******************************************************************************** Trades report report produced on 19/05/2023 21:37 from 18/05/2023 21:37 to 19/05/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2872 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:03:07 [-1] 27005.000000 2866 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:02:21 [-1] 27015.000000 2867 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:02:27 [1] 26870.000000 2868 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:02:27 [-1] 27040.000000 2869 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:02:30 [1] 26875.000000 2870 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:02:51 [-1] 27015.000000 2871 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:03:04 [1] 26855.000000 2898 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:08:53 [-1] 26995.000000 2873 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:03:19 [1] 26840.000000 2874 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:03:21 [-1] 27005.000000 2875 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:03:27 [1] 26845.000000 2876 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:03:30 [-1] 27000.000000 2877 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:03:33 [1] 26855.000000 2878 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:03:35 [-1] 27000.000000 2879 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:03:41 [1] 26855.000000 2880 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:03:55 [-1] 27015.000000 2865 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:02:13 [1] 26875.000000 2863 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:02:10 [-1] 27040.000000 2862 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:02:09 [1] 26870.000000 2859 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:01:06 [-1] 27045.000000 2897 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:06:07 [1] 26840.000000 2896 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:05:59 [-1] 26995.000000 2895 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:05:58 [1] 26835.000000 2894 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:05:52 [-1] 26995.000000 2893 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:05:52 [1] 26825.000000 2892 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:05:42 [-1] 26995.000000 2891 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:05:17 [1] 26840.000000 2881 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:04:03 [1] 26845.000000 2890 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:05:13 [-1] 26995.000000 2888 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:05:08 [-1] 27000.000000 2887 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:04:52 [1] 26835.000000 2886 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:04:45 [-1] 27005.000000 2885 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:04:44 [1] 26840.000000 2884 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:04:19 [-1] 27010.000000 2883 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:04:13 [1] 26850.000000 2858 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:01:00 [1] 26880.000000 2889 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-05-19 15:05:11 [1] 26840.000000 2882 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-19 15:04:10 [-1] 27010.000000 2845 BUND caleb_strategy_v1 [20230600] 2023-05-19 08:00:03 [1] 133.920000 2846 CAC caleb_strategy_v1 [20230600] 2023-05-19 08:00:04 [1] 7421.000000 2848 COCOA caleb_strategy_v1 [20230700] 2023-05-19 14:00:06 [1] 3039.000000 2850 CRUDE_W caleb_strategy_v1 [20231200] 2023-05-19 14:00:07 [-1] 71.980000 2856 EUR caleb_strategy_v1 [20230600] 2023-05-19 15:00:53 [-1] 1.081150 2899 FEEDCOW caleb_strategy_v1 [20230800] 2023-05-19 15:30:02 [1] 234.275000 2851 GOLD_micro caleb_strategy_v1 [20230800] 2023-05-19 14:00:11 [-1] 1982.300000 2849 GOLD_micro caleb_strategy_v1 [20230800] 2023-05-19 14:00:07 [-1] 1982.100000 2847 HEATOIL caleb_strategy_v1 [20230800] 2023-05-19 14:00:02 [1] 2.422700 2852 JPY caleb_strategy_v1 [20230600] 2023-05-19 15:00:00 [-1] 0.007249 2860 RUSSELL caleb_strategy_v1 [20230600] 2023-05-19 15:02:09 [1] 1795.700000 2864 RUSSELL caleb_strategy_v1 [20230600] 2023-05-19 15:02:12 [1] 1795.900000 2855 RUSSELL caleb_strategy_v1 [20230600] 2023-05-19 15:00:51 [1] 1796.200000 2861 US10U caleb_strategy_v1 [20230900] 2023-05-19 15:02:09 [-1] 119.875000 2857 US10U caleb_strategy_v1 [20230900] 2023-05-19 15:00:55 [-1] 119.859375 2854 US20 caleb_strategy_v1 [20230900] 2023-05-19 15:00:50 [-1] 127.250000 2853 VIX caleb_strategy_v1 [20230800] 2023-05-19 15:00:47 [-1] 21.700000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2845 BUND caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 08:00:03.173 2023-05-19 08:00:03 115203 NaN 2846 CAC caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 08:00:04.429 2023-05-19 08:00:04 115204 NaN 2847 HEATOIL caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 14:00:01.684 2023-05-19 14:00:02 136802 0.316 2848 COCOA caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 14:00:03.741 2023-05-19 14:00:06 136804 2.259 2850 CRUDE_W caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 14:00:07.648 2023-05-19 14:00:07 136808 NaN 2849 GOLD_micro caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 14:00:06.904 2023-05-19 14:00:07 136807 0.096 2851 GOLD_micro caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 14:00:09.381 2023-05-19 14:00:11 136809 1.619 2852 JPY caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:00:00.681 2023-05-19 15:00:00 140401 NaN 2853 VIX caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:00:02.021 2023-05-19 15:00:47 140402 44.979 2854 US20 caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:00:47.813 2023-05-19 15:00:50 140448 2.187 2856 EUR caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:00:52.158 2023-05-19 15:00:53 140452 0.842 2857 US10U caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:00:53.664 2023-05-19 15:00:55 140454 1.336 2861 US10U caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:02:09.548 2023-05-19 15:02:09 140530 NaN 2864 RUSSELL caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:02:12.320 2023-05-19 15:02:12 140532 NaN 2860 RUSSELL caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:02:08.625 2023-05-19 15:02:09 140529 0.375 2855 RUSSELL caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:00:50.800 2023-05-19 15:00:51 140451 0.2 2858 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:00:55.676 2023-05-19 15:01:00 68455.7 4.324 2859 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:01:01.488 2023-05-19 15:01:06 68461.5 4.512 2862 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:09.844 2023-05-19 15:02:09 68529.8 NaN 2863 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:10.226 2023-05-19 15:02:10 68530.2 NaN 2865 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:13.237 2023-05-19 15:02:13 68533.2 NaN 2866 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:13.699 2023-05-19 15:02:21 68533.7 7.301 2867 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:23.617 2023-05-19 15:02:27 68543.6 3.383 2868 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:27.386 2023-05-19 15:02:27 68547.4 NaN 2869 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:29.077 2023-05-19 15:02:30 68549.1 0.923 2870 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:31.134 2023-05-19 15:02:51 68551.1 19.866 2871 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:02:52.781 2023-05-19 15:03:04 68572.8 11.219 2872 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:04.901 2023-05-19 15:03:07 68584.9 2.099 2873 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:08.885 2023-05-19 15:03:19 68588.9 10.115 2874 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:20.006 2023-05-19 15:03:21 68600 0.994 2875 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:22.813 2023-05-19 15:03:27 68602.8 4.187 2876 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:27.985 2023-05-19 15:03:30 68608 2.015 2877 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:32.578 2023-05-19 15:03:33 68612.6 0.422 2878 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:33.681 2023-05-19 15:03:35 68613.7 1.319 2879 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:38.179 2023-05-19 15:03:41 68618.2 2.821 2880 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:41.882 2023-05-19 15:03:55 68621.9 13.118 2881 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:03:57.767 2023-05-19 15:04:03 68637.8 5.233 2882 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:04:04.210 2023-05-19 15:04:10 68644.2 5.79 2883 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:04:12.142 2023-05-19 15:04:13 68652.1 0.858 2884 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:04:13.528 2023-05-19 15:04:19 68653.5 5.472 2885 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:04:20.909 2023-05-19 15:04:44 68660.9 23.091 2886 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:04:45.289 2023-05-19 15:04:45 68685.3 NaN 2887 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:04:47.509 2023-05-19 15:04:52 68687.5 4.491 2888 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:04:52.488 2023-05-19 15:05:08 68692.5 15.512 2889 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:10.652 2023-05-19 15:05:11 68710.7 0.348 2890 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:11.761 2023-05-19 15:05:13 68711.8 1.239 2891 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:15.798 2023-05-19 15:05:17 68715.8 1.202 2892 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:17.906 2023-05-19 15:05:42 68717.9 24.094 2893 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:44.780 2023-05-19 15:05:52 68744.8 7.22 2894 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:52.898 2023-05-19 15:05:52 68752.9 NaN 2895 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:54.629 2023-05-19 15:05:58 68754.6 3.371 2896 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:05:59.208 2023-05-19 15:05:59 68759.2 NaN 2897 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:06:01.929 2023-05-19 15:06:07 68761.9 5.071 2898 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-05-18 20:00:00 2023-05-19 15:06:07.936 2023-05-19 15:08:53 68767.9 165.064 2899 FEEDCOW caleb_strategy_v1 2023-05-18 00:00:00 2023-05-19 15:30:02.168 2023-05-19 15:30:02 142202 NaN =========================================================================================================================================================================================================================================== 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 2845 BUND caleb_strategy_v1 [1] 133.9 None 133.915 133.92 133.91 NaN 133.92 -0.015 -0.005 0 NaN NaN -0.005 2846 CAC caleb_strategy_v1 [1] 7398 None 7421.25 7421.5 7421 7421 7421 -23.25 -0.25 0.5 0 NaN 0.25 2847 HEATOIL caleb_strategy_v1 [1] 2.3793 None 2.4218 2.4223 2.4213 2.4213 2.4227 -0.0425 -0.0005 -0.0004 -0.0014 NaN -0.0009 2848 COCOA caleb_strategy_v1 [1] 2988 None 3037.5 3038 3037 3037 3039 -49.5 -0.5 -1 -2 NaN -1.5 2850 CRUDE_W caleb_strategy_v1 [-1] 70.58 None 71.995 71.99 72 NaN 71.98 1.415 -0.005 -0.01 NaN NaN -0.015 2849 GOLD_micro caleb_strategy_v1 [-1] 1978 None 1982.25 1982.1 1982.4 1982.4 1982.1 4.25 -0.15 -0 -0.3 NaN -0.15 2851 GOLD_micro caleb_strategy_v1 [-1] 1978 None 1982.2 1982.1 1982.3 1982.3 1982.3 4.2 -0.1 0.2 -2.27374e-13 NaN 0.1 2852 JPY caleb_strategy_v1 [-1] 0.007245 None 0.00724875 0.0072485 0.007249 0.007249 0.007249 3.75e-06 -2.5e-07 5e-07 8.67362e-19 NaN 2.5e-07 2853 VIX caleb_strategy_v1 [-1] 22 None 21.775 21.75 21.8 21.8 21.7 -0.225 -0.025 -0.05 -0.1 NaN -0.075 2854 US20 caleb_strategy_v1 [-1] 128.031 None 127.234 127.219 127.25 127.25 127.25 -0.796875 -0.015625 0.03125 -0 NaN 0.015625 2856 EUR caleb_strategy_v1 [-1] 1.0785 None 1.08113 1.0811 1.08115 1.08115 1.08115 0.002625 -2.5e-05 5e-05 -0 NaN 2.5e-05 2857 US10U caleb_strategy_v1 [-1] 120.391 None 119.867 119.859 119.875 119.875 119.859 -0.523438 -0.0078125 -0 -0.015625 NaN -0.0078125 2861 US10U caleb_strategy_v1 [-1] 120.391 None 119.867 119.859 119.875 NaN 119.875 -0.523438 -0.0078125 0.015625 NaN NaN 0.0078125 2864 RUSSELL caleb_strategy_v1 [1] 1784.5 None 1795.95 1796 1795.9 1795.9 1795.9 -11.45 -0.05 0.1 0 NaN 0.05 2860 RUSSELL caleb_strategy_v1 [1] 1784.5 None 1795.5 1795.6 1795.4 1795.4 1795.7 -11 -0.1 -0.1 -0.3 NaN -0.2 2855 RUSSELL caleb_strategy_v1 [1] 1784.5 None 1796.05 1796.1 1796 1796 1796.2 -11.55 -0.05 -0.1 -0.2 NaN -0.15 2858 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26880 26885 26875 26875 26880 -280 -5 5 -5 NaN 0 2859 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27062.5 27040 27085 27085 27045 282.5 -22.5 5 -40 NaN -17.5 2862 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26875 26880 26870 NaN 26870 -275 -5 10 NaN NaN 5 2863 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27055 27040 27070 27070 27040 275 -15 -0 -30 NaN -15 2865 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26865 26870 26860 26860 26875 -265 -5 -5 -15 NaN -10 2866 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27057.5 27040 27075 NaN 27015 277.5 -17.5 -25 NaN NaN -42.5 2867 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26870 26875 26865 26865 26870 -270 -5 5 -5 NaN 0 2868 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27060 27040 27080 NaN 27040 280 -20 -0 NaN NaN -20 2869 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26867.5 26875 26860 26860 26875 -267.5 -7.5 0 -15 NaN -7.5 2870 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27060 27040 27080 NaN 27015 280 -20 -25 NaN NaN -45 2871 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26860 26865 26855 26855 26855 -260 -5 10 0 NaN 5 2872 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27040 27020 27060 27060 27005 260 -20 -15 -55 NaN -35 2873 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26845 26850 26840 26840 26840 -245 -5 10 0 NaN 5 2874 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27027.5 27000 27055 27055 27005 247.5 -27.5 5 -50 NaN -22.5 2875 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26842.5 26850 26835 26835 26845 -242.5 -7.5 5 -10 NaN -2.5 2876 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27025 27000 27050 27050 27000 245 -25 -0 -50 NaN -25 2877 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26847.5 26855 26840 26840 26855 -247.5 -7.5 0 -15 NaN -7.5 2878 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27032.5 27000 27065 27065 27000 252.5 -32.5 -0 -65 NaN -32.5 2879 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26845 26850 26840 26840 26855 -245 -5 -5 -15 NaN -10 2880 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27037.5 27010 27065 27065 27015 257.5 -27.5 5 -50 NaN -22.5 2881 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26850 26855 26845 26845 26845 -250 -5 10 0 NaN 5 2882 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27027.5 27000 27055 27055 27010 247.5 -27.5 10 -45 NaN -17.5 2883 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26842.5 26850 26835 26835 26850 -242.5 -7.5 0 -15 NaN -7.5 2884 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27027.5 27005 27050 27050 27010 247.5 -22.5 5 -40 NaN -17.5 2885 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26845 26850 26840 26840 26840 -245 -5 10 0 NaN 5 2886 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27025 27000 27050 27050 27005 245 -25 5 -45 NaN -20 2887 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26840 26845 26835 26835 26835 -240 -5 10 0 NaN 5 2888 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27020 26995 27045 27045 27000 240 -25 5 -45 NaN -20 2889 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26832.5 26840 26825 26825 26840 -232.5 -7.5 0 -15 NaN -7.5 2890 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27025 27000 27050 27050 26995 245 -25 -5 -55 NaN -30 2891 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26832.5 26840 26825 26825 26840 -232.5 -7.5 0 -15 NaN -7.5 2892 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27020 27005 27035 27035 26995 240 -15 -10 -40 NaN -25 2893 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26830 26835 26825 26825 26825 -230 -5 10 0 NaN 5 2894 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27012.5 26995 27030 NaN 26995 232.5 -17.5 -0 NaN NaN -17.5 2895 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26825 26830 26820 26820 26835 -225 -5 -5 -15 NaN -10 2896 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27012.5 26995 27030 27030 26995 232.5 -17.5 -0 -35 NaN -17.5 2897 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 26600 None 26835 26840 26830 26830 26840 -235 -5 0 -10 NaN -5 2898 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 26780 None 27017.5 27000 27035 27035 26995 237.5 -17.5 -5 -40 NaN -22.5 2899 FEEDCOW caleb_strategy_v1 [1] 234.425 None 234.213 234.25 234.175 234.175 234.275 0.2125 -0.0375 -0.025 -0.1 NaN -0.0625 ==================================================================================================================================================================== 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 2845 BUND caleb_strategy_v1 [1] 12.9222 -11.6079 -3.8693 0 NaN NaN -3.8693 2846 CAC caleb_strategy_v1 [1] 901.802 -257.817 -2.77223 5.54445 0 NaN 2.77223 2847 HEATOIL caleb_strategy_v1 [1] 0.863825 -491.998 -5.78821 -4.63057 -16.207 NaN -10.4188 2848 COCOA caleb_strategy_v1 [1] 525.169 -942.554 -9.52075 -19.0415 -38.083 NaN -28.5623 2850 CRUDE_W caleb_strategy_v1 [-1] 24.814 570.242 -2.01499 -4.02998 NaN NaN -6.04497 2849 GOLD_micro caleb_strategy_v1 [-1] 295.246 143.948 -5.08051 -0 -10.161 NaN -5.08051 2851 GOLD_micro caleb_strategy_v1 [-1] 295.246 142.254 -3.38701 6.77402 -7.70117e-12 NaN 3.38701 2852 JPY caleb_strategy_v1 [-1] 0.000774684 48.4068 -3.22712 6.45424 1.11963e-11 NaN 3.22712 2853 VIX caleb_strategy_v1 [-1] 9.63545 -233.513 -25.9459 -51.8917 -103.783 NaN -77.8376 2854 US20 caleb_strategy_v1 [-1] 16.5212 -482.336 -9.45756 18.9151 -0 NaN 9.45756 2856 EUR caleb_strategy_v1 [-1] 0.0804954 326.106 -3.10577 6.21154 -0 NaN 3.10577 2857 US10U caleb_strategy_v1 [-1] 11.5987 -451.288 -6.73564 -0 -13.4713 NaN -6.73564 2861 US10U caleb_strategy_v1 [-1] 11.5987 -451.288 -6.73564 13.4713 NaN NaN 6.73564 2864 RUSSELL caleb_strategy_v1 [1] 376.078 -304.458 -1.32951 2.65902 0 NaN 1.32951 2860 RUSSELL caleb_strategy_v1 [1] 376.078 -292.493 -2.65902 -2.65902 -7.97707 NaN -5.31805 2855 RUSSELL caleb_strategy_v1 [1] 376.078 -307.117 -1.32951 -2.65902 -5.31805 NaN -3.98853 2858 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -172.15 -3.07411 3.07411 -3.07411 NaN 0 2859 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 173.687 -13.8335 3.07411 -24.5929 NaN -10.7594 2862 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -169.076 -3.07411 6.14822 NaN NaN 3.07411 2863 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 169.076 -9.22233 -0 -18.4447 NaN -9.22233 2865 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -162.928 -3.07411 -3.07411 -9.22233 NaN -6.14822 2866 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 170.613 -10.7594 -15.3706 NaN NaN -26.1299 2867 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -166.002 -3.07411 3.07411 -3.07411 NaN 0 2868 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 172.15 -12.2964 -0 NaN NaN -12.2964 2869 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -164.465 -4.61117 0 -9.22233 NaN -4.61117 2870 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 172.15 -12.2964 -15.3706 NaN NaN -27.667 2871 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -159.854 -3.07411 6.14822 0 NaN 3.07411 2872 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 159.854 -12.2964 -9.22233 -33.8152 NaN -21.5188 2873 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -150.631 -3.07411 6.14822 0 NaN 3.07411 2874 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 152.168 -16.9076 3.07411 -30.7411 NaN -13.8335 2875 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -149.094 -4.61117 3.07411 -6.14822 NaN -1.53706 2876 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 150.631 -15.3706 -0 -30.7411 NaN -15.3706 2877 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -152.168 -4.61117 0 -9.22233 NaN -4.61117 2878 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 155.243 -19.9817 -0 -39.9634 NaN -19.9817 2879 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -150.631 -3.07411 -3.07411 -9.22233 NaN -6.14822 2880 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 158.317 -16.9076 3.07411 -30.7411 NaN -13.8335 2881 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -153.706 -3.07411 6.14822 0 NaN 3.07411 2882 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 152.168 -16.9076 6.14822 -27.667 NaN -10.7594 2883 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -149.094 -4.61117 0 -9.22233 NaN -4.61117 2884 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 152.168 -13.8335 3.07411 -24.5929 NaN -10.7594 2885 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -150.631 -3.07411 6.14822 0 NaN 3.07411 2886 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 150.631 -15.3706 3.07411 -27.667 NaN -12.2964 2887 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -147.557 -3.07411 6.14822 0 NaN 3.07411 2888 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 147.557 -15.3706 3.07411 -27.667 NaN -12.2964 2889 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -142.946 -4.61117 0 -9.22233 NaN -4.61117 2890 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 150.631 -15.3706 -3.07411 -33.8152 NaN -18.4447 2891 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -142.946 -4.61117 0 -9.22233 NaN -4.61117 2892 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 147.557 -9.22233 -6.14822 -24.5929 NaN -15.3706 2893 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -141.409 -3.07411 6.14822 0 NaN 3.07411 2894 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 142.946 -10.7594 -0 NaN NaN -10.7594 2895 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -138.335 -3.07411 -3.07411 -9.22233 NaN -6.14822 2896 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 142.946 -10.7594 -0 -21.5188 NaN -10.7594 2897 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 16264.9 -144.483 -3.07411 0 -6.14822 NaN -3.07411 2898 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 16264.9 146.02 -10.7594 -3.07411 -24.5929 NaN -13.8335 2899 FEEDCOW caleb_strategy_v1 [1] 26.1991 81.1097 -14.3135 -9.54231 -38.1692 NaN -23.8558 =============================================================================================================================================================================== 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 2845 BUND caleb_strategy_v1 [1] 1077 -16.155 -5.385 0 NaN NaN -5.385 2846 CAC caleb_strategy_v1 [1] 10.77 -250.403 -2.6925 5.385 0 NaN 2.6925 2847 HEATOIL caleb_strategy_v1 [1] 42000 -1785 -21 -16.8 -58.8 NaN -37.8 2848 COCOA caleb_strategy_v1 [1] 10 -495 -5 -10 -20 NaN -15 2850 CRUDE_W caleb_strategy_v1 [-1] 1000 1415 -5 -10 NaN NaN -15 2849 GOLD_micro caleb_strategy_v1 [-1] 10 42.5 -1.5 -0 -3 NaN -1.5 2851 GOLD_micro caleb_strategy_v1 [-1] 10 42 -1 2 -2.27374e-12 NaN 1 2852 JPY caleb_strategy_v1 [-1] 1.25e+07 46.875 -3.125 6.25 1.0842e-11 NaN 3.125 2853 VIX caleb_strategy_v1 [-1] 1000 -225 -25 -50 -100 NaN -75 2854 US20 caleb_strategy_v1 [-1] 1000 -796.875 -15.625 31.25 -0 NaN 15.625 2856 EUR caleb_strategy_v1 [-1] 125000 328.125 -3.125 6.25 -0 NaN 3.125 2857 US10U caleb_strategy_v1 [-1] 1000 -523.438 -7.8125 -0 -15.625 NaN -7.8125 2861 US10U caleb_strategy_v1 [-1] 1000 -523.438 -7.8125 15.625 NaN NaN 7.8125 2864 RUSSELL caleb_strategy_v1 [1] 5 -57.25 -0.25 0.5 0 NaN 0.25 2860 RUSSELL caleb_strategy_v1 [1] 5 -55 -0.5 -0.5 -1.5 NaN -1 2855 RUSSELL caleb_strategy_v1 [1] 5 -57.75 -0.25 -0.5 -1 NaN -0.75 2858 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -28 -0.5 0.5 -0.5 NaN 0 2859 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 28.25 -2.25 0.5 -4 NaN -1.75 2862 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -27.5 -0.5 1 NaN NaN 0.5 2863 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 27.5 -1.5 -0 -3 NaN -1.5 2865 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -26.5 -0.5 -0.5 -1.5 NaN -1 2866 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 27.75 -1.75 -2.5 NaN NaN -4.25 2867 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -27 -0.5 0.5 -0.5 NaN 0 2868 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 28 -2 -0 NaN NaN -2 2869 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -26.75 -0.75 0 -1.5 NaN -0.75 2870 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 28 -2 -2.5 NaN NaN -4.5 2871 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -26 -0.5 1 0 NaN 0.5 2872 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 26 -2 -1.5 -5.5 NaN -3.5 2873 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -24.5 -0.5 1 0 NaN 0.5 2874 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24.75 -2.75 0.5 -5 NaN -2.25 2875 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -24.25 -0.75 0.5 -1 NaN -0.25 2876 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24.5 -2.5 -0 -5 NaN -2.5 2877 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -24.75 -0.75 0 -1.5 NaN -0.75 2878 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 25.25 -3.25 -0 -6.5 NaN -3.25 2879 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -24.5 -0.5 -0.5 -1.5 NaN -1 2880 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 25.75 -2.75 0.5 -5 NaN -2.25 2881 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -25 -0.5 1 0 NaN 0.5 2882 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24.75 -2.75 1 -4.5 NaN -1.75 2883 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -24.25 -0.75 0 -1.5 NaN -0.75 2884 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24.75 -2.25 0.5 -4 NaN -1.75 2885 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -24.5 -0.5 1 0 NaN 0.5 2886 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24.5 -2.5 0.5 -4.5 NaN -2 2887 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -24 -0.5 1 0 NaN 0.5 2888 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24 -2.5 0.5 -4.5 NaN -2 2889 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -23.25 -0.75 0 -1.5 NaN -0.75 2890 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24.5 -2.5 -0.5 -5.5 NaN -3 2891 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -23.25 -0.75 0 -1.5 NaN -0.75 2892 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 24 -1.5 -1 -4 NaN -2.5 2893 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -23 -0.5 1 0 NaN 0.5 2894 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 23.25 -1.75 -0 NaN NaN -1.75 2895 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -22.5 -0.5 -0.5 -1.5 NaN -1 2896 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 23.25 -1.75 -0 -3.5 NaN -1.75 2897 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -23.5 -0.5 0 -1 NaN -0.5 2898 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 23.75 -1.75 -0.5 -4 NaN -2.25 2899 FEEDCOW caleb_strategy_v1 [1] 500 106.25 -18.75 -12.5 -50 NaN -31.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 9.5000 caleb_strategy_v1 BUND -16.1550 CAC -250.4025 COCOA -495.0000 CRUDE_W 1415.0000 EUR 328.1250 FEEDCOW 106.2500 GOLD_micro 84.5000 HEATOIL -1785.0000 JPY 46.8750 RUSSELL -170.0000 US10U -1046.8750 US20 -796.8750 VIX -225.0000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 9.5000 caleb_strategy_v1 -2804.5575 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -53.0000 caleb_strategy_v1 BUND -5.3850 CAC -2.6925 COCOA -5.0000 CRUDE_W -5.0000 EUR -3.1250 FEEDCOW -18.7500 GOLD_micro -2.5000 HEATOIL -21.0000 JPY -3.1250 RUSSELL -1.0000 US10U -15.6250 US20 -15.6250 VIX -25.0000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -53.0000 caleb_strategy_v1 -123.8275 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 2.500 caleb_strategy_v1 BUND 0.000 CAC 5.385 COCOA -10.000 CRUDE_W -10.000 EUR 6.250 FEEDCOW -12.500 GOLD_micro 2.000 HEATOIL -16.800 JPY 6.250 RUSSELL -0.500 US10U 15.625 US20 31.250 VIX -50.000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 2.50 caleb_strategy_v1 -33.04 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -8.350000e+01 caleb_strategy_v1 BUND 0.000000e+00 CAC 0.000000e+00 COCOA -2.000000e+01 CRUDE_W 0.000000e+00 EUR -0.000000e+00 FEEDCOW -5.000000e+01 GOLD_micro -3.000000e+00 HEATOIL -5.880000e+01 JPY 1.084202e-11 RUSSELL -2.500000e+00 US10U -1.562500e+01 US20 -0.000000e+00 VIX -1.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -83.500 caleb_strategy_v1 -249.925 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 0 caleb_strategy_v1 BUND 0 CAC 0 COCOA 0 CRUDE_W 0 EUR 0 FEEDCOW 0 GOLD_micro 0 HEATOIL 0 JPY 0 RUSSELL 0 US10U 0 US20 0 VIX 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 BITCOIN -50.5000 caleb_strategy_v1 BUND -5.3850 CAC 2.6925 COCOA -15.0000 CRUDE_W -15.0000 EUR 3.1250 FEEDCOW -31.2500 GOLD_micro -0.5000 HEATOIL -37.8000 JPY 3.1250 RUSSELL -1.5000 US10U 0.0000 US20 15.6250 VIX -75.0000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.5000 caleb_strategy_v1 -156.8675 ******************************************************************************** END OF REPORT ********************************************************************************