******************************************************************************** Trades report produced on 19/09/2023 21:39 from 18/09/2023 21:39 to 19/09/2023 21:39 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 7008 BOBL caleb_strategy_v3 [20231200] 2023-09-19 07:10:31.000 [1] 115.940000 7012 BOBL caleb_strategy_v3 [20231200] 2023-09-19 07:21:52.000 [1] 116.000000 7013 CAC caleb_strategy_v3 [20231000] 2023-09-19 07:31:37.000 [1] 7291.000000 7009 CAC caleb_strategy_v3 [20231000] 2023-09-19 19:45:01.084 [0] NaN 7005 CAC caleb_strategy_v3 [20231000] 2023-09-19 19:45:00.941 [0] NaN 7022 COCOA caleb_strategy_v3 [20240300] 2023-09-19 13:00:05.000 [-1] 3679.000000 7085 CORN caleb_strategy_v3 [20241200] 2023-09-19 14:30:21.000 [1] 502.750000 7074 EUR caleb_strategy_v3 [20231200] 2023-09-19 14:00:55.000 [1] 1.073400 7018 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-19 08:05:01.000 [1] 96.955000 7019 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-19 08:06:37.000 [1] 96.960000 7020 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-19 08:09:10.000 [1] 96.955000 7010 EUROSTX caleb_strategy_v3 [20231200] 2023-09-19 07:20:44.000 [-1] 4275.000000 7006 EUROSTX caleb_strategy_v3 [20231200] 2023-09-19 07:10:06.000 [-1] 4266.000000 7084 FEEDCOW caleb_strategy_v3 [20240100] 2023-09-19 14:30:19.000 [1] 268.100000 7069 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:20:41.000 [-1] 3.395000 7025 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:00:11.000 [-1] 3.415000 7024 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:00:10.000 [1] 3.030000 7068 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:20:40.000 [1] 3.015000 7063 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:17:58.000 [-1] 3.400000 7066 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:18:30.000 [1] 3.015000 7065 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:18:19.000 [-1] 3.395000 7064 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:18:10.000 [1] 3.015000 7027 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:00:14.000 [1] 3.030000 7067 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:19:42.000 [-1] 3.400000 7028 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:00:15.000 [-1] 3.415000 7036 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:01:48.000 [1] 3.030000 7031 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:00:19.000 [-1] 3.415000 7032 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:00:23.000 [1] 3.030000 7033 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:00:23.000 [-1] 3.415000 7034 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:00:34.000 [1] 3.030000 7035 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:01:36.000 [-1] 3.410000 7062 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:17:34.000 [1] 3.020000 7037 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:04:01.000 [-1] 3.410000 7038 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:04:06.000 [1] 3.030000 7039 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:04:15.000 [-1] 3.410000 7030 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:00:18.000 [1] 3.030000 7061 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:16:47.000 [-1] 3.405000 7056 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:14:09.000 [1] 3.020000 7059 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:16:24.000 [-1] 3.410000 7040 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:04:35.000 [1] 3.030000 7041 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:05:07.000 [-1] 3.415000 7042 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:05:53.000 [1] 3.030000 7043 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:06:00.000 [-1] 3.410000 7044 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:06:04.000 [1] 3.025000 7045 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:08:30.000 [-1] 3.400000 7060 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:16:32.000 [1] 3.020000 7047 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:09:47.000 [-1] 3.400000 7048 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:10:10.000 [1] 3.015000 7049 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:12:24.000 [-1] 3.405000 7046 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:09:02.000 [1] 3.015000 7051 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:13:00.000 [-1] 3.400000 7050 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:12:39.000 [1] 3.020000 7057 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:15:37.000 [-1] 3.400000 7055 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:14:04.000 [-1] 3.405000 7058 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:15:54.000 [1] 3.015000 7053 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 13:13:46.000 [-1] 3.405000 7052 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:13:46.000 [1] 3.020000 7054 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20231100] 2023-09-19 13:13:56.000 [1] 3.015000 7021 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-19 13:00:01.000 [1] 1938.600000 7026 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-19 13:00:14.000 [1] 1938.800000 7029 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-19 13:00:17.000 [1] 1938.600000 7077 JPY _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 14:01:12.000 [-1] 0.006869 7079 JPY caleb_strategy_v3 [20231200] 2023-09-19 14:01:19.000 [-1] 0.006869 7073 MXP caleb_strategy_v3 [20231200] 2023-09-19 14:00:52.000 [-1] 0.057630 7083 MXP caleb_strategy_v3 [20231200] 2023-09-19 14:02:05.000 [-1] 0.057610 7082 MXP caleb_strategy_v3 [20231200] 2023-09-19 14:01:50.000 [-1] 0.057620 7081 MXP caleb_strategy_v3 [20231200] 2023-09-19 14:01:47.000 [-1] 0.057610 7080 MXP caleb_strategy_v3 [20231200] 2023-09-19 14:01:22.000 [-1] 0.057620 7078 NZD _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-19 14:01:18.000 [-1] 0.593750 7007 OAT caleb_strategy_v3 [20231200] 2023-09-19 07:10:08.000 [-1] 124.500000 7014 OAT caleb_strategy_v3 [20231200] 2023-09-19 07:31:39.000 [-1] 124.680000 7011 OAT caleb_strategy_v3 [20231200] 2023-09-19 07:20:44.000 [-1] 124.650000 7015 OAT caleb_strategy_v3 [20231200] 2023-09-19 07:31:41.000 [-1] 124.680000 7023 PLAT caleb_strategy_v3 [20231000] 2023-09-19 13:00:06.000 [1] 952.800000 7071 RUSSELL caleb_strategy_v3 [20231200] 2023-09-19 14:00:21.000 [-1] 1848.300000 7004 SMI caleb_strategy_v3 [20231200] 2023-09-19 07:00:03.000 [1] 11100.000000 7086 SOYBEAN caleb_strategy_v3 [20241100] 2023-09-19 14:30:21.000 [-1] 1257.500000 7072 SP500_micro caleb_strategy_v3 [20231200] 2023-09-19 14:00:22.000 [-1] 4483.500000 7076 US30 caleb_strategy_v3 [20231200] 2023-09-19 14:01:04.000 [-1] 125.031250 7075 US5 caleb_strategy_v3 [20231200] 2023-09-19 14:01:04.000 [1] 105.796875 7070 VIX caleb_strategy_v3 [20231200] 2023-09-19 14:00:20.000 [1] 17.050000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7004 SMI caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:00:02.569 2023-09-19 07:00:03.000 115203 NaN 7010 EUROSTX caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:20:38.072 2023-09-19 07:20:44.000 116438 NaN 7006 EUROSTX caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:10:06.093 2023-09-19 07:10:06.000 115806 NaN 7008 BOBL caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:10:09.629 2023-09-19 07:10:31.000 115810 NaN 7012 BOBL caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:20:44.951 2023-09-19 07:21:52.000 116445 NaN 7015 OAT caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:31:41.432 2023-09-19 07:31:41.000 117101 NaN 7011 OAT caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:20:44.393 2023-09-19 07:20:44.000 116444 NaN 7014 OAT caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:31:37.963 2023-09-19 07:31:39.000 117098 NaN 7007 OAT caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:10:07.496 2023-09-19 07:10:08.000 115807 NaN 7018 EURIBOR-ICE caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 09:00:01.358 2023-09-19 08:05:01.000 118801 NaN 7019 EURIBOR-ICE caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 09:05:03.921 2023-09-19 08:06:37.000 119104 NaN 7020 EURIBOR-ICE caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 09:06:39.802 2023-09-19 08:09:10.000 119200 NaN 7022 COCOA caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 14:00:02.361 2023-09-19 13:00:05.000 136802 NaN 7023 PLAT caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 14:00:05.881 2023-09-19 13:00:06.000 136806 NaN 7029 GOLD_micro caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 14:00:17.757 2023-09-19 13:00:17.000 136818 NaN 7026 GOLD_micro caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 14:00:13.492 2023-09-19 13:00:14.000 136813 NaN 7021 GOLD_micro caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 14:00:01.050 2023-09-19 13:00:01.000 136801 NaN 7040 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:04:17.603 2023-09-19 13:04:35.000 65057.6 NaN 7041 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:04:36.204 2023-09-19 13:05:07.000 65076.2 NaN 7042 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:05:09.865 2023-09-19 13:05:53.000 65109.9 NaN 7043 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:05:53.555 2023-09-19 13:06:00.000 65153.6 NaN 7044 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:06:02.995 2023-09-19 13:06:04.000 65163 NaN 7045 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:06:04.491 2023-09-19 13:08:30.000 65164.5 NaN 7046 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:08:32.808 2023-09-19 13:09:02.000 65312.8 NaN 7047 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:09:02.709 2023-09-19 13:09:47.000 65342.7 NaN 7048 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:09:49.744 2023-09-19 13:10:10.000 65389.7 NaN 7049 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:10:10.774 2023-09-19 13:12:24.000 65410.8 NaN 7050 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:12:36.621 2023-09-19 13:12:39.000 65556.6 NaN 7051 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:12:39.873 2023-09-19 13:13:00.000 65559.9 NaN 7052 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:13:02.892 2023-09-19 13:13:46.000 65582.9 NaN 7053 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:13:46.673 2023-09-19 13:13:46.000 65626.7 NaN 7054 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:13:49.260 2023-09-19 13:13:56.000 65629.3 NaN 7055 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:13:56.952 2023-09-19 13:14:04.000 65637 NaN 7056 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:14:07.632 2023-09-19 13:14:09.000 65647.6 NaN 7057 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:14:09.824 2023-09-19 13:15:37.000 65649.8 NaN 7058 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:15:39.964 2023-09-19 13:15:54.000 65740 NaN 7059 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:15:55.332 2023-09-19 13:16:24.000 65755.3 NaN 7060 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:16:27.038 2023-09-19 13:16:32.000 65787 NaN 7061 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:16:32.987 2023-09-19 13:16:47.000 65793 NaN 7062 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:16:50.352 2023-09-19 13:17:34.000 65810.4 NaN 7063 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:17:35.080 2023-09-19 13:17:58.000 65855.1 NaN 7064 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:18:01.336 2023-09-19 13:18:10.000 65881.3 NaN 7065 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:18:10.924 2023-09-19 13:18:19.000 65890.9 NaN 7066 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:18:22.212 2023-09-19 13:18:30.000 65902.2 NaN 7067 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:18:31.158 2023-09-19 13:19:42.000 65911.2 NaN 7068 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:19:44.985 2023-09-19 13:20:40.000 65985 NaN 7069 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:20:41.280 2023-09-19 13:20:41.000 66041.3 NaN 7024 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:07.335 2023-09-19 13:00:10.000 64807.3 NaN 7025 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:11.371 2023-09-19 13:00:11.000 64811.4 NaN 7027 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:14.359 2023-09-19 13:00:14.000 64814.4 NaN 7028 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:14.746 2023-09-19 13:00:15.000 64814.7 NaN 7030 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:18.339 2023-09-19 13:00:18.000 64818.3 NaN 7031 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:19.102 2023-09-19 13:00:19.000 64819.1 NaN 7032 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:21.755 2023-09-19 13:00:23.000 64821.8 NaN 7033 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:23.607 2023-09-19 13:00:23.000 64823.6 NaN 7034 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:26.292 2023-09-19 13:00:34.000 64826.3 NaN 7035 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:00:35.248 2023-09-19 13:01:36.000 64835.2 NaN 7036 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:01:38.960 2023-09-19 13:01:48.000 64899 NaN 7037 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:01:48.403 2023-09-19 13:04:01.000 64908.4 NaN 7038 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:04:04.540 2023-09-19 13:04:06.000 65044.5 NaN 7039 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-09-18 20:00:00 2023-09-19 14:04:07.078 2023-09-19 13:04:15.000 65047.1 NaN 7070 VIX caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:00:02.799 2023-09-19 14:00:20.000 140403 NaN 7071 RUSSELL caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:00:21.676 2023-09-19 14:00:21.000 140422 NaN 7072 SP500_micro caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:00:22.503 2023-09-19 14:00:22.000 140423 NaN 7074 EUR caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:00:53.418 2023-09-19 14:00:55.000 140453 NaN 7075 US5 caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:00:56.219 2023-09-19 14:01:04.000 140456 NaN 7076 US30 caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:01:04.858 2023-09-19 14:01:04.000 140465 NaN 7079 JPY caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:01:18.991 2023-09-19 14:01:19.000 140479 NaN 7073 MXP caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:00:23.196 2023-09-19 14:00:52.000 140423 NaN 7080 MXP caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:01:22.482 2023-09-19 14:01:22.000 140482 NaN 7081 MXP caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:01:25.435 2023-09-19 14:01:47.000 140485 NaN 7082 MXP caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:01:50.060 2023-09-19 14:01:50.000 140510 NaN 7083 MXP caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:01:52.721 2023-09-19 14:02:05.000 140513 NaN 7084 FEEDCOW caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:30:01.097 2023-09-19 14:30:19.000 142201 NaN 7085 CORN caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:30:20.059 2023-09-19 14:30:21.000 142220 NaN 7086 SOYBEAN caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 15:30:21.693 2023-09-19 14:30:21.000 142222 NaN 7013 CAC caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:21:55.055 2023-09-19 07:31:37.000 116515 NaN 7009 CAC caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:10:37.583 2023-09-19 19:45:01.084 115838 41663.5 7005 CAC caleb_strategy_v3 2023-09-18 00:00:00 2023-09-19 08:00:05.114 2023-09-19 19:45:00.941 115205 42295.8 7077 JPY _ROLL_PSEUDO_STRATEGY 2023-09-18 15:00:00 2023-09-19 15:01:05.659 2023-09-19 14:01:12.000 86465.7 NaN 7078 NZD _ROLL_PSEUDO_STRATEGY 2023-09-18 14:30:00 2023-09-19 15:01:13.419 2023-09-19 14:01:18.000 88273.4 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 7004 SMI caleb_strategy_v3 [1] 11139 None 11101 11102 11100 11100 11100 38 -1 2 0 NaN 1 7010 EUROSTX caleb_strategy_v3 [-1] 4273 None 4274.5 4274 4275 4275 4275 1.5 -0.5 1 -0 NaN 0.5 7006 EUROSTX caleb_strategy_v3 [-1] 4273 None 4267.5 4267 4268 4268 4266 -5.5 -0.5 -1 -2 NaN -1.5 7008 BOBL caleb_strategy_v3 [1] 115.99 None 115.925 115.93 115.92 115.92 115.94 0.065 -0.005 -0.01 -0.02 NaN -0.015 7012 BOBL caleb_strategy_v3 [1] 115.99 None 115.985 115.99 115.98 115.98 116 0.005 -0.005 -0.01 -0.02 NaN -0.015 7015 OAT caleb_strategy_v3 [-1] 124.65 None 124.685 124.68 124.69 124.69 124.68 0.035 -0.005 -0 -0.01 NaN -0.005 7011 OAT caleb_strategy_v3 [-1] 124.65 None 124.505 124.5 124.51 NaN 124.65 -0.145 -0.005 0.15 NaN NaN 0.145 7014 OAT caleb_strategy_v3 [-1] 124.65 None 124.685 124.68 124.69 124.69 124.68 0.035 -0.005 -0 -0.01 NaN -0.005 7007 OAT caleb_strategy_v3 [-1] 124.65 None 124.5 124.49 124.51 124.51 124.5 -0.15 -0.01 0.01 -0.01 NaN 0 7018 EURIBOR-ICE caleb_strategy_v3 [1] 96.95 None 96.9525 96.955 96.95 96.95 96.955 -0.0025 -0.0025 0 -0.005 NaN -0.0025 7019 EURIBOR-ICE caleb_strategy_v3 [1] 96.95 None 96.9525 96.955 96.95 96.95 96.96 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 7020 EURIBOR-ICE caleb_strategy_v3 [1] 96.95 None 96.9575 96.96 96.955 96.955 96.955 -0.0075 -0.0025 0.005 0 NaN 0.0025 7022 COCOA caleb_strategy_v3 [-1] 3631 None 3680.5 3680 3681 3681 3679 49.5 -0.5 -1 -2 NaN -1.5 7023 PLAT caleb_strategy_v3 [1] 937.8 None 952.5 952.6 952.4 952.4 952.8 -14.7 -0.1 -0.2 -0.4 NaN -0.3 7029 GOLD_micro caleb_strategy_v3 [1] 1935.1 None 1938.65 1938.7 1938.6 1938.6 1938.6 -3.55 -0.05 0.1 2.27374e-13 NaN 0.05 7026 GOLD_micro caleb_strategy_v3 [1] 1935.1 None 1938.5 1938.6 1938.4 NaN 1938.8 -3.4 -0.1 -0.2 NaN NaN -0.3 7021 GOLD_micro caleb_strategy_v3 [1] 1935.1 None 1938.6 1938.7 1938.5 1938.5 1938.6 -3.5 -0.1 0.1 -0.1 NaN 0 7040 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.03 3.035 3.025 3.025 3.03 -0.025 -0.005 0.005 -0.005 NaN 4.44089e-16 7041 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.415 3.41 3.42 3.42 3.415 0.01 -0.005 0.005 -0.005 NaN 0 7042 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0325 3.035 3.03 3.03 3.03 -0.0275 -0.0025 0.005 4.44089e-16 NaN 0.0025 7043 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.415 3.41 3.42 3.42 3.41 0.01 -0.005 -0 -0.01 NaN -0.005 7044 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.025 3.03 3.02 3.02 3.025 -0.02 -0.005 0.005 -0.005 NaN 0 7045 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.41 3.405 3.415 3.415 3.4 0.005 -0.005 -0.005 -0.015 NaN -0.01 7046 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.02 3.025 3.015 3.015 3.015 -0.015 -0.005 0.01 0 NaN 0.005 7047 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4 3.395 3.405 3.405 3.4 -0.005 -0.005 0.005 -0.005 NaN 0 7048 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0125 3.015 3.01 3.01 3.015 -0.0075 -0.0025 0 -0.005 NaN -0.0025 7049 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4025 3.4 3.405 3.405 3.405 -0.0025 -0.0025 0.005 -4.44089e-16 NaN 0.0025 7050 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.015 3.02 3.01 3.01 3.02 -0.01 -0.005 0 -0.01 NaN -0.005 7051 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.405 3.4 3.41 3.41 3.4 4.44089e-16 -0.005 -0 -0.01 NaN -0.005 7052 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0125 3.015 3.01 3.01 3.02 -0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 7053 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4075 3.405 3.41 NaN 3.405 0.0025 -0.0025 -0 NaN NaN -0.0025 7054 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0175 3.02 3.015 3.015 3.015 -0.0125 -0.0025 0.005 0 NaN 0.0025 7055 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.405 3.4 3.41 3.41 3.405 4.44089e-16 -0.005 0.005 -0.005 NaN -4.44089e-16 7056 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0175 3.02 3.015 3.015 3.02 -0.0125 -0.0025 0 -0.005 NaN -0.0025 7057 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4075 3.405 3.41 3.41 3.4 0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 7058 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0175 3.02 3.015 3.015 3.015 -0.0125 -0.0025 0.005 0 NaN 0.0025 7059 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.405 3.4 3.41 3.41 3.41 4.44089e-16 -0.005 0.01 -0 NaN 0.005 7060 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0225 3.025 3.02 3.02 3.02 -0.0175 -0.0025 0.005 0 NaN 0.0025 7061 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.41 3.405 3.415 3.415 3.405 0.005 -0.005 -0 -0.01 NaN -0.005 7062 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.02 3.025 3.015 3.015 3.02 -0.015 -0.005 0.005 -0.005 NaN 0 7063 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.405 3.4 3.41 3.41 3.4 4.44089e-16 -0.005 -0 -0.01 NaN -0.005 7064 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.015 3.02 3.01 3.01 3.015 -0.01 -0.005 0.005 -0.005 NaN -4.44089e-16 7065 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4 3.395 3.405 3.405 3.395 -0.005 -0.005 -0 -0.01 NaN -0.005 7066 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.01 3.015 3.005 3.005 3.015 -0.005 -0.005 0 -0.01 NaN -0.005 7067 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4 3.395 3.405 3.405 3.4 -0.005 -0.005 0.005 -0.005 NaN 0 7068 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0175 3.02 3.015 3.015 3.015 -0.0125 -0.0025 0.005 0 NaN 0.0025 7069 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4 3.395 3.405 3.405 3.395 -0.005 -0.005 -0 -0.01 NaN -0.005 7024 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0325 3.035 3.03 3.03 3.03 -0.0275 -0.0025 0.005 4.44089e-16 NaN 0.0025 7025 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4175 3.415 3.42 3.42 3.415 0.0125 -0.0025 -0 -0.005 NaN -0.0025 7027 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0275 3.03 3.025 NaN 3.03 -0.0225 -0.0025 0 NaN NaN -0.0025 7028 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4175 3.415 3.42 NaN 3.415 0.0125 -0.0025 -0 NaN NaN -0.0025 7030 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.03 3.035 3.025 3.025 3.03 -0.025 -0.005 0.005 -0.005 NaN 4.44089e-16 7031 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4175 3.415 3.42 3.42 3.415 0.0125 -0.0025 -0 -0.005 NaN -0.0025 7032 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0275 3.03 3.025 3.025 3.03 -0.0225 -0.0025 0 -0.005 NaN -0.0025 7033 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4175 3.415 3.42 NaN 3.415 0.0125 -0.0025 -0 NaN NaN -0.0025 7034 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0275 3.03 3.025 3.025 3.03 -0.0225 -0.0025 0 -0.005 NaN -0.0025 7035 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.415 3.41 3.42 3.42 3.41 0.01 -0.005 -0 -0.01 NaN -0.005 7036 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.025 3.03 3.02 3.02 3.03 -0.02 -0.005 0 -0.01 NaN -0.005 7037 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.4125 3.41 3.415 3.415 3.41 0.0075 -0.0025 -0 -0.005 NaN -0.0025 7038 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 3.005 None 3.0275 3.03 3.025 3.025 3.03 -0.0225 -0.0025 0 -0.005 NaN -0.0025 7039 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 3.405 None 3.415 3.41 3.42 3.42 3.41 0.01 -0.005 -0 -0.01 NaN -0.005 7070 VIX caleb_strategy_v3 [1] 16.9 None 16.975 17 16.95 16.95 17.05 -0.075 -0.025 -0.05 -0.1 NaN -0.075 7071 RUSSELL caleb_strategy_v3 [-1] 1858.3 None 1848.35 1848.3 1848.4 1848.4 1848.3 -9.95 -0.05 -0 -0.1 NaN -0.05 7072 SP500_micro caleb_strategy_v3 [-1] 4500.75 None 4483.38 4483.25 4483.5 4483.5 4483.5 -17.375 -0.125 0.25 -0 NaN 0.125 7074 EUR caleb_strategy_v3 [1] 1.0723 None 1.07333 1.07335 1.0733 1.0733 1.0734 -0.001025 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 7075 US5 caleb_strategy_v3 [1] 105.898 None 105.801 105.805 105.797 105.797 105.797 0.0976562 -0.00390625 0.0078125 0 NaN 0.00390625 7076 US30 caleb_strategy_v3 [-1] 125.406 None 125.016 125 125.031 125.031 125.031 -0.390625 -0.015625 0.03125 -0 NaN 0.015625 7079 JPY caleb_strategy_v3 [-1] 0.006871 None 0.00686875 0.0068685 0.006869 0.006869 0.006869 -2.25e-06 -2.5e-07 5e-07 -0 NaN 2.5e-07 7073 MXP caleb_strategy_v3 [-1] 0.05751 None 0.057625 0.05762 0.05763 0.05763 0.05763 0.000115 -5e-06 1e-05 -6.93889e-18 NaN 5e-06 7080 MXP caleb_strategy_v3 [-1] 0.05751 None 0.05763 0.05762 0.05764 0.05764 0.05762 0.00012 -1e-05 -0 -2e-05 NaN -1e-05 7081 MXP caleb_strategy_v3 [-1] 0.05751 None 0.057625 0.05762 0.05763 0.05763 0.05761 0.000115 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 7082 MXP caleb_strategy_v3 [-1] 0.05751 None 0.057615 0.05761 0.05762 0.05762 0.05762 0.000105 -5e-06 1e-05 -6.93889e-18 NaN 5e-06 7083 MXP caleb_strategy_v3 [-1] 0.05751 None 0.057625 0.05762 0.05763 0.05763 0.05761 0.000115 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 7084 FEEDCOW caleb_strategy_v3 [1] 266.45 None 268.025 268.075 267.975 267.975 268.1 -1.575 -0.05 -0.025 -0.125 NaN -0.075 7085 CORN caleb_strategy_v3 [1] 503.75 None 502.625 502.75 502.5 NaN 502.75 1.125 -0.125 0 NaN NaN -0.125 7086 SOYBEAN caleb_strategy_v3 [-1] 1264.5 None 1257.62 1257.5 1257.75 1257.75 1257.5 -6.875 -0.125 -0 -0.25 NaN -0.125 7013 CAC caleb_strategy_v3 [1] 7293.5 None 7283.75 7284 7283.5 7283.5 7291 9.75 -0.25 -7 -7.5 NaN -7.25 7009 CAC caleb_strategy_v3 [1] 7293.5 None 7262.75 7263 7262.5 7262.5 NaN 30.75 -0.25 NaN NaN NaN NaN 7005 CAC caleb_strategy_v3 [1] 7293.5 None 7263 7263.5 7262.5 7262.5 NaN 30.5 -0.5 NaN NaN NaN NaN 7077 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.006871 None 0.00686875 0.0068685 0.006869 0.006869 0.006869 -2.25e-06 -2.5e-07 5e-07 -0 NaN 2.5e-07 7078 NZD _ROLL_PSEUDO_STRATEGY [-1] 0.59 None 0.593775 0.59375 0.5938 0.5938 0.59375 0.003775 -2.5e-05 -0 -5e-05 NaN -2.5e-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 7004 SMI caleb_strategy_v3 [1] 1237.79 306.998 -8.0789 16.1578 0 NaN 8.0789 7010 EUROSTX caleb_strategy_v3 [-1] 608.584 24.6474 -8.2158 16.4316 -0 NaN 8.2158 7006 EUROSTX caleb_strategy_v3 [-1] 608.584 -90.3738 -8.2158 -16.4316 -32.8632 NaN -24.6474 7008 BOBL caleb_strategy_v3 [1] 5.23464 124.173 -9.55176 -19.1035 -38.207 NaN -28.6553 7012 BOBL caleb_strategy_v3 [1] 5.23464 9.55176 -9.55176 -19.1035 -38.207 NaN -28.6553 7015 OAT caleb_strategy_v3 [-1] 10.9092 32.083 -4.58329 -0 -9.16657 NaN -4.58329 7011 OAT caleb_strategy_v3 [-1] 10.9092 -132.915 -4.58329 137.499 NaN NaN 132.915 7014 OAT caleb_strategy_v3 [-1] 10.9092 32.083 -4.58329 -0 -9.16657 NaN -4.58329 7007 OAT caleb_strategy_v3 [-1] 10.9092 -137.499 -9.16657 9.16657 -9.16657 NaN 0 7018 EURIBOR-ICE caleb_strategy_v3 [1] 1.05466 -23.7043 -23.7043 0 -47.4086 NaN -23.7043 7019 EURIBOR-ICE caleb_strategy_v3 [1] 1.05466 -23.7043 -23.7043 -47.4086 -94.8173 NaN -71.1129 7020 EURIBOR-ICE caleb_strategy_v3 [1] 1.05466 -71.1129 -23.7043 47.4086 0 NaN 23.7043 7022 COCOA caleb_strategy_v3 [-1] 724.099 683.609 -6.90514 -13.8103 -27.6205 NaN -20.7154 7023 PLAT caleb_strategy_v3 [1] 226.558 -648.839 -4.41387 -8.82775 -17.6555 NaN -13.2416 7029 GOLD_micro caleb_strategy_v3 [1] 179.548 -197.719 -2.78477 5.56954 1.26637e-11 NaN 2.78477 7026 GOLD_micro caleb_strategy_v3 [1] 179.548 -189.364 -5.56954 -11.1391 NaN NaN -16.7086 7021 GOLD_micro caleb_strategy_v3 [1] 179.548 -194.934 -5.56954 5.56954 -5.56954 NaN 0 7040 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -140.932 -28.1865 28.1865 -28.1865 NaN 2.50346e-12 7041 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 56.373 -28.1865 28.1865 -28.1865 NaN 0 7042 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -155.026 -14.0932 28.1865 2.50346e-12 NaN 14.0932 7043 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 56.373 -28.1865 -0 -56.373 NaN -28.1865 7044 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -112.746 -28.1865 28.1865 -28.1865 NaN 0 7045 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 28.1865 -28.1865 -28.1865 -84.5595 NaN -56.373 7046 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -84.5595 -28.1865 56.373 0 NaN 28.1865 7047 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 -28.1865 -28.1865 28.1865 -28.1865 NaN 0 7048 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -42.2797 -14.0932 0 -28.1865 NaN -14.0932 7049 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 -14.0932 -14.0932 28.1865 -2.50346e-12 NaN 14.0932 7050 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -56.373 -28.1865 0 -56.373 NaN -28.1865 7051 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 2.50346e-12 -28.1865 -0 -56.373 NaN -28.1865 7052 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -42.2797 -14.0932 -28.1865 -56.373 NaN -42.2797 7053 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 14.0932 -14.0932 -0 NaN NaN -14.0932 7054 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -70.4662 -14.0932 28.1865 0 NaN 14.0932 7055 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 2.50346e-12 -28.1865 28.1865 -28.1865 NaN -2.50346e-12 7056 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -70.4662 -14.0932 0 -28.1865 NaN -14.0932 7057 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 14.0932 -14.0932 -28.1865 -56.373 NaN -42.2797 7058 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -70.4662 -14.0932 28.1865 0 NaN 14.0932 7059 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 2.50346e-12 -28.1865 56.373 -0 NaN 28.1865 7060 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -98.6527 -14.0932 28.1865 0 NaN 14.0932 7061 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 28.1865 -28.1865 -0 -56.373 NaN -28.1865 7062 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -84.5595 -28.1865 28.1865 -28.1865 NaN 0 7063 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 2.50346e-12 -28.1865 -0 -56.373 NaN -28.1865 7064 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -56.373 -28.1865 28.1865 -28.1865 NaN -2.50346e-12 7065 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 -28.1865 -28.1865 -0 -56.373 NaN -28.1865 7066 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -28.1865 -28.1865 0 -56.373 NaN -28.1865 7067 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 -28.1865 -28.1865 28.1865 -28.1865 NaN 0 7068 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -70.4662 -14.0932 28.1865 0 NaN 14.0932 7069 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 -28.1865 -28.1865 -0 -56.373 NaN -28.1865 7024 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -155.026 -14.0932 28.1865 2.50346e-12 NaN 14.0932 7025 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 70.4662 -14.0932 -0 -28.1865 NaN -14.0932 7027 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -126.839 -14.0932 0 NaN NaN -14.0932 7028 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 70.4662 -14.0932 -0 NaN NaN -14.0932 7030 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -140.932 -28.1865 28.1865 -28.1865 NaN 2.50346e-12 7031 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 70.4662 -14.0932 -0 -28.1865 NaN -14.0932 7032 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -126.839 -14.0932 0 -28.1865 NaN -14.0932 7033 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 70.4662 -14.0932 -0 NaN NaN -14.0932 7034 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -126.839 -14.0932 0 -28.1865 NaN -14.0932 7035 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 56.373 -28.1865 -0 -56.373 NaN -28.1865 7036 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -112.746 -28.1865 0 -56.373 NaN -28.1865 7037 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 42.2797 -14.0932 -0 -28.1865 NaN -14.0932 7038 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.7739 -126.839 -14.0932 0 -28.1865 NaN -14.0932 7039 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.7739 56.373 -28.1865 -0 -56.373 NaN -28.1865 7070 VIX caleb_strategy_v3 [1] 6.78873 -110.477 -36.8257 -73.6515 -147.303 NaN -110.477 7071 RUSSELL caleb_strategy_v3 [-1] 315.637 -315.235 -1.5841 -0 -3.16819 NaN -1.5841 7072 SP500_micro caleb_strategy_v3 [-1] 606.168 -286.637 -2.06213 4.12427 -0 NaN 2.06213 7074 EUR caleb_strategy_v3 [1] 0.0751178 -136.452 -3.32811 -6.65621 -13.3124 NaN -9.98432 7075 US5 caleb_strategy_v3 [1] 4.41399 221.243 -8.8497 17.6994 0 NaN 8.8497 7076 US30 caleb_strategy_v3 [-1] 18.6003 -210.01 -8.40041 16.8008 -0 NaN 8.40041 7079 JPY caleb_strategy_v3 [-1] 0.000590816 -38.0829 -4.23144 8.46287 -0 NaN 4.23144 7073 MXP caleb_strategy_v3 [-1] 0.0062172 184.971 -8.04221 16.0844 -1.11608e-11 NaN 8.04221 7080 MXP caleb_strategy_v3 [-1] 0.0062172 193.013 -16.0844 -0 -32.1688 NaN -16.0844 7081 MXP caleb_strategy_v3 [-1] 0.0062172 184.971 -8.04221 -16.0844 -32.1688 NaN -24.1266 7082 MXP caleb_strategy_v3 [-1] 0.0062172 168.886 -8.04221 16.0844 -1.11608e-11 NaN 8.04221 7083 MXP caleb_strategy_v3 [-1] 0.0062172 184.971 -8.04221 -16.0844 -32.1688 NaN -24.1266 7084 FEEDCOW caleb_strategy_v3 [1] 26.6809 -590.309 -18.74 -9.36999 -46.8499 NaN -28.11 7085 CORN caleb_strategy_v3 [1] 123.911 90.7907 -10.0879 0 NaN NaN -10.0879 7086 SOYBEAN caleb_strategy_v3 [-1] 255.399 -269.186 -4.89429 -0 -9.78859 NaN -4.89429 7013 CAC caleb_strategy_v3 [1] 1002.25 97.2814 -2.4944 -69.8431 -74.8319 NaN -72.3375 7009 CAC caleb_strategy_v3 [1] 1002.25 306.811 -2.4944 NaN NaN NaN NaN 7005 CAC caleb_strategy_v3 [1] 1002.25 304.316 -4.98879 NaN NaN NaN NaN 7077 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000590816 -38.0829 -4.23144 8.46287 -0 NaN 4.23144 7078 NZD _ROLL_PSEUDO_STRATEGY [-1] 0.0538811 700.617 -4.63985 -0 -9.27969 NaN -4.63985 ============================================================================================================================================================================= 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 7004 SMI caleb_strategy_v3 [1] 11.1365 423.187 -11.1365 22.273 0 NaN 11.1365 7010 EUROSTX caleb_strategy_v3 [-1] 10.682 16.023 -5.341 10.682 -0 NaN 5.341 7006 EUROSTX caleb_strategy_v3 [-1] 10.682 -58.751 -5.341 -10.682 -21.364 NaN -16.023 7008 BOBL caleb_strategy_v3 [1] 1068.2 69.433 -5.341 -10.682 -21.364 NaN -16.023 7012 BOBL caleb_strategy_v3 [1] 1068.2 5.341 -5.341 -10.682 -21.364 NaN -16.023 7015 OAT caleb_strategy_v3 [-1] 1068.2 37.387 -5.341 -0 -10.682 NaN -5.341 7011 OAT caleb_strategy_v3 [-1] 1068.2 -154.889 -5.341 160.23 NaN NaN 154.889 7014 OAT caleb_strategy_v3 [-1] 1068.2 37.387 -5.341 -0 -10.682 NaN -5.341 7007 OAT caleb_strategy_v3 [-1] 1068.2 -160.23 -10.682 10.682 -10.682 NaN 0 7018 EURIBOR-ICE caleb_strategy_v3 [1] 2670.5 -6.67625 -6.67625 0 -13.3525 NaN -6.67625 7019 EURIBOR-ICE caleb_strategy_v3 [1] 2670.5 -6.67625 -6.67625 -13.3525 -26.705 NaN -20.0287 7020 EURIBOR-ICE caleb_strategy_v3 [1] 2670.5 -20.0287 -6.67625 13.3525 0 NaN 6.67625 7022 COCOA caleb_strategy_v3 [-1] 10 495 -5 -10 -20 NaN -15 7023 PLAT caleb_strategy_v3 [1] 50 -735 -5 -10 -20 NaN -15 7029 GOLD_micro caleb_strategy_v3 [1] 10 -35.5 -0.5 1 2.27374e-12 NaN 0.5 7026 GOLD_micro caleb_strategy_v3 [1] 10 -34 -1 -2 NaN NaN -3 7021 GOLD_micro caleb_strategy_v3 [1] 10 -35 -1 1 -1 NaN 0 7040 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -62.5 -12.5 12.5 -12.5 NaN 1.11022e-12 7041 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 25 -12.5 12.5 -12.5 NaN 0 7042 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -68.75 -6.25 12.5 1.11022e-12 NaN 6.25 7043 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 25 -12.5 -0 -25 NaN -12.5 7044 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -50 -12.5 12.5 -12.5 NaN 0 7045 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 12.5 -12.5 -12.5 -37.5 NaN -25 7046 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -37.5 -12.5 25 0 NaN 12.5 7047 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -12.5 -12.5 12.5 -12.5 NaN 0 7048 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -18.75 -6.25 0 -12.5 NaN -6.25 7049 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -6.25 -6.25 12.5 -1.11022e-12 NaN 6.25 7050 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -25 -12.5 0 -25 NaN -12.5 7051 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 1.11022e-12 -12.5 -0 -25 NaN -12.5 7052 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -18.75 -6.25 -12.5 -25 NaN -18.75 7053 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 6.25 -6.25 -0 NaN NaN -6.25 7054 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -31.25 -6.25 12.5 0 NaN 6.25 7055 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 1.11022e-12 -12.5 12.5 -12.5 NaN -1.11022e-12 7056 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -31.25 -6.25 0 -12.5 NaN -6.25 7057 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 6.25 -6.25 -12.5 -25 NaN -18.75 7058 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -31.25 -6.25 12.5 0 NaN 6.25 7059 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 1.11022e-12 -12.5 25 -0 NaN 12.5 7060 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -43.75 -6.25 12.5 0 NaN 6.25 7061 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 12.5 -12.5 -0 -25 NaN -12.5 7062 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -37.5 -12.5 12.5 -12.5 NaN 0 7063 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 1.11022e-12 -12.5 -0 -25 NaN -12.5 7064 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -25 -12.5 12.5 -12.5 NaN -1.11022e-12 7065 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -12.5 -12.5 -0 -25 NaN -12.5 7066 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -12.5 -12.5 0 -25 NaN -12.5 7067 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -12.5 -12.5 12.5 -12.5 NaN 0 7068 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -31.25 -6.25 12.5 0 NaN 6.25 7069 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -12.5 -12.5 -0 -25 NaN -12.5 7024 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -68.75 -6.25 12.5 1.11022e-12 NaN 6.25 7025 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 31.25 -6.25 -0 -12.5 NaN -6.25 7027 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -56.25 -6.25 0 NaN NaN -6.25 7028 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 31.25 -6.25 -0 NaN NaN -6.25 7030 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -62.5 -12.5 12.5 -12.5 NaN 1.11022e-12 7031 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 31.25 -6.25 -0 -12.5 NaN -6.25 7032 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -56.25 -6.25 0 -12.5 NaN -6.25 7033 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 31.25 -6.25 -0 NaN NaN -6.25 7034 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -56.25 -6.25 0 -12.5 NaN -6.25 7035 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 25 -12.5 -0 -25 NaN -12.5 7036 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -50 -12.5 0 -25 NaN -12.5 7037 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 18.75 -6.25 -0 -12.5 NaN -6.25 7038 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 -56.25 -6.25 0 -12.5 NaN -6.25 7039 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 25 -12.5 -0 -25 NaN -12.5 7070 VIX caleb_strategy_v3 [1] 1000 -75 -25 -50 -100 NaN -75 7071 RUSSELL caleb_strategy_v3 [-1] 5 -49.75 -0.25 -0 -0.5 NaN -0.25 7072 SP500_micro caleb_strategy_v3 [-1] 5 -86.875 -0.625 1.25 -0 NaN 0.625 7074 EUR caleb_strategy_v3 [1] 125000 -128.125 -3.125 -6.25 -12.5 NaN -9.375 7075 US5 caleb_strategy_v3 [1] 1000 97.6562 -3.90625 7.8125 0 NaN 3.90625 7076 US30 caleb_strategy_v3 [-1] 1000 -390.625 -15.625 31.25 -0 NaN 15.625 7079 JPY caleb_strategy_v3 [-1] 1.25e+07 -28.125 -3.125 6.25 -0 NaN 3.125 7073 MXP caleb_strategy_v3 [-1] 500000 57.5 -2.5 5 -3.46945e-12 NaN 2.5 7080 MXP caleb_strategy_v3 [-1] 500000 60 -5 -0 -10 NaN -5 7081 MXP caleb_strategy_v3 [-1] 500000 57.5 -2.5 -5 -10 NaN -7.5 7082 MXP caleb_strategy_v3 [-1] 500000 52.5 -2.5 5 -3.46945e-12 NaN 2.5 7083 MXP caleb_strategy_v3 [-1] 500000 57.5 -2.5 -5 -10 NaN -7.5 7084 FEEDCOW caleb_strategy_v3 [1] 500 -787.5 -25 -12.5 -62.5 NaN -37.5 7085 CORN caleb_strategy_v3 [1] 50 56.25 -6.25 0 NaN NaN -6.25 7086 SOYBEAN caleb_strategy_v3 [-1] 50 -343.75 -6.25 -0 -12.5 NaN -6.25 7013 CAC caleb_strategy_v3 [1] 10.682 104.15 -2.6705 -74.774 -80.115 NaN -77.4445 7009 CAC caleb_strategy_v3 [1] 10.682 328.471 -2.6705 NaN NaN NaN NaN 7005 CAC caleb_strategy_v3 [1] 10.682 325.801 -5.341 NaN NaN NaN NaN 7077 JPY _ROLL_PSEUDO_STRATEGY [-1] 1.25e+07 -28.125 -3.125 6.25 -0 NaN 3.125 7078 NZD _ROLL_PSEUDO_STRATEGY [-1] 100000 377.5 -2.5 -0 -5 NaN -2.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -706.25000 JPY -28.12500 NZD 377.50000 caleb_strategy_v3 BOBL 74.77400 CAC 758.42200 COCOA 495.00000 CORN 56.25000 EUR -128.12500 EURIBOR-ICE -33.38125 EUROSTX -42.72800 FEEDCOW -787.50000 GOLD_micro -104.50000 JPY -28.12500 MXP 285.00000 OAT -240.34500 PLAT -735.00000 RUSSELL -49.75000 SMI 423.18700 SOYBEAN -343.75000 SP500_micro -86.87500 US30 -390.62500 US5 97.65625 VIX -75.00000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -356.875 caleb_strategy_v3 -855.415 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -418.75000 JPY -3.12500 NZD -2.50000 caleb_strategy_v3 BOBL -10.68200 CAC -10.68200 COCOA -5.00000 CORN -6.25000 EUR -3.12500 EURIBOR-ICE -20.02875 EUROSTX -10.68200 FEEDCOW -25.00000 GOLD_micro -2.50000 JPY -3.12500 MXP -15.00000 OAT -26.70500 PLAT -5.00000 RUSSELL -0.25000 SMI -11.13650 SOYBEAN -6.25000 SP500_micro -0.62500 US30 -15.62500 US5 -3.90625 VIX -25.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -424.3750 caleb_strategy_v3 -206.5725 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 2.125000e+02 JPY 6.250000e+00 NZD -0.000000e+00 caleb_strategy_v3 BOBL -2.136400e+01 CAC -7.477400e+01 COCOA -1.000000e+01 CORN 0.000000e+00 EUR -6.250000e+00 EURIBOR-ICE 0.000000e+00 EUROSTX 0.000000e+00 FEEDCOW -1.250000e+01 GOLD_micro 2.273737e-12 JPY 6.250000e+00 MXP 3.469225e-12 OAT 1.709120e+02 PLAT -1.000000e+01 RUSSELL -0.000000e+00 SMI 2.227300e+01 SOYBEAN -0.000000e+00 SP500_micro 1.250000e+00 US30 3.125000e+01 US5 7.812500e+00 VIX -5.000000e+01 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 218.7500 caleb_strategy_v3 54.8595 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -575.0000 JPY -0.0000 NZD -5.0000 caleb_strategy_v3 BOBL -42.7280 CAC -80.1150 COCOA -20.0000 CORN 0.0000 EUR -12.5000 EURIBOR-ICE -40.0575 EUROSTX -21.3640 FEEDCOW -62.5000 GOLD_micro -1.0000 JPY -0.0000 MXP -30.0000 OAT -32.0460 PLAT -20.0000 RUSSELL -0.5000 SMI 0.0000 SOYBEAN -12.5000 SP500_micro -0.0000 US30 -0.0000 US5 0.0000 VIX -100.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -580.0000 caleb_strategy_v3 -475.3105 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 0 JPY 0 NZD 0 caleb_strategy_v3 BOBL 0 CAC 0 COCOA 0 CORN 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 FEEDCOW 0 GOLD_micro 0 JPY 0 MXP 0 OAT 0 PLAT 0 RUSSELL 0 SMI 0 SOYBEAN 0 SP500_micro 0 US30 0 US5 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 GAS_US_mini -206.25000 JPY 3.12500 NZD -2.50000 caleb_strategy_v3 BOBL -32.04600 CAC -77.44450 COCOA -15.00000 CORN -6.25000 EUR -9.37500 EURIBOR-ICE -20.02875 EUROSTX -10.68200 FEEDCOW -37.50000 GOLD_micro -2.50000 JPY 3.12500 MXP -15.00000 OAT 144.20700 PLAT -15.00000 RUSSELL -0.25000 SMI 11.13650 SOYBEAN -6.25000 SP500_micro 0.62500 US30 15.62500 US5 3.90625 VIX -75.00000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -205.6250 caleb_strategy_v3 -143.7015 ******************************************************************************** END OF REPORT ********************************************************************************