******************************************************************************** Trades report produced on 18/09/2023 21:39 from 17/09/2023 21:39 to 18/09/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 6928 BOBL caleb_strategy_v3 [20231200] 2023-09-18 07:03:27 [-1] 116.140000 6921 BOBL caleb_strategy_v3 [20231200] 2023-09-18 07:02:18 [-1] 116.140000 6924 BOBL caleb_strategy_v3 [20231200] 2023-09-18 07:02:37 [-1] 116.140000 6926 BOBL caleb_strategy_v3 [20231200] 2023-09-18 07:03:14 [-1] 116.140000 6919 CAC caleb_strategy_v3 [20231000] 2023-09-18 07:01:06 [1] 7369.000000 6939 COCOA caleb_strategy_v3 [20240300] 2023-09-18 13:00:13 [-1] 3679.000000 6941 COFFEE _ROLL_PSEUDO_STRATEGY [20240300] 2023-09-18 13:00:16 [-1] 161.250000 6940 COFFEE _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 13:00:15 [1] 160.600000 6937 COPPER caleb_strategy_v3 [20231200] 2023-09-18 13:00:09 [1] 3.794000 6991 CORN caleb_strategy_v3 [20241200] 2023-09-18 14:31:44 [1] 504.250000 6933 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-18 08:08:42 [-1] 96.965000 6932 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-18 08:08:39 [-1] 96.965000 6931 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-18 08:05:16 [-1] 96.960000 6934 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-18 08:12:34 [-1] 96.960000 6917 EUROSTX caleb_strategy_v3 [20231200] 2023-09-18 07:00:03 [-1] 4313.000000 6922 EUROSTX caleb_strategy_v3 [20231200] 2023-09-18 07:02:30 [-1] 4311.000000 6989 FEEDCOW caleb_strategy_v3 [20240100] 2023-09-18 14:30:33 [1] 267.475000 6930 GASOIL caleb_strategy_v3 [20231200] 2023-09-18 08:00:15 [-1] 917.250000 6935 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-18 13:00:01 [1] 1927.000000 6942 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-18 13:00:25 [1] 1926.900000 6943 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-18 13:00:29 [1] 1926.800000 6945 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-18 13:00:43 [1] 1927.100000 6944 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-18 13:00:39 [1] 1927.000000 6946 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-18 13:00:46 [1] 1927.300000 6947 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-18 13:00:48 [1] 1927.500000 6952 JPY _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:01:03 [-1] 0.006867 6990 LEANHOG caleb_strategy_v3 [20231200] 2023-09-18 14:30:34 [-1] 74.050000 6997 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:43:28 [-1] 0.057440 6998 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:44:15 [-1] 0.057430 6999 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:44:22 [-1] 0.057440 7000 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:44:24 [-1] 0.057430 7001 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:44:43 [-1] 0.057440 7002 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:44:45 [-1] 0.057440 6994 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:42:37 [-1] 0.057450 6993 MXP caleb_strategy_v3 [20230900] 2023-09-18 00:00:00 [10] 0.058580 7003 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:45:08 [-1] 0.057450 6996 MXP caleb_strategy_v3 [20231200] 2023-09-18 16:43:12 [-1] 0.057440 6916 NIKKEI caleb_strategy_v3 [20231200] 2023-09-18 02:00:47 [1] 32985.000000 6955 NZD _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:06:10 [-1] 0.589600 6918 OAT caleb_strategy_v3 [20231200] 2023-09-18 07:00:04 [1] 124.810000 6936 PLAT caleb_strategy_v3 [20231000] 2023-09-18 13:00:06 [1] 936.600000 6951 RUSSELL caleb_strategy_v3 [20231200] 2023-09-18 14:00:55 [-1] 1860.600000 6920 SMI caleb_strategy_v3 [20231200] 2023-09-18 07:01:08 [1] 11210.000000 6923 SMI caleb_strategy_v3 [20231200] 2023-09-18 07:02:31 [1] 11211.000000 6925 SMI caleb_strategy_v3 [20231200] 2023-09-18 07:02:38 [1] 11213.000000 6927 SMI caleb_strategy_v3 [20231200] 2023-09-18 07:03:14 [1] 11218.000000 6929 SMI caleb_strategy_v3 [20231200] 2023-09-18 07:03:30 [1] 11216.000000 6995 SP500_micro caleb_strategy_v3 [20230900] 2023-09-18 00:00:00 [1] 4510.250000 6938 SUGAR11 caleb_strategy_v3 [20240300] 2023-09-18 13:00:10 [-1] 27.220000 6950 US10U caleb_strategy_v3 [20231200] 2023-09-18 14:00:54 [-1] 113.687500 6948 US20 caleb_strategy_v3 [20231200] 2023-09-18 14:00:19 [-1] 118.343750 6956 US30 caleb_strategy_v3 [20231200] 2023-09-18 14:06:25 [-1] 124.781250 6949 US30 caleb_strategy_v3 [20231200] 2023-09-18 14:00:38 [-1] 124.687500 6983 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:29:06 [1] 16.600000 6984 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:29:07 [-1] 17.000000 6985 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:29:22 [1] 16.550000 6986 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:29:29 [-1] 16.950000 6957 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:06:26 [1] 16.750000 6988 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:30:28 [-1] 17.000000 6992 VIX caleb_strategy_v3 [20231200] 2023-09-18 14:35:01 [-1] 16.900000 6982 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:28:46 [-1] 17.000000 6987 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:30:20 [1] 16.550000 6954 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:06:07 [-1] 17.100000 6981 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:28:44 [1] 16.600000 6979 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:24:37 [1] 16.550000 6958 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:06:26 [-1] 17.150000 6959 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:09:03 [1] 16.700000 6960 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:09:04 [-1] 17.100000 6953 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:01:06 [1] 16.700000 6962 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:10:00 [-1] 17.050000 6963 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:10:45 [1] 16.700000 6964 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:10:45 [-1] 17.100000 6965 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:11:06 [1] 16.650000 6966 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:11:08 [-1] 17.050000 6967 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:11:55 [1] 16.600000 6968 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:12:10 [-1] 17.000000 6969 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:12:13 [1] 16.600000 6970 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:12:15 [-1] 17.050000 6971 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:14:58 [1] 16.600000 6972 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:19:13 [-1] 16.950000 6973 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:19:16 [1] 16.550000 6974 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:22:08 [-1] 17.000000 6975 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:22:18 [1] 16.600000 6976 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:22:28 [-1] 16.950000 6977 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:24:16 [1] 16.550000 6978 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:24:17 [-1] 17.000000 6980 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-18 14:24:56 [-1] 16.950000 6961 VIX _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-18 14:09:59 [1] 16.650000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6916 NIKKEI caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 03:00:34.521 2023-09-18 02:00:47 270035 NaN 6918 OAT caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:00:04.515 2023-09-18 07:00:04 288005 NaN 6919 CAC caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:00:06.445 2023-09-18 07:01:06 288006 NaN 6922 EUROSTX caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:02:18.616 2023-09-18 07:02:30 288139 NaN 6917 EUROSTX caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:00:02.229 2023-09-18 07:00:03 288002 NaN 6928 BOBL caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:03:17.644 2023-09-18 07:03:27 288198 NaN 6921 BOBL caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:01:14.342 2023-09-18 07:02:18 288074 NaN 6924 BOBL caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:02:34.064 2023-09-18 07:02:37 288154 NaN 6926 BOBL caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:02:40.960 2023-09-18 07:03:14 288161 NaN 6920 SMI caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:01:07.098 2023-09-18 07:01:08 288067 NaN 6923 SMI caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:02:31.436 2023-09-18 07:02:31 288151 NaN 6925 SMI caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:02:38.294 2023-09-18 07:02:38 288158 NaN 6927 SMI caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:03:14.561 2023-09-18 07:03:14 288195 NaN 6929 SMI caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 08:03:27.600 2023-09-18 07:03:30 288208 NaN 6930 GASOIL caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 09:00:02.140 2023-09-18 08:00:15 291602 NaN 6931 EURIBOR-ICE caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 09:00:16.467 2023-09-18 08:05:16 291616 NaN 6932 EURIBOR-ICE caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 09:05:22.419 2023-09-18 08:08:39 291922 NaN 6933 EURIBOR-ICE caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 09:08:42.103 2023-09-18 08:08:42 292122 NaN 6934 EURIBOR-ICE caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 09:08:44.762 2023-09-18 08:12:34 292125 NaN 6936 PLAT caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:02.480 2023-09-18 13:00:06 309602 NaN 6937 COPPER caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:07.550 2023-09-18 13:00:09 309608 NaN 6938 SUGAR11 caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:10.632 2023-09-18 13:00:10 309611 NaN 6939 COCOA caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:11.623 2023-09-18 13:00:13 309612 NaN 6940 COFFEE _ROLL_PSEUDO_STRATEGY 2023-09-15 18:00:00 2023-09-18 14:00:14.106 2023-09-18 13:00:15 244814 NaN 6941 COFFEE _ROLL_PSEUDO_STRATEGY 2023-09-15 18:00:00 2023-09-18 14:00:16.082 2023-09-18 13:00:16 244816 NaN 6944 GOLD_micro caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:32.140 2023-09-18 13:00:39 309632 NaN 6945 GOLD_micro caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:42.243 2023-09-18 13:00:43 309642 NaN 6946 GOLD_micro caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:45.855 2023-09-18 13:00:46 309646 NaN 6947 GOLD_micro caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:48.519 2023-09-18 13:00:48 309649 NaN 6935 GOLD_micro caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:01.663 2023-09-18 13:00:01 309602 NaN 6942 GOLD_micro caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:18.700 2023-09-18 13:00:25 309619 NaN 6943 GOLD_micro caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 14:00:27.964 2023-09-18 13:00:29 309628 NaN 6948 US20 caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:00:02.651 2023-09-18 14:00:19 313203 NaN 6950 US10U caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:00:39.846 2023-09-18 14:00:54 313240 NaN 6951 RUSSELL caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:00:55.095 2023-09-18 14:00:55 313255 NaN 6956 US30 caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:06:25.313 2023-09-18 14:06:25 313585 NaN 6949 US30 caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:00:20.379 2023-09-18 14:00:38 313220 NaN 6953 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:01:04.535 2023-09-18 14:01:06 241265 NaN 6954 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:01:07.679 2023-09-18 14:06:07 241268 NaN 6957 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:06:25.971 2023-09-18 14:06:26 241586 NaN 6958 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:06:26.727 2023-09-18 14:06:26 241587 NaN 6959 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:06:29.272 2023-09-18 14:09:03 241589 NaN 6960 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:09:04.242 2023-09-18 14:09:04 241744 NaN 6961 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:09:06.780 2023-09-18 14:09:59 241747 NaN 6962 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:09:59.670 2023-09-18 14:10:00 241800 NaN 6963 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:10:02.647 2023-09-18 14:10:45 241803 NaN 6964 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:10:45.740 2023-09-18 14:10:45 241846 NaN 6965 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:10:48.385 2023-09-18 14:11:06 241848 NaN 6966 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:11:06.839 2023-09-18 14:11:08 241867 NaN 6967 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:11:11.288 2023-09-18 14:11:55 241871 NaN 6968 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:11:55.460 2023-09-18 14:12:10 241915 NaN 6969 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:12:13.344 2023-09-18 14:12:13 241933 NaN 6970 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:12:13.967 2023-09-18 14:12:15 241934 NaN 6971 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:12:18.047 2023-09-18 14:14:58 241938 NaN 6972 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:14:59.029 2023-09-18 14:19:13 242099 NaN 6973 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:19:16.166 2023-09-18 14:19:16 242356 NaN 6974 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:19:16.887 2023-09-18 14:22:08 242357 NaN 6975 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:22:11.212 2023-09-18 14:22:18 242531 NaN 6976 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:22:18.903 2023-09-18 14:22:28 242539 NaN 6977 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:22:30.516 2023-09-18 14:24:16 242551 NaN 6978 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:24:17.172 2023-09-18 14:24:17 242657 NaN 6979 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:24:19.732 2023-09-18 14:24:37 242660 NaN 6980 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:24:37.936 2023-09-18 14:24:56 242678 NaN 6981 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:24:59.226 2023-09-18 14:28:44 242699 NaN 6982 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:28:45.422 2023-09-18 14:28:46 242925 NaN 6983 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:28:49.296 2023-09-18 14:29:06 242929 NaN 6984 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:29:06.583 2023-09-18 14:29:07 242947 NaN 6985 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:29:09.486 2023-09-18 14:29:22 242949 NaN 6986 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:29:23.265 2023-09-18 14:29:29 242963 NaN 6987 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:29:31.880 2023-09-18 14:30:20 242972 NaN 6988 VIX _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:30:21.364 2023-09-18 14:30:28 243021 NaN 6989 FEEDCOW caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:30:33.336 2023-09-18 14:30:33 315033 NaN 6990 LEANHOG caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:30:34.235 2023-09-18 14:30:34 315034 NaN 6991 CORN caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:30:35.257 2023-09-18 14:31:44 315035 NaN 6992 VIX caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 15:31:45.335 2023-09-18 14:35:01 315105 NaN 6993 MXP caleb_strategy_v3 NaT NaT 2023-09-18 00:00:00 NaN NaN 6995 SP500_micro caleb_strategy_v3 NaT NaT 2023-09-18 00:00:00 NaN NaN 6994 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:37:37.095 2023-09-18 16:42:37 322657 NaN 6996 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:42:39.535 2023-09-18 16:43:12 322960 NaN 6997 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:43:15.009 2023-09-18 16:43:28 322995 NaN 6998 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:43:30.716 2023-09-18 16:44:15 323011 NaN 6999 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:44:18.576 2023-09-18 16:44:22 323059 NaN 7000 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:44:24.448 2023-09-18 16:44:24 323064 NaN 7001 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:44:27.323 2023-09-18 16:44:43 323067 NaN 7002 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:44:45.936 2023-09-18 16:44:45 323086 NaN 7003 MXP caleb_strategy_v3 2023-09-15 00:00:00 2023-09-18 17:44:48.432 2023-09-18 16:45:08 323088 NaN 6952 JPY _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:00:56.185 2023-09-18 14:01:03 241256 NaN 6955 NZD _ROLL_PSEUDO_STRATEGY 2023-09-15 20:00:00 2023-09-18 15:06:08.441 2023-09-18 14:06:10 241568 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 6916 NIKKEI caleb_strategy_v3 [1] 33060 None 32982.5 32985 32980 32980 32985 77.5 -2.5 0 -5 NaN -2.5 6918 OAT caleb_strategy_v3 [1] 124.93 None 124.815 124.82 124.81 124.81 124.81 0.115 -0.005 0.01 0 NaN 0.005 6919 CAC caleb_strategy_v3 [1] 7388 None 7367 7367.5 7366.5 7366.5 7369 21 -0.5 -1.5 -2.5 NaN -2 6922 EUROSTX caleb_strategy_v3 [-1] 4315 None 4312.5 4312 4313 4313 4311 -2.5 -0.5 -1 -2 NaN -1.5 6917 EUROSTX caleb_strategy_v3 [-1] 4315 None 4312.5 4312 4313 4313 4313 -2.5 -0.5 1 -0 NaN 0.5 6928 BOBL caleb_strategy_v3 [-1] 116.22 None 116.135 116.13 116.14 116.14 116.14 -0.085 -0.005 0.01 -0 NaN 0.005 6921 BOBL caleb_strategy_v3 [-1] 116.22 None 116.135 116.13 116.14 116.14 116.14 -0.085 -0.005 0.01 -0 NaN 0.005 6924 BOBL caleb_strategy_v3 [-1] 116.22 None 116.135 116.13 116.14 116.14 116.14 -0.085 -0.005 0.01 -0 NaN 0.005 6926 BOBL caleb_strategy_v3 [-1] 116.22 None 116.135 116.13 116.14 116.14 116.14 -0.085 -0.005 0.01 -0 NaN 0.005 6920 SMI caleb_strategy_v3 [1] 11244 None 11207 11208 11206 11206 11210 37 -1 -2 -4 NaN -3 6923 SMI caleb_strategy_v3 [1] 11244 None 11209 11210 11208 11208 11211 35 -1 -1 -3 NaN -2 6925 SMI caleb_strategy_v3 [1] 11244 None 11210 11211 11209 11209 11213 34 -1 -2 -4 NaN -3 6927 SMI caleb_strategy_v3 [1] 11244 None 11212 11213 11211 11211 11218 32 -1 -5 -7 NaN -6 6929 SMI caleb_strategy_v3 [1] 11244 None 11217 11218 11216 11216 11216 27 -1 2 0 NaN 1 6930 GASOIL caleb_strategy_v3 [-1] 916 None 917.625 917.5 917.75 917.75 917.25 1.625 -0.125 -0.25 -0.5 NaN -0.375 6931 EURIBOR-ICE caleb_strategy_v3 [-1] 97 None 96.9625 96.96 96.965 96.965 96.96 -0.0375 -0.0025 -0 -0.005 NaN -0.0025 6932 EURIBOR-ICE caleb_strategy_v3 [-1] 97 None 96.9625 96.96 96.965 96.965 96.965 -0.0375 -0.0025 0.005 -0 NaN 0.0025 6933 EURIBOR-ICE caleb_strategy_v3 [-1] 97 None 96.9625 96.96 96.965 96.965 96.965 -0.0375 -0.0025 0.005 -0 NaN 0.0025 6934 EURIBOR-ICE caleb_strategy_v3 [-1] 97 None 96.9675 96.965 96.97 96.97 96.96 -0.0325 -0.0025 -0.005 -0.01 NaN -0.0075 6936 PLAT caleb_strategy_v3 [1] 933 None 936.75 936.9 936.6 936.6 936.6 -3.75 -0.15 0.3 0 NaN 0.15 6937 COPPER caleb_strategy_v3 [1] 3.794 None 3.79425 3.7945 3.794 3.794 3.794 -0.00025 -0.00025 0.0005 0 NaN 0.00025 6938 SUGAR11 caleb_strategy_v3 [-1] 27.03 None 27.22 27.21 27.23 27.23 27.22 0.19 -0.01 0.01 -0.01 NaN 0 6939 COCOA caleb_strategy_v3 [-1] 3747 None 3680 3679 3681 3681 3679 -67 -1 -0 -2 NaN -1 6940 COFFEE _ROLL_PSEUDO_STRATEGY [1] 159.25 None 160.55 160.6 160.5 160.5 160.6 -1.3 -0.05 0 -0.1 NaN -0.05 6941 COFFEE _ROLL_PSEUDO_STRATEGY [-1] 159.8 None 161.3 161.25 161.35 161.35 161.25 1.5 -0.05 -0 -0.1 NaN -0.05 6944 GOLD_micro caleb_strategy_v3 [1] 1927.7 None 1926.7 1926.8 1926.6 1926.6 1927 1 -0.1 -0.2 -0.4 NaN -0.3 6945 GOLD_micro caleb_strategy_v3 [1] 1927.7 None 1926.9 1927 1926.8 1926.8 1927.1 0.8 -0.1 -0.1 -0.3 NaN -0.2 6946 GOLD_micro caleb_strategy_v3 [1] 1927.7 None 1927.1 1927.2 1927 1927 1927.3 0.6 -0.1 -0.1 -0.3 NaN -0.2 6947 GOLD_micro caleb_strategy_v3 [1] 1927.7 None 1927.2 1927.3 1927.1 1927.1 1927.5 0.5 -0.1 -0.2 -0.4 NaN -0.3 6935 GOLD_micro caleb_strategy_v3 [1] 1927.7 None 1926.9 1927 1926.8 NaN 1927 0.8 -0.1 0 NaN NaN -0.1 6942 GOLD_micro caleb_strategy_v3 [1] 1927.7 None 1926.9 1927 1926.8 1926.8 1926.9 0.8 -0.1 0.1 -0.1 NaN 0 6943 GOLD_micro caleb_strategy_v3 [1] 1927.7 None 1926.8 1926.9 1926.7 1926.7 1926.8 0.9 -0.1 0.1 -0.1 NaN 2.27374e-13 6948 US20 caleb_strategy_v3 [-1] 118.562 None 118.391 118.375 118.406 118.406 118.344 -0.171875 -0.015625 -0.03125 -0.0625 NaN -0.046875 6950 US10U caleb_strategy_v3 [-1] 113.875 None 113.68 113.672 113.688 113.688 113.688 -0.195312 -0.0078125 0.015625 -0 NaN 0.0078125 6951 RUSSELL caleb_strategy_v3 [-1] 1865.1 None 1860.5 1860.4 1860.6 1860.6 1860.6 -4.6 -0.1 0.2 -2.27374e-13 NaN 0.1 6956 US30 caleb_strategy_v3 [-1] 124.938 None 124.703 124.688 124.719 124.719 124.781 -0.234375 -0.015625 0.09375 0.0625 NaN 0.078125 6949 US30 caleb_strategy_v3 [-1] 124.938 None 124.734 124.719 124.75 124.75 124.688 -0.203125 -0.015625 -0.03125 -0.0625 NaN -0.046875 6953 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.725 16.75 16.7 16.7 16.7 -0.275 -0.025 0.05 0 NaN 0.025 6954 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.125 17.1 17.15 17.15 17.1 0.225 -0.025 -0 -0.05 NaN -0.025 6957 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.675 16.7 16.65 16.65 16.75 -0.225 -0.025 -0.05 -0.1 NaN -0.075 6958 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.125 17.1 17.15 17.15 17.15 0.225 -0.025 0.05 -3.55271e-15 NaN 0.025 6959 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.725 16.75 16.7 16.7 16.7 -0.275 -0.025 0.05 0 NaN 0.025 6960 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.175 17.15 17.2 17.2 17.1 0.275 -0.025 -0.05 -0.1 NaN -0.075 6961 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.675 16.7 16.65 16.65 16.65 -0.225 -0.025 0.05 3.55271e-15 NaN 0.025 6962 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.125 17.1 17.15 17.15 17.05 0.225 -0.025 -0.05 -0.1 NaN -0.075 6963 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.65 16.7 16.6 16.6 16.7 -0.2 -0.05 0 -0.1 NaN -0.05 6964 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.075 17.05 17.1 17.1 17.1 0.175 -0.025 0.05 -0 NaN 0.025 6965 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.675 16.7 16.65 16.65 16.65 -0.225 -0.025 0.05 3.55271e-15 NaN 0.025 6966 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.125 17.1 17.15 17.15 17.05 0.225 -0.025 -0.05 -0.1 NaN -0.075 6967 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.625 16.65 16.6 16.6 16.6 -0.175 -0.025 0.05 0 NaN 0.025 6968 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.075 17.05 17.1 17.1 17 0.175 -0.025 -0.05 -0.1 NaN -0.075 6969 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.625 16.65 16.6 16.6 16.6 -0.175 -0.025 0.05 0 NaN 0.025 6970 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.025 17 17.05 17.05 17.05 0.125 -0.025 0.05 -0 NaN 0.025 6971 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.575 16.6 16.55 16.55 16.6 -0.125 -0.025 0 -0.05 NaN -0.025 6972 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.025 17 17.05 17.05 16.95 0.125 -0.025 -0.05 -0.1 NaN -0.075 6973 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.575 16.6 16.55 NaN 16.55 -0.125 -0.025 0.05 NaN NaN 0.025 6974 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 16.975 16.95 17 17 17 0.075 -0.025 0.05 -0 NaN 0.025 6975 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.525 16.55 16.5 16.5 16.6 -0.075 -0.025 -0.05 -0.1 NaN -0.075 6976 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.025 17 17.05 17.05 16.95 0.125 -0.025 -0.05 -0.1 NaN -0.075 6977 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.525 16.55 16.5 16.5 16.55 -0.075 -0.025 0 -0.05 NaN -0.025 6978 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 16.975 16.95 17 17 17 0.075 -0.025 0.05 -0 NaN 0.025 6979 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.575 16.6 16.55 16.55 16.55 -0.125 -0.025 0.05 0 NaN 0.025 6980 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.025 17 17.05 17.05 16.95 0.125 -0.025 -0.05 -0.1 NaN -0.075 6981 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.525 16.55 16.5 16.5 16.6 -0.075 -0.025 -0.05 -0.1 NaN -0.075 6982 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17 16.95 17.05 17.05 17 0.1 -0.05 0.05 -0.05 NaN 0 6983 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.525 16.55 16.5 16.5 16.6 -0.075 -0.025 -0.05 -0.1 NaN -0.075 6984 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.025 17 17.05 NaN 17 0.125 -0.025 -0 NaN NaN -0.025 6985 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.575 16.6 16.55 16.55 16.55 -0.125 -0.025 0.05 0 NaN 0.025 6986 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 17.025 17 17.05 17.05 16.95 0.125 -0.025 -0.05 -0.1 NaN -0.075 6987 VIX _ROLL_PSEUDO_STRATEGY [1] 16.45 None 16.575 16.6 16.55 16.55 16.55 -0.125 -0.025 0.05 0 NaN 0.025 6988 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.9 None 16.975 16.95 17 17 17 0.075 -0.025 0.05 -0 NaN 0.025 6989 FEEDCOW caleb_strategy_v3 [1] 268.35 None 267.5 267.5 267.5 267.5 267.475 0.85 0 0.025 0.025 NaN 0.025 6990 LEANHOG caleb_strategy_v3 [-1] 75.125 None 75 75 75 75 74.05 -0.125 -0 -0.95 -0.95 NaN -0.95 6991 CORN caleb_strategy_v3 [1] 507.5 None 503.875 504 503.75 503.75 504.25 3.625 -0.125 -0.25 -0.5 NaN -0.375 6992 VIX caleb_strategy_v3 [-1] 16.9 None 16.975 16.95 17 17 16.9 0.075 -0.025 -0.05 -0.1 NaN -0.075 6993 MXP caleb_strategy_v3 [10] NaN None NaN NaN NaN NaN 0.05858 NaN NaN NaN NaN NaN NaN 6995 SP500_micro caleb_strategy_v3 [1] NaN None NaN NaN NaN NaN 4510.25 NaN NaN NaN NaN NaN NaN 6994 MXP caleb_strategy_v3 [-1] 0.05767 None 0.057455 0.05745 0.05746 0.05746 0.05745 -0.000215 -5e-06 -0 -1e-05 NaN -5e-06 6996 MXP caleb_strategy_v3 [-1] 0.05767 None 0.057455 0.05745 0.05746 0.05746 0.05744 -0.000215 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 6997 MXP caleb_strategy_v3 [-1] 0.05767 None 0.05745 0.05744 0.05746 0.05746 0.05744 -0.00022 -1e-05 -0 -2e-05 NaN -1e-05 6998 MXP caleb_strategy_v3 [-1] 0.05767 None 0.057445 0.05744 0.05745 0.05745 0.05743 -0.000225 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 6999 MXP caleb_strategy_v3 [-1] 0.05767 None 0.057435 0.05743 0.05744 0.05744 0.05744 -0.000235 -5e-06 1e-05 -6.93889e-18 NaN 5e-06 7000 MXP caleb_strategy_v3 [-1] 0.05767 None 0.05744 0.05743 0.05745 0.05745 0.05743 -0.00023 -1e-05 -0 -2e-05 NaN -1e-05 7001 MXP caleb_strategy_v3 [-1] 0.05767 None 0.057435 0.05743 0.05744 0.05744 0.05744 -0.000235 -5e-06 1e-05 -6.93889e-18 NaN 5e-06 7002 MXP caleb_strategy_v3 [-1] 0.05767 None 0.057445 0.05744 0.05745 NaN 0.05744 -0.000225 -5e-06 -0 NaN NaN -5e-06 7003 MXP caleb_strategy_v3 [-1] 0.05767 None 0.057445 0.05744 0.05745 0.05745 0.05745 -0.000225 -5e-06 1e-05 -6.93889e-18 NaN 5e-06 6952 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.0068625 None 0.00686775 0.0068675 0.006868 0.006868 0.006867 5.25e-06 -2.5e-07 -5e-07 -1e-06 NaN -7.5e-07 6955 NZD _ROLL_PSEUDO_STRATEGY [-1] 0.58975 None 0.589675 0.58965 0.5897 0.5897 0.5896 -7.5e-05 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 ================================================================================================================================================================ 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 6916 NIKKEI caleb_strategy_v3 [1] 4998.66 155.042 -5.00134 0 -10.0027 NaN -5.00134 6918 OAT caleb_strategy_v3 [1] 11.0144 104.409 -4.53951 9.07902 0 NaN 4.53951 6919 CAC caleb_strategy_v3 [1] 1019.74 205.934 -4.90319 -14.7096 -24.516 NaN -19.6128 6922 EUROSTX caleb_strategy_v3 [-1] 617.232 -40.5034 -8.10068 -16.2014 -32.4027 NaN -24.302 6917 EUROSTX caleb_strategy_v3 [-1] 617.232 -40.5034 -8.10068 16.2014 -0 NaN 8.10068 6928 BOBL caleb_strategy_v3 [-1] 5.26297 -161.506 -9.50034 19.0007 -0 NaN 9.50034 6921 BOBL caleb_strategy_v3 [-1] 5.26297 -161.506 -9.50034 19.0007 -0 NaN 9.50034 6924 BOBL caleb_strategy_v3 [-1] 5.26297 -161.506 -9.50034 19.0007 -0 NaN 9.50034 6926 BOBL caleb_strategy_v3 [-1] 5.26297 -161.506 -9.50034 19.0007 -0 NaN 9.50034 6920 SMI caleb_strategy_v3 [1] 1244.17 297.387 -8.03748 -16.075 -32.1499 NaN -24.1125 6923 SMI caleb_strategy_v3 [1] 1244.17 281.312 -8.03748 -8.03748 -24.1125 NaN -16.075 6925 SMI caleb_strategy_v3 [1] 1244.17 273.274 -8.03748 -16.075 -32.1499 NaN -24.1125 6927 SMI caleb_strategy_v3 [1] 1244.17 257.2 -8.03748 -40.1874 -56.2624 NaN -48.2249 6929 SMI caleb_strategy_v3 [1] 1244.17 217.012 -8.03748 16.075 0 NaN 8.03748 6930 GASOIL caleb_strategy_v3 [-1] 290.586 55.9215 -4.30165 -8.6033 -17.2066 NaN -12.905 6931 EURIBOR-ICE caleb_strategy_v3 [-1] 1.05992 -353.801 -23.5867 -0 -47.1735 NaN -23.5867 6932 EURIBOR-ICE caleb_strategy_v3 [-1] 1.05992 -353.801 -23.5867 47.1735 -0 NaN 23.5867 6933 EURIBOR-ICE caleb_strategy_v3 [-1] 1.05992 -353.801 -23.5867 47.1735 -0 NaN 23.5867 6934 EURIBOR-ICE caleb_strategy_v3 [-1] 1.05992 -306.627 -23.5867 -47.1735 -94.3469 NaN -70.7602 6936 PLAT caleb_strategy_v3 [1] 228.934 -163.803 -6.55211 13.1042 0 NaN 6.55211 6937 COPPER caleb_strategy_v3 [1] 0.754717 -3.3125 -3.3125 6.625 0 NaN 3.3125 6938 SUGAR11 caleb_strategy_v3 [-1] 5.17319 367.278 -19.3304 19.3304 -19.3304 NaN 0 6939 COCOA caleb_strategy_v3 [-1] 729.762 -918.107 -13.7031 -0 -27.4062 NaN -13.7031 6940 COFFEE _ROLL_PSEUDO_STRATEGY [1] 48.8919 -265.893 -10.2267 0 -20.4533 NaN -10.2267 6941 COFFEE _ROLL_PSEUDO_STRATEGY [-1] 48.8919 306.8 -10.2267 -0 -20.4533 NaN -10.2267 6944 GOLD_micro caleb_strategy_v3 [1] 180.821 55.3032 -5.53032 -11.0606 -22.1213 NaN -16.591 6945 GOLD_micro caleb_strategy_v3 [1] 180.821 44.2425 -5.53032 -5.53032 -16.591 NaN -11.0606 6946 GOLD_micro caleb_strategy_v3 [1] 180.821 33.1819 -5.53032 -5.53032 -16.591 NaN -11.0606 6947 GOLD_micro caleb_strategy_v3 [1] 180.821 27.6516 -5.53032 -11.0606 -22.1213 NaN -16.591 6935 GOLD_micro caleb_strategy_v3 [1] 180.821 44.2425 -5.53032 0 NaN NaN -5.53032 6942 GOLD_micro caleb_strategy_v3 [1] 180.821 44.2425 -5.53032 5.53032 -5.53032 NaN 0 6943 GOLD_micro caleb_strategy_v3 [1] 180.821 49.7729 -5.53032 5.53032 -5.53032 NaN 1.25745e-11 6948 US20 caleb_strategy_v3 [-1] 13.2215 -129.996 -11.8178 -23.6357 -47.2714 NaN -35.4535 6950 US10U caleb_strategy_v3 [-1] 9.07626 -215.191 -8.60762 17.2152 -0 NaN 8.60762 6951 RUSSELL caleb_strategy_v3 [-1] 318.532 -144.413 -3.1394 6.27881 -7.13818e-12 NaN 3.1394 6956 US30 caleb_strategy_v3 [-1] 18.69 -125.401 -8.36009 50.1606 33.4404 NaN 41.8005 6949 US30 caleb_strategy_v3 [-1] 18.69 -108.681 -8.36009 -16.7202 -33.4404 NaN -25.0803 6953 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -400.142 -36.3765 72.753 0 NaN 36.3765 6954 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 327.389 -36.3765 -0 -72.753 NaN -36.3765 6957 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -327.389 -36.3765 -72.753 -145.506 NaN -109.13 6958 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 327.389 -36.3765 72.753 -5.16941e-12 NaN 36.3765 6959 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -400.142 -36.3765 72.753 0 NaN 36.3765 6960 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 400.142 -36.3765 -72.753 -145.506 NaN -109.13 6961 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -327.389 -36.3765 72.753 5.16941e-12 NaN 36.3765 6962 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 327.389 -36.3765 -72.753 -145.506 NaN -109.13 6963 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -291.012 -72.753 0 -145.506 NaN -72.753 6964 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 254.636 -36.3765 72.753 -0 NaN 36.3765 6965 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -327.389 -36.3765 72.753 5.16941e-12 NaN 36.3765 6966 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 327.389 -36.3765 -72.753 -145.506 NaN -109.13 6967 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -254.636 -36.3765 72.753 0 NaN 36.3765 6968 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 254.636 -36.3765 -72.753 -145.506 NaN -109.13 6969 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -254.636 -36.3765 72.753 0 NaN 36.3765 6970 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 181.883 -36.3765 72.753 -0 NaN 36.3765 6971 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -181.883 -36.3765 0 -72.753 NaN -36.3765 6972 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 181.883 -36.3765 -72.753 -145.506 NaN -109.13 6973 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -181.883 -36.3765 72.753 NaN NaN 36.3765 6974 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 109.13 -36.3765 72.753 -0 NaN 36.3765 6975 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -109.13 -36.3765 -72.753 -145.506 NaN -109.13 6976 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 181.883 -36.3765 -72.753 -145.506 NaN -109.13 6977 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -109.13 -36.3765 0 -72.753 NaN -36.3765 6978 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 109.13 -36.3765 72.753 -0 NaN 36.3765 6979 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -181.883 -36.3765 72.753 0 NaN 36.3765 6980 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 181.883 -36.3765 -72.753 -145.506 NaN -109.13 6981 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -109.13 -36.3765 -72.753 -145.506 NaN -109.13 6982 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 145.506 -72.753 72.753 -72.753 NaN 0 6983 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -109.13 -36.3765 -72.753 -145.506 NaN -109.13 6984 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 181.883 -36.3765 -0 NaN NaN -36.3765 6985 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -181.883 -36.3765 72.753 0 NaN 36.3765 6986 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 181.883 -36.3765 -72.753 -145.506 NaN -109.13 6987 VIX _ROLL_PSEUDO_STRATEGY [1] 6.87256 -181.883 -36.3765 72.753 0 NaN 36.3765 6988 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.87256 109.13 -36.3765 72.753 -0 NaN 36.3765 6989 FEEDCOW caleb_strategy_v3 [1] 26.9019 315.963 0 9.29303 9.29303 NaN 9.29303 6990 LEANHOG caleb_strategy_v3 [-1] 20.6422 -60.5556 -0 -460.223 -460.223 NaN -460.223 6991 CORN caleb_strategy_v3 [1] 126.17 287.311 -9.90727 -19.8145 -39.6291 NaN -29.7218 6992 VIX caleb_strategy_v3 [-1] 6.87256 109.13 -36.3765 -72.753 -145.506 NaN -109.13 6993 MXP caleb_strategy_v3 [10] 0.00631041 NaN NaN NaN NaN NaN NaN 6995 SP500_micro caleb_strategy_v3 [1] 615.148 NaN NaN NaN NaN NaN NaN 6994 MXP caleb_strategy_v3 [-1] 0.00631041 -340.707 -7.92342 -0 -15.8468 NaN -7.92342 6996 MXP caleb_strategy_v3 [-1] 0.00631041 -340.707 -7.92342 -15.8468 -31.6937 NaN -23.7702 6997 MXP caleb_strategy_v3 [-1] 0.00631041 -348.63 -15.8468 -0 -31.6937 NaN -15.8468 6998 MXP caleb_strategy_v3 [-1] 0.00631041 -356.554 -7.92342 -15.8468 -31.6937 NaN -23.7702 6999 MXP caleb_strategy_v3 [-1] 0.00631041 -372.401 -7.92342 15.8468 -1.09959e-11 NaN 7.92342 7000 MXP caleb_strategy_v3 [-1] 0.00631041 -364.477 -15.8468 -0 -31.6937 NaN -15.8468 7001 MXP caleb_strategy_v3 [-1] 0.00631041 -372.401 -7.92342 15.8468 -1.09959e-11 NaN 7.92342 7002 MXP caleb_strategy_v3 [-1] 0.00631041 -356.554 -7.92342 -0 NaN NaN -7.92342 7003 MXP caleb_strategy_v3 [-1] 0.00631041 -356.554 -7.92342 15.8468 -1.09959e-11 NaN 7.92342 6952 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000598646 87.6979 -4.17609 -8.35218 -16.7044 NaN -12.5283 6955 NZD _ROLL_PSEUDO_STRATEGY [-1] 0.0539783 -13.8945 -4.63149 -9.26299 -18.526 NaN -13.8945 =========================================================================================================================================================================== 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 6916 NIKKEI caleb_strategy_v3 [1] 0.677337 52.4936 -1.69334 0 -3.38668 NaN -1.69334 6918 OAT caleb_strategy_v3 [1] 1067.35 122.745 -5.33675 10.6735 0 NaN 5.33675 6919 CAC caleb_strategy_v3 [1] 10.6735 224.144 -5.33675 -16.0102 -26.6838 NaN -21.347 6922 EUROSTX caleb_strategy_v3 [-1] 10.6735 -26.6838 -5.33675 -10.6735 -21.347 NaN -16.0102 6917 EUROSTX caleb_strategy_v3 [-1] 10.6735 -26.6838 -5.33675 10.6735 -0 NaN 5.33675 6928 BOBL caleb_strategy_v3 [-1] 1067.35 -90.7248 -5.33675 10.6735 -0 NaN 5.33675 6921 BOBL caleb_strategy_v3 [-1] 1067.35 -90.7248 -5.33675 10.6735 -0 NaN 5.33675 6924 BOBL caleb_strategy_v3 [-1] 1067.35 -90.7248 -5.33675 10.6735 -0 NaN 5.33675 6926 BOBL caleb_strategy_v3 [-1] 1067.35 -90.7248 -5.33675 10.6735 -0 NaN 5.33675 6920 SMI caleb_strategy_v3 [1] 11.1565 412.791 -11.1565 -22.313 -44.626 NaN -33.4695 6923 SMI caleb_strategy_v3 [1] 11.1565 390.478 -11.1565 -11.1565 -33.4695 NaN -22.313 6925 SMI caleb_strategy_v3 [1] 11.1565 379.321 -11.1565 -22.313 -44.626 NaN -33.4695 6927 SMI caleb_strategy_v3 [1] 11.1565 357.008 -11.1565 -55.7825 -78.0955 NaN -66.939 6929 SMI caleb_strategy_v3 [1] 11.1565 301.226 -11.1565 22.313 0 NaN 11.1565 6930 GASOIL caleb_strategy_v3 [-1] 100 162.5 -12.5 -25 -50 NaN -37.5 6931 EURIBOR-ICE caleb_strategy_v3 [-1] 2668.38 -100.064 -6.67094 -0 -13.3419 NaN -6.67094 6932 EURIBOR-ICE caleb_strategy_v3 [-1] 2668.38 -100.064 -6.67094 13.3419 -0 NaN 6.67094 6933 EURIBOR-ICE caleb_strategy_v3 [-1] 2668.38 -100.064 -6.67094 13.3419 -0 NaN 6.67094 6934 EURIBOR-ICE caleb_strategy_v3 [-1] 2668.38 -86.7222 -6.67094 -13.3419 -26.6838 NaN -20.0128 6936 PLAT caleb_strategy_v3 [1] 50 -187.5 -7.5 15 0 NaN 7.5 6937 COPPER caleb_strategy_v3 [1] 25000 -6.25 -6.25 12.5 0 NaN 6.25 6938 SUGAR11 caleb_strategy_v3 [-1] 1120 212.8 -11.2 11.2 -11.2 NaN 0 6939 COCOA caleb_strategy_v3 [-1] 10 -670 -10 -0 -20 NaN -10 6940 COFFEE _ROLL_PSEUDO_STRATEGY [1] 375 -487.5 -18.75 0 -37.5 NaN -18.75 6941 COFFEE _ROLL_PSEUDO_STRATEGY [-1] 375 562.5 -18.75 -0 -37.5 NaN -18.75 6944 GOLD_micro caleb_strategy_v3 [1] 10 10 -1 -2 -4 NaN -3 6945 GOLD_micro caleb_strategy_v3 [1] 10 8 -1 -1 -3 NaN -2 6946 GOLD_micro caleb_strategy_v3 [1] 10 6 -1 -1 -3 NaN -2 6947 GOLD_micro caleb_strategy_v3 [1] 10 5 -1 -2 -4 NaN -3 6935 GOLD_micro caleb_strategy_v3 [1] 10 8 -1 0 NaN NaN -1 6942 GOLD_micro caleb_strategy_v3 [1] 10 8 -1 1 -1 NaN 0 6943 GOLD_micro caleb_strategy_v3 [1] 10 9 -1 1 -1 NaN 2.27374e-12 6948 US20 caleb_strategy_v3 [-1] 1000 -171.875 -15.625 -31.25 -62.5 NaN -46.875 6950 US10U caleb_strategy_v3 [-1] 1000 -195.312 -7.8125 15.625 -0 NaN 7.8125 6951 RUSSELL caleb_strategy_v3 [-1] 5 -23 -0.5 1 -1.13687e-12 NaN 0.5 6956 US30 caleb_strategy_v3 [-1] 1000 -234.375 -15.625 93.75 62.5 NaN 78.125 6949 US30 caleb_strategy_v3 [-1] 1000 -203.125 -15.625 -31.25 -62.5 NaN -46.875 6953 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -275 -25 50 0 NaN 25 6954 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 225 -25 -0 -50 NaN -25 6957 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -225 -25 -50 -100 NaN -75 6958 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 225 -25 50 -3.55271e-12 NaN 25 6959 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -275 -25 50 0 NaN 25 6960 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 275 -25 -50 -100 NaN -75 6961 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -225 -25 50 3.55271e-12 NaN 25 6962 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 225 -25 -50 -100 NaN -75 6963 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -200 -50 0 -100 NaN -50 6964 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 175 -25 50 -0 NaN 25 6965 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -225 -25 50 3.55271e-12 NaN 25 6966 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 225 -25 -50 -100 NaN -75 6967 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -175 -25 50 0 NaN 25 6968 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 175 -25 -50 -100 NaN -75 6969 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -175 -25 50 0 NaN 25 6970 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 50 -0 NaN 25 6971 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 0 -50 NaN -25 6972 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 -50 -100 NaN -75 6973 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 50 NaN NaN 25 6974 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 50 -0 NaN 25 6975 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 -50 -100 NaN -75 6976 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 -50 -100 NaN -75 6977 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 0 -50 NaN -25 6978 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 50 -0 NaN 25 6979 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 50 0 NaN 25 6980 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 -50 -100 NaN -75 6981 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 -50 -100 NaN -75 6982 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 100 -50 50 -50 NaN 0 6983 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 -50 -100 NaN -75 6984 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 -0 NaN NaN -25 6985 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 50 0 NaN 25 6986 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 -50 -100 NaN -75 6987 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 50 0 NaN 25 6988 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 50 -0 NaN 25 6989 FEEDCOW caleb_strategy_v3 [1] 500 425 0 12.5 12.5 NaN 12.5 6990 LEANHOG caleb_strategy_v3 [-1] 400 -50 -0 -380 -380 NaN -380 6991 CORN caleb_strategy_v3 [1] 50 181.25 -6.25 -12.5 -25 NaN -18.75 6992 VIX caleb_strategy_v3 [-1] 1000 75 -25 -50 -100 NaN -75 6993 MXP caleb_strategy_v3 [10] 500000 NaN NaN NaN NaN NaN NaN 6995 SP500_micro caleb_strategy_v3 [1] 5 NaN NaN NaN NaN NaN NaN 6994 MXP caleb_strategy_v3 [-1] 500000 -107.5 -2.5 -0 -5 NaN -2.5 6996 MXP caleb_strategy_v3 [-1] 500000 -107.5 -2.5 -5 -10 NaN -7.5 6997 MXP caleb_strategy_v3 [-1] 500000 -110 -5 -0 -10 NaN -5 6998 MXP caleb_strategy_v3 [-1] 500000 -112.5 -2.5 -5 -10 NaN -7.5 6999 MXP caleb_strategy_v3 [-1] 500000 -117.5 -2.5 5 -3.46945e-12 NaN 2.5 7000 MXP caleb_strategy_v3 [-1] 500000 -115 -5 -0 -10 NaN -5 7001 MXP caleb_strategy_v3 [-1] 500000 -117.5 -2.5 5 -3.46945e-12 NaN 2.5 7002 MXP caleb_strategy_v3 [-1] 500000 -112.5 -2.5 -0 NaN NaN -2.5 7003 MXP caleb_strategy_v3 [-1] 500000 -112.5 -2.5 5 -3.46945e-12 NaN 2.5 6952 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 65.625 -3.125 -6.25 -12.5 NaN -9.375 6955 NZD _ROLL_PSEUDO_STRATEGY [-1] 100000 -7.5 -2.5 -5 -10 NaN -7.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COFFEE 75.000000 JPY 65.625000 NZD -7.500000 VIX -100.000000 caleb_strategy_v3 BOBL -362.899000 CAC 224.143500 COCOA -670.000000 COPPER -6.250000 CORN 181.250000 EURIBOR-ICE -386.914375 EUROSTX -53.367500 FEEDCOW 425.000000 GASOIL 162.500000 GOLD_micro 54.000000 LEANHOG -50.000000 MXP -1012.500000 NIKKEI 52.493616 OAT 122.745250 PLAT -187.500000 RUSSELL -23.000000 SMI 1840.822500 SP500_micro 0.000000 SUGAR11 212.800000 US10U -195.312500 US20 -171.875000 US30 -437.500000 VIX 75.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 33.125000 caleb_strategy_v3 -206.363509 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COFFEE -37.500000 JPY -3.125000 NZD -2.500000 VIX -900.000000 caleb_strategy_v3 BOBL -21.347000 CAC -5.336750 COCOA -10.000000 COPPER -6.250000 CORN -6.250000 EURIBOR-ICE -26.683750 EUROSTX -10.673500 FEEDCOW 0.000000 GASOIL -12.500000 GOLD_micro -7.000000 LEANHOG -0.000000 MXP -27.500000 NIKKEI -1.693342 OAT -5.336750 PLAT -7.500000 RUSSELL -0.500000 SMI -55.782500 SP500_micro 0.000000 SUGAR11 -11.200000 US10U -7.812500 US20 -15.625000 US30 -31.250000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -943.125000 caleb_strategy_v3 -295.241092 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COFFEE 0.000000 JPY -6.250000 NZD -5.000000 VIX 250.000000 caleb_strategy_v3 BOBL 42.694000 CAC -16.010250 COCOA -0.000000 COPPER 12.500000 CORN -12.500000 EURIBOR-ICE 13.341875 EUROSTX 0.000000 FEEDCOW 12.500000 GASOIL -25.000000 GOLD_micro -4.000000 LEANHOG -380.000000 MXP 5.000000 NIKKEI 0.000000 OAT 10.673500 PLAT 15.000000 RUSSELL 1.000000 SMI -89.252000 SP500_micro 0.000000 SUGAR11 11.200000 US10U 15.625000 US20 -31.250000 US30 62.500000 VIX -50.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 238.750000 caleb_strategy_v3 -405.977875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COFFEE -7.500000e+01 JPY -1.250000e+01 NZD -1.000000e+01 VIX -1.500000e+03 caleb_strategy_v3 BOBL -0.000000e+00 CAC -2.668375e+01 COCOA -2.000000e+01 COPPER 0.000000e+00 CORN -2.500000e+01 EURIBOR-ICE -4.002563e+01 EUROSTX -2.134700e+01 FEEDCOW 1.250000e+01 GASOIL -5.000000e+01 GOLD_micro -1.600000e+01 LEANHOG -3.800000e+02 MXP -4.500000e+01 NIKKEI -3.386685e+00 OAT 0.000000e+00 PLAT 0.000000e+00 RUSSELL -1.136868e-12 SMI -2.008170e+02 SP500_micro 0.000000e+00 SUGAR11 -1.120000e+01 US10U -0.000000e+00 US20 -6.250000e+01 US30 0.000000e+00 VIX -1.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1597.50000 caleb_strategy_v3 -989.46006 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COFFEE 0 JPY 0 NZD 0 VIX 0 caleb_strategy_v3 BOBL 0 CAC 0 COCOA 0 COPPER 0 CORN 0 EURIBOR-ICE 0 EUROSTX 0 FEEDCOW 0 GASOIL 0 GOLD_micro 0 LEANHOG 0 MXP 0 NIKKEI 0 OAT 0 PLAT 0 RUSSELL 0 SMI 0 SP500_micro 0 SUGAR11 0 US10U 0 US20 0 US30 0 VIX 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 COFFEE -37.500000 JPY -9.375000 NZD -7.500000 VIX -650.000000 caleb_strategy_v3 BOBL 21.347000 CAC -21.347000 COCOA -10.000000 COPPER 6.250000 CORN -18.750000 EURIBOR-ICE -13.341875 EUROSTX -10.673500 FEEDCOW 12.500000 GASOIL -37.500000 GOLD_micro -11.000000 LEANHOG -380.000000 MXP -22.500000 NIKKEI -1.693342 OAT 5.336750 PLAT 7.500000 RUSSELL 0.500000 SMI -145.034500 SP500_micro 0.000000 SUGAR11 0.000000 US10U 7.812500 US20 -46.875000 US30 31.250000 VIX -75.000000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -704.375000 caleb_strategy_v3 -701.218967 ******************************************************************************** END OF REPORT ********************************************************************************