******************************************************************************** Trades report produced on 14/06/2023 21:38 from 13/06/2023 21:38 to 14/06/2023 21:38 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3157 BITCOIN caleb_strategy_v1 [20230600] 2023-06-14 15:00:02 [-1] 26045.000000 3159 BITCOIN caleb_strategy_v1 [20230600] 2023-06-14 15:00:15 [-1] 26045.000000 3162 BITCOIN caleb_strategy_v1 [20230600] 2023-06-14 15:00:24 [-1] 26035.000000 3161 BITCOIN caleb_strategy_v1 [20230600] 2023-06-14 15:00:20 [-1] 26040.000000 3152 EUROSTX caleb_strategy_v1 [20230900] 2023-06-14 09:21:21 [-1] 4394.000000 3153 EUROSTX caleb_strategy_v1 [20230900] 2023-06-14 09:21:42 [-1] 4395.000000 3155 GASOIL _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 10:33:44 [-1] 693.750000 3154 GASOIL _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-14 10:33:29 [1] 701.750000 3156 GAS_US caleb_strategy_v1 [20230900] 2023-06-14 14:00:03 [-1] 2.421000 3160 US5 caleb_strategy_v1 [20230900] 2023-06-14 15:00:18 [-1] 108.015625 3158 US5 caleb_strategy_v1 [20230900] 2023-06-14 15:00:11 [-1] 108.007813 3188 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:00:22 [-1] 19.300000 3182 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:00:01 [-1] 19.250000 3183 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:00:03 [1] 18.200000 3184 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:00:11 [-1] 19.300000 3185 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:00:13 [1] 18.200000 3186 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:00:19 [-1] 19.300000 3187 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:00:21 [1] 18.200000 3189 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:00:24 [1] 18.200000 3194 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:03:25 [-1] 19.300000 3191 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:02:00 [1] 18.100000 3192 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:02:24 [-1] 19.250000 3193 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:03:10 [1] 18.150000 3181 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:59:57 [1] 18.200000 3195 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:05:25 [1] 18.150000 3196 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:05:53 [-1] 19.350000 3197 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:06:17 [1] 18.250000 3190 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:01:32 [-1] 19.300000 3180 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:59:42 [-1] 19.250000 3175 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:58:07 [1] 18.150000 3178 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:59:22 [-1] 19.250000 3200 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:07:44 [-1] 19.450000 3163 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:30:39 [1] 18.150000 3164 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:30:40 [-1] 19.200000 3165 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:30:42 [1] 18.100000 3166 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:30:42 [-1] 19.250000 3167 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:31:00 [1] 18.100000 3168 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:32:07 [-1] 19.200000 3179 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:59:42 [1] 18.150000 3169 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:32:09 [1] 18.100000 3171 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:42:11 [1] 18.100000 3172 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:47:11 [-1] 19.200000 3173 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:52:13 [1] 18.100000 3174 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:56:49 [-1] 19.250000 3198 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 19:06:53 [-1] 19.400000 3176 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:59:00 [-1] 19.250000 3177 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 18:59:21 [1] 18.100000 3170 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-14 18:37:09 [-1] 19.200000 3199 VIX _ROLL_PSEUDO_STRATEGY [20230800] 2023-06-14 19:06:55 [1] 18.300000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3152 EUROSTX caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 09:20:28.861 2023-06-14 09:21:21 120029 52.139 3153 EUROSTX caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 09:21:39.835 2023-06-14 09:21:42 120100 2.165 3154 GASOIL _ROLL_PSEUDO_STRATEGY 2023-06-13 19:00:00 2023-06-14 10:33:04.694 2023-06-14 10:33:29 55984.7 24.306 3155 GASOIL _ROLL_PSEUDO_STRATEGY 2023-06-13 19:00:00 2023-06-14 10:33:29.897 2023-06-14 10:33:44 56009.9 14.103 3156 GAS_US caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 14:00:01.946 2023-06-14 14:00:03 136802 1.054 3160 US5 caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 15:00:16.020 2023-06-14 15:00:18 140416 1.98 3158 US5 caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 15:00:02.628 2023-06-14 15:00:11 140403 8.372 3161 BITCOIN caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 15:00:20.176 2023-06-14 15:00:20 140420 NaN 3162 BITCOIN caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 15:00:22.183 2023-06-14 15:00:24 140422 1.817 3157 BITCOIN caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 15:00:01.356 2023-06-14 15:00:02 140401 0.644 3159 BITCOIN caleb_strategy_v1 2023-06-13 00:00:00 2023-06-14 15:00:13.795 2023-06-14 15:00:15 140414 1.205 3200 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:06:56.295 2023-06-14 19:07:44 83216.3 47.705 3163 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:29:50.267 2023-06-14 18:30:39 80990.3 48.733 3164 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:30:39.589 2023-06-14 18:30:40 81039.6 0.411 3165 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:30:42.300 2023-06-14 18:30:42 81042.3 NaN 3166 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:30:42.703 2023-06-14 18:30:42 81042.7 NaN 3167 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:30:44.823 2023-06-14 18:31:00 81044.8 15.177 3168 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:31:00.520 2023-06-14 18:32:07 81060.5 66.48 3169 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:32:09.210 2023-06-14 18:32:09 81129.2 NaN 3170 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:32:09.590 2023-06-14 18:37:09 81129.6 299.41 3171 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:37:11.471 2023-06-14 18:42:11 81431.5 299.529 3172 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:42:11.856 2023-06-14 18:47:11 81731.9 299.144 3173 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:47:13.436 2023-06-14 18:52:13 82033.4 299.564 3174 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:52:13.789 2023-06-14 18:56:49 82333.8 275.211 3175 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:56:51.347 2023-06-14 18:58:07 82611.3 75.653 3176 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:58:08.203 2023-06-14 18:59:00 82688.2 51.797 3177 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:59:01.973 2023-06-14 18:59:21 82742 19.027 3178 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:59:22.008 2023-06-14 18:59:22 82762 NaN 3179 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:59:24.029 2023-06-14 18:59:42 82764 17.971 3180 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:59:42.347 2023-06-14 18:59:42 82782.3 NaN 3181 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:59:44.056 2023-06-14 18:59:57 82784.1 12.944 3182 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 18:59:58.138 2023-06-14 19:00:01 82798.1 2.862 3183 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:03.026 2023-06-14 19:00:03 82803 NaN 3184 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:03.877 2023-06-14 19:00:11 82803.9 7.123 3185 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:13.050 2023-06-14 19:00:13 82813.1 NaN 3186 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:13.951 2023-06-14 19:00:19 82814 5.049 3187 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:21.011 2023-06-14 19:00:21 82821 NaN 3188 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:22.068 2023-06-14 19:00:22 82822.1 NaN 3189 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:23.975 2023-06-14 19:00:24 82824 0.025 3190 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:00:24.343 2023-06-14 19:01:32 82824.3 67.657 3191 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:01:34.887 2023-06-14 19:02:00 82894.9 25.113 3192 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:02:00.745 2023-06-14 19:02:24 82920.7 23.255 3193 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:02:26.222 2023-06-14 19:03:10 82946.2 43.778 3194 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:03:10.497 2023-06-14 19:03:25 82990.5 14.503 3195 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:03:27.332 2023-06-14 19:05:25 83007.3 117.668 3196 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:05:25.820 2023-06-14 19:05:53 83125.8 27.18 3197 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:05:55.613 2023-06-14 19:06:17 83155.6 21.387 3198 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:06:18.012 2023-06-14 19:06:53 83178 34.988 3199 VIX _ROLL_PSEUDO_STRATEGY 2023-06-13 20:00:00 2023-06-14 19:06:55.040 2023-06-14 19:06:55 83215 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 3152 EUROSTX caleb_strategy_v1 [-1] 4381 None 4393.5 4393 4394 4394 4394 12.5 -0.5 1 -0 NaN 0.5 3153 EUROSTX caleb_strategy_v1 [-1] 4381 None 4394.5 4394 4395 4395 4395 13.5 -0.5 1 -0 NaN 0.5 3154 GASOIL _ROLL_PSEUDO_STRATEGY [1] 696 None 701.375 701.5 701.25 701.25 701.75 -5.375 -0.125 -0.25 -0.5 NaN -0.375 3155 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 688.5 None 694 693.75 694.25 694.25 693.75 5.5 -0.25 -0 -0.5 NaN -0.25 3156 GAS_US caleb_strategy_v1 [-1] 2.416 None 2.422 2.421 2.423 2.423 2.421 0.006 -0.001 -0 -0.002 NaN -0.001 3160 US5 caleb_strategy_v1 [-1] 107.75 None 108.012 108.008 108.016 108.016 108.016 0.261719 -0.00390625 0.0078125 -0 NaN 0.00390625 3158 US5 caleb_strategy_v1 [-1] 107.75 None 108.02 108.016 108.023 108.023 108.008 0.269531 -0.00390625 -0.007812 -0.0156245 NaN -0.0117183 3161 BITCOIN caleb_strategy_v1 [-1] 25915 None 26050 26045 26055 NaN 26040 135 -5 -5 NaN NaN -10 3162 BITCOIN caleb_strategy_v1 [-1] 25915 None 26045 26040 26050 26050 26035 130 -5 -5 -15 NaN -10 3157 BITCOIN caleb_strategy_v1 [-1] 25915 None 26052.5 26045 26060 26060 26045 137.5 -7.5 -0 -15 NaN -7.5 3159 BITCOIN caleb_strategy_v1 [-1] 25915 None 26050 26045 26055 26055 26045 135 -5 -0 -10 NaN -5 3200 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.425 19.4 19.45 19.45 19.45 -0.075 -0.025 0.05 -3.55271e-15 NaN 0.025 3163 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.075 18.1 18.05 18.05 18.15 0.175 -0.025 -0.05 -0.1 NaN -0.075 3164 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.275 19.25 19.3 19.3 19.2 -0.225 -0.025 -0.05 -0.1 NaN -0.075 3165 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.125 18.15 18.1 18.1 18.1 0.125 -0.025 0.05 0 NaN 0.025 3166 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.225 19.2 19.25 19.25 19.25 -0.275 -0.025 0.05 -0 NaN 0.025 3167 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.075 18.1 18.05 18.05 18.1 0.175 -0.025 0 -0.05 NaN -0.025 3168 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.275 19.25 19.3 19.3 19.2 -0.225 -0.025 -0.05 -0.1 NaN -0.075 3169 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.125 18.15 18.1 18.1 18.1 0.125 -0.025 0.05 0 NaN 0.025 3170 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.225 19.2 19.25 19.25 19.2 -0.275 -0.025 -0 -0.05 NaN -0.025 3171 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.075 18.1 18.05 18.05 18.1 0.175 -0.025 0 -0.05 NaN -0.025 3172 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.225 19.2 19.25 19.25 19.2 -0.275 -0.025 -0 -0.05 NaN -0.025 3173 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.075 18.1 18.05 18.05 18.1 0.175 -0.025 0 -0.05 NaN -0.025 3174 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.225 19.2 19.25 19.25 19.25 -0.275 -0.025 0.05 -0 NaN 0.025 3175 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.075 18.1 18.05 18.05 18.15 0.175 -0.025 -0.05 -0.1 NaN -0.075 3176 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.225 19.2 19.25 19.25 19.25 -0.275 -0.025 0.05 -0 NaN 0.025 3177 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.125 18.15 18.1 18.1 18.1 0.125 -0.025 0.05 0 NaN 0.025 3178 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.225 19.2 19.25 19.25 19.25 -0.275 -0.025 0.05 -0 NaN 0.025 3179 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.125 18.15 18.1 18.1 18.15 0.125 -0.025 0 -0.05 NaN -0.025 3180 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.275 19.25 19.3 NaN 19.25 -0.225 -0.025 -0 NaN NaN -0.025 3181 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.125 18.15 18.1 NaN 18.2 0.125 -0.025 -0.05 NaN NaN -0.075 3182 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.275 19.25 19.3 NaN 19.25 -0.225 -0.025 -0 NaN NaN -0.025 3183 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.15 18.2 18.1 18.1 18.2 0.1 -0.05 0 -0.1 NaN -0.05 3184 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.3 19.25 19.35 19.35 19.3 -0.2 -0.05 0.05 -0.05 NaN 0 3185 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.2 18.25 18.15 18.15 18.2 0.05 -0.05 0.05 -0.05 NaN 0 3186 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.325 19.3 19.35 NaN 19.3 -0.175 -0.025 -0 NaN NaN -0.025 3187 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.2 18.25 18.15 18.15 18.2 0.05 -0.05 0.05 -0.05 NaN 0 3188 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.35 19.3 19.4 NaN 19.3 -0.15 -0.05 -0 NaN NaN -0.05 3189 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.175 18.2 18.15 NaN 18.2 0.075 -0.025 0 NaN NaN -0.025 3190 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.3 19.25 19.35 19.35 19.3 -0.2 -0.05 0.05 -0.05 NaN 0 3191 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.125 18.15 18.1 18.1 18.1 0.125 -0.025 0.05 0 NaN 0.025 3192 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.275 19.25 19.3 19.3 19.25 -0.225 -0.025 -0 -0.05 NaN -0.025 3193 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.075 18.1 18.05 18.05 18.15 0.175 -0.025 -0.05 -0.1 NaN -0.075 3194 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.275 19.25 19.3 19.3 19.3 -0.225 -0.025 0.05 -0 NaN 0.025 3195 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.125 18.15 18.1 18.1 18.15 0.125 -0.025 0 -0.05 NaN -0.025 3196 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.325 19.3 19.35 19.35 19.35 -0.175 -0.025 0.05 -0 NaN 0.025 3197 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.175 18.2 18.15 18.15 18.25 0.075 -0.025 -0.05 -0.1 NaN -0.075 3198 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.5 None 19.375 19.35 19.4 19.4 19.4 -0.125 -0.025 0.05 -3.55271e-15 NaN 0.025 3199 VIX _ROLL_PSEUDO_STRATEGY [1] 18.25 None 18.225 18.25 18.2 18.2 18.3 0.025 -0.025 -0.05 -0.1 NaN -0.075 ==================================================================================================================================================================== 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 3152 EUROSTX caleb_strategy_v1 [-1] 635.518 196.69 -7.8676 15.7352 -0 NaN 7.8676 3153 EUROSTX caleb_strategy_v1 [-1] 635.518 212.425 -7.8676 15.7352 -0 NaN 7.8676 3154 GASOIL _ROLL_PSEUDO_STRATEGY [1] 262.242 -204.963 -4.76658 -9.53316 -19.0663 NaN -14.2997 3155 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 262.242 209.73 -9.53316 -0 -19.0663 NaN -9.53316 3156 GAS_US caleb_strategy_v1 [-1] 1.96678 30.5067 -5.08444 -0 -10.1689 NaN -5.08444 3160 US5 caleb_strategy_v1 [-1] 5.7263 457.047 -6.8216 13.6432 -0 NaN 6.8216 3158 US5 caleb_strategy_v1 [-1] 5.7263 470.69 -6.8216 -13.6423 -27.2855 NaN -20.4639 3161 BITCOIN caleb_strategy_v1 [-1] 14689.9 91.9001 -3.40371 -3.40371 NaN NaN -6.80742 3162 BITCOIN caleb_strategy_v1 [-1] 14689.9 88.4964 -3.40371 -3.40371 -10.2111 NaN -6.80742 3157 BITCOIN caleb_strategy_v1 [-1] 14689.9 93.602 -5.10556 -0 -10.2111 NaN -5.10556 3159 BITCOIN caleb_strategy_v1 [-1] 14689.9 91.9001 -3.40371 -0 -6.80742 NaN -3.40371 3200 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -89.5612 -29.8537 59.7074 -4.24247e-12 NaN 29.8537 3163 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 208.976 -29.8537 -59.7074 -119.415 NaN -89.5612 3164 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -268.683 -29.8537 -59.7074 -119.415 NaN -89.5612 3165 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 149.269 -29.8537 59.7074 0 NaN 29.8537 3166 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -328.391 -29.8537 59.7074 -0 NaN 29.8537 3167 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 208.976 -29.8537 0 -59.7074 NaN -29.8537 3168 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -268.683 -29.8537 -59.7074 -119.415 NaN -89.5612 3169 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 149.269 -29.8537 59.7074 0 NaN 29.8537 3170 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -328.391 -29.8537 -0 -59.7074 NaN -29.8537 3171 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 208.976 -29.8537 0 -59.7074 NaN -29.8537 3172 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -328.391 -29.8537 -0 -59.7074 NaN -29.8537 3173 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 208.976 -29.8537 0 -59.7074 NaN -29.8537 3174 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -328.391 -29.8537 59.7074 -0 NaN 29.8537 3175 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 208.976 -29.8537 -59.7074 -119.415 NaN -89.5612 3176 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -328.391 -29.8537 59.7074 -0 NaN 29.8537 3177 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 149.269 -29.8537 59.7074 0 NaN 29.8537 3178 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -328.391 -29.8537 59.7074 -0 NaN 29.8537 3179 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 149.269 -29.8537 0 -59.7074 NaN -29.8537 3180 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -268.683 -29.8537 -0 NaN NaN -29.8537 3181 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 149.269 -29.8537 -59.7074 NaN NaN -89.5612 3182 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -268.683 -29.8537 -0 NaN NaN -29.8537 3183 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 119.415 -59.7074 0 -119.415 NaN -59.7074 3184 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -238.83 -59.7074 59.7074 -59.7074 NaN 0 3185 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 59.7074 -59.7074 59.7074 -59.7074 NaN 0 3186 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -208.976 -29.8537 -0 NaN NaN -29.8537 3187 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 59.7074 -59.7074 59.7074 -59.7074 NaN 0 3188 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -179.122 -59.7074 -0 NaN NaN -59.7074 3189 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 89.5612 -29.8537 0 NaN NaN -29.8537 3190 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -238.83 -59.7074 59.7074 -59.7074 NaN 0 3191 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 149.269 -29.8537 59.7074 0 NaN 29.8537 3192 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -268.683 -29.8537 -0 -59.7074 NaN -29.8537 3193 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 208.976 -29.8537 -59.7074 -119.415 NaN -89.5612 3194 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -268.683 -29.8537 59.7074 -0 NaN 29.8537 3195 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 149.269 -29.8537 0 -59.7074 NaN -29.8537 3196 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -208.976 -29.8537 59.7074 -0 NaN 29.8537 3197 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 89.5612 -29.8537 -59.7074 -119.415 NaN -89.5612 3198 VIX _ROLL_PSEUDO_STRATEGY [-1] 8.37417 -149.269 -29.8537 59.7074 -4.24247e-12 NaN 29.8537 3199 VIX _ROLL_PSEUDO_STRATEGY [1] 8.37417 29.8537 -29.8537 -59.7074 -119.415 NaN -89.5612 =============================================================================================================================================================================== 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 3152 EUROSTX caleb_strategy_v1 [-1] 10.7925 134.906 -5.39625 10.7925 -0 NaN 5.39625 3153 EUROSTX caleb_strategy_v1 [-1] 10.7925 145.699 -5.39625 10.7925 -0 NaN 5.39625 3154 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 -537.5 -12.5 -25 -50 NaN -37.5 3155 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 550 -25 -0 -50 NaN -25 3156 GAS_US caleb_strategy_v1 [-1] 10000 60 -10 -0 -20 NaN -10 3160 US5 caleb_strategy_v1 [-1] 1000 261.719 -3.90625 7.8125 -0 NaN 3.90625 3158 US5 caleb_strategy_v1 [-1] 1000 269.531 -3.90625 -7.812 -15.6245 NaN -11.7183 3161 BITCOIN caleb_strategy_v1 [-1] 0.1 13.5 -0.5 -0.5 NaN NaN -1 3162 BITCOIN caleb_strategy_v1 [-1] 0.1 13 -0.5 -0.5 -1.5 NaN -1 3157 BITCOIN caleb_strategy_v1 [-1] 0.1 13.75 -0.75 -0 -1.5 NaN -0.75 3159 BITCOIN caleb_strategy_v1 [-1] 0.1 13.5 -0.5 -0 -1 NaN -0.5 3200 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -75 -25 50 -3.55271e-12 NaN 25 3163 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 175 -25 -50 -100 NaN -75 3164 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -50 -100 NaN -75 3165 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 50 0 NaN 25 3166 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 50 -0 NaN 25 3167 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 175 -25 0 -50 NaN -25 3168 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -50 -100 NaN -75 3169 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 50 0 NaN 25 3170 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 -0 -50 NaN -25 3171 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 175 -25 0 -50 NaN -25 3172 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 -0 -50 NaN -25 3173 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 175 -25 0 -50 NaN -25 3174 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 50 -0 NaN 25 3175 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 175 -25 -50 -100 NaN -75 3176 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 50 -0 NaN 25 3177 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 50 0 NaN 25 3178 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 50 -0 NaN 25 3179 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 0 -50 NaN -25 3180 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -0 NaN NaN -25 3181 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 -50 NaN NaN -75 3182 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -0 NaN NaN -25 3183 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 100 -50 0 -100 NaN -50 3184 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -200 -50 50 -50 NaN 0 3185 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 50 -50 50 -50 NaN 0 3186 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -175 -25 -0 NaN NaN -25 3187 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 50 -50 50 -50 NaN 0 3188 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -150 -50 -0 NaN NaN -50 3189 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 75 -25 0 NaN NaN -25 3190 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -200 -50 50 -50 NaN 0 3191 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 50 0 NaN 25 3192 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -0 -50 NaN -25 3193 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 175 -25 -50 -100 NaN -75 3194 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 50 -0 NaN 25 3195 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 125 -25 0 -50 NaN -25 3196 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -175 -25 50 -0 NaN 25 3197 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 75 -25 -50 -100 NaN -75 3198 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -125 -25 50 -3.55271e-12 NaN 25 3199 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 -50 -100 NaN -75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 12.500 VIX -1800.000 caleb_strategy_v1 BITCOIN 53.750 EUROSTX 280.605 GAS_US 60.000 US5 531.250 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1787.500 caleb_strategy_v1 925.605 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.5000 VIX -1100.0000 caleb_strategy_v1 BITCOIN -2.2500 EUROSTX -10.7925 GAS_US -10.0000 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -1137.500 caleb_strategy_v1 -30.855 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -25.0000 VIX 400.0000 caleb_strategy_v1 BITCOIN -1.0000 EUROSTX 21.5850 GAS_US -0.0000 US5 0.0005 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 375.0000 caleb_strategy_v1 20.5855 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -100.0000 VIX -1400.0000 caleb_strategy_v1 BITCOIN -4.0000 EUROSTX -0.0000 GAS_US -20.0000 US5 -15.6245 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1500.0000 caleb_strategy_v1 -39.6245 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 VIX 0 caleb_strategy_v1 BITCOIN 0 EUROSTX 0 GAS_US 0 US5 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 GASOIL -62.5000 VIX -700.0000 caleb_strategy_v1 BITCOIN -3.2500 EUROSTX 10.7925 GAS_US -10.0000 US5 -7.8120 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -762.5000 caleb_strategy_v1 -10.2695 ******************************************************************************** END OF REPORT ********************************************************************************