******************************************************************************** Trades report report produced on 17/05/2023 21:37 from 16/05/2023 21:37 to 17/05/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2805 CRUDE_W caleb_strategy_v1 [20231200] 2023-05-17 14:00:04 [-1] 69.710000 2804 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-17 14:00:02 [-1] 1988.300000 2816 RUSSELL caleb_strategy_v1 [20230600] 2023-05-17 15:02:01 [1] 1741.200000 2819 RUSSELL caleb_strategy_v1 [20230600] 2023-05-17 15:04:32 [1] 1742.400000 2806 RUSSELL caleb_strategy_v1 [20230600] 2023-05-17 15:00:02 [1] 1740.700000 2810 RUSSELL caleb_strategy_v1 [20230600] 2023-05-17 15:01:09 [1] 1741.500000 2813 RUSSELL caleb_strategy_v1 [20230600] 2023-05-17 15:01:16 [1] 1742.000000 2807 US10U caleb_strategy_v1 [20230600] 2023-05-17 15:00:04 [-1] 120.421875 2835 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:26:43 [-1] 22.650000 2836 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:30:06 [1] 21.900000 2837 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:34:06 [-1] 22.650000 2838 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:36:46 [1] 21.950000 2839 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:37:01 [-1] 22.650000 2840 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:42:02 [1] 21.950000 2808 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:00:21 [1] 22.000000 2842 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:50:00 [1] 22.000000 2843 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:50:05 [-1] 22.700000 2834 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:25:29 [1] 21.950000 2809 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:00:50 [-1] 22.700000 2811 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:01:09 [1] 22.000000 2812 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:01:14 [-1] 22.700000 2841 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:46:40 [-1] 22.650000 2833 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:24:36 [-1] 22.750000 2829 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:19:19 [-1] 22.750000 2831 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:23:54 [-1] 22.700000 2830 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:23:54 [1] 21.950000 2814 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:01:55 [1] 21.950000 2828 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:16:50 [1] 21.950000 2827 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:15:07 [-1] 22.750000 2826 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:14:49 [1] 21.950000 2825 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:12:58 [-1] 22.750000 2824 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:12:21 [1] 21.950000 2823 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:07:19 [-1] 22.700000 2822 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:07:04 [1] 21.900000 2821 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:06:59 [-1] 22.650000 2820 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:05:56 [1] 21.950000 2818 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:04:29 [-1] 22.750000 2817 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:02:24 [1] 21.950000 2832 VIX _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-17 15:23:57 [1] 22.000000 2815 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-17 15:01:59 [-1] 22.750000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2804 GOLD_micro caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 14:00:02.227 2023-05-17 14:00:02 136802 NaN 2805 CRUDE_W caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 14:00:03.309 2023-05-17 14:00:04 136803 0.691 2807 US10U caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 15:00:02.704 2023-05-17 15:00:04 140403 1.296 2816 RUSSELL caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 15:02:01.204 2023-05-17 15:02:01 140521 NaN 2819 RUSSELL caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 15:04:31.401 2023-05-17 15:04:32 140671 0.599 2806 RUSSELL caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 15:00:01.853 2023-05-17 15:00:02 140402 0.147 2810 RUSSELL caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 15:01:08.876 2023-05-17 15:01:09 140469 0.124 2813 RUSSELL caleb_strategy_v1 2023-05-16 00:00:00 2023-05-17 15:01:16.185 2023-05-17 15:01:16 140476 NaN 2817 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:02:01.520 2023-05-17 15:02:24 68521.5 22.48 2818 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:02:25.107 2023-05-17 15:04:29 68545.1 123.893 2820 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:04:32.409 2023-05-17 15:05:56 68672.4 83.591 2821 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:05:56.609 2023-05-17 15:06:59 68756.6 62.391 2822 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:07:01.497 2023-05-17 15:07:04 68821.5 2.503 2823 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:07:04.617 2023-05-17 15:07:19 68824.6 14.383 2824 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:07:21.467 2023-05-17 15:12:21 68841.5 299.533 2825 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:12:21.786 2023-05-17 15:12:58 69141.8 36.214 2826 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:13:00.236 2023-05-17 15:14:49 69180.2 108.764 2827 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:14:49.592 2023-05-17 15:15:07 69289.6 17.408 2828 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:15:08.888 2023-05-17 15:16:50 69308.9 101.112 2829 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:16:51.079 2023-05-17 15:19:19 69411.1 147.921 2830 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:19:20.785 2023-05-17 15:23:54 69560.8 273.215 2831 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:23:54.326 2023-05-17 15:23:54 69834.3 NaN 2832 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:23:56.198 2023-05-17 15:23:57 69836.2 0.802 2833 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:23:57.950 2023-05-17 15:24:36 69837.9 38.05 2834 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:24:38.649 2023-05-17 15:25:29 69878.6 50.351 2835 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:25:29.359 2023-05-17 15:26:43 69929.4 73.641 2836 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:26:45.510 2023-05-17 15:30:06 70005.5 200.49 2837 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:30:06.740 2023-05-17 15:34:06 70206.7 239.26 2838 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:34:08.460 2023-05-17 15:36:46 70448.5 157.54 2839 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:36:46.501 2023-05-17 15:37:01 70606.5 14.499 2840 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:37:02.756 2023-05-17 15:42:02 70622.8 299.244 2841 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:42:03.208 2023-05-17 15:46:40 70923.2 276.792 2842 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:46:42.619 2023-05-17 15:50:00 71202.6 197.381 2843 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:50:00.396 2023-05-17 15:50:05 71400.4 4.604 2808 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:00:05.691 2023-05-17 15:00:21 68405.7 15.309 2809 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:00:22.161 2023-05-17 15:00:50 68422.2 27.839 2811 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:01:09.285 2023-05-17 15:01:09 68469.3 NaN 2812 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:01:09.616 2023-05-17 15:01:14 68469.6 4.384 2814 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:01:17.010 2023-05-17 15:01:55 68477 37.99 2815 VIX _ROLL_PSEUDO_STRATEGY 2023-05-16 20:00:00 2023-05-17 15:01:55.556 2023-05-17 15:01:59 68515.6 3.444 ========================================================================================================================================================================================================================================== 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 2804 GOLD_micro caleb_strategy_v1 [-1] 1994.7 None 1988.2 1988.1 1988.3 1988.3 1988.3 -6.5 -0.1 0.2 -2.27374e-13 NaN 0.1 2805 CRUDE_W caleb_strategy_v1 [-1] 69.13 None 69.73 69.72 69.74 69.74 69.71 0.6 -0.01 -0.01 -0.03 NaN -0.02 2807 US10U caleb_strategy_v1 [-1] 120.453 None 120.414 120.406 120.422 120.422 120.422 -0.0390625 -0.0078125 0.015625 -0 NaN 0.0078125 2816 RUSSELL caleb_strategy_v1 [1] 1747.3 None 1741.95 1742 1741.9 NaN 1741.2 5.35 -0.05 0.8 NaN NaN 0.75 2819 RUSSELL caleb_strategy_v1 [1] 1747.3 None 1742.4 1742.5 1742.3 1742.3 1742.4 4.9 -0.1 0.1 -0.1 NaN 0 2806 RUSSELL caleb_strategy_v1 [1] 1747.3 None 1740.65 1740.7 1740.6 1740.6 1740.7 6.65 -0.05 0 -0.1 NaN -0.05 2810 RUSSELL caleb_strategy_v1 [1] 1747.3 None 1741.55 1741.6 1741.5 1741.5 1741.5 5.75 -0.05 0.1 0 NaN 0.05 2813 RUSSELL caleb_strategy_v1 [1] 1747.3 None 1741.95 1742 1741.9 1741.9 1742 5.35 -0.05 0 -0.1 NaN -0.05 2817 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 21.95 0.025 -0.025 0.05 3.55271e-15 NaN 0.025 2818 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.75 -0.075 -0.025 0.05 -0 NaN 0.025 2820 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 21.95 0.025 -0.025 0.05 3.55271e-15 NaN 0.025 2821 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.65 -0.075 -0.025 -0.05 -0.1 NaN -0.075 2822 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.925 21.95 21.9 21.9 21.9 0.075 -0.025 0.05 3.55271e-15 NaN 0.025 2823 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.675 22.65 22.7 22.7 22.7 -0.125 -0.025 0.05 -3.55271e-15 NaN 0.025 2824 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.925 21.95 21.9 21.9 21.95 0.075 -0.025 0 -0.05 NaN -0.025 2825 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.75 -0.075 -0.025 0.05 -0 NaN 0.025 2826 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 21.95 0.025 -0.025 0.05 3.55271e-15 NaN 0.025 2827 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.75 -0.075 -0.025 0.05 -0 NaN 0.025 2828 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 21.95 0.025 -0.025 0.05 3.55271e-15 NaN 0.025 2829 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.75 -0.075 -0.025 0.05 -0 NaN 0.025 2830 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 21.95 0.025 -0.025 0.05 3.55271e-15 NaN 0.025 2831 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.775 22.75 22.8 NaN 22.7 -0.025 -0.025 -0.05 NaN NaN -0.075 2832 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.95 22 21.9 21.9 22 0.05 -0.05 0 -0.1 NaN -0.05 2833 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.75 -0.075 -0.025 0.05 -0 NaN 0.025 2834 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 21.95 0.025 -0.025 0.05 3.55271e-15 NaN 0.025 2835 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.65 -0.075 -0.025 -0.05 -0.1 NaN -0.075 2836 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.925 21.95 21.9 21.9 21.9 0.075 -0.025 0.05 3.55271e-15 NaN 0.025 2837 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.675 22.65 22.7 22.7 22.65 -0.125 -0.025 -0 -0.05 NaN -0.025 2838 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.875 21.9 21.85 21.85 21.95 0.125 -0.025 -0.05 -0.1 NaN -0.075 2839 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.65 -0.075 -0.025 -0.05 -0.1 NaN -0.075 2840 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.925 21.95 21.9 21.9 21.95 0.075 -0.025 0 -0.05 NaN -0.025 2841 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.65 -0.075 -0.025 -0.05 -0.1 NaN -0.075 2842 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.925 21.95 21.9 21.9 22 0.075 -0.025 -0.05 -0.1 NaN -0.075 2843 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.775 22.75 22.8 22.8 22.7 -0.025 -0.025 -0.05 -0.1 NaN -0.075 2808 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 22 0.025 -0.025 0 -0.05 NaN -0.025 2809 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.775 22.75 22.8 22.8 22.7 -0.025 -0.025 -0.05 -0.1 NaN -0.075 2811 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 NaN 22 0.025 -0.025 0 NaN NaN -0.025 2812 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.775 22.75 22.8 22.8 22.7 -0.025 -0.025 -0.05 -0.1 NaN -0.075 2814 VIX _ROLL_PSEUDO_STRATEGY [1] 22 None 21.975 22 21.95 21.95 21.95 0.025 -0.025 0.05 3.55271e-15 NaN 0.025 2815 VIX _ROLL_PSEUDO_STRATEGY [-1] 22.8 None 22.725 22.7 22.75 22.75 22.75 -0.075 -0.025 0.05 -0 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 2804 GOLD_micro caleb_strategy_v1 [-1] 288.67 -225.17 -3.46416 6.92832 -7.87658e-12 NaN 3.46416 2805 CRUDE_W caleb_strategy_v1 [-1] 25.8873 231.774 -3.8629 -3.8629 -11.5887 NaN -7.72581 2807 US10U caleb_strategy_v1 [-1] 11.7401 -33.2727 -6.65455 13.3091 -0 NaN 6.65455 2816 RUSSELL caleb_strategy_v1 [1] 384.527 139.132 -1.3003 20.8048 NaN NaN 19.5045 2819 RUSSELL caleb_strategy_v1 [1] 384.527 127.429 -2.6006 2.6006 -2.6006 NaN 0 2806 RUSSELL caleb_strategy_v1 [1] 384.527 172.94 -1.3003 0 -2.6006 NaN -1.3003 2810 RUSSELL caleb_strategy_v1 [1] 384.527 149.534 -1.3003 2.6006 0 NaN 1.3003 2813 RUSSELL caleb_strategy_v1 [1] 384.527 139.132 -1.3003 0 -2.6006 NaN -1.3003 2817 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2818 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 51.3769 -0 NaN 25.6885 2820 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2821 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 -51.3769 -102.754 NaN -77.0654 2822 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 77.0654 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2823 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -128.442 -25.6885 51.3769 -3.65055e-12 NaN 25.6885 2824 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 77.0654 -25.6885 0 -51.3769 NaN -25.6885 2825 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 51.3769 -0 NaN 25.6885 2826 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2827 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 51.3769 -0 NaN 25.6885 2828 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2829 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 51.3769 -0 NaN 25.6885 2830 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2831 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -25.6885 -25.6885 -51.3769 NaN NaN -77.0654 2832 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 51.3769 -51.3769 0 -102.754 NaN -51.3769 2833 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 51.3769 -0 NaN 25.6885 2834 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2835 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 -51.3769 -102.754 NaN -77.0654 2836 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 77.0654 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2837 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -128.442 -25.6885 -0 -51.3769 NaN -25.6885 2838 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 128.442 -25.6885 -51.3769 -102.754 NaN -77.0654 2839 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 -51.3769 -102.754 NaN -77.0654 2840 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 77.0654 -25.6885 0 -51.3769 NaN -25.6885 2841 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 -51.3769 -102.754 NaN -77.0654 2842 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 77.0654 -25.6885 -51.3769 -102.754 NaN -77.0654 2843 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -25.6885 -25.6885 -51.3769 -102.754 NaN -77.0654 2808 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 0 -51.3769 NaN -25.6885 2809 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -25.6885 -25.6885 -51.3769 -102.754 NaN -77.0654 2811 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 0 NaN NaN -25.6885 2812 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -25.6885 -25.6885 -51.3769 -102.754 NaN -77.0654 2814 VIX _ROLL_PSEUDO_STRATEGY [1] 9.73199 25.6885 -25.6885 51.3769 3.65055e-12 NaN 25.6885 2815 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.73199 -77.0654 -25.6885 51.3769 -0 NaN 25.6885 =============================================================================================================================================================================== 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 2804 GOLD_micro caleb_strategy_v1 [-1] 10 -65 -1 2 -2.27374e-12 NaN 1 2805 CRUDE_W caleb_strategy_v1 [-1] 1000 600 -10 -10 -30 NaN -20 2807 US10U caleb_strategy_v1 [-1] 1000 -39.0625 -7.8125 15.625 -0 NaN 7.8125 2816 RUSSELL caleb_strategy_v1 [1] 5 26.75 -0.25 4 NaN NaN 3.75 2819 RUSSELL caleb_strategy_v1 [1] 5 24.5 -0.5 0.5 -0.5 NaN 0 2806 RUSSELL caleb_strategy_v1 [1] 5 33.25 -0.25 0 -0.5 NaN -0.25 2810 RUSSELL caleb_strategy_v1 [1] 5 28.75 -0.25 0.5 0 NaN 0.25 2813 RUSSELL caleb_strategy_v1 [1] 5 26.75 -0.25 0 -0.5 NaN -0.25 2817 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 50 3.55271e-12 NaN 25 2818 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 50 -0 NaN 25 2820 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 50 3.55271e-12 NaN 25 2821 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 -50 -100 NaN -75 2822 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 75 -25 50 3.55271e-12 NaN 25 2823 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -125 -25 50 -3.55271e-12 NaN 25 2824 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 75 -25 0 -50 NaN -25 2825 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 50 -0 NaN 25 2826 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 50 3.55271e-12 NaN 25 2827 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 50 -0 NaN 25 2828 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 50 3.55271e-12 NaN 25 2829 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 50 -0 NaN 25 2830 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 50 3.55271e-12 NaN 25 2831 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -25 -25 -50 NaN NaN -75 2832 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 50 -50 0 -100 NaN -50 2833 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 50 -0 NaN 25 2834 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 50 3.55271e-12 NaN 25 2835 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 -50 -100 NaN -75 2836 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 75 -25 50 3.55271e-12 NaN 25 2837 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -125 -25 -0 -50 NaN -25 2838 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 -50 -100 NaN -75 2839 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 -50 -100 NaN -75 2840 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 75 -25 0 -50 NaN -25 2841 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 -50 -100 NaN -75 2842 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 75 -25 -50 -100 NaN -75 2843 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -25 -25 -50 -100 NaN -75 2808 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 0 -50 NaN -25 2809 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -25 -25 -50 -100 NaN -75 2811 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 0 NaN NaN -25 2812 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -25 -25 -50 -100 NaN -75 2814 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 50 3.55271e-12 NaN 25 2815 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 50 -0 NaN 25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -325.0000 caleb_strategy_v1 CRUDE_W 600.0000 GOLD_micro -65.0000 RUSSELL 140.0000 US10U -39.0625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -325.0000 caleb_strategy_v1 635.9375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -825.0000 caleb_strategy_v1 CRUDE_W -10.0000 GOLD_micro -1.0000 RUSSELL -1.5000 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -825.0000 caleb_strategy_v1 -20.3125 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 300.000 caleb_strategy_v1 CRUDE_W -10.000 GOLD_micro 2.000 RUSSELL 5.000 US10U 15.625 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 300.000 caleb_strategy_v1 12.625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1.200000e+03 caleb_strategy_v1 CRUDE_W -3.000000e+01 GOLD_micro -2.273737e-12 RUSSELL -1.500000e+00 US10U -0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1200.0 caleb_strategy_v1 -31.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v1 CRUDE_W 0 GOLD_micro 0 RUSSELL 0 US10U 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 -525.0000 caleb_strategy_v1 CRUDE_W -20.0000 GOLD_micro 1.0000 RUSSELL 3.5000 US10U 7.8125 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -525.0000 caleb_strategy_v1 -7.6875 ******************************************************************************** END OF REPORT ********************************************************************************