******************************************************************************** Trades report produced on 21/07/2023 21:38 from 20/07/2023 21:38 to 21/07/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3754 EUROSTX caleb_strategy_v3 [20230900] 2023-07-21 08:00:05 [1] 4382.000000 3768 GBP caleb_strategy_v3 [20230900] 2023-07-21 15:06:50 [-1] 1.284800 3762 GBP caleb_strategy_v3 [20230900] 2023-07-21 15:00:05 [-1] 1.284700 3755 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-21 14:00:02 [-1] 1965.300000 3757 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-21 14:00:05 [-1] 1965.100000 3758 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-21 14:00:07 [-1] 1965.300000 3759 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-21 14:00:09 [-1] 1965.400000 3760 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-21 14:00:11 [-1] 1965.300000 3761 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-21 14:00:13 [-1] 1965.300000 3797 LEANHOG caleb_strategy_v3 [20231000] 2023-07-21 15:31:42 [1] 84.000000 3764 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-21 15:00:06 [-1] 15621.250000 3770 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-21 15:06:51 [-1] 15612.500000 3774 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-21 15:06:57 [-1] 15611.250000 3756 PLAT caleb_strategy_v3 [20231000] 2023-07-21 14:00:03 [1] 967.800000 3763 RUSSELL caleb_strategy_v3 [20230900] 2023-07-21 15:00:06 [1] 1976.600000 3769 RUSSELL caleb_strategy_v3 [20230900] 2023-07-21 15:06:51 [1] 1974.300000 3765 US10U caleb_strategy_v3 [20230900] 2023-07-21 15:00:17 [1] 118.359375 3771 US10U caleb_strategy_v3 [20230900] 2023-07-21 15:06:54 [1] 118.312500 3789 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:27:01 [1] 17.050000 3790 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:27:15 [-1] 17.800000 3791 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:28:03 [1] 17.000000 3792 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:28:04 [-1] 17.750000 3793 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:28:06 [1] 17.000000 3794 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:28:29 [-1] 17.800000 3795 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:28:31 [1] 17.050000 3798 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:34:43 [1] 17.050000 3799 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:34:44 [-1] 17.800000 3800 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:34:55 [1] 17.000000 3801 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:34:55 [-1] 17.750000 3802 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:35:01 [1] 17.000000 3803 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:40:02 [-1] 17.750000 3788 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:25:15 [-1] 17.750000 3796 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:31:39 [-1] 17.750000 3787 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:24:38 [1] 17.000000 3778 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:15:27 [-1] 17.650000 3785 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:24:28 [1] 16.950000 3766 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:05:18 [1] 17.150000 3767 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:05:47 [-1] 17.800000 3772 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:06:54 [1] 17.000000 3773 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:06:54 [-1] 17.700000 3775 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:07:02 [1] 16.950000 3776 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:10:25 [-1] 17.650000 3786 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:24:28 [-1] 17.700000 3777 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:10:27 [1] 16.900000 3779 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:16:06 [1] 16.850000 3780 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:17:05 [-1] 17.600000 3781 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:17:18 [1] 16.850000 3782 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:17:39 [-1] 17.650000 3783 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:22:41 [1] 16.900000 3784 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:24:26 [-1] 17.700000 3804 VIX _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-21 15:41:10 [1] 16.950000 3805 VIX _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-21 15:43:16 [-1] 17.700000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3754 EUROSTX caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 08:00:03.250 2023-07-21 08:00:05 115203 1.75 3756 PLAT caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 14:00:02.959 2023-07-21 14:00:03 136803 0.041 3755 GOLD_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 14:00:02.122 2023-07-21 14:00:02 136802 NaN 3757 GOLD_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 14:00:05.593 2023-07-21 14:00:05 136806 NaN 3758 GOLD_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 14:00:07.536 2023-07-21 14:00:07 136808 NaN 3759 GOLD_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 14:00:09.420 2023-07-21 14:00:09 136809 NaN 3760 GOLD_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 14:00:11.646 2023-07-21 14:00:11 136812 NaN 3761 GOLD_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 14:00:13.558 2023-07-21 14:00:13 136814 NaN 3768 GBP caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:06:50.593 2023-07-21 15:06:50 140811 NaN 3762 GBP caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:00:01.108 2023-07-21 15:00:05 140401 3.892 3769 RUSSELL caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:06:51.049 2023-07-21 15:06:51 140811 NaN 3763 RUSSELL caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:00:06.067 2023-07-21 15:00:06 140406 NaN 3771 US10U caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:06:53.992 2023-07-21 15:06:54 140814 0.008 3765 US10U caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:00:07.480 2023-07-21 15:00:17 140407 9.52 3770 NASDAQ_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:06:51.607 2023-07-21 15:06:51 140812 NaN 3764 NASDAQ_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:00:06.822 2023-07-21 15:00:06 140407 NaN 3774 NASDAQ_micro caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:06:56.960 2023-07-21 15:06:57 140817 0.04 3797 LEANHOG caleb_strategy_v3 2023-07-20 00:00:00 2023-07-21 15:31:42.311 2023-07-21 15:31:42 142302 NaN 3766 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:00:18.304 2023-07-21 15:05:18 68418.3 299.696 3767 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:05:18.767 2023-07-21 15:05:47 68718.8 28.233 3772 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:06:54.396 2023-07-21 15:06:54 68814.4 NaN 3773 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:06:54.789 2023-07-21 15:06:54 68814.8 NaN 3775 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:06:57.463 2023-07-21 15:07:02 68817.5 4.537 3776 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:07:02.809 2023-07-21 15:10:25 68822.8 202.191 3777 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:10:27.297 2023-07-21 15:10:27 69027.3 NaN 3778 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:10:27.654 2023-07-21 15:15:27 69027.7 299.346 3779 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:15:29.468 2023-07-21 15:16:06 69329.5 36.532 3780 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:16:06.877 2023-07-21 15:17:05 69366.9 58.123 3781 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:17:07.690 2023-07-21 15:17:18 69427.7 10.31 3782 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:17:18.707 2023-07-21 15:17:39 69438.7 20.293 3783 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:17:41.064 2023-07-21 15:22:41 69461.1 299.936 3784 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:22:41.357 2023-07-21 15:24:26 69761.4 104.643 3785 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:24:28.421 2023-07-21 15:24:28 69868.4 NaN 3786 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:24:28.897 2023-07-21 15:24:28 69868.9 NaN 3787 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:24:30.758 2023-07-21 15:24:38 69870.8 7.242 3788 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:24:38.468 2023-07-21 15:25:15 69878.5 36.532 3789 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:25:17.119 2023-07-21 15:27:01 69917.1 103.881 3790 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:27:01.513 2023-07-21 15:27:15 70021.5 13.487 3791 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:27:17.091 2023-07-21 15:28:03 70037.1 45.909 3792 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:28:04.008 2023-07-21 15:28:04 70084 NaN 3793 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:28:06.089 2023-07-21 15:28:06 70086.1 NaN 3794 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:28:06.709 2023-07-21 15:28:29 70086.7 22.291 3795 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:28:31.606 2023-07-21 15:28:31 70111.6 NaN 3796 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:28:31.998 2023-07-21 15:31:39 70112 187.002 3798 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:31:42.765 2023-07-21 15:34:43 70302.8 180.235 3799 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:34:44.261 2023-07-21 15:34:44 70484.3 NaN 3800 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:34:46.356 2023-07-21 15:34:55 70486.4 8.644 3801 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:34:55.836 2023-07-21 15:34:55 70495.8 NaN 3802 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:34:57.773 2023-07-21 15:35:01 70497.8 3.227 3803 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:35:01.984 2023-07-21 15:40:02 70502 300.016 3804 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:40:04.008 2023-07-21 15:41:10 70804 65.992 3805 VIX _ROLL_PSEUDO_STRATEGY 2023-07-20 20:00:00 2023-07-21 15:41:11.083 2023-07-21 15:43:16 70871.1 124.917 ===================================================================================================================================================================================================================================== 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 3754 EUROSTX caleb_strategy_v3 [1] 4382 None 4382.5 4383 4382 4382 4382 -0.5 -0.5 1 0 NaN 0.5 3756 PLAT caleb_strategy_v3 [1] 964.9 None 967.65 967.8 967.5 967.5 967.8 -2.75 -0.15 0 -0.3 NaN -0.15 3755 GOLD_micro caleb_strategy_v3 [-1] 1971.8 None 1965.25 1965.2 1965.3 1965.3 1965.3 -6.55 -0.05 0.1 -2.27374e-13 NaN 0.05 3757 GOLD_micro caleb_strategy_v3 [-1] 1971.8 None 1965.35 1965.3 1965.4 1965.4 1965.1 -6.45 -0.05 -0.2 -0.3 NaN -0.25 3758 GOLD_micro caleb_strategy_v3 [-1] 1971.8 None 1965.2 1965.1 1965.3 1965.3 1965.3 -6.6 -0.1 0.2 -2.27374e-13 NaN 0.1 3759 GOLD_micro caleb_strategy_v3 [-1] 1971.8 None 1965.35 1965.3 1965.4 1965.4 1965.4 -6.45 -0.05 0.1 -0 NaN 0.05 3760 GOLD_micro caleb_strategy_v3 [-1] 1971.8 None 1965.45 1965.4 1965.5 NaN 1965.3 -6.35 -0.05 -0.1 NaN NaN -0.15 3761 GOLD_micro caleb_strategy_v3 [-1] 1971.8 None 1965.4 1965.3 1965.5 1965.5 1965.3 -6.4 -0.1 -0 -0.2 NaN -0.1 3768 GBP caleb_strategy_v3 [-1] 1.2862 None 1.28475 1.2847 1.2848 1.2848 1.2848 -0.00145 -5e-05 0.0001 -2.22045e-16 NaN 5e-05 3762 GBP caleb_strategy_v3 [-1] 1.2862 None 1.28485 1.2848 1.2849 1.2849 1.2847 -0.00135 -5e-05 -0.0001 -0.0002 NaN -0.00015 3769 RUSSELL caleb_strategy_v3 [1] 1977.5 None 1974.4 1974.5 1974.3 1974.3 1974.3 3.1 -0.1 0.2 2.27374e-13 NaN 0.1 3763 RUSSELL caleb_strategy_v3 [1] 1977.5 None 1976.5 1976.6 1976.4 1976.4 1976.6 1 -0.1 0 -0.2 NaN -0.1 3771 US10U caleb_strategy_v3 [1] 118.062 None 118.352 118.359 118.344 118.344 118.312 -0.289062 -0.0078125 0.046875 0.03125 NaN 0.0390625 3765 US10U caleb_strategy_v3 [1] 118.062 None 118.367 118.375 118.359 118.359 118.359 -0.304688 -0.0078125 0.015625 0 NaN 0.0078125 3770 NASDAQ_micro caleb_strategy_v3 [-1] 15590 None 15621.4 15621.2 15621.5 15621.5 15612.5 31.375 -0.125 -8.75 -9 NaN -8.875 3764 NASDAQ_micro caleb_strategy_v3 [-1] 15590 None 15621.2 15621 15621.5 15621.5 15621.2 31.25 -0.25 0.25 -0.25 NaN 0 3774 NASDAQ_micro caleb_strategy_v3 [-1] 15590 None 15612.5 15612.2 15612.8 15612.8 15611.2 22.5 -0.25 -1 -1.5 NaN -1.25 3797 LEANHOG caleb_strategy_v3 [1] 84.875 None 83.975 84 83.95 NaN 84 0.9 -0.025 0 NaN NaN -0.025 3766 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 17.125 17.15 17.1 17.1 17.15 0.375 -0.025 0 -0.05 NaN -0.025 3767 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.875 17.85 17.9 17.9 17.8 -0.175 -0.025 -0.05 -0.1 NaN -0.075 3772 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 17.125 17.15 17.1 17.1 17 0.375 -0.025 0.15 0.1 NaN 0.125 3773 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.825 17.8 17.85 17.85 17.7 -0.225 -0.025 -0.1 -0.15 NaN -0.125 3775 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.975 17 16.95 16.95 16.95 0.525 -0.025 0.05 0 NaN 0.025 3776 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.725 17.7 17.75 17.75 17.65 -0.325 -0.025 -0.05 -0.1 NaN -0.075 3777 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.975 17 16.95 16.95 16.9 0.525 -0.025 0.1 0.05 NaN 0.075 3778 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.675 17.65 17.7 17.7 17.65 -0.375 -0.025 -0 -0.05 NaN -0.025 3779 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.875 16.9 16.85 16.85 16.85 0.625 -0.025 0.05 0 NaN 0.025 3780 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.675 17.65 17.7 17.7 17.6 -0.375 -0.025 -0.05 -0.1 NaN -0.075 3781 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.875 16.9 16.85 16.85 16.85 0.625 -0.025 0.05 0 NaN 0.025 3782 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.625 17.6 17.65 17.65 17.65 -0.425 -0.025 0.05 -3.55271e-15 NaN 0.025 3783 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.875 16.9 16.85 16.85 16.9 0.625 -0.025 0 -0.05 NaN -0.025 3784 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.675 17.65 17.7 17.7 17.7 -0.375 -0.025 0.05 -0 NaN 0.025 3785 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.875 16.9 16.85 16.85 16.95 0.625 -0.025 -0.05 -0.1 NaN -0.075 3786 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.675 17.65 17.7 17.7 17.7 -0.375 -0.025 0.05 -0 NaN 0.025 3787 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.925 16.95 16.9 16.9 17 0.575 -0.025 -0.05 -0.1 NaN -0.075 3788 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.725 17.7 17.75 17.75 17.75 -0.325 -0.025 0.05 -0 NaN 0.025 3789 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.975 17 16.95 16.95 17.05 0.525 -0.025 -0.05 -0.1 NaN -0.075 3790 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.775 17.75 17.8 17.8 17.8 -0.275 -0.025 0.05 -0 NaN 0.025 3791 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 17.025 17.05 17 17 17 0.475 -0.025 0.05 0 NaN 0.025 3792 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.825 17.8 17.85 17.85 17.75 -0.225 -0.025 -0.05 -0.1 NaN -0.075 3793 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.975 17 16.95 16.95 17 0.525 -0.025 0 -0.05 NaN -0.025 3794 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.775 17.75 17.8 17.8 17.8 -0.275 -0.025 0.05 -0 NaN 0.025 3795 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.975 17 16.95 NaN 17.05 0.525 -0.025 -0.05 NaN NaN -0.075 3796 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.825 17.8 17.85 17.85 17.75 -0.225 -0.025 -0.05 -0.1 NaN -0.075 3798 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.975 17 16.95 16.95 17.05 0.525 -0.025 -0.05 -0.1 NaN -0.075 3799 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.775 17.75 17.8 17.8 17.8 -0.275 -0.025 0.05 -0 NaN 0.025 3800 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 17.025 17.05 17 17 17 0.475 -0.025 0.05 0 NaN 0.025 3801 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.825 17.8 17.85 17.85 17.75 -0.225 -0.025 -0.05 -0.1 NaN -0.075 3802 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 17.025 17.05 17 17 17 0.475 -0.025 0.05 0 NaN 0.025 3803 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.775 17.75 17.8 17.8 17.75 -0.275 -0.025 -0 -0.05 NaN -0.025 3804 VIX _ROLL_PSEUDO_STRATEGY [1] 17.5 None 16.975 17 16.95 16.95 16.95 0.525 -0.025 0.05 0 NaN 0.025 3805 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.05 None 17.775 17.75 17.8 17.8 17.7 -0.275 -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 3754 EUROSTX caleb_strategy_v3 [1] 666.426 -7.50271 -7.50271 15.0054 0 NaN 7.50271 3756 PLAT caleb_strategy_v3 [1] 248.409 -110.705 -6.03844 0 -12.0769 NaN -6.03844 3755 GOLD_micro caleb_strategy_v3 [-1] 224.061 -292.331 -2.23153 4.46306 -1.01478e-11 NaN 2.23153 3757 GOLD_micro caleb_strategy_v3 [-1] 224.061 -287.868 -2.23153 -8.92613 -13.3892 NaN -11.1577 3758 GOLD_micro caleb_strategy_v3 [-1] 224.061 -294.562 -4.46306 8.92613 -1.01478e-11 NaN 4.46306 3759 GOLD_micro caleb_strategy_v3 [-1] 224.061 -287.868 -2.23153 4.46306 -0 NaN 2.23153 3760 GOLD_micro caleb_strategy_v3 [-1] 224.061 -283.405 -2.23153 -4.46306 NaN NaN -6.6946 3761 GOLD_micro caleb_strategy_v3 [-1] 224.061 -285.636 -4.46306 -0 -8.92613 NaN -4.46306 3768 GBP caleb_strategy_v3 [-1] 0.107248 -135.201 -4.66209 9.32417 -2.07038e-11 NaN 4.66209 3762 GBP caleb_strategy_v3 [-1] 0.107248 -125.876 -4.66209 -9.32417 -18.6483 NaN -13.9863 3769 RUSSELL caleb_strategy_v3 [1] 368.186 84.1966 -2.71602 5.43204 6.17551e-12 NaN 2.71602 3763 RUSSELL caleb_strategy_v3 [1] 368.186 27.1602 -2.71602 0 -5.43204 NaN -2.71602 3771 US10U caleb_strategy_v3 [1] 10.805 -267.527 -7.23045 43.3827 28.9218 NaN 36.1523 3765 US10U caleb_strategy_v3 [1] 10.805 -281.988 -7.23045 14.4609 0 NaN 7.23045 3770 NASDAQ_micro caleb_strategy_v3 [-1] 2775.63 113.037 -0.450349 -31.5244 -32.4251 NaN -31.9747 3764 NASDAQ_micro caleb_strategy_v3 [-1] 2775.63 112.587 -0.900697 0.900697 -0.900697 NaN 0 3774 NASDAQ_micro caleb_strategy_v3 [-1] 2775.63 81.0627 -0.900697 -3.60279 -5.40418 NaN -4.50349 3797 LEANHOG caleb_strategy_v3 [1] 22.3093 403.419 -11.2061 0 NaN NaN -11.2061 3766 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 539.562 -35.9708 0 -71.9416 NaN -35.9708 3767 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -251.795 -35.9708 -71.9416 -143.883 NaN -107.912 3772 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 539.562 -35.9708 215.825 143.883 NaN 179.854 3773 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -323.737 -35.9708 -143.883 -215.825 NaN -179.854 3775 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 755.386 -35.9708 71.9416 0 NaN 35.9708 3776 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -467.62 -35.9708 -71.9416 -143.883 NaN -107.912 3777 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 755.386 -35.9708 143.883 71.9416 NaN 107.912 3778 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -539.562 -35.9708 -0 -71.9416 NaN -35.9708 3779 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 899.27 -35.9708 71.9416 0 NaN 35.9708 3780 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -539.562 -35.9708 -71.9416 -143.883 NaN -107.912 3781 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 899.27 -35.9708 71.9416 0 NaN 35.9708 3782 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -611.503 -35.9708 71.9416 -5.11176e-12 NaN 35.9708 3783 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 899.27 -35.9708 0 -71.9416 NaN -35.9708 3784 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -539.562 -35.9708 71.9416 -0 NaN 35.9708 3785 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 899.27 -35.9708 -71.9416 -143.883 NaN -107.912 3786 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -539.562 -35.9708 71.9416 -0 NaN 35.9708 3787 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 827.328 -35.9708 -71.9416 -143.883 NaN -107.912 3788 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -467.62 -35.9708 71.9416 -0 NaN 35.9708 3789 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 755.386 -35.9708 -71.9416 -143.883 NaN -107.912 3790 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -395.679 -35.9708 71.9416 -0 NaN 35.9708 3791 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 683.445 -35.9708 71.9416 0 NaN 35.9708 3792 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -323.737 -35.9708 -71.9416 -143.883 NaN -107.912 3793 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 755.386 -35.9708 0 -71.9416 NaN -35.9708 3794 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -395.679 -35.9708 71.9416 -0 NaN 35.9708 3795 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 755.386 -35.9708 -71.9416 NaN NaN -107.912 3796 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -323.737 -35.9708 -71.9416 -143.883 NaN -107.912 3798 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 755.386 -35.9708 -71.9416 -143.883 NaN -107.912 3799 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -395.679 -35.9708 71.9416 -0 NaN 35.9708 3800 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 683.445 -35.9708 71.9416 0 NaN 35.9708 3801 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -323.737 -35.9708 -71.9416 -143.883 NaN -107.912 3802 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 683.445 -35.9708 71.9416 0 NaN 35.9708 3803 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -395.679 -35.9708 -0 -71.9416 NaN -35.9708 3804 VIX _ROLL_PSEUDO_STRATEGY [1] 6.95008 755.386 -35.9708 71.9416 0 NaN 35.9708 3805 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.95008 -395.679 -35.9708 -71.9416 -143.883 NaN -107.912 =========================================================================================================================================================================== 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 3754 EUROSTX caleb_strategy_v3 [1] 11.1395 -5.56975 -5.56975 11.1395 0 NaN 5.56975 3756 PLAT caleb_strategy_v3 [1] 50 -137.5 -7.5 0 -15 NaN -7.5 3755 GOLD_micro caleb_strategy_v3 [-1] 10 -65.5 -0.5 1 -2.27374e-12 NaN 0.5 3757 GOLD_micro caleb_strategy_v3 [-1] 10 -64.5 -0.5 -2 -3 NaN -2.5 3758 GOLD_micro caleb_strategy_v3 [-1] 10 -66 -1 2 -2.27374e-12 NaN 1 3759 GOLD_micro caleb_strategy_v3 [-1] 10 -64.5 -0.5 1 -0 NaN 0.5 3760 GOLD_micro caleb_strategy_v3 [-1] 10 -63.5 -0.5 -1 NaN NaN -1.5 3761 GOLD_micro caleb_strategy_v3 [-1] 10 -64 -1 -0 -2 NaN -1 3768 GBP caleb_strategy_v3 [-1] 62500 -90.625 -3.125 6.25 -1.38778e-11 NaN 3.125 3762 GBP caleb_strategy_v3 [-1] 62500 -84.375 -3.125 -6.25 -12.5 NaN -9.375 3769 RUSSELL caleb_strategy_v3 [1] 5 15.5 -0.5 1 1.13687e-12 NaN 0.5 3763 RUSSELL caleb_strategy_v3 [1] 5 5 -0.5 0 -1 NaN -0.5 3771 US10U caleb_strategy_v3 [1] 1000 -289.062 -7.8125 46.875 31.25 NaN 39.0625 3765 US10U caleb_strategy_v3 [1] 1000 -304.688 -7.8125 15.625 0 NaN 7.8125 3770 NASDAQ_micro caleb_strategy_v3 [-1] 2 62.75 -0.25 -17.5 -18 NaN -17.75 3764 NASDAQ_micro caleb_strategy_v3 [-1] 2 62.5 -0.5 0.5 -0.5 NaN 0 3774 NASDAQ_micro caleb_strategy_v3 [-1] 2 45 -0.5 -2 -3 NaN -2.5 3797 LEANHOG caleb_strategy_v3 [1] 400 360 -10 0 NaN NaN -10 3766 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 375 -25 0 -50 NaN -25 3767 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -175 -25 -50 -100 NaN -75 3772 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 375 -25 150 100 NaN 125 3773 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -100 -150 NaN -125 3775 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 525 -25 50 0 NaN 25 3776 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -325 -25 -50 -100 NaN -75 3777 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 525 -25 100 50 NaN 75 3778 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -375 -25 -0 -50 NaN -25 3779 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 625 -25 50 0 NaN 25 3780 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -375 -25 -50 -100 NaN -75 3781 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 625 -25 50 0 NaN 25 3782 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -425 -25 50 -3.55271e-12 NaN 25 3783 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 625 -25 0 -50 NaN -25 3784 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -375 -25 50 -0 NaN 25 3785 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 625 -25 -50 -100 NaN -75 3786 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -375 -25 50 -0 NaN 25 3787 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 575 -25 -50 -100 NaN -75 3788 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -325 -25 50 -0 NaN 25 3789 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 525 -25 -50 -100 NaN -75 3790 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 50 -0 NaN 25 3791 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 475 -25 50 0 NaN 25 3792 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -50 -100 NaN -75 3793 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 525 -25 0 -50 NaN -25 3794 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 50 -0 NaN 25 3795 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 525 -25 -50 NaN NaN -75 3796 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -50 -100 NaN -75 3798 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 525 -25 -50 -100 NaN -75 3799 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 50 -0 NaN 25 3800 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 475 -25 50 0 NaN 25 3801 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -225 -25 -50 -100 NaN -75 3802 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 475 -25 50 0 NaN 25 3803 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 -0 -50 NaN -25 3804 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 525 -25 50 0 NaN 25 3805 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -275 -25 -50 -100 NaN -75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 3900.00000 caleb_strategy_v3 EUROSTX -5.56975 GBP -175.00000 GOLD_micro -388.00000 LEANHOG 360.00000 NASDAQ_micro 170.25000 PLAT -137.50000 RUSSELL 20.50000 US10U -593.75000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 3900.00000 caleb_strategy_v3 -749.06975 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -850.00000 caleb_strategy_v3 EUROSTX -5.56975 GBP -6.25000 GOLD_micro -4.00000 LEANHOG -10.00000 NASDAQ_micro -1.25000 PLAT -7.50000 RUSSELL -1.00000 US10U -15.62500 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -850.00000 caleb_strategy_v3 -51.19475 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 250.0000 caleb_strategy_v3 EUROSTX 11.1395 GBP 0.0000 GOLD_micro 1.0000 LEANHOG 0.0000 NASDAQ_micro -19.0000 PLAT 0.0000 RUSSELL 1.0000 US10U 62.5000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 250.0000 caleb_strategy_v3 56.6395 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1350.00 caleb_strategy_v3 EUROSTX 0.00 GBP -12.50 GOLD_micro -5.00 LEANHOG 0.00 NASDAQ_micro -21.50 PLAT -15.00 RUSSELL -1.00 US10U 31.25 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1350.00 caleb_strategy_v3 -23.75 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 EUROSTX 0 GBP 0 GOLD_micro 0 LEANHOG 0 NASDAQ_micro 0 PLAT 0 RUSSELL 0 US10U 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -6.000000e+02 caleb_strategy_v3 EUROSTX 5.569750e+00 GBP -6.250000e+00 GOLD_micro -3.000000e+00 LEANHOG -1.000000e+01 NASDAQ_micro -2.025000e+01 PLAT -7.500000e+00 RUSSELL 1.136868e-12 US10U 4.687500e+01 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -600.00000 caleb_strategy_v3 5.44475 ******************************************************************************** END OF REPORT ********************************************************************************