******************************************************************************** Trades report produced on 16/08/2023 21:38 from 15/08/2023 21:38 to 16/08/2023 21:38 ******************************************************************************** ============================================================================================================ Broker orders ============================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price 4194 COPPER caleb_strategy_v3 [20230900] 2023-08-16 14:00:02 [-1] 3.6525 4255 CORN caleb_strategy_v3 [20231200] 2023-08-16 15:30:05 [-1] 477.5000 4196 COTTON2 caleb_strategy_v3 [20231000] 2023-08-16 14:02:48 [-1] 85.5300 4197 CRUDE_W caleb_strategy_v3 [20231200] 2023-08-16 14:02:49 [-1] 79.9000 4190 DAX caleb_strategy_v3 [20230900] 2023-08-16 08:00:03 [-1] 15784.0000 4238 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:57 [-1] 35110.0000 4221 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:29 [-1] 35116.0000 4218 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:25 [-1] 35114.0000 4248 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:01:18 [-1] 35099.0000 4215 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:20 [-1] 35117.0000 4246 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:01:14 [-1] 35101.0000 4244 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:01:09 [-1] 35107.0000 4211 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:15 [-1] 35115.0000 4242 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:01:05 [-1] 35109.0000 4240 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:01:01 [-1] 35106.0000 4206 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:06 [-1] 35118.0000 4236 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:53 [-1] 35109.0000 4250 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:01:22 [-1] 35103.0000 4230 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:44 [-1] 35116.0000 4227 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:39 [-1] 35115.0000 4224 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:35 [-1] 35112.0000 4233 DOW caleb_strategy_v3 [20230900] 2023-08-16 15:00:48 [-1] 35106.0000 4207 EUR caleb_strategy_v3 [20230900] 2023-08-16 15:00:07 [-1] 1.0924 4193 EUROSTX caleb_strategy_v3 [20230900] 2023-08-16 08:00:12 [1] 4288.0000 4191 EUROSTX caleb_strategy_v3 [20230900] 2023-08-16 08:00:05 [1] 4288.0000 4198 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-16 14:02:51 [-1] 1913.2000 4199 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-16 14:02:55 [-1] 1913.1000 4200 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-16 14:02:57 [-1] 1913.2000 4201 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-16 14:03:01 [-1] 1913.2000 4202 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-16 14:03:08 [-1] 1913.1000 4195 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-16 14:00:04 [-1] 1913.0000 4254 LEANHOG caleb_strategy_v3 [20231200] 2023-08-16 15:30:04 [-1] 71.1500 4253 LIVECOW caleb_strategy_v3 [20231000] 2023-08-16 15:30:02 [-1] 180.2750 4205 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:05 [1] 15097.0000 4192 OAT caleb_strategy_v3 [20230900] 2023-08-16 08:00:08 [1] 125.5700 4203 RUSSELL caleb_strategy_v3 [20230900] 2023-08-16 15:00:01 [1] 1905.1000 4210 RUSSELL caleb_strategy_v3 [20230900] 2023-08-16 15:00:14 [1] 1904.5000 4214 RUSSELL caleb_strategy_v3 [20230900] 2023-08-16 15:00:19 [1] 1904.4000 4204 SP400 caleb_strategy_v3 [20230900] 2023-08-16 15:00:04 [-1] 2640.8000 4231 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:44 [1] 4456.7500 4208 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:09 [1] 4457.5000 4234 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:49 [1] 4455.7500 4216 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:21 [1] 4457.0000 4219 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:26 [1] 4456.7500 4222 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:31 [1] 4456.7500 4225 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:35 [1] 4456.5000 4228 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:40 [1] 4457.0000 4212 SP500_micro caleb_strategy_v3 [20230900] 2023-08-16 15:00:16 [1] 4457.2500 4223 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:32 [1, -1] -0.3900 4220 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:27 [1, -1] -0.3900 4251 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:01:23 [1, -1] -0.3900 4217 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:22 [1, -1] -0.3900 4247 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:01:15 [1, -1] -0.3900 4245 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:01:10 [1, -1] -0.4000 4213 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:17 [1, -1] -0.3900 4241 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:01:02 [1, -1] -0.3900 4243 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:01:06 [1, -1] -0.3900 4209 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:11 [1, -1] -0.3900 4239 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:58 [1, -1] -0.3900 4237 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:54 [1, -1] -0.3900 4235 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:50 [1, -1] -0.3900 4229 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:41 [1, -1] -0.3900 4249 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:01:19 [1, -1] -0.3900 4226 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:36 [1, -1] -0.3900 4252 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:01:27 [1, -1] -0.3900 4232 VIX _ROLL_PSEUDO_STRATEGY [20231000, 20231100] 2023-08-16 15:00:45 [1, -1] -0.3900 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4190 DAX caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 08:00:01.896 2023-08-16 08:00:03 115202 1.104 4192 OAT caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 08:00:07.608 2023-08-16 08:00:08 115208 0.392 4193 EUROSTX caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 08:00:09.343 2023-08-16 08:00:12 115209 2.657 4191 EUROSTX caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 08:00:04.676 2023-08-16 08:00:05 115205 0.324 4194 COPPER caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:00:02.315 2023-08-16 14:00:02 136802 NaN 4196 COTTON2 caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:00:04.872 2023-08-16 14:02:48 136805 163.128 4197 CRUDE_W caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:02:49.334 2023-08-16 14:02:49 136969 NaN 4195 GOLD_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:00:03.612 2023-08-16 14:00:04 136804 0.388 4198 GOLD_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:02:51.303 2023-08-16 14:02:51 136971 NaN 4199 GOLD_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:02:54.169 2023-08-16 14:02:55 136974 0.831 4200 GOLD_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:02:57.448 2023-08-16 14:02:57 136977 NaN 4201 GOLD_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:03:00.417 2023-08-16 14:03:01 136980 0.583 4202 GOLD_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 14:03:03.829 2023-08-16 14:03:08 136984 4.171 4204 SP400 caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:02.202 2023-08-16 15:00:04 140402 1.798 4205 NASDAQ_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:05.459 2023-08-16 15:00:05 140405 NaN 4207 EUR caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:07.572 2023-08-16 15:00:07 140408 NaN 4210 RUSSELL caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:14.122 2023-08-16 15:00:14 140414 NaN 4203 RUSSELL caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:00.784 2023-08-16 15:00:01 140401 0.216 4214 RUSSELL caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:19.727 2023-08-16 15:00:19 140420 NaN 4225 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:35.837 2023-08-16 15:00:35 140436 NaN 4228 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:40.236 2023-08-16 15:00:40 140440 NaN 4231 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:44.689 2023-08-16 15:00:44 140445 NaN 4234 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:49.229 2023-08-16 15:00:49 140449 NaN 4208 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:09.240 2023-08-16 15:00:09 140409 NaN 4212 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:16.118 2023-08-16 15:00:16 140416 NaN 4216 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:21.194 2023-08-16 15:00:21 140421 NaN 4219 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:26.277 2023-08-16 15:00:26 140426 NaN 4222 SP500_micro caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:30.706 2023-08-16 15:00:31 140431 0.294 4224 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:34.993 2023-08-16 15:00:35 140435 0.007 4227 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:39.457 2023-08-16 15:00:39 140439 NaN 4230 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:43.940 2023-08-16 15:00:44 140444 0.06 4250 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:01:22.393 2023-08-16 15:01:22 140482 NaN 4233 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:48.344 2023-08-16 15:00:48 140448 NaN 4236 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:52.931 2023-08-16 15:00:53 140453 0.069 4206 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:06.410 2023-08-16 15:00:06 140406 NaN 4238 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:56.873 2023-08-16 15:00:57 140457 0.127 4240 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:01:00.963 2023-08-16 15:01:01 140461 0.037 4242 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:01:05.501 2023-08-16 15:01:05 140466 NaN 4211 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:14.602 2023-08-16 15:00:15 140415 0.398 4244 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:01:09.635 2023-08-16 15:01:09 140470 NaN 4246 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:01:14.009 2023-08-16 15:01:14 140474 NaN 4215 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:20.264 2023-08-16 15:00:20 140420 NaN 4248 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:01:18.136 2023-08-16 15:01:18 140478 NaN 4218 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:25.259 2023-08-16 15:00:25 140425 NaN 4221 DOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:00:29.912 2023-08-16 15:00:29 140430 NaN 4226 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:36.557 2023-08-16 15:00:36 57636.6 NaN 4249 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:01:19.462 2023-08-16 15:01:19 57679.5 NaN 4229 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:41.089 2023-08-16 15:00:41 57641.1 NaN 4232 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:45.554 2023-08-16 15:00:45 57645.6 NaN 4235 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:50.120 2023-08-16 15:00:50 57650.1 NaN 4237 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:53.962 2023-08-16 15:00:54 57654 0.038 4239 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:58.109 2023-08-16 15:00:58 57658.1 NaN 4209 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:11.114 2023-08-16 15:00:11 57611.1 NaN 4241 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:01:02.695 2023-08-16 15:01:02 57662.7 NaN 4243 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:01:06.533 2023-08-16 15:01:06 57666.5 NaN 4252 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:01:26.964 2023-08-16 15:01:27 57687 0.036 4213 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:16.876 2023-08-16 15:00:17 57616.9 0.124 4245 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:01:10.896 2023-08-16 15:01:10 57670.9 NaN 4247 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:01:15.088 2023-08-16 15:01:15 57675.1 NaN 4217 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:22.482 2023-08-16 15:00:22 57622.5 NaN 4251 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:01:23.565 2023-08-16 15:01:23 57683.6 NaN 4220 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:26.996 2023-08-16 15:00:27 57627 0.004 4223 VIX _ROLL_PSEUDO_STRATEGY 2023-08-15 23:00:00 2023-08-16 15:00:32.262 2023-08-16 15:00:32 57632.3 NaN 4253 LIVECOW caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:30:02.327 2023-08-16 15:30:02 142202 NaN 4254 LEANHOG caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:30:03.239 2023-08-16 15:30:04 142203 0.761 4255 CORN caleb_strategy_v3 2023-08-15 00:00:00 2023-08-16 15:30:05.411 2023-08-16 15:30:05 142205 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 4190 DAX caleb_strategy_v3 [-1] 15809 None 15782 15780 15784 15784 15784 -27 -2 4 -0 NaN 2 4192 OAT caleb_strategy_v3 [1] 125.24 None 125.555 125.56 125.55 125.55 125.57 -0.315 -0.005 -0.01 -0.02 NaN -0.015 4193 EUROSTX caleb_strategy_v3 [1] 4294 None 4287.5 4288 4287 4287 4288 6.5 -0.5 0 -1 NaN -0.5 4191 EUROSTX caleb_strategy_v3 [1] 4294 None 4286.5 4287 4286 4286 4288 7.5 -0.5 -1 -2 NaN -1.5 4194 COPPER caleb_strategy_v3 [-1] 3.6675 None 3.652 3.6515 3.6525 3.6525 3.6525 -0.0155 -0.0005 0.001 -0 NaN 0.0005 4196 COTTON2 caleb_strategy_v3 [-1] 86.13 None 85.745 85.54 85.95 85.95 85.53 -0.385 -0.205 -0.01 -0.42 NaN -0.215 4197 CRUDE_W caleb_strategy_v3 [-1] 79.62 None 79.91 79.9 79.92 79.92 79.9 0.29 -0.01 -0 -0.02 NaN -0.01 4195 GOLD_micro caleb_strategy_v3 [-1] 1915.7 None 1913.1 1913 1913.2 1913.2 1913 -2.6 -0.1 -0 -0.2 NaN -0.1 4198 GOLD_micro caleb_strategy_v3 [-1] 1915.7 None 1913.1 1913 1913.2 NaN 1913.2 -2.6 -0.1 0.2 NaN NaN 0.1 4199 GOLD_micro caleb_strategy_v3 [-1] 1915.7 None 1913.3 1913.2 1913.4 1913.4 1913.1 -2.4 -0.1 -0.1 -0.3 NaN -0.2 4200 GOLD_micro caleb_strategy_v3 [-1] 1915.7 None 1913.4 1913.3 1913.5 1913.5 1913.2 -2.3 -0.1 -0.1 -0.3 NaN -0.2 4201 GOLD_micro caleb_strategy_v3 [-1] 1915.7 None 1913.25 1913.1 1913.4 1913.4 1913.2 -2.45 -0.15 0.1 -0.2 NaN -0.05 4202 GOLD_micro caleb_strategy_v3 [-1] 1915.7 None 1913.2 1913.1 1913.3 1913.3 1913.1 -2.5 -0.1 -0 -0.2 NaN -0.1 4204 SP400 caleb_strategy_v3 [-1] 2642.7 None 2641.4 2641.3 2641.5 2641.5 2640.8 -1.3 -0.1 -0.5 -0.7 NaN -0.6 4205 NASDAQ_micro caleb_strategy_v3 [1] 15149.5 None 15097.1 15097.2 15097 15097 15097 52.375 -0.125 0.25 0 NaN 0.125 4207 EUR caleb_strategy_v3 [-1] 1.0922 None 1.09247 1.09245 1.0925 1.0925 1.0924 0.000275 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 4210 RUSSELL caleb_strategy_v3 [1] 1907 None 1905 1905.1 1904.9 1904.9 1904.5 2 -0.1 0.6 0.4 NaN 0.5 4203 RUSSELL caleb_strategy_v3 [1] 1907 None 1905.1 1905.2 1905 1905 1905.1 1.9 -0.1 0.1 -0.1 NaN 0 4214 RUSSELL caleb_strategy_v3 [1] 1907 None 1904.45 1904.5 1904.4 1904.4 1904.4 2.55 -0.05 0.1 0 NaN 0.05 4225 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4456.88 4457 4456.75 4456.75 4456.5 6.625 -0.125 0.5 0.25 NaN 0.375 4228 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4456.38 4456.5 4456.25 4456.25 4457 7.125 -0.125 -0.5 -0.75 NaN -0.625 4231 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4456.88 4457 4456.75 4456.75 4456.75 6.625 -0.125 0.25 0 NaN 0.125 4234 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4456.62 4456.75 4456.5 4456.5 4455.75 6.875 -0.125 1 0.75 NaN 0.875 4208 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4457.12 4457.25 4457 4457 4457.5 6.375 -0.125 -0.25 -0.5 NaN -0.375 4212 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4457.38 4457.5 4457.25 4457.25 4457.25 6.125 -0.125 0.25 0 NaN 0.125 4216 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4457.12 4457.25 4457 4457 4457 6.375 -0.125 0.25 0 NaN 0.125 4219 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4457.12 4457.25 4457 4457 4456.75 6.375 -0.125 0.5 0.25 NaN 0.375 4222 SP500_micro caleb_strategy_v3 [1] 4463.5 None 4456.88 4457 4456.75 4456.75 4456.75 6.625 -0.125 0.25 0 NaN 0.125 4224 DOW caleb_strategy_v3 [-1] 35076 None 35116.5 35116 35117 35117 35112 40.5 -0.5 -4 -5 NaN -4.5 4227 DOW caleb_strategy_v3 [-1] 35076 None 35113 35112 35114 35114 35115 37 -1 3 1 NaN 2 4230 DOW caleb_strategy_v3 [-1] 35076 None 35115 35114 35116 35116 35116 39 -1 2 -0 NaN 1 4250 DOW caleb_strategy_v3 [-1] 35076 None 35098.5 35098 35099 35099 35103 22.5 -0.5 5 4 NaN 4.5 4233 DOW caleb_strategy_v3 [-1] 35076 None 35116.5 35116 35117 35117 35106 40.5 -0.5 -10 -11 NaN -10.5 4236 DOW caleb_strategy_v3 [-1] 35076 None 35106.5 35106 35107 35107 35109 30.5 -0.5 3 2 NaN 2.5 4206 DOW caleb_strategy_v3 [-1] 35076 None 35117.5 35117 35118 35118 35118 41.5 -0.5 1 -0 NaN 0.5 4238 DOW caleb_strategy_v3 [-1] 35076 None 35109.5 35109 35110 35110 35110 33.5 -0.5 1 -0 NaN 0.5 4240 DOW caleb_strategy_v3 [-1] 35076 None 35110.5 35110 35111 35111 35106 34.5 -0.5 -4 -5 NaN -4.5 4242 DOW caleb_strategy_v3 [-1] 35076 None 35106.5 35106 35107 35107 35109 30.5 -0.5 3 2 NaN 2.5 4211 DOW caleb_strategy_v3 [-1] 35076 None 35117.5 35117 35118 35118 35115 41.5 -0.5 -2 -3 NaN -2.5 4244 DOW caleb_strategy_v3 [-1] 35076 None 35109.5 35109 35110 35110 35107 33.5 -0.5 -2 -3 NaN -2.5 4246 DOW caleb_strategy_v3 [-1] 35076 None 35107 35106 35108 35108 35101 31 -1 -5 -7 NaN -6 4215 DOW caleb_strategy_v3 [-1] 35076 None 35116 35115 35117 35117 35117 40 -1 2 -0 NaN 1 4248 DOW caleb_strategy_v3 [-1] 35076 None 35102 35101 35103 35103 35099 26 -1 -2 -4 NaN -3 4218 DOW caleb_strategy_v3 [-1] 35076 None 35117.5 35117 35118 35118 35114 41.5 -0.5 -3 -4 NaN -3.5 4221 DOW caleb_strategy_v3 [-1] 35076 None 35114.5 35114 35115 35115 35116 38.5 -0.5 2 1 NaN 1.5 4226 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4249 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4229 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4232 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4235 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4237 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4239 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4209 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4241 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4243 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4252 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4213 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4245 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.4 0.05 -0.01 0.01 2.10942e-15 NaN 2.10942e-15 4247 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.405 -0.4 -0.41 NaN -0.39 0.055 -0.005 -0.01 NaN NaN -0.015 4217 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4251 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4220 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4223 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.35 None -0.4 -0.39 -0.41 -0.4 -0.39 0.05 -0.01 5.55112e-16 -0.01 NaN -0.01 4253 LIVECOW caleb_strategy_v3 [-1] 180.075 None 180 180 180 180 180.275 -0.075 -0 0.275 0.275 NaN 0.275 4254 LEANHOG caleb_strategy_v3 [-1] 71.25 None 70 70 70 70 71.15 -1.25 -0 1.15 1.15 NaN 1.15 4255 CORN caleb_strategy_v3 [-1] 473.75 None 477.75 477.5 478 478 477.5 4 -0.25 -0 -0.5 NaN -0.25 =================================================================================================================================================================== 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 4190 DAX caleb_strategy_v3 [-1] 2286.73 -118.072 -8.74611 17.4922 -0 NaN 8.74611 4192 OAT caleb_strategy_v3 [1] 10.8192 -291.148 -4.6214 -9.2428 -18.4856 NaN -13.8642 4193 EUROSTX caleb_strategy_v3 [1] 726.812 89.4317 -6.87936 0 -13.7587 NaN -6.87936 4191 EUROSTX caleb_strategy_v3 [1] 726.812 103.19 -6.87936 -13.7587 -27.5174 NaN -20.6381 4194 COPPER caleb_strategy_v3 [-1] 0.870535 -178.051 -5.74359 11.4872 -0 NaN 5.74359 4196 COTTON2 caleb_strategy_v3 [-1] 26.056 -147.758 -78.6766 -3.83788 -161.191 NaN -82.5145 4197 CRUDE_W caleb_strategy_v3 [-1] 20.1311 144.056 -4.96744 -0 -9.93489 NaN -4.96744 4195 GOLD_micro caleb_strategy_v3 [-1] 205.304 -126.641 -4.87082 -0 -9.74164 NaN -4.87082 4198 GOLD_micro caleb_strategy_v3 [-1] 205.304 -126.641 -4.87082 9.74164 NaN NaN 4.87082 4199 GOLD_micro caleb_strategy_v3 [-1] 205.304 -116.9 -4.87082 -4.87082 -14.6125 NaN -9.74164 4200 GOLD_micro caleb_strategy_v3 [-1] 205.304 -112.029 -4.87082 -4.87082 -14.6125 NaN -9.74164 4201 GOLD_micro caleb_strategy_v3 [-1] 205.304 -119.335 -7.30623 4.87082 -9.74164 NaN -2.43541 4202 GOLD_micro caleb_strategy_v3 [-1] 205.304 -121.771 -4.87082 -0 -9.74164 NaN -4.87082 4204 SP400 caleb_strategy_v3 [-1] 395.714 -32.852 -2.52708 -12.6354 -17.6895 NaN -15.1625 4205 NASDAQ_micro caleb_strategy_v3 [1] 2694.73 194.361 -0.463868 0.927736 0 NaN 0.463868 4207 EUR caleb_strategy_v3 [-1] 0.0752312 36.554 -3.32309 -6.64618 -13.2924 NaN -9.96927 4210 RUSSELL caleb_strategy_v3 [1] 333.91 59.8964 -2.99482 17.9689 11.9793 NaN 14.9741 4203 RUSSELL caleb_strategy_v3 [1] 333.91 56.9016 -2.99482 2.99482 -2.99482 NaN 0 4214 RUSSELL caleb_strategy_v3 [1] 333.91 76.368 -1.49741 2.99482 0 NaN 1.49741 4225 SP500_micro caleb_strategy_v3 [1] 557.432 118.849 -2.24243 8.96971 4.48486 NaN 6.72728 4228 SP500_micro caleb_strategy_v3 [1] 557.432 127.818 -2.24243 -8.96971 -13.4546 NaN -11.2121 4231 SP500_micro caleb_strategy_v3 [1] 557.432 118.849 -2.24243 4.48486 0 NaN 2.24243 4234 SP500_micro caleb_strategy_v3 [1] 557.432 123.334 -2.24243 17.9394 13.4546 NaN 15.697 4208 SP500_micro caleb_strategy_v3 [1] 557.432 114.364 -2.24243 -4.48486 -8.96971 NaN -6.72728 4212 SP500_micro caleb_strategy_v3 [1] 557.432 109.879 -2.24243 4.48486 0 NaN 2.24243 4216 SP500_micro caleb_strategy_v3 [1] 557.432 114.364 -2.24243 4.48486 0 NaN 2.24243 4219 SP500_micro caleb_strategy_v3 [1] 557.432 114.364 -2.24243 8.96971 4.48486 NaN 6.72728 4222 SP500_micro caleb_strategy_v3 [1] 557.432 118.849 -2.24243 4.48486 0 NaN 2.24243 4224 DOW caleb_strategy_v3 [-1] 3847.6 105.26 -1.29951 -10.3961 -12.9951 NaN -11.6956 4227 DOW caleb_strategy_v3 [-1] 3847.6 96.1639 -2.59902 7.79707 2.59902 NaN 5.19805 4230 DOW caleb_strategy_v3 [-1] 3847.6 101.362 -2.59902 5.19805 -0 NaN 2.59902 4250 DOW caleb_strategy_v3 [-1] 3847.6 58.478 -1.29951 12.9951 10.3961 NaN 11.6956 4233 DOW caleb_strategy_v3 [-1] 3847.6 105.26 -1.29951 -25.9902 -28.5893 NaN -27.2898 4236 DOW caleb_strategy_v3 [-1] 3847.6 79.2702 -1.29951 7.79707 5.19805 NaN 6.49756 4206 DOW caleb_strategy_v3 [-1] 3847.6 107.86 -1.29951 2.59902 -0 NaN 1.29951 4238 DOW caleb_strategy_v3 [-1] 3847.6 87.0673 -1.29951 2.59902 -0 NaN 1.29951 4240 DOW caleb_strategy_v3 [-1] 3847.6 89.6663 -1.29951 -10.3961 -12.9951 NaN -11.6956 4242 DOW caleb_strategy_v3 [-1] 3847.6 79.2702 -1.29951 7.79707 5.19805 NaN 6.49756 4211 DOW caleb_strategy_v3 [-1] 3847.6 107.86 -1.29951 -5.19805 -7.79707 NaN -6.49756 4244 DOW caleb_strategy_v3 [-1] 3847.6 87.0673 -1.29951 -5.19805 -7.79707 NaN -6.49756 4246 DOW caleb_strategy_v3 [-1] 3847.6 80.5698 -2.59902 -12.9951 -18.1932 NaN -15.5941 4215 DOW caleb_strategy_v3 [-1] 3847.6 103.961 -2.59902 5.19805 -0 NaN 2.59902 4248 DOW caleb_strategy_v3 [-1] 3847.6 67.5746 -2.59902 -5.19805 -10.3961 NaN -7.79707 4218 DOW caleb_strategy_v3 [-1] 3847.6 107.86 -1.29951 -7.79707 -10.3961 NaN -9.09659 4221 DOW caleb_strategy_v3 [-1] 3847.6 100.062 -1.29951 5.19805 2.59902 NaN 3.89854 4226 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4249 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4229 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4232 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4235 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4237 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4239 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4209 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4241 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4243 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4252 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4213 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4245 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 12.6402 2.66635e-12 NaN 2.66635e-12 4247 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 69.521 -6.32009 -12.6402 NaN NaN -18.9603 4217 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4251 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4220 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4223 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.91128 63.2009 -12.6402 7.01671e-13 -12.6402 NaN -12.6402 4253 LIVECOW caleb_strategy_v3 [-1] 17.7229 -42.318 -0 155.166 155.166 NaN 155.166 4254 LEANHOG caleb_strategy_v3 [-1] 23.1764 -539.342 -0 496.195 496.195 NaN 496.195 4255 CORN caleb_strategy_v3 [-1] 175.019 228.546 -14.2841 -0 -28.5683 NaN -14.2841 ============================================================================================================================================================================== 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 4190 DAX caleb_strategy_v3 [-1] 1.0913 -29.4651 -2.1826 4.3652 -0 NaN 2.1826 4192 OAT caleb_strategy_v3 [1] 1091.3 -343.76 -5.4565 -10.913 -21.826 NaN -16.3695 4193 EUROSTX caleb_strategy_v3 [1] 10.913 70.9345 -5.4565 0 -10.913 NaN -5.4565 4191 EUROSTX caleb_strategy_v3 [1] 10.913 81.8475 -5.4565 -10.913 -21.826 NaN -16.3695 4194 COPPER caleb_strategy_v3 [-1] 25000 -387.5 -12.5 25 -0 NaN 12.5 4196 COTTON2 caleb_strategy_v3 [-1] 500 -192.5 -102.5 -5 -210 NaN -107.5 4197 CRUDE_W caleb_strategy_v3 [-1] 1000 290 -10 -0 -20 NaN -10 4195 GOLD_micro caleb_strategy_v3 [-1] 10 -26 -1 -0 -2 NaN -1 4198 GOLD_micro caleb_strategy_v3 [-1] 10 -26 -1 2 NaN NaN 1 4199 GOLD_micro caleb_strategy_v3 [-1] 10 -24 -1 -1 -3 NaN -2 4200 GOLD_micro caleb_strategy_v3 [-1] 10 -23 -1 -1 -3 NaN -2 4201 GOLD_micro caleb_strategy_v3 [-1] 10 -24.5 -1.5 1 -2 NaN -0.5 4202 GOLD_micro caleb_strategy_v3 [-1] 10 -25 -1 -0 -2 NaN -1 4204 SP400 caleb_strategy_v3 [-1] 100 -130 -10 -50 -70 NaN -60 4205 NASDAQ_micro caleb_strategy_v3 [1] 2 104.75 -0.25 0.5 0 NaN 0.25 4207 EUR caleb_strategy_v3 [-1] 125000 34.375 -3.125 -6.25 -12.5 NaN -9.375 4210 RUSSELL caleb_strategy_v3 [1] 5 10 -0.5 3 2 NaN 2.5 4203 RUSSELL caleb_strategy_v3 [1] 5 9.5 -0.5 0.5 -0.5 NaN 0 4214 RUSSELL caleb_strategy_v3 [1] 5 12.75 -0.25 0.5 0 NaN 0.25 4225 SP500_micro caleb_strategy_v3 [1] 5 33.125 -0.625 2.5 1.25 NaN 1.875 4228 SP500_micro caleb_strategy_v3 [1] 5 35.625 -0.625 -2.5 -3.75 NaN -3.125 4231 SP500_micro caleb_strategy_v3 [1] 5 33.125 -0.625 1.25 0 NaN 0.625 4234 SP500_micro caleb_strategy_v3 [1] 5 34.375 -0.625 5 3.75 NaN 4.375 4208 SP500_micro caleb_strategy_v3 [1] 5 31.875 -0.625 -1.25 -2.5 NaN -1.875 4212 SP500_micro caleb_strategy_v3 [1] 5 30.625 -0.625 1.25 0 NaN 0.625 4216 SP500_micro caleb_strategy_v3 [1] 5 31.875 -0.625 1.25 0 NaN 0.625 4219 SP500_micro caleb_strategy_v3 [1] 5 31.875 -0.625 2.5 1.25 NaN 1.875 4222 SP500_micro caleb_strategy_v3 [1] 5 33.125 -0.625 1.25 0 NaN 0.625 4224 DOW caleb_strategy_v3 [-1] 0.5 20.25 -0.25 -2 -2.5 NaN -2.25 4227 DOW caleb_strategy_v3 [-1] 0.5 18.5 -0.5 1.5 0.5 NaN 1 4230 DOW caleb_strategy_v3 [-1] 0.5 19.5 -0.5 1 -0 NaN 0.5 4250 DOW caleb_strategy_v3 [-1] 0.5 11.25 -0.25 2.5 2 NaN 2.25 4233 DOW caleb_strategy_v3 [-1] 0.5 20.25 -0.25 -5 -5.5 NaN -5.25 4236 DOW caleb_strategy_v3 [-1] 0.5 15.25 -0.25 1.5 1 NaN 1.25 4206 DOW caleb_strategy_v3 [-1] 0.5 20.75 -0.25 0.5 -0 NaN 0.25 4238 DOW caleb_strategy_v3 [-1] 0.5 16.75 -0.25 0.5 -0 NaN 0.25 4240 DOW caleb_strategy_v3 [-1] 0.5 17.25 -0.25 -2 -2.5 NaN -2.25 4242 DOW caleb_strategy_v3 [-1] 0.5 15.25 -0.25 1.5 1 NaN 1.25 4211 DOW caleb_strategy_v3 [-1] 0.5 20.75 -0.25 -1 -1.5 NaN -1.25 4244 DOW caleb_strategy_v3 [-1] 0.5 16.75 -0.25 -1 -1.5 NaN -1.25 4246 DOW caleb_strategy_v3 [-1] 0.5 15.5 -0.5 -2.5 -3.5 NaN -3 4215 DOW caleb_strategy_v3 [-1] 0.5 20 -0.5 1 -0 NaN 0.5 4248 DOW caleb_strategy_v3 [-1] 0.5 13 -0.5 -1 -2 NaN -1.5 4218 DOW caleb_strategy_v3 [-1] 0.5 20.75 -0.25 -1.5 -2 NaN -1.75 4221 DOW caleb_strategy_v3 [-1] 0.5 19.25 -0.25 1 0.5 NaN 0.75 4226 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4249 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4229 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4232 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4235 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4237 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4239 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4209 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4241 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4243 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4252 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4213 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4245 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 10 2.10942e-12 NaN 2.10942e-12 4247 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 55 -5 -10 NaN NaN -15 4217 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4251 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4220 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4223 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000 50 -10 5.55112e-13 -10 NaN -10 4253 LIVECOW caleb_strategy_v3 [-1] 400 -30 -0 110 110 NaN 110 4254 LEANHOG caleb_strategy_v3 [-1] 400 -500 -0 460 460 NaN 460 4255 CORN caleb_strategy_v3 [-1] 50 200 -12.5 -0 -25 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 905.0000 caleb_strategy_v3 COPPER -387.5000 CORN 200.0000 COTTON2 -192.5000 CRUDE_W 290.0000 DAX -29.4651 DOW 301.0000 EUR 34.3750 EUROSTX 152.7820 GOLD_micro -148.5000 LEANHOG -500.0000 LIVECOW -30.0000 NASDAQ_micro 104.7500 OAT -343.7595 RUSSELL 32.2500 SP400 -130.0000 SP500_micro 295.6250 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 905.0000 caleb_strategy_v3 -350.9426 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -175.0000 caleb_strategy_v3 COPPER -12.5000 CORN -12.5000 COTTON2 -102.5000 CRUDE_W -10.0000 DAX -2.1826 DOW -5.5000 EUR -3.1250 EUROSTX -10.9130 GOLD_micro -6.5000 LEANHOG -0.0000 LIVECOW -0.0000 NASDAQ_micro -0.2500 OAT -5.4565 RUSSELL -1.2500 SP400 -10.0000 SP500_micro -5.6250 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -175.0000 caleb_strategy_v3 -188.3021 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 1.154632e-11 caleb_strategy_v3 COPPER 2.500000e+01 CORN -0.000000e+00 COTTON2 -5.000000e+00 CRUDE_W -0.000000e+00 DAX 4.365200e+00 DOW -5.000000e+00 EUR -6.250000e+00 EUROSTX -1.091300e+01 GOLD_micro 1.000000e+00 LEANHOG 4.600000e+02 LIVECOW 1.100000e+02 NASDAQ_micro 5.000000e-01 OAT -1.091300e+01 RUSSELL 4.000000e+00 SP400 -5.000000e+01 SP500_micro 1.125000e+01 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1.154632e-11 caleb_strategy_v3 5.280392e+02 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -160.000 caleb_strategy_v3 COPPER -0.000 CORN -25.000 COTTON2 -210.000 CRUDE_W -20.000 DAX -0.000 DOW -16.000 EUR -12.500 EUROSTX -32.739 GOLD_micro -12.000 LEANHOG 460.000 LIVECOW 110.000 NASDAQ_micro 0.000 OAT -21.826 RUSSELL 1.500 SP400 -70.000 SP500_micro 0.000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -160.000 caleb_strategy_v3 151.435 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 COPPER 0 CORN 0 COTTON2 0 CRUDE_W 0 DAX 0 DOW 0 EUR 0 EUROSTX 0 GOLD_micro 0 LEANHOG 0 LIVECOW 0 NASDAQ_micro 0 OAT 0 RUSSELL 0 SP400 0 SP500_micro 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 -175.0000 caleb_strategy_v3 COPPER 12.5000 CORN -12.5000 COTTON2 -107.5000 CRUDE_W -10.0000 DAX 2.1826 DOW -10.5000 EUR -9.3750 EUROSTX -21.8260 GOLD_micro -5.5000 LEANHOG 460.0000 LIVECOW 110.0000 NASDAQ_micro 0.2500 OAT -16.3695 RUSSELL 2.7500 SP400 -60.0000 SP500_micro 5.6250 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -175.0000 caleb_strategy_v3 339.7371 ******************************************************************************** END OF REPORT 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