******************************************************************************** Trades report produced on 23/06/2023 21:38 from 22/06/2023 21:38 to 23/06/2023 21:38 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3281 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:27 [-1] 31345.0000 3284 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:41 [1] 31170.0000 3285 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:42 [-1] 31355.0000 3286 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:44 [1] 31175.0000 3287 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:44 [-1] 31365.0000 3288 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:49 [1] 31175.0000 3289 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:57 [-1] 31365.0000 3290 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:01 [1] 31175.0000 3291 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:03 [-1] 31365.0000 3292 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:05 [1] 31175.0000 3293 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:08 [-1] 31350.0000 3283 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:39 [-1] 31355.0000 3294 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:10 [1] 31160.0000 3296 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:18 [1] 31165.0000 3297 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:26 [-1] 31340.0000 3298 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:28 [1] 31160.0000 3299 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:28 [-1] 31335.0000 3300 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:30 [1] 31165.0000 3301 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:31 [-1] 31345.0000 3302 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:34 [1] 31165.0000 3303 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:34 [-1] 31350.0000 3304 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:36 [1] 31175.0000 3305 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:37 [-1] 31350.0000 3295 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:10 [-1] 31345.0000 3282 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:30 [1] 31165.0000 3307 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:41:47 [-1] 31340.0000 3280 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:25 [1] 31165.0000 3260 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:38:35 [1] 31115.0000 3261 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:38:40 [-1] 31295.0000 3263 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:39:30 [1] 31150.0000 3264 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:39:31 [-1] 31345.0000 3266 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:39:45 [1] 31140.0000 3267 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:39:48 [-1] 31335.0000 3306 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:41:39 [1] 31160.0000 3269 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:00 [-1] 31325.0000 3270 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:05 [1] 31145.0000 3268 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:39:54 [1] 31155.0000 3272 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:10 [1] 31155.0000 3273 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:11 [-1] 31335.0000 3274 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:13 [1] 31180.0000 3275 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:16 [-1] 31355.0000 3276 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:18 [1] 31180.0000 3277 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:19 [-1] 31365.0000 3278 BITCOIN _ROLL_PSEUDO_STRATEGY [20230600] 2023-06-23 17:40:22 [1] 31160.0000 3279 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:23 [-1] 31345.0000 3271 BITCOIN _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-23 17:40:06 [-1] 31325.0000 3258 CORN caleb_strategy_v1 [20231200] 2023-06-23 17:38:33 [-1] 584.2500 3259 EUR caleb_strategy_v1 [20230900] 2023-06-23 17:38:34 [1] 1.0934 3256 EUROSTX caleb_strategy_v1 [20230900] 2023-06-23 09:16:02 [-1] 4308.0000 3262 WHEAT caleb_strategy_v1 [20231200] 2023-06-23 17:39:26 [1] 756.0000 3265 WHEAT caleb_strategy_v1 [20231200] 2023-06-23 17:39:36 [1] 756.0000 3257 WHEAT caleb_strategy_v1 [20231200] 2023-06-23 17:38:32 [1] 755.0000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3256 EUROSTX caleb_strategy_v1 2023-06-21 00:00:00 2023-06-23 09:15:28.113 2023-06-23 09:16:02 206128 33.887 3258 CORN caleb_strategy_v1 2023-06-21 00:00:00 2023-06-23 17:38:33.254 2023-06-23 17:38:33 236313 NaN 3259 EUR caleb_strategy_v1 2023-06-21 00:00:00 2023-06-23 17:38:33.968 2023-06-23 17:38:34 236314 0.032 3257 WHEAT caleb_strategy_v1 2023-06-21 00:00:00 2023-06-23 17:38:01.236 2023-06-23 17:38:32 236281 30.764 3265 WHEAT caleb_strategy_v1 2023-06-21 00:00:00 2023-06-23 17:39:36.687 2023-06-23 17:39:36 236377 NaN 3262 WHEAT caleb_strategy_v1 2023-06-21 00:00:00 2023-06-23 17:39:26.417 2023-06-23 17:39:26 236366 NaN 3260 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:38:34.718 2023-06-23 17:38:35 67114.7 0.282 3261 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:38:36.154 2023-06-23 17:38:40 67116.2 3.846 3263 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:39:30.705 2023-06-23 17:39:30 67170.7 NaN 3264 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:39:31.250 2023-06-23 17:39:31 67171.2 NaN 3266 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:39:42.671 2023-06-23 17:39:45 67182.7 2.329 3267 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:39:48.640 2023-06-23 17:39:48 67188.6 NaN 3268 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:39:54.609 2023-06-23 17:39:54 67194.6 NaN 3269 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:00.702 2023-06-23 17:40:00 67200.7 NaN 3270 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:02.931 2023-06-23 17:40:05 67202.9 2.069 3271 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:05.999 2023-06-23 17:40:06 67206 0.001 3272 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:08.351 2023-06-23 17:40:10 67208.4 1.649 3273 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:11.211 2023-06-23 17:40:11 67211.2 NaN 3274 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:13.183 2023-06-23 17:40:13 67213.2 NaN 3275 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:13.573 2023-06-23 17:40:16 67213.6 2.427 3276 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:18.577 2023-06-23 17:40:18 67218.6 NaN 3277 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:19.054 2023-06-23 17:40:19 67219.1 NaN 3278 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:21.092 2023-06-23 17:40:22 67221.1 0.908 3279 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:23.052 2023-06-23 17:40:23 67223.1 NaN 3280 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:24.888 2023-06-23 17:40:25 67224.9 0.112 3281 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:25.352 2023-06-23 17:40:27 67225.4 1.648 3282 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:29.405 2023-06-23 17:40:30 67229.4 0.595 3283 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:30.540 2023-06-23 17:40:39 67230.5 8.46 3284 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:41.260 2023-06-23 17:40:41 67241.3 NaN 3285 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:42.051 2023-06-23 17:40:42 67242.1 NaN 3286 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:44.549 2023-06-23 17:40:44 67244.5 NaN 3287 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:44.807 2023-06-23 17:40:44 67244.8 NaN 3288 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:46.598 2023-06-23 17:40:49 67246.6 2.402 3289 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:49.828 2023-06-23 17:40:57 67249.8 7.172 3290 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:40:59.960 2023-06-23 17:41:01 67260 1.04 3291 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:02.389 2023-06-23 17:41:03 67262.4 0.611 3292 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:05.342 2023-06-23 17:41:05 67265.3 NaN 3293 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:05.870 2023-06-23 17:41:08 67265.9 2.13 3294 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:10.175 2023-06-23 17:41:10 67270.2 NaN 3295 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:10.748 2023-06-23 17:41:10 67270.7 NaN 3296 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:13.013 2023-06-23 17:41:18 67273 4.987 3297 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:18.813 2023-06-23 17:41:26 67278.8 7.187 3298 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:27.951 2023-06-23 17:41:28 67288 0.049 3299 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:28.306 2023-06-23 17:41:28 67288.3 NaN 3300 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:30.817 2023-06-23 17:41:30 67290.8 NaN 3301 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:31.203 2023-06-23 17:41:31 67291.2 NaN 3302 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:33.088 2023-06-23 17:41:34 67293.1 0.912 3303 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:34.661 2023-06-23 17:41:34 67294.7 NaN 3304 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:36.333 2023-06-23 17:41:36 67296.3 NaN 3305 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:36.718 2023-06-23 17:41:37 67296.7 0.282 3306 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:39.705 2023-06-23 17:41:39 67299.7 NaN 3307 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-06-22 23:00:00 2023-06-23 17:41:40.060 2023-06-23 17:41:47 67300.1 6.94 ======================================================================================================================================================================================================================================= 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 3256 EUROSTX caleb_strategy_v1 [-1] 4354 None 4309.5 4309 4310 4310 4308 -44.5 -0.5 -1 -2 NaN -1.5 3258 CORN caleb_strategy_v1 [-1] 629.5 None 584.375 584.25 584.5 NaN 584.25 -45.125 -0.125 -0 NaN NaN -0.125 3259 EUR caleb_strategy_v1 [1] 1.1035 None 1.09337 1.0934 1.09335 NaN 1.0934 0.010125 -2.5e-05 0 NaN NaN -2.5e-05 3257 WHEAT caleb_strategy_v1 [1] 763.75 None 755.125 755.25 755 755 755 8.625 -0.125 0.25 0 NaN 0.125 3265 WHEAT caleb_strategy_v1 [1] 763.75 None 753 756 750 750 756 10.75 -3 0 -6 NaN -3 3262 WHEAT caleb_strategy_v1 [1] 763.75 None 755 755.25 754.75 754.75 756 8.75 -0.25 -0.75 -1.25 NaN -1 3260 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31112.5 31120 31105 31105 31115 -782.5 -7.5 5 -10 NaN -2.5 3261 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31310 31290 31330 31330 31295 770 -20 5 -35 NaN -15 3263 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31107.5 31115 31100 31100 31150 -777.5 -7.5 -35 -50 NaN -42.5 3264 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31355 31345 31365 31365 31345 815 -10 -0 -20 NaN -10 3266 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31142.5 31150 31135 31135 31140 -812.5 -7.5 10 -5 NaN 2.5 3267 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31357.5 31345 31370 NaN 31335 817.5 -12.5 -10 NaN NaN -22.5 3268 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31135 31140 31130 NaN 31155 -805 -5 -15 NaN NaN -20 3269 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31340 31325 31355 31355 31325 800 -15 -0 -30 NaN -15 3270 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31137.5 31145 31130 31130 31145 -807.5 -7.5 0 -15 NaN -7.5 3271 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31347.5 31325 31370 31370 31325 807.5 -22.5 -0 -45 NaN -22.5 3272 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31147.5 31155 31140 31140 31155 -817.5 -7.5 0 -15 NaN -7.5 3273 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31355 31335 31375 NaN 31335 815 -20 -0 NaN NaN -20 3274 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31165 31170 31160 NaN 31180 -835 -5 -10 NaN NaN -15 3275 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31377.5 31365 31390 31390 31355 837.5 -12.5 -10 -35 NaN -22.5 3276 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31172.5 31180 31165 31165 31180 -842.5 -7.5 0 -15 NaN -7.5 3277 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31380 31365 31395 31395 31365 840 -15 -0 -30 NaN -15 3278 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31167.5 31175 31160 31160 31160 -837.5 -7.5 15 0 NaN 7.5 3279 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31370 31345 31395 NaN 31345 830 -25 -0 NaN NaN -25 3280 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31147.5 31155 31140 31140 31165 -817.5 -7.5 -10 -25 NaN -17.5 3281 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31365 31350 31380 31380 31345 825 -15 -5 -35 NaN -20 3282 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31155 31160 31150 31150 31165 -825 -5 -5 -15 NaN -10 3283 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31365 31350 31380 31380 31355 825 -15 5 -25 NaN -10 3284 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31162.5 31170 31155 31155 31170 -832.5 -7.5 0 -15 NaN -7.5 3285 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31372.5 31355 31390 31390 31355 832.5 -17.5 -0 -35 NaN -17.5 3286 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31167.5 31175 31160 NaN 31175 -837.5 -7.5 0 NaN NaN -7.5 3287 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31380 31365 31395 NaN 31365 840 -15 -0 NaN NaN -15 3288 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31167.5 31175 31160 31160 31175 -837.5 -7.5 0 -15 NaN -7.5 3289 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31377.5 31365 31390 31390 31365 837.5 -12.5 -0 -25 NaN -12.5 3290 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31167.5 31175 31160 31160 31175 -837.5 -7.5 0 -15 NaN -7.5 3291 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31377.5 31365 31390 31390 31365 837.5 -12.5 -0 -25 NaN -12.5 3292 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31167.5 31175 31160 31160 31175 -837.5 -7.5 0 -15 NaN -7.5 3293 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31372.5 31355 31390 31390 31350 832.5 -17.5 -5 -40 NaN -22.5 3294 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31152.5 31160 31145 31145 31160 -822.5 -7.5 0 -15 NaN -7.5 3295 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31362.5 31345 31380 31380 31345 822.5 -17.5 -0 -35 NaN -17.5 3296 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31157.5 31165 31150 31150 31165 -827.5 -7.5 0 -15 NaN -7.5 3297 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31362.5 31345 31380 31380 31340 822.5 -17.5 -5 -40 NaN -22.5 3298 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31147.5 31155 31140 NaN 31160 -817.5 -7.5 -5 NaN NaN -12.5 3299 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31360 31335 31385 31385 31335 820 -25 -0 -50 NaN -25 3300 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31160 31165 31155 31155 31165 -830 -5 0 -10 NaN -5 3301 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31367.5 31345 31390 NaN 31345 827.5 -22.5 -0 NaN NaN -22.5 3302 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31160 31165 31155 31155 31165 -830 -5 0 -10 NaN -5 3303 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31367.5 31345 31390 NaN 31350 827.5 -22.5 5 NaN NaN -17.5 3304 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31162.5 31170 31155 NaN 31175 -832.5 -7.5 -5 NaN NaN -12.5 3305 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31375 31360 31390 31390 31350 835 -15 -10 -40 NaN -25 3306 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 30330 None 31157.5 31165 31150 NaN 31160 -827.5 -7.5 5 NaN NaN -2.5 3307 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 30540 None 31362.5 31345 31380 31380 31340 822.5 -17.5 -5 -40 NaN -22.5 ==================================================================================================================================================================== 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 3256 EUROSTX caleb_strategy_v1 [-1] 611.897 -727.246 -8.1713 -16.3426 -32.6852 NaN -24.5139 3258 CORN caleb_strategy_v1 [-1] 211.111 -2137.5 -5.92105 -0 NaN NaN -5.92105 3259 EUR caleb_strategy_v1 [1] 0.0797732 1269.22 -3.13389 0 NaN NaN -3.13389 3257 WHEAT caleb_strategy_v1 [1] 254.003 339.563 -4.9212 9.8424 0 NaN 4.9212 3265 WHEAT caleb_strategy_v1 [1] 254.003 423.223 -118.109 0 -236.218 NaN -118.109 3262 WHEAT caleb_strategy_v1 [1] 254.003 344.484 -9.8424 -29.5272 -49.212 NaN -39.3696 3260 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -491.048 -4.70653 3.13768 -6.27537 NaN -1.56884 3261 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 483.203 -12.5507 3.13768 -21.9638 NaN -9.41305 3263 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -487.91 -4.70653 -21.9638 -31.3768 NaN -26.6703 3264 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 511.443 -6.27537 -0 -12.5507 NaN -6.27537 3266 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -509.874 -4.70653 6.27537 -3.13768 NaN 1.56884 3267 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 513.011 -7.84421 -6.27537 NaN NaN -14.1196 3268 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -505.167 -3.13768 -9.41305 NaN NaN -12.5507 3269 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 502.03 -9.41305 -0 -18.8261 NaN -9.41305 3270 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -506.736 -4.70653 0 -9.41305 NaN -4.70653 3271 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 506.736 -14.1196 -0 -28.2392 NaN -14.1196 3272 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -513.011 -4.70653 0 -9.41305 NaN -4.70653 3273 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 511.443 -12.5507 -0 NaN NaN -12.5507 3274 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -523.993 -3.13768 -6.27537 NaN NaN -9.41305 3275 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 525.562 -7.84421 -6.27537 -21.9638 NaN -14.1196 3276 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -528.7 -4.70653 0 -9.41305 NaN -4.70653 3277 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 527.131 -9.41305 -0 -18.8261 NaN -9.41305 3278 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -525.562 -4.70653 9.41305 0 NaN 4.70653 3279 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 520.856 -15.6884 -0 NaN NaN -15.6884 3280 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -513.011 -4.70653 -6.27537 -15.6884 NaN -10.9819 3281 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 517.718 -9.41305 -3.13768 -21.9638 NaN -12.5507 3282 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -517.718 -3.13768 -3.13768 -9.41305 NaN -6.27537 3283 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 517.718 -9.41305 3.13768 -15.6884 NaN -6.27537 3284 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -522.424 -4.70653 0 -9.41305 NaN -4.70653 3285 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 522.424 -10.9819 -0 -21.9638 NaN -10.9819 3286 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -525.562 -4.70653 0 NaN NaN -4.70653 3287 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 527.131 -9.41305 -0 NaN NaN -9.41305 3288 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -525.562 -4.70653 0 -9.41305 NaN -4.70653 3289 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 525.562 -7.84421 -0 -15.6884 NaN -7.84421 3290 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -525.562 -4.70653 0 -9.41305 NaN -4.70653 3291 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 525.562 -7.84421 -0 -15.6884 NaN -7.84421 3292 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -525.562 -4.70653 0 -9.41305 NaN -4.70653 3293 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 522.424 -10.9819 -3.13768 -25.1015 NaN -14.1196 3294 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -516.149 -4.70653 0 -9.41305 NaN -4.70653 3295 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 516.149 -10.9819 -0 -21.9638 NaN -10.9819 3296 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -519.287 -4.70653 0 -9.41305 NaN -4.70653 3297 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 516.149 -10.9819 -3.13768 -25.1015 NaN -14.1196 3298 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -513.011 -4.70653 -3.13768 NaN NaN -7.84421 3299 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 514.58 -15.6884 -0 -31.3768 NaN -15.6884 3300 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -520.856 -3.13768 0 -6.27537 NaN -3.13768 3301 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 519.287 -14.1196 -0 NaN NaN -14.1196 3302 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -520.856 -3.13768 0 -6.27537 NaN -3.13768 3303 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 519.287 -14.1196 3.13768 NaN NaN -10.9819 3304 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -522.424 -4.70653 -3.13768 NaN NaN -7.84421 3305 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 523.993 -9.41305 -6.27537 -25.1015 NaN -15.6884 3306 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 15935.3 -519.287 -4.70653 3.13768 NaN NaN -1.56884 3307 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 15935.3 516.149 -10.9819 -3.13768 -25.1015 NaN -14.1196 =============================================================================================================================================================================== 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 3256 EUROSTX caleb_strategy_v1 [-1] 10.866 -483.537 -5.433 -10.866 -21.732 NaN -16.299 3258 CORN caleb_strategy_v1 [-1] 50 -2256.25 -6.25 -0 NaN NaN -6.25 3259 EUR caleb_strategy_v1 [1] 125000 1265.62 -3.125 0 NaN NaN -3.125 3257 WHEAT caleb_strategy_v1 [1] 50 431.25 -6.25 12.5 0 NaN 6.25 3265 WHEAT caleb_strategy_v1 [1] 50 537.5 -150 0 -300 NaN -150 3262 WHEAT caleb_strategy_v1 [1] 50 437.5 -12.5 -37.5 -62.5 NaN -50 3260 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -78.25 -0.75 0.5 -1 NaN -0.25 3261 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 77 -2 0.5 -3.5 NaN -1.5 3263 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -77.75 -0.75 -3.5 -5 NaN -4.25 3264 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 81.5 -1 -0 -2 NaN -1 3266 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -81.25 -0.75 1 -0.5 NaN 0.25 3267 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 81.75 -1.25 -1 NaN NaN -2.25 3268 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -80.5 -0.5 -1.5 NaN NaN -2 3269 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 80 -1.5 -0 -3 NaN -1.5 3270 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -80.75 -0.75 0 -1.5 NaN -0.75 3271 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 80.75 -2.25 -0 -4.5 NaN -2.25 3272 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -81.75 -0.75 0 -1.5 NaN -0.75 3273 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 81.5 -2 -0 NaN NaN -2 3274 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.5 -0.5 -1 NaN NaN -1.5 3275 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 83.75 -1.25 -1 -3.5 NaN -2.25 3276 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -84.25 -0.75 0 -1.5 NaN -0.75 3277 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 84 -1.5 -0 -3 NaN -1.5 3278 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.75 -0.75 1.5 0 NaN 0.75 3279 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 83 -2.5 -0 NaN NaN -2.5 3280 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -81.75 -0.75 -1 -2.5 NaN -1.75 3281 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82.5 -1.5 -0.5 -3.5 NaN -2 3282 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -82.5 -0.5 -0.5 -1.5 NaN -1 3283 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82.5 -1.5 0.5 -2.5 NaN -1 3284 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.25 -0.75 0 -1.5 NaN -0.75 3285 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 83.25 -1.75 -0 -3.5 NaN -1.75 3286 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.75 -0.75 0 NaN NaN -0.75 3287 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 84 -1.5 -0 NaN NaN -1.5 3288 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.75 -0.75 0 -1.5 NaN -0.75 3289 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 83.75 -1.25 -0 -2.5 NaN -1.25 3290 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.75 -0.75 0 -1.5 NaN -0.75 3291 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 83.75 -1.25 -0 -2.5 NaN -1.25 3292 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.75 -0.75 0 -1.5 NaN -0.75 3293 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 83.25 -1.75 -0.5 -4 NaN -2.25 3294 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -82.25 -0.75 0 -1.5 NaN -0.75 3295 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82.25 -1.75 -0 -3.5 NaN -1.75 3296 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -82.75 -0.75 0 -1.5 NaN -0.75 3297 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82.25 -1.75 -0.5 -4 NaN -2.25 3298 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -81.75 -0.75 -0.5 NaN NaN -1.25 3299 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82 -2.5 -0 -5 NaN -2.5 3300 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83 -0.5 0 -1 NaN -0.5 3301 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82.75 -2.25 -0 NaN NaN -2.25 3302 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83 -0.5 0 -1 NaN -0.5 3303 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82.75 -2.25 0.5 NaN NaN -1.75 3304 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -83.25 -0.75 -0.5 NaN NaN -1.25 3305 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 83.5 -1.5 -1 -4 NaN -2.5 3306 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 -82.75 -0.75 0.5 NaN NaN -0.25 3307 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 82.25 -1.75 -0.5 -4 NaN -2.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 1.000 caleb_strategy_v1 CORN -2256.250 EUR 1265.625 EUROSTX -483.537 WHEAT 1406.250 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 1.000 caleb_strategy_v1 -67.912 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -55.500 caleb_strategy_v1 CORN -6.250 EUR -3.125 EUROSTX -5.433 WHEAT -168.750 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -55.500 caleb_strategy_v1 -183.558 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -8.500 caleb_strategy_v1 CORN -0.000 EUR 0.000 EUROSTX -10.866 WHEAT -25.000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -8.500 caleb_strategy_v1 -35.866 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -84.500 caleb_strategy_v1 CORN 0.000 EUR 0.000 EUROSTX -21.732 WHEAT -362.500 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -84.500 caleb_strategy_v1 -384.232 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 0 caleb_strategy_v1 CORN 0 EUR 0 EUROSTX 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 BITCOIN -64.000 caleb_strategy_v1 CORN -6.250 EUR -3.125 EUROSTX -16.299 WHEAT -193.750 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -64.000 caleb_strategy_v1 -219.424 ******************************************************************************** END OF REPORT ********************************************************************************