******************************************************************************** Trades report produced on 17/10/2023 21:38 from 16/10/2023 21:38 to 17/10/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7822 BITCOIN caleb_strategy_v3 [20231000] 2023-10-17 14:01:23 [1] 28470.00000 7819 BITCOIN caleb_strategy_v3 [20231000] 2023-10-17 14:01:18 [1] 28465.00000 7816 BITCOIN caleb_strategy_v3 [20231000] 2023-10-17 14:01:10 [1] 28460.00000 7812 BITCOIN caleb_strategy_v3 [20231000] 2023-10-17 14:00:55 [1] 28455.00000 7808 BITCOIN caleb_strategy_v3 [20231000] 2023-10-17 14:00:26 [1] 28420.00000 7801 EUROSTX caleb_strategy_v3 [20231200] 2023-10-17 07:00:02 [-1] 4159.00000 7803 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-17 13:00:01 [1] 1938.50000 7804 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-17 13:00:03 [1] 1938.50000 7805 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-17 13:00:06 [1] 1938.60000 7800 NIKKEI caleb_strategy_v3 [20231200] 2023-10-17 02:00:29 [-1] 31980.00000 7802 OAT caleb_strategy_v3 [20231200] 2023-10-17 07:00:03 [-1] 123.18000 7811 RUSSELL caleb_strategy_v3 [20231200] 2023-10-17 14:00:55 [-1] 1767.30000 7815 RUSSELL caleb_strategy_v3 [20231200] 2023-10-17 14:01:05 [-1] 1767.70000 7807 RUSSELL caleb_strategy_v3 [20231200] 2023-10-17 14:00:25 [-1] 1766.50000 7806 US5 caleb_strategy_v3 [20231200] 2023-10-17 14:00:24 [1] 104.34375 7832 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:02:56 [-1] 19.80000 7833 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:03:38 [1] 18.95000 7834 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:03:38 [-1] 19.85000 7835 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:03:41 [1] 18.90000 7836 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:03:42 [-1] 19.80000 7837 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:03:44 [1] 18.90000 7840 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:03:57 [-1] 19.80000 7839 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:03:55 [1] 18.95000 7841 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:05:17 [1] 19.00000 7842 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:05:18 [-1] 19.85000 7843 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:05:22 [1] 18.95000 7844 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:06:25 [-1] 19.80000 7831 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:02:55 [1] 18.90000 7838 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:03:53 [-1] 19.85000 7830 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:02:52 [-1] 19.85000 7823 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:01:27 [1] 18.95000 7828 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:02:49 [-1] 19.85000 7827 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:02:30 [1] 18.95000 7826 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:02:28 [-1] 19.80000 7825 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:02:27 [1] 18.90000 7824 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:01:48 [-1] 19.85000 7845 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:07:02 [1] 18.85000 7821 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:01:21 [-1] 19.80000 7820 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:01:20 [1] 18.90000 7818 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:01:16 [-1] 19.85000 7817 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:01:11 [1] 18.95000 7814 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:01:03 [-1] 19.80000 7813 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:01:02 [1] 18.90000 7810 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:00:39 [-1] 19.85000 7809 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:00:31 [1] 18.90000 7829 VIX _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-17 14:02:51 [1] 18.95000 7846 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-17 14:07:04 [-1] 19.80000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7800 NIKKEI caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 03:00:28.319 2023-10-17 02:00:29 97228.3 NaN 7801 EUROSTX caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 08:00:01.888 2023-10-17 07:00:02 115202 NaN 7802 OAT caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 08:00:03.126 2023-10-17 07:00:03 115203 NaN 7803 GOLD_micro caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 14:00:01.163 2023-10-17 13:00:01 136801 NaN 7804 GOLD_micro caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 14:00:03.825 2023-10-17 13:00:03 136804 NaN 7805 GOLD_micro caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 14:00:06.079 2023-10-17 13:00:06 136806 NaN 7806 US5 caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:00:01.976 2023-10-17 14:00:24 140402 NaN 7815 RUSSELL caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:01:05.320 2023-10-17 14:01:05 140465 NaN 7811 RUSSELL caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:00:55.373 2023-10-17 14:00:55 140455 NaN 7807 RUSSELL caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:00:24.950 2023-10-17 14:00:25 140425 NaN 7808 BITCOIN caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:00:25.803 2023-10-17 14:00:26 140426 NaN 7812 BITCOIN caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:00:55.839 2023-10-17 14:00:55 140456 NaN 7816 BITCOIN caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:01:06.506 2023-10-17 14:01:10 140467 NaN 7819 BITCOIN caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:01:18.160 2023-10-17 14:01:18 140478 NaN 7822 BITCOIN caleb_strategy_v3 2023-10-16 00:00:00 2023-10-17 15:01:23.221 2023-10-17 14:01:23 140483 NaN 7809 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:00:27.915 2023-10-17 14:00:31 68427.9 NaN 7810 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:00:32.614 2023-10-17 14:00:39 68432.6 NaN 7813 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:00:56.441 2023-10-17 14:01:02 68456.4 NaN 7814 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:02.877 2023-10-17 14:01:03 68462.9 NaN 7817 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:11.406 2023-10-17 14:01:11 68471.4 NaN 7818 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:12.124 2023-10-17 14:01:16 68472.1 NaN 7820 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:18.772 2023-10-17 14:01:20 68478.8 NaN 7821 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:21.133 2023-10-17 14:01:21 68481.1 NaN 7823 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:23.991 2023-10-17 14:01:27 68484 NaN 7824 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:27.962 2023-10-17 14:01:48 68488 NaN 7825 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:01:51.008 2023-10-17 14:02:27 68511 NaN 7826 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:28.074 2023-10-17 14:02:28 68548.1 NaN 7827 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:30.150 2023-10-17 14:02:30 68550.1 NaN 7828 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:30.889 2023-10-17 14:02:49 68550.9 NaN 7829 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:51.487 2023-10-17 14:02:51 68571.5 NaN 7830 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:52.177 2023-10-17 14:02:52 68572.2 NaN 7831 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:54.591 2023-10-17 14:02:55 68574.6 NaN 7832 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:56.403 2023-10-17 14:02:56 68576.4 NaN 7833 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:02:58.976 2023-10-17 14:03:38 68579 NaN 7834 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:38.484 2023-10-17 14:03:38 68618.5 NaN 7835 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:41.013 2023-10-17 14:03:41 68621 NaN 7836 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:42.281 2023-10-17 14:03:42 68622.3 NaN 7837 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:44.360 2023-10-17 14:03:44 68624.4 NaN 7838 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:44.873 2023-10-17 14:03:53 68624.9 NaN 7839 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:55.607 2023-10-17 14:03:55 68635.6 NaN 7840 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:56.321 2023-10-17 14:03:57 68636.3 NaN 7841 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:03:59.061 2023-10-17 14:05:17 68639.1 NaN 7842 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:05:18.514 2023-10-17 14:05:18 68718.5 NaN 7843 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:05:20.863 2023-10-17 14:05:22 68720.9 NaN 7844 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:05:22.512 2023-10-17 14:06:25 68722.5 NaN 7845 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:06:27.900 2023-10-17 14:07:02 68787.9 NaN 7846 VIX _ROLL_PSEUDO_STRATEGY 2023-10-16 20:00:00 2023-10-17 15:07:02.552 2023-10-17 14:07:04 68822.6 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 7800 NIKKEI caleb_strategy_v3 [-1] 31965 None 31977.5 31975 31980 31980 31980 12.5 -2.5 5 -0 NaN 2.5 7801 EUROSTX caleb_strategy_v3 [-1] 4173 None 4158.5 4158 4159 4159 4159 -14.5 -0.5 1 -0 NaN 0.5 7802 OAT caleb_strategy_v3 [-1] 123.4 None 123.175 123.17 123.18 123.18 123.18 -0.225 -0.005 0.01 -0 NaN 0.005 7803 GOLD_micro caleb_strategy_v3 [1] 1931.1 None 1938.6 1938.7 1938.5 1938.5 1938.5 -7.5 -0.1 0.2 0 NaN 0.1 7804 GOLD_micro caleb_strategy_v3 [1] 1931.1 None 1938.4 1938.5 1938.3 1938.3 1938.5 -7.3 -0.1 0 -0.2 NaN -0.1 7805 GOLD_micro caleb_strategy_v3 [1] 1931.1 None 1938.5 1938.6 1938.4 1938.4 1938.6 -7.4 -0.1 0 -0.2 NaN -0.1 7806 US5 caleb_strategy_v3 [1] 104.891 None 104.348 104.352 104.344 104.344 104.344 0.542969 -0.00390625 0.0078125 0 NaN 0.00390625 7815 RUSSELL caleb_strategy_v3 [-1] 1759.2 None 1767.85 1767.8 1767.9 1767.9 1767.7 8.65 -0.05 -0.1 -0.2 NaN -0.15 7811 RUSSELL caleb_strategy_v3 [-1] 1759.2 None 1766.55 1766.5 1766.6 NaN 1767.3 7.35 -0.05 0.8 NaN NaN 0.75 7807 RUSSELL caleb_strategy_v3 [-1] 1759.2 None 1766.45 1766.4 1766.5 1766.5 1766.5 7.25 -0.05 0.1 -0 NaN 0.05 7808 BITCOIN caleb_strategy_v3 [1] 28815 None 28425 28430 28420 28420 28420 390 -5 10 0 NaN 5 7812 BITCOIN caleb_strategy_v3 [1] 28815 None 28415 28420 28410 28410 28455 400 -5 -35 -45 NaN -40 7816 BITCOIN caleb_strategy_v3 [1] 28815 None 28450 28455 28445 28445 28460 365 -5 -5 -15 NaN -10 7819 BITCOIN caleb_strategy_v3 [1] 28815 None 28455 28460 28450 28450 28465 360 -5 -5 -15 NaN -10 7822 BITCOIN caleb_strategy_v3 [1] 28815 None 28460 28465 28455 28455 28470 355 -5 -5 -15 NaN -10 7809 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 18.9 -0.475 -0.025 0.05 3.55271e-15 NaN 0.025 7810 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7813 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 18.9 -0.475 -0.025 0.05 3.55271e-15 NaN 0.025 7814 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.875 19.85 19.9 19.9 19.8 0.425 -0.025 -0.05 -0.1 NaN -0.075 7817 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.875 18.9 18.85 18.85 18.95 -0.425 -0.025 -0.05 -0.1 NaN -0.075 7818 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7820 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 18.9 -0.475 -0.025 0.05 3.55271e-15 NaN 0.025 7821 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.85 19.8 19.9 19.9 19.8 0.4 -0.05 -0 -0.1 NaN -0.05 7823 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.875 18.9 18.85 18.85 18.95 -0.425 -0.025 -0.05 -0.1 NaN -0.075 7824 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7825 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 18.9 -0.475 -0.025 0.05 3.55271e-15 NaN 0.025 7826 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.85 19.8 19.9 19.9 19.8 0.4 -0.05 -0 -0.1 NaN -0.05 7827 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.875 18.9 18.85 18.85 18.95 -0.425 -0.025 -0.05 -0.1 NaN -0.075 7828 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7829 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.9 18.95 18.85 18.85 18.95 -0.45 -0.05 0 -0.1 NaN -0.05 7830 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7831 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 18.9 -0.475 -0.025 0.05 3.55271e-15 NaN 0.025 7832 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.875 19.85 19.9 19.9 19.8 0.425 -0.025 -0.05 -0.1 NaN -0.075 7833 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.875 18.9 18.85 18.85 18.95 -0.425 -0.025 -0.05 -0.1 NaN -0.075 7834 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7835 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 18.9 -0.475 -0.025 0.05 3.55271e-15 NaN 0.025 7836 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.875 19.85 19.9 19.9 19.8 0.425 -0.025 -0.05 -0.1 NaN -0.075 7837 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 18.9 -0.475 -0.025 0.05 3.55271e-15 NaN 0.025 7838 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7839 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.875 18.9 18.85 18.85 18.95 -0.425 -0.025 -0.05 -0.1 NaN -0.075 7840 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.85 19.8 19.9 19.9 19.8 0.4 -0.05 -0 -0.1 NaN -0.05 7841 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.925 18.95 18.9 18.9 19 -0.475 -0.025 -0.05 -0.1 NaN -0.075 7842 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.825 19.8 19.85 19.85 19.85 0.375 -0.025 0.05 -0 NaN 0.025 7843 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.975 19 18.95 18.95 18.95 -0.525 -0.025 0.05 0 NaN 0.025 7844 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.875 19.85 19.9 19.9 19.8 0.425 -0.025 -0.05 -0.1 NaN -0.075 7845 VIX _ROLL_PSEUDO_STRATEGY [1] 18.45 None 18.875 18.9 18.85 18.85 18.85 -0.425 -0.025 0.05 0 NaN 0.025 7846 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.45 None 19.775 19.75 19.8 19.8 19.8 0.325 -0.025 0.05 -0 NaN 0.025 ================================================================================================================================================================ 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 7800 NIKKEI caleb_strategy_v3 [-1] 6161.12 20.2885 -4.0577 8.11541 -0 NaN 4.0577 7801 EUROSTX caleb_strategy_v3 [-1] 651.936 -222.415 -7.66947 15.3389 -0 NaN 7.66947 7802 OAT caleb_strategy_v3 [-1] 11.8729 -189.507 -4.21126 8.42252 -0 NaN 4.21126 7803 GOLD_micro caleb_strategy_v3 [1] 291.245 -257.515 -3.43354 6.86708 0 NaN 3.43354 7804 GOLD_micro caleb_strategy_v3 [1] 291.245 -250.648 -3.43354 0 -6.86708 NaN -3.43354 7805 GOLD_micro caleb_strategy_v3 [1] 291.245 -254.082 -3.43354 0 -6.86708 NaN -3.43354 7806 US5 caleb_strategy_v3 [1] 5.45536 995.294 -7.16039 14.3208 0 NaN 7.16039 7815 RUSSELL caleb_strategy_v3 [-1] 366.307 236.141 -1.36498 -2.72995 -5.4599 NaN -4.09493 7811 RUSSELL caleb_strategy_v3 [-1] 366.307 200.651 -1.36498 21.8396 NaN NaN 20.4746 7807 RUSSELL caleb_strategy_v3 [-1] 366.307 197.921 -1.36498 2.72995 -0 NaN 1.36498 7808 BITCOIN caleb_strategy_v3 [1] 12025.6 324.307 -4.15779 8.31557 0 NaN 4.15779 7812 BITCOIN caleb_strategy_v3 [1] 12025.6 332.623 -4.15779 -29.1045 -37.4201 NaN -33.2623 7816 BITCOIN caleb_strategy_v3 [1] 12025.6 303.518 -4.15779 -4.15779 -12.4734 NaN -8.31557 7819 BITCOIN caleb_strategy_v3 [1] 12025.6 299.361 -4.15779 -4.15779 -12.4734 NaN -8.31557 7822 BITCOIN caleb_strategy_v3 [1] 12025.6 295.203 -4.15779 -4.15779 -12.4734 NaN -8.31557 7809 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 47.7452 3.3925e-12 NaN 23.8726 7810 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7813 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 47.7452 3.3925e-12 NaN 23.8726 7814 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7817 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7818 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7820 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 47.7452 3.3925e-12 NaN 23.8726 7821 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 381.962 -47.7452 -0 -95.4904 NaN -47.7452 7823 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7824 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7825 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 47.7452 3.3925e-12 NaN 23.8726 7826 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 381.962 -47.7452 -0 -95.4904 NaN -47.7452 7827 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7828 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7829 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -429.707 -47.7452 0 -95.4904 NaN -47.7452 7830 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7831 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 47.7452 3.3925e-12 NaN 23.8726 7832 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7833 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7834 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7835 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 47.7452 3.3925e-12 NaN 23.8726 7836 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7837 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 47.7452 3.3925e-12 NaN 23.8726 7838 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7839 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7840 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 381.962 -47.7452 -0 -95.4904 NaN -47.7452 7841 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -453.579 -23.8726 -47.7452 -95.4904 NaN -71.6178 7842 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 358.089 -23.8726 47.7452 -0 NaN 23.8726 7843 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -501.325 -23.8726 47.7452 0 NaN 23.8726 7844 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 405.834 -23.8726 -47.7452 -95.4904 NaN -71.6178 7845 VIX _ROLL_PSEUDO_STRATEGY [1] 10.4723 -405.834 -23.8726 47.7452 0 NaN 23.8726 7846 VIX _ROLL_PSEUDO_STRATEGY [-1] 10.4723 310.344 -23.8726 47.7452 -0 NaN 23.8726 =========================================================================================================================================================================== 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 7800 NIKKEI caleb_strategy_v3 [-1] 0.668413 8.35517 -1.67103 3.34207 -0 NaN 1.67103 7801 EUROSTX caleb_strategy_v3 [-1] 10.543 -152.873 -5.2715 10.543 -0 NaN 5.2715 7802 OAT caleb_strategy_v3 [-1] 1054.3 -237.217 -5.2715 10.543 -0 NaN 5.2715 7803 GOLD_micro caleb_strategy_v3 [1] 10 -75 -1 2 0 NaN 1 7804 GOLD_micro caleb_strategy_v3 [1] 10 -73 -1 0 -2 NaN -1 7805 GOLD_micro caleb_strategy_v3 [1] 10 -74 -1 0 -2 NaN -1 7806 US5 caleb_strategy_v3 [1] 1000 542.969 -3.90625 7.8125 0 NaN 3.90625 7815 RUSSELL caleb_strategy_v3 [-1] 5 43.25 -0.25 -0.5 -1 NaN -0.75 7811 RUSSELL caleb_strategy_v3 [-1] 5 36.75 -0.25 4 NaN NaN 3.75 7807 RUSSELL caleb_strategy_v3 [-1] 5 36.25 -0.25 0.5 -0 NaN 0.25 7808 BITCOIN caleb_strategy_v3 [1] 0.1 39 -0.5 1 0 NaN 0.5 7812 BITCOIN caleb_strategy_v3 [1] 0.1 40 -0.5 -3.5 -4.5 NaN -4 7816 BITCOIN caleb_strategy_v3 [1] 0.1 36.5 -0.5 -0.5 -1.5 NaN -1 7819 BITCOIN caleb_strategy_v3 [1] 0.1 36 -0.5 -0.5 -1.5 NaN -1 7822 BITCOIN caleb_strategy_v3 [1] 0.1 35.5 -0.5 -0.5 -1.5 NaN -1 7809 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 50 3.55271e-12 NaN 25 7810 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7813 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 50 3.55271e-12 NaN 25 7814 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 425 -25 -50 -100 NaN -75 7817 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -425 -25 -50 -100 NaN -75 7818 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7820 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 50 3.55271e-12 NaN 25 7821 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 400 -50 -0 -100 NaN -50 7823 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -425 -25 -50 -100 NaN -75 7824 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7825 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 50 3.55271e-12 NaN 25 7826 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 400 -50 -0 -100 NaN -50 7827 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -425 -25 -50 -100 NaN -75 7828 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7829 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -450 -50 0 -100 NaN -50 7830 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7831 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 50 3.55271e-12 NaN 25 7832 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 425 -25 -50 -100 NaN -75 7833 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -425 -25 -50 -100 NaN -75 7834 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7835 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 50 3.55271e-12 NaN 25 7836 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 425 -25 -50 -100 NaN -75 7837 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 50 3.55271e-12 NaN 25 7838 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7839 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -425 -25 -50 -100 NaN -75 7840 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 400 -50 -0 -100 NaN -50 7841 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -475 -25 -50 -100 NaN -75 7842 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 375 -25 50 -0 NaN 25 7843 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -525 -25 50 0 NaN 25 7844 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 425 -25 -50 -100 NaN -75 7845 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -425 -25 50 0 NaN 25 7846 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 325 -25 50 -0 NaN 25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1100.000000 caleb_strategy_v3 BITCOIN 187.000000 EUROSTX -152.873500 GOLD_micro -222.000000 NIKKEI 8.355168 OAT -237.217500 RUSSELL 116.250000 US5 542.968750 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1100.000000 caleb_strategy_v3 242.482918 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -900.000000 caleb_strategy_v3 BITCOIN -2.500000 EUROSTX -5.271500 GOLD_micro -3.000000 NIKKEI -1.671034 OAT -5.271500 RUSSELL -0.750000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -900.000000 caleb_strategy_v3 -22.370284 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 400.000000 caleb_strategy_v3 BITCOIN -4.000000 EUROSTX 10.543000 GOLD_micro 2.000000 NIKKEI 3.342067 OAT 10.543000 RUSSELL 4.000000 US5 7.812500 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 400.000000 caleb_strategy_v3 34.240567 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1400.0 caleb_strategy_v3 BITCOIN -9.0 EUROSTX -0.0 GOLD_micro -4.0 NIKKEI -0.0 OAT -0.0 RUSSELL -1.0 US5 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1400.0 caleb_strategy_v3 -14.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 BITCOIN 0 EUROSTX 0 GOLD_micro 0 NIKKEI 0 OAT 0 RUSSELL 0 US5 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 -500.000000 caleb_strategy_v3 BITCOIN -6.500000 EUROSTX 5.271500 GOLD_micro -1.000000 NIKKEI 1.671034 OAT 5.271500 RUSSELL 3.250000 US5 3.906250 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -500.000000 caleb_strategy_v3 11.870284 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