1 2023-03-14 00:00:00 2023-03-15 15:30:06.938 2023-03-15 15:30:11 142207 4.062 ================================================================================================================================================================================================================================================== 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 1789 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] -9.5 None -10.75 -11 -10.5 -10.5 -10.5 -1.25 -0.25 0.5 -0 NaN 0.25 1791 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] -9.5 None -10.75 -11 -10.5 -10.5 -10.5 -1.25 -0.25 0.5 -0 NaN 0.25 1792 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] -180 None -164.5 -167 -162 NaN -168 15.5 -2.5 -1 NaN NaN -3.5 1790 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] -180 None -165 -168 -162 -162 -167 15 -3 1 -5 NaN -2 1793 CAC caleb_strategy_v1 [-1] 7145.5 None 7105.75 7105 7106.5 7106.5 7104 -39.75 -0.75 -1 -2.5 NaN -1.75 1795 CRUDE_W caleb_strategy_v1 [-1] 70.13 None 67.47 67.46 67.48 67.48 67.42 -2.66 -0.01 -0.04 -0.06 NaN -0.05 1796 PLAT caleb_strategy_v1 [1] 990.2 None 962.85 963.1 962.6 962.6 963.2 27.35 -0.25 -0.1 -0.6 NaN -0.35 1794 GOLD_micro caleb_strategy_v1 [1] 1908.1 None 1930.4 1930.5 1930.3 1930.3 1930.3 -22.3 -0.1 0.2 2.27374e-13 NaN 0.1 1797 GOLD_micro caleb_strategy_v1 [1] 1908.1 None 1930.3 1930.4 1930.2 1930.2 1930.6 -22.2 -0.1 -0.2 -0.4 NaN -0.3 1799 JPY caleb_strategy_v1 [1] 0.007561 None 0.00763375 0.007634 0.0076335 0.0076335 0.007635 -7.275e-05 -2.5e-07 -1e-06 -1.5e-06 NaN -1.25e-06 1800 GBP caleb_strategy_v1 [-1] 1.2199 None 1.20935 1.2093 1.2094 NaN 1.2092 -0.01055 -5e-05 -0.0001 NaN NaN -0.00015 1802 MXP caleb_strategy_v1 [-1] 0.05276 None 0.051775 0.05177 0.05178 0.05178 0.05178 -0.000985 -5e-06 1e-05 -6.93889e-18 NaN 5e-06 1805 US10U caleb_strategy_v1 [1] 119.453 None 121.977 121.984 121.969 121.969 122 -2.52344 -0.0078125 -0.015625 -0.03125 NaN -0.0234375 1798 US10U caleb_strategy_v1 [1] 119.453 None 121.977 121.984 121.969 121.969 121.969 -2.52344 -0.0078125 0.015625 0 NaN 0.0078125 1809 RUSSELL caleb_strategy_v1 [-1] 1791.3 None 1748.2 1748.1 1748.3 1748.3 1748.1 -43.1 -0.1 -0 -0.2 NaN -0.1 1801 RUSSELL caleb_strategy_v1 [-1] 1791.3 None 1749.8 1749.7 1749.9 1749.9 1749.9 -41.5 -0.1 0.2 -0 NaN 0.1 1812 RUSSELL caleb_strategy_v1 [-1] 1791.3 None 1749.6 1749.5 1749.7 1749.7 1749.5 -41.7 -0.1 -0 -0.2 NaN -0.1 1806 RUSSELL caleb_strategy_v1 [-1] 1791.3 None 1748.5 1748.4 1748.6 1748.6 1748.7 -42.8 -0.1 0.3 0.1 NaN 0.2 1804 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -17.2 None -17.525 -17.55 -17.5 -17.5 -17.5 -0.325 -0.025 0.05 -0 NaN 0.025 1808 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -17.2 None -17.125 -17.15 -17.1 NaN -17.45 0.075 -0.025 -0.3 NaN NaN -0.325 1811 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -17.2 None -17.5 -17.55 -17.45 -17.4 -17.55 -0.3 -0.05 -1.81188e-13 -0.15 NaN -0.05 1814 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -17.2 None -17.575 -17.6 -17.55 -17.6 -17.6 -0.375 -0.025 9.23706e-14 9.23706e-14 NaN -0.025 1816 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -17.2 None -17.575 -17.6 -17.55 -17.6 -17.6 -0.375 -0.025 9.23706e-14 9.23706e-14 NaN -0.025 1818 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] -17.2 None -17.575 -17.6 -17.55 -17.6 -17.6 -0.375 -0.025 -3.62377e-13 -3.62377e-13 NaN -0.025 1803 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.11 0.12 0.1 0.1 0.12 -0.26 -0.01 2.55351e-15 -0.02 NaN -0.01 1807 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.115 0.12 0.11 0.1 0.13 -0.265 -0.005 -0.01 -0.03 NaN -0.015 1810 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.125 0.13 0.12 0.1 0.14 -0.275 -0.005 -0.01 -0.04 NaN -0.015 1813 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.135 0.14 0.13 0.15 0.15 -0.285 -0.005 -0.01 -2.10942e-15 NaN -0.015 1815 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.145 0.15 0.14 0.15 0.15 -0.295 -0.005 -2.13718e-15 -2.10942e-15 NaN -0.005 1817 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.145 0.15 0.14 0.15 0.15 -0.295 -0.005 -2.13718e-15 -2.10942e-15 NaN -0.005 1819 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.145 0.15 0.14 0.15 0.15 -0.295 -0.005 -2.13718e-15 -2.10942e-15 NaN -0.005 1820 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.145 0.15 0.14 NaN 0.15 -0.295 -0.005 -2.13718e-15 NaN NaN -0.005 1821 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.145 0.15 0.14 0.15 0.15 -0.295 -0.005 -2.13718e-15 -2.10942e-15 NaN -0.005 1822 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.145 0.15 0.14 0.15 0.15 -0.295 -0.005 1.41553e-15 1.44329e-15 NaN -0.005 1823 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.135 0.14 0.13 0.15 0.14 -0.285 -0.005 -5.55112e-16 0.01 NaN -0.005 1824 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1825 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1826 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.135 0.14 0.13 0.15 0.14 -0.285 -0.005 -5.55112e-16 0.01 NaN -0.005 1827 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.13 0.14 0.12 0.1 0.14 -0.28 -0.01 -5.55112e-16 -0.04 NaN -0.01 1828 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.13 0.14 0.12 0.1 0.14 -0.28 -0.01 -5.55112e-16 -0.04 NaN -0.01 1829 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.135 0.14 0.13 0.15 0.14 -0.285 -0.005 -5.55112e-16 0.01 NaN -0.005 1830 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.13 0.14 0.12 0.1 0.14 -0.28 -0.01 -5.55112e-16 -0.04 NaN -0.01 1831 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1832 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1833 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1834 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1835 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1836 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 -2.13718e-15 -2.10942e-15 NaN -0.01 1837 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1838 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1839 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 -2.13718e-15 -2.10942e-15 NaN -0.01 1840 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1841 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.15 None 0.14 0.15 0.13 0.15 0.15 -0.29 -0.01 1.41553e-15 1.44329e-15 NaN -0.01 1842 WHEAT caleb_strategy_v1 [1] 732 None 735 735.25 734.75 734.75 735.25 -3 -0.25 0 -0.5 NaN -0.25 1843 CORN caleb_strategy_v1 [-1] 559.25 None 557.625 557.5 557.75 557.75 557.5 -1.625 -0.125 -0 -0.25 NaN -0.125 1844 SOYMEAL caleb_strategy_v1 [-1] 473.6 None 470 469.9 470.1 470.1 469.9 -3.6 -0.1 -0 -0.2 NaN -0.1 1845 REDWHEAT caleb_strategy_v1 [1] 804.25 None 807.625 807.75 807.5 807.5 807.5 -3.375 -0.125 0.25 0 NaN 0.125 ======================================================================================================================================================================= 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 1789 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 1342.17 -9.3133 -1.86266 3.72532 -0 NaN 1.86266 1791 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 1342.17 -9.3133 -1.86266 3.72532 -0 NaN 1.86266 1792 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 2818.9 54.9861 -8.86872 -3.54749 NaN NaN -12.4162 1790 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 2818.9 53.2123 -10.6425 3.54749 -17.7374 NaN -7.09498 1793 CAC caleb_strategy_v1 [-1] 1342.17 -296.163 -5.58798 -7.45064 -18.6266 NaN -13.0386 1795 CRUDE_W caleb_strategy_v1 [-1] 24.8464 -1070.58 -4.02472 -16.0989 -24.1483 NaN -20.1236 1796 PLAT caleb_strategy_v1 [1] 339.311 806.045 -7.36787 -2.94715 -17.6829 NaN -10.315 1794 GOLD_micro caleb_strategy_v1 [1] 303.788 -734.064 -3.29176 6.58353 7.48461e-12 NaN 3.29176 1797 GOLD_micro caleb_strategy_v1 [1] 303.788 -730.772 -3.29176 -6.58353 -13.1671 NaN -9.87529 1799 JPY caleb_strategy_v1 [1] 0.000839777 -866.302 -2.97698 -11.9079 -17.8619 NaN -14.8849 1800 GBP caleb_strategy_v1 [-1] 0.136928 -770.48 -3.65156 -7.30312 NaN NaN -10.9547 1802 MXP caleb_strategy_v1 [-1] 0.00823079 -1196.73 -6.07475 12.1495 -8.43041e-12 NaN 6.07475 1805 US10U caleb_strategy_v1 [1] 14.073 -1793.11 -5.55142 -11.1028 -22.2057 NaN -16.6543 1798 US10U caleb_strategy_v1 [1] 14.073 -1793.11 -5.55142 11.1028 0 NaN 5.55142 1809 RUSSELL caleb_strategy_v1 [-1] 439.775 -980.047 -2.27389 -0 -4.54778 NaN -2.27389 1801 RUSSELL caleb_strategy_v1 [-1] 439.775 -943.664 -2.27389 4.54778 -0 NaN 2.27389 1812 RUSSELL caleb_strategy_v1 [-1] 439.775 -948.212 -2.27389 -0 -4.54778 NaN -2.27389 1806 RUSSELL caleb_strategy_v1 [-1] 439.775 -973.225 -2.27389 6.82167 2.27389 NaN 4.54778 1804 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 550.454 -5.90422 -0.454171 0.908341 -0 NaN 0.454171 1808 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 550.454 1.36251 -0.454171 -5.45005 NaN NaN -5.90422 1811 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 550.454 -5.45005 -0.908341 -3.29162e-12 -2.72502 NaN -0.908341 1814 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 550.454 -6.81256 -0.454171 1.67808e-12 1.67808e-12 NaN -0.454171 1816 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 550.454 -6.81256 -0.454171 1.67808e-12 1.67808e-12 NaN -0.454171 1818 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 550.454 -6.81256 -0.454171 -6.58324e-12 -6.58324e-12 NaN -0.454171 1803 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -201.824 -7.76245 1.98215e-12 -15.5249 NaN -7.76245 1807 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -205.705 -3.88122 -7.76245 -23.2873 NaN -11.6437 1810 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -213.467 -3.88122 -7.76245 -31.0498 NaN -11.6437 1813 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -221.23 -3.88122 -7.76245 -1.63743e-12 NaN -11.6437 1815 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -228.992 -3.88122 -1.65897e-12 -1.63743e-12 NaN -3.88122 1817 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -228.992 -3.88122 -1.65897e-12 -1.63743e-12 NaN -3.88122 1819 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -228.992 -3.88122 -1.65897e-12 -1.63743e-12 NaN -3.88122 1820 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -228.992 -3.88122 -1.65897e-12 NaN NaN -3.88122 1821 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -228.992 -3.88122 -1.65897e-12 -1.63743e-12 NaN -3.88122 1822 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -228.992 -3.88122 1.0988e-12 1.12035e-12 NaN -3.88122 1823 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -221.23 -3.88122 -4.30902e-13 7.76245 NaN -3.88122 1824 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1825 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1826 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -221.23 -3.88122 -4.30902e-13 7.76245 NaN -3.88122 1827 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -217.348 -7.76245 -4.30902e-13 -31.0498 NaN -7.76245 1828 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -217.348 -7.76245 -4.30902e-13 -31.0498 NaN -7.76245 1829 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -221.23 -3.88122 -4.30902e-13 7.76245 NaN -3.88122 1830 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -217.348 -7.76245 -4.30902e-13 -31.0498 NaN -7.76245 1831 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1832 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1833 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1834 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1835 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1836 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 -1.65897e-12 -1.63743e-12 NaN -7.76245 1837 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1838 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1839 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 -1.65897e-12 -1.63743e-12 NaN -7.76245 1840 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1841 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 12.8825 -225.111 -7.76245 1.0988e-12 1.12035e-12 NaN -7.76245 1842 WHEAT caleb_strategy_v1 [1] 193.503 -155.036 -12.9197 0 -25.8394 NaN -12.9197 1843 CORN caleb_strategy_v1 [-1] 84.7867 -191.658 -14.7429 -0 -29.4858 NaN -14.7429 1844 SOYMEAL caleb_strategy_v1 [-1] 90.9877 -395.658 -10.9905 -0 -21.981 NaN -10.9905 1845 REDWHEAT caleb_strategy_v1 [1] 236.68 -142.598 -5.28139 10.5628 0 NaN 5.28139 ================================================================================================================================================================================== 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 1789 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 10.7353 -13.4191 -2.68383 5.36765 -0 NaN 2.68383 1791 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 10.7353 -13.4191 -2.68383 5.36765 -0 NaN 2.68383 1792 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 1.07353 16.6397 -2.68383 -1.07353 NaN NaN -3.75736 1790 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 1.07353 16.1029 -3.22059 1.07353 -5.36765 NaN -2.14706 1793 CAC caleb_strategy_v1 [-1] 10.7353 -426.728 -8.05147 -10.7353 -26.8383 NaN -18.7868 1795 CRUDE_W caleb_strategy_v1 [-1] 1000 -2660 -10 -40 -60 NaN -50 1796 PLAT caleb_strategy_v1 [1] 50 1367.5 -12.5 -5 -30 NaN -17.5 1794 GOLD_micro caleb_strategy_v1 [1] 10 -223 -1 2 2.27374e-12 NaN 1 1797 GOLD_micro caleb_strategy_v1 [1] 10 -222 -1 -2 -4 NaN -3 1799 JPY caleb_strategy_v1 [1] 1.25e+07 -909.375 -3.125 -12.5 -18.75 NaN -15.625 1800 GBP caleb_strategy_v1 [-1] 62500 -659.375 -3.125 -6.25 NaN NaN -9.375 1802 MXP caleb_strategy_v1 [-1] 500000 -492.5 -2.5 5 -3.46945e-12 NaN 2.5 1805 US10U caleb_strategy_v1 [1] 1000 -2523.44 -7.8125 -15.625 -31.25 NaN -23.4375 1798 US10U caleb_strategy_v1 [1] 1000 -2523.44 -7.8125 15.625 0 NaN 7.8125 1809 RUSSELL caleb_strategy_v1 [-1] 5 -215.5 -0.5 -0 -1 NaN -0.5 1801 RUSSELL caleb_strategy_v1 [-1] 5 -207.5 -0.5 1 -0 NaN 0.5 1812 RUSSELL caleb_strategy_v1 [-1] 5 -208.5 -0.5 -0 -1 NaN -0.5 1806 RUSSELL caleb_strategy_v1 [-1] 5 -214 -0.5 1.5 0.5 NaN 1 1804 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -32.5 -2.5 5 -0 NaN 2.5 1808 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100 7.5 -2.5 -30 NaN NaN -32.5 1811 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -30 -5 -1.81188e-11 -15 NaN -5 1814 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -37.5 -2.5 9.23706e-12 9.23706e-12 NaN -2.5 1816 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -37.5 -2.5 9.23706e-12 9.23706e-12 NaN -2.5 1818 SP400 _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -37.5 -2.5 -3.62377e-11 -3.62377e-11 NaN -2.5 1803 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -260 -10 2.55351e-12 -20 NaN -10 1807 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -265 -5 -10 -30 NaN -15 1810 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -275 -5 -10 -40 NaN -15 1813 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -285 -5 -10 -2.10942e-12 NaN -15 1815 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -295 -5 -2.13718e-12 -2.10942e-12 NaN -5 1817 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -295 -5 -2.13718e-12 -2.10942e-12 NaN -5 1819 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -295 -5 -2.13718e-12 -2.10942e-12 NaN -5 1820 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -295 -5 -2.13718e-12 NaN NaN -5 1821 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -295 -5 -2.13718e-12 -2.10942e-12 NaN -5 1822 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -295 -5 1.41553e-12 1.44329e-12 NaN -5 1823 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -285 -5 -5.55112e-13 10 NaN -5 1824 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1825 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1826 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -285 -5 -5.55112e-13 10 NaN -5 1827 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -280 -10 -5.55112e-13 -40 NaN -10 1828 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -280 -10 -5.55112e-13 -40 NaN -10 1829 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -285 -5 -5.55112e-13 10 NaN -5 1830 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -280 -10 -5.55112e-13 -40 NaN -10 1831 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1832 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1833 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1834 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1835 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1836 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 -2.13718e-12 -2.10942e-12 NaN -10 1837 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1838 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1839 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 -2.13718e-12 -2.10942e-12 NaN -10 1840 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1841 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -290 -10 1.41553e-12 1.44329e-12 NaN -10 1842 WHEAT caleb_strategy_v1 [1] 50 -150 -12.5 0 -25 NaN -12.5 1843 CORN caleb_strategy_v1 [-1] 50 -81.25 -6.25 -0 -12.5 NaN -6.25 1844 SOYMEAL caleb_strategy_v1 [-1] 100 -360 -10 -0 -20 NaN -10 1845 REDWHEAT caleb_strategy_v1 [1] 50 -168.75 -6.25 12.5 0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -26.838250 DAX 32.742665 SP400 -167.500000 VIX -8320.000000 caleb_strategy_v1 CAC -426.728175 CORN -81.250000 CRUDE_W -2660.000000 GBP -659.375000 GOLD_micro -445.000000 JPY -909.375000 MXP -492.500000 PLAT 1367.500000 REDWHEAT -168.750000 RUSSELL -845.500000 SOYMEAL -360.000000 US10U -5046.875000 WHEAT -150.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -8481.595585 caleb_strategy_v1 -10877.853175 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -5.367650 DAX -5.904415 SP400 -17.500000 VIX -230.000000 caleb_strategy_v1 CAC -8.051475 CORN -6.250000 CRUDE_W -10.000000 GBP -3.125000 GOLD_micro -2.000000 JPY -3.125000 MXP -2.500000 PLAT -12.500000 REDWHEAT -6.250000 RUSSELL -2.000000 SOYMEAL -10.000000 US10U -15.625000 WHEAT -12.500000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -258.772065 caleb_strategy_v1 -93.926475 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC 1.073530e+01 DAX 0.000000e+00 SP400 -2.500000e+01 VIX -3.000000e+01 caleb_strategy_v1 CAC -1.073530e+01 CORN -0.000000e+00 CRUDE_W -4.000000e+01 GBP -6.250000e+00 GOLD_micro 2.273737e-12 JPY -1.250000e+01 MXP 5.000000e+00 PLAT -5.000000e+00 REDWHEAT 1.250000e+01 RUSSELL 2.500000e+00 SOYMEAL -0.000000e+00 US10U 0.000000e+00 WHEAT 0.000000e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -44.2647 caleb_strategy_v1 -54.4853 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -0.000000e+00 DAX -5.367650e+00 SP400 -1.500000e+01 VIX -1.800000e+02 caleb_strategy_v1 CAC -2.683825e+01 CORN -1.250000e+01 CRUDE_W -6.000000e+01 GBP 0.000000e+00 GOLD_micro -4.000000e+00 JPY -1.875000e+01 MXP -3.469447e-12 PLAT -3.000000e+01 REDWHEAT 0.000000e+00 RUSSELL -1.500000e+00 SOYMEAL -2.000000e+01 US10U -3.125000e+01 WHEAT -2.500000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -200.36765 caleb_strategy_v1 -229.83825 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC 0 DAX 0 SP400 0 VIX 0 caleb_strategy_v1 CAC 0 CORN 0 CRUDE_W 0 GBP 0 GOLD_micro 0 JPY 0 MXP 0 PLAT 0 REDWHEAT 0 RUSSELL 0 SOYMEAL 0 US10U 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 CAC 5.367650 DAX -5.904415 SP400 -42.500000 VIX -260.000000 caleb_strategy_v1 CAC -18.786775 CORN -6.250000 CRUDE_W -50.000000 GBP -9.375000 GOLD_micro -2.000000 JPY -15.625000 MXP 2.500000 PLAT -17.500000 REDWHEAT 6.250000 RUSSELL 0.500000 SOYMEAL -10.000000 US10U -15.625000 WHEAT -12.500000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -303.036765 caleb_strategy_v1 -148.411775 ******************************************************************************** END OF REPORT ********************************************************************************