******************************************************************************** Trades report produced on 13/11/2023 21:39 from 12/11/2023 21:39 to 13/11/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8308 AUD caleb_strategy_v3 [20231200] 2023-11-13 15:01:20 [1] 0.63720 8298 BUXL caleb_strategy_v3 [20231200] 2023-11-13 08:00:41 [1] 124.46000 8307 CHF caleb_strategy_v3 [20231200] 2023-11-13 15:01:13 [1] 1.11085 8305 COTTON2 caleb_strategy_v3 [20240300] 2023-11-13 14:01:26 [-1] 79.91000 8300 DAX caleb_strategy_v3 [20231200] 2023-11-13 08:00:44 [1] 15346.00000 8309 DOW caleb_strategy_v3 [20231200] 2023-11-13 15:01:21 [1] 34298.00000 8314 DOW caleb_strategy_v3 [20231200] 2023-11-13 15:02:34 [1] 34288.00000 8301 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-13 09:01:37 [-1] 97.24000 8302 GASOIL caleb_strategy_v3 [20240200] 2023-11-13 09:01:49 [-1] 774.50000 8303 GAS_US_mini caleb_strategy_v3 [20240100] 2023-11-13 14:00:22 [-1] 3.38500 8334 LIVECOW caleb_strategy_v3 [20240200] 2023-11-13 15:30:34 [-1] 174.65000 8306 MXP caleb_strategy_v3 [20231200] 2023-11-13 15:01:08 [1] 0.05629 8310 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-13 15:01:22 [1] 15484.25000 8296 NIKKEI caleb_strategy_v3 [20231200] 2023-11-13 03:03:20 [-1] 32645.00000 8295 NIKKEI caleb_strategy_v3 [20231200] 2023-11-13 03:03:05 [-1] 32650.00000 8294 NIKKEI caleb_strategy_v3 [20231200] 2023-11-13 03:01:17 [-1] 32675.00000 8297 OAT caleb_strategy_v3 [20231200] 2023-11-13 08:00:39 [-1] 124.50000 8304 PALLAD caleb_strategy_v3 [20231200] 2023-11-13 14:01:23 [-1] 964.00000 8333 REDWHEAT caleb_strategy_v3 [20240300] 2023-11-13 15:30:31 [1] 644.75000 8299 SMI caleb_strategy_v3 [20231200] 2023-11-13 08:00:43 [1] 10604.00000 8311 SP500_micro caleb_strategy_v3 [20231200] 2023-11-13 15:01:23 [1] 4410.25000 8340 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:47:30 [-1] 17.65000 8341 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:52:33 [1] 17.20000 8342 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:57:33 [-1] 17.65000 8343 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 16:02:36 [1] 17.20000 8344 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 16:05:14 [-1] 17.70000 8345 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 16:07:54 [1] 17.15000 8346 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 16:08:11 [-1] 17.60000 8312 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:01:51 [1] 17.35000 8348 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 16:18:14 [-1] 17.60000 8313 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:02:18 [-1] 17.75000 8315 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:02:34 [1] 17.30000 8316 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:02:35 [-1] 17.80000 8317 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:06:00 [1] 17.25000 8339 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:44:39 [1] 17.20000 8347 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 16:13:13 [1] 17.15000 8338 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:44:36 [-1] 17.70000 8326 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:15:59 [-1] 17.75000 8336 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:35:35 [-1] 17.65000 8320 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:06:11 [-1] 17.75000 8321 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:12:03 [1] 17.25000 8322 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:14:53 [-1] 17.65000 8323 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:14:56 [1] 17.20000 8324 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:14:56 [-1] 17.70000 8325 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:15:56 [1] 17.25000 8337 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:39:36 [1] 17.25000 8318 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:06:00 [-1] 17.70000 8328 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:22:26 [-1] 17.75000 8329 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:23:39 [1] 17.25000 8330 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:23:41 [-1] 17.70000 8331 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:28:08 [1] 17.20000 8332 VIX _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-13 15:30:26 [-1] 17.70000 8335 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:35:34 [1] 17.20000 8327 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:21:56 [1] 17.25000 8319 VIX _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-13 15:06:03 [1] 17.25000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8296 NIKKEI caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 03:03:16.128 2023-11-13 03:03:20 270196 3.872 8294 NIKKEI caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 03:01:16.126 2023-11-13 03:01:17 270076 0.874 8295 NIKKEI caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 03:02:16.084 2023-11-13 03:03:05 270136 48.916 8297 OAT caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 08:00:34.808 2023-11-13 08:00:39 288035 4.192 8298 BUXL caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 08:00:40.592 2023-11-13 08:00:41 288041 0.408 8299 SMI caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 08:00:41.743 2023-11-13 08:00:43 288042 1.257 8300 DAX caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 08:00:43.849 2023-11-13 08:00:44 288044 0.151 8301 EURIBOR-ICE caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 09:00:37.795 2023-11-13 09:01:37 291638 59.205 8302 GASOIL caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 09:01:37.871 2023-11-13 09:01:49 291698 11.129 8303 GAS_US_mini caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 14:00:15.089 2023-11-13 14:00:22 309615 6.911 8304 PALLAD caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 14:00:23.116 2023-11-13 14:01:23 309623 59.884 8305 COTTON2 caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 14:01:24.620 2023-11-13 14:01:26 309685 1.38 8306 MXP caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:00:53.187 2023-11-13 15:01:08 313253 14.813 8307 CHF caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:01:08.767 2023-11-13 15:01:13 313269 4.233 8308 AUD caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:01:14.212 2023-11-13 15:01:20 313274 5.788 8310 NASDAQ_micro caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:01:22.095 2023-11-13 15:01:22 313282 NaN 8311 SP500_micro caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:01:23.140 2023-11-13 15:01:23 313283 NaN 8314 DOW caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:02:34.005 2023-11-13 15:02:34 313354 NaN 8309 DOW caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:01:21.051 2023-11-13 15:01:21 313281 NaN 8333 REDWHEAT caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:30:29.903 2023-11-13 15:30:31 315030 1.097 8334 LIVECOW caleb_strategy_v3 2023-11-10 00:00:00 2023-11-13 15:30:31.672 2023-11-13 15:30:34 315032 2.328 8320 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:06:03.472 2023-11-13 15:06:11 241563 7.528 8321 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:07:03.085 2023-11-13 15:12:03 241623 299.915 8322 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:12:03.659 2023-11-13 15:14:53 241924 169.341 8323 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:14:56.012 2023-11-13 15:14:56 242096 NaN 8324 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:14:56.456 2023-11-13 15:14:56 242096 NaN 8325 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:15:56.076 2023-11-13 15:15:56 242156 NaN 8326 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:15:56.611 2023-11-13 15:15:59 242157 2.389 8327 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:16:56.300 2023-11-13 15:21:56 242216 299.7 8328 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:21:56.825 2023-11-13 15:22:26 242517 29.175 8329 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:22:29.216 2023-11-13 15:23:39 242549 69.784 8330 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:23:39.664 2023-11-13 15:23:41 242620 1.336 8331 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:23:43.968 2023-11-13 15:28:08 242624 264.032 8332 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:28:08.949 2023-11-13 15:30:26 242889 137.051 8335 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:30:34.602 2023-11-13 15:35:34 243035 299.398 8336 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:35:35.030 2023-11-13 15:35:35 243335 NaN 8337 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:35:37.857 2023-11-13 15:39:36 243338 238.143 8338 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:39:36.865 2023-11-13 15:44:36 243577 299.135 8339 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:44:39.300 2023-11-13 15:44:39 243879 NaN 8340 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:44:39.800 2023-11-13 15:47:30 243880 170.2 8341 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:47:33.100 2023-11-13 15:52:33 244053 299.9 8342 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:52:33.564 2023-11-13 15:57:33 244354 299.436 8343 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:57:35.963 2023-11-13 16:02:36 244656 300.037 8344 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 16:02:36.543 2023-11-13 16:05:14 244957 157.457 8345 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 16:05:31.326 2023-11-13 16:07:54 245131 142.674 8346 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 16:07:54.863 2023-11-13 16:08:11 245275 16.137 8347 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 16:08:13.823 2023-11-13 16:13:13 245294 299.177 8348 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 16:13:14.434 2023-11-13 16:18:14 245594 299.566 8312 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:01:24.596 2023-11-13 15:01:51 241285 26.404 8313 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:01:52.421 2023-11-13 15:02:18 241312 25.579 8315 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:02:34.521 2023-11-13 15:02:34 241355 NaN 8316 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:02:34.968 2023-11-13 15:02:35 241355 0.032 8317 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:03:34.181 2023-11-13 15:06:00 241414 145.819 8318 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:06:00.395 2023-11-13 15:06:00 241560 NaN 8319 VIX _ROLL_PSEUDO_STRATEGY 2023-11-10 20:00:00 2023-11-13 15:06:02.953 2023-11-13 15:06:03 241563 0.047 =================================================================================================================================================================================================================================== 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 8296 NIKKEI caleb_strategy_v3 [-1] 32895 None 32642.5 32640 32645 32645 32645 -252.5 -2.5 5 -0 NaN 2.5 8294 NIKKEI caleb_strategy_v3 [-1] 32895 None 32672.5 32670 32675 32675 32675 -222.5 -2.5 5 -0 NaN 2.5 8295 NIKKEI caleb_strategy_v3 [-1] 32895 None 32652.5 32650 32655 32655 32650 -242.5 -2.5 -0 -5 NaN -2.5 8297 OAT caleb_strategy_v3 [-1] 124.42 None 124.495 124.49 124.5 124.5 124.5 0.075 -0.005 0.01 -0 NaN 0.005 8298 BUXL caleb_strategy_v3 [1] 124.28 None 124.44 124.46 124.42 124.42 124.46 -0.16 -0.02 0 -0.04 NaN -0.02 8299 SMI caleb_strategy_v3 [1] 10622 None 10602 10603 10601 10601 10604 20 -1 -1 -3 NaN -2 8300 DAX caleb_strategy_v3 [1] 15373 None 15345 15346 15344 15344 15346 28 -1 0 -2 NaN -1 8301 EURIBOR-ICE caleb_strategy_v3 [-1] 97.245 None 97.2475 97.245 97.25 97.25 97.24 0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 8302 GASOIL caleb_strategy_v3 [-1] 777.75 None 774.75 774.5 775 775 774.5 -3 -0.25 -0 -0.5 NaN -0.25 8303 GAS_US_mini caleb_strategy_v3 [-1] 3.29 None 3.3825 3.38 3.385 3.385 3.385 0.0925 -0.0025 0.005 -4.44089e-16 NaN 0.0025 8304 PALLAD caleb_strategy_v3 [-1] 968 None 965 964.5 965.5 965.5 964 -3 -0.5 -0.5 -1.5 NaN -1 8305 COTTON2 caleb_strategy_v3 [-1] 79.6 None 79.925 79.91 79.94 79.94 79.91 0.325 -0.015 -0 -0.03 NaN -0.015 8306 MXP caleb_strategy_v3 [1] 0.05634 None 0.056295 0.0563 0.05629 0.05629 0.05629 4.5e-05 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8307 CHF caleb_strategy_v3 [1] 1.11175 None 1.1108 1.11085 1.11075 1.11075 1.11085 0.00095 -5e-05 0 -0.0001 NaN -5e-05 8308 AUD caleb_strategy_v3 [1] 0.6362 None 0.637125 0.63715 0.6371 0.6371 0.6372 -0.000925 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 8310 NASDAQ_micro caleb_strategy_v3 [1] 15572.2 None 15481.8 15482 15481.5 15481.5 15484.2 90.5 -0.25 -2.25 -2.75 NaN -2.5 8311 SP500_micro caleb_strategy_v3 [1] 4422 None 4410.38 4410.5 4410.25 4410.25 4410.25 11.625 -0.125 0.25 0 NaN 0.125 8314 DOW caleb_strategy_v3 [1] 34268 None 34297.5 34298 34297 34297 34288 -29.5 -0.5 10 9 NaN 9.5 8309 DOW caleb_strategy_v3 [1] 34268 None 34297 34298 34296 34296 34298 -29 -1 0 -2 NaN -1 8333 REDWHEAT caleb_strategy_v3 [1] 651 None 644.875 645 644.75 644.75 644.75 6.125 -0.125 0.25 0 NaN 0.125 8334 LIVECOW caleb_strategy_v3 [-1] 174.575 None 174.65 174.625 174.675 174.675 174.65 0.075 -0.025 0.025 -0.025 NaN 0 8320 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 17.75 17.75 0.075 -0.025 0.05 -0 NaN 0.025 8321 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.225 17.25 17.2 17.2 17.25 -0.075 -0.025 0 -0.05 NaN -0.025 8322 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 17.75 17.65 0.075 -0.025 -0.05 -0.1 NaN -0.075 8323 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.225 17.25 17.2 17.2 17.2 -0.075 -0.025 0.05 0 NaN 0.025 8324 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.675 17.65 17.7 17.7 17.7 0.025 -0.025 0.05 -0 NaN 0.025 8325 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.175 17.2 17.15 17.15 17.25 -0.025 -0.025 -0.05 -0.1 NaN -0.075 8326 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 17.75 17.75 0.075 -0.025 0.05 -0 NaN 0.025 8327 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.225 17.25 17.2 17.2 17.25 -0.075 -0.025 0 -0.05 NaN -0.025 8328 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 17.75 17.75 0.075 -0.025 0.05 -0 NaN 0.025 8329 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.225 17.25 17.2 17.2 17.25 -0.075 -0.025 0 -0.05 NaN -0.025 8330 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.775 17.75 17.8 17.8 17.7 0.125 -0.025 -0.05 -0.1 NaN -0.075 8331 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.225 17.25 17.2 17.2 17.2 -0.075 -0.025 0.05 0 NaN 0.025 8332 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 17.75 17.7 0.075 -0.025 -0 -0.05 NaN -0.025 8335 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.2 17.25 17.15 17.15 17.2 -0.05 -0.05 0.05 -0.05 NaN 0 8336 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 NaN 17.65 0.075 -0.025 -0.05 NaN NaN -0.075 8337 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.175 17.2 17.15 17.15 17.25 -0.025 -0.025 -0.05 -0.1 NaN -0.075 8338 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 17.75 17.7 0.075 -0.025 -0 -0.05 NaN -0.025 8339 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.225 17.25 17.2 17.2 17.2 -0.075 -0.025 0.05 0 NaN 0.025 8340 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.725 17.7 17.75 17.75 17.65 0.075 -0.025 -0.05 -0.1 NaN -0.075 8341 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.175 17.2 17.15 17.15 17.2 -0.025 -0.025 0 -0.05 NaN -0.025 8342 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.675 17.65 17.7 17.7 17.65 0.025 -0.025 -0 -0.05 NaN -0.025 8343 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.175 17.2 17.15 17.15 17.2 -0.025 -0.025 0 -0.05 NaN -0.025 8344 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.675 17.65 17.7 17.7 17.7 0.025 -0.025 0.05 -0 NaN 0.025 8345 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.175 17.2 17.15 17.15 17.15 -0.025 -0.025 0.05 3.55271e-15 NaN 0.025 8346 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.675 17.65 17.7 17.7 17.6 0.025 -0.025 -0.05 -0.1 NaN -0.075 8347 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.125 17.15 17.1 17.1 17.15 0.025 -0.025 0 -0.05 NaN -0.025 8348 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.625 17.6 17.65 17.65 17.6 -0.025 -0.025 -0 -0.05 NaN -0.025 8312 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.275 17.3 17.25 17.25 17.35 -0.125 -0.025 -0.05 -0.1 NaN -0.075 8313 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.825 17.8 17.85 17.85 17.75 0.175 -0.025 -0.05 -0.1 NaN -0.075 8315 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.325 17.35 17.3 17.3 17.3 -0.175 -0.025 0.05 0 NaN 0.025 8316 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.775 17.75 17.8 17.8 17.8 0.125 -0.025 0.05 -0 NaN 0.025 8317 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.275 17.3 17.25 17.25 17.25 -0.125 -0.025 0.05 0 NaN 0.025 8318 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.65 None 17.8 17.75 17.85 17.85 17.7 0.15 -0.05 -0.05 -0.15 NaN -0.1 8319 VIX _ROLL_PSEUDO_STRATEGY [1] 17.15 None 17.275 17.3 17.25 17.25 17.25 -0.125 -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 8296 NIKKEI caleb_strategy_v3 [-1] 5870.11 -430.145 -4.25886 8.51772 -0 NaN 4.25886 8294 NIKKEI caleb_strategy_v3 [-1] 5870.11 -379.039 -4.25886 8.51772 -0 NaN 4.25886 8295 NIKKEI caleb_strategy_v3 [-1] 5870.11 -413.11 -4.25886 -0 -8.51772 NaN -4.25886 8297 OAT caleb_strategy_v3 [-1] 10.4444 71.8091 -4.78727 9.57454 -0 NaN 4.78727 8298 BUXL caleb_strategy_v3 [1] 25.5376 -62.6528 -7.8316 0 -15.6632 NaN -7.8316 8299 SMI caleb_strategy_v3 [1] 1321.42 151.352 -7.56761 -7.56761 -22.7028 NaN -15.1352 8300 DAX caleb_strategy_v3 [1] 2110.74 132.655 -4.73768 0 -9.47535 NaN -4.73768 8301 EURIBOR-ICE caleb_strategy_v3 [-1] 0.959946 26.0431 -26.0431 -52.0863 -104.173 NaN -78.1294 8302 GASOIL caleb_strategy_v3 [-1] 299.09 -100.304 -8.35868 -0 -16.7174 NaN -8.35868 8303 GAS_US_mini caleb_strategy_v3 [-1] 2.12914 434.447 -11.7418 23.4836 -2.08576e-12 NaN 11.7418 8304 PALLAD caleb_strategy_v3 [-1] 499.548 -60.0543 -10.0091 -10.0091 -30.0272 NaN -20.0181 8305 COTTON2 caleb_strategy_v3 [-1] 21.4962 151.19 -6.97798 -0 -13.956 NaN -6.97798 8306 MXP caleb_strategy_v3 [1] 0.00702655 64.0428 -7.11587 14.2317 9.87525e-12 NaN 7.11587 8307 CHF caleb_strategy_v3 [1] 0.076453 124.259 -6.53996 0 -13.0799 NaN -6.53996 8308 AUD caleb_strategy_v3 [1] 0.0687797 -134.487 -3.63479 -7.26958 -14.5392 NaN -10.9044 8310 NASDAQ_micro caleb_strategy_v3 [1] 3039.28 297.768 -0.822563 -7.40307 -9.04819 NaN -8.22563 8311 SP500_micro caleb_strategy_v3 [1] 671.101 173.223 -1.86261 3.72522 0 NaN 1.86261 8314 DOW caleb_strategy_v3 [1] 4450.14 -66.29 -1.12356 22.4712 20.2241 NaN 21.3476 8309 DOW caleb_strategy_v3 [1] 4450.14 -65.1664 -2.24712 0 -4.49424 NaN -2.24712 8333 REDWHEAT caleb_strategy_v3 [1] 202.352 302.69 -6.17734 12.3547 0 NaN 6.17734 8334 LIVECOW caleb_strategy_v3 [-1] 28.3159 26.4869 -8.82896 8.82896 -8.82896 NaN 0 8320 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 50.6273 -0 NaN 25.3136 8321 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -75.9409 -25.3136 0 -50.6273 NaN -25.3136 8322 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 -50.6273 -101.255 NaN -75.9409 8323 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -75.9409 -25.3136 50.6273 0 NaN 25.3136 8324 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 25.3136 -25.3136 50.6273 -0 NaN 25.3136 8325 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -25.3136 -25.3136 -50.6273 -101.255 NaN -75.9409 8326 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 50.6273 -0 NaN 25.3136 8327 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -75.9409 -25.3136 0 -50.6273 NaN -25.3136 8328 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 50.6273 -0 NaN 25.3136 8329 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -75.9409 -25.3136 0 -50.6273 NaN -25.3136 8330 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 126.568 -25.3136 -50.6273 -101.255 NaN -75.9409 8331 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -75.9409 -25.3136 50.6273 0 NaN 25.3136 8332 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 -0 -50.6273 NaN -25.3136 8335 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -50.6273 -50.6273 50.6273 -50.6273 NaN 0 8336 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 -50.6273 NaN NaN -75.9409 8337 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -25.3136 -25.3136 -50.6273 -101.255 NaN -75.9409 8338 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 -0 -50.6273 NaN -25.3136 8339 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -75.9409 -25.3136 50.6273 0 NaN 25.3136 8340 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 75.9409 -25.3136 -50.6273 -101.255 NaN -75.9409 8341 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -25.3136 -25.3136 0 -50.6273 NaN -25.3136 8342 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 25.3136 -25.3136 -0 -50.6273 NaN -25.3136 8343 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -25.3136 -25.3136 0 -50.6273 NaN -25.3136 8344 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 25.3136 -25.3136 50.6273 -0 NaN 25.3136 8345 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -25.3136 -25.3136 50.6273 3.59729e-12 NaN 25.3136 8346 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 25.3136 -25.3136 -50.6273 -101.255 NaN -75.9409 8347 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 25.3136 -25.3136 0 -50.6273 NaN -25.3136 8348 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 -25.3136 -25.3136 -0 -50.6273 NaN -25.3136 8312 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -126.568 -25.3136 -50.6273 -101.255 NaN -75.9409 8313 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 177.196 -25.3136 -50.6273 -101.255 NaN -75.9409 8315 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -177.196 -25.3136 50.6273 0 NaN 25.3136 8316 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 126.568 -25.3136 50.6273 -0 NaN 25.3136 8317 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -126.568 -25.3136 50.6273 0 NaN 25.3136 8318 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.8761 151.882 -50.6273 -50.6273 -151.882 NaN -101.255 8319 VIX _ROLL_PSEUDO_STRATEGY [1] 9.8761 -126.568 -25.3136 50.6273 0 NaN 25.3136 =========================================================================================================================================================================== 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 8296 NIKKEI caleb_strategy_v3 [-1] 0.658983 -166.393 -1.64746 3.29491 -0 NaN 1.64746 8294 NIKKEI caleb_strategy_v3 [-1] 0.658983 -146.624 -1.64746 3.29491 -0 NaN 1.64746 8295 NIKKEI caleb_strategy_v3 [-1] 0.658983 -159.803 -1.64746 -0 -3.29491 NaN -1.64746 8297 OAT caleb_strategy_v3 [-1] 1069.2 80.19 -5.346 10.692 -0 NaN 5.346 8298 BUXL caleb_strategy_v3 [1] 1069.2 -171.072 -21.384 0 -42.768 NaN -21.384 8299 SMI caleb_strategy_v3 [1] 11.0915 221.83 -11.0915 -11.0915 -33.2745 NaN -22.183 8300 DAX caleb_strategy_v3 [1] 1.0692 29.9376 -1.0692 0 -2.1384 NaN -1.0692 8301 EURIBOR-ICE caleb_strategy_v3 [-1] 2673 6.6825 -6.6825 -13.365 -26.73 NaN -20.0475 8302 GASOIL caleb_strategy_v3 [-1] 100 -300 -25 -0 -50 NaN -25 8303 GAS_US_mini caleb_strategy_v3 [-1] 2500 231.25 -6.25 12.5 -1.11022e-12 NaN 6.25 8304 PALLAD caleb_strategy_v3 [-1] 100 -300 -50 -50 -150 NaN -100 8305 COTTON2 caleb_strategy_v3 [-1] 500 162.5 -7.5 -0 -15 NaN -7.5 8306 MXP caleb_strategy_v3 [1] 500000 22.5 -2.5 5 3.46945e-12 NaN 2.5 8307 CHF caleb_strategy_v3 [1] 125000 118.75 -6.25 0 -12.5 NaN -6.25 8308 AUD caleb_strategy_v3 [1] 100000 -92.5 -2.5 -5 -10 NaN -7.5 8310 NASDAQ_micro caleb_strategy_v3 [1] 2 181 -0.5 -4.5 -5.5 NaN -5 8311 SP500_micro caleb_strategy_v3 [1] 5 58.125 -0.625 1.25 0 NaN 0.625 8314 DOW caleb_strategy_v3 [1] 0.5 -14.75 -0.25 5 4.5 NaN 4.75 8309 DOW caleb_strategy_v3 [1] 0.5 -14.5 -0.5 0 -1 NaN -0.5 8333 REDWHEAT caleb_strategy_v3 [1] 50 306.25 -6.25 12.5 0 NaN 6.25 8334 LIVECOW caleb_strategy_v3 [-1] 400 30 -10 10 -10 NaN 0 8320 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 50 -0 NaN 25 8321 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 0 -50 NaN -25 8322 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 -50 -100 NaN -75 8323 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 50 0 NaN 25 8324 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 25 -25 50 -0 NaN 25 8325 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -25 -25 -50 -100 NaN -75 8326 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 50 -0 NaN 25 8327 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 0 -50 NaN -25 8328 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 50 -0 NaN 25 8329 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 0 -50 NaN -25 8330 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 -50 -100 NaN -75 8331 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 50 0 NaN 25 8332 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 -0 -50 NaN -25 8335 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -50 -50 50 -50 NaN 0 8336 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 -50 NaN NaN -75 8337 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -25 -25 -50 -100 NaN -75 8338 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 -0 -50 NaN -25 8339 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -75 -25 50 0 NaN 25 8340 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 75 -25 -50 -100 NaN -75 8341 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -25 -25 0 -50 NaN -25 8342 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 25 -25 -0 -50 NaN -25 8343 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -25 -25 0 -50 NaN -25 8344 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 25 -25 50 -0 NaN 25 8345 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -25 -25 50 3.55271e-12 NaN 25 8346 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 25 -25 -50 -100 NaN -75 8347 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 25 -25 0 -50 NaN -25 8348 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 -25 -25 -0 -50 NaN -25 8312 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 -50 -100 NaN -75 8313 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 175 -25 -50 -100 NaN -75 8315 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -175 -25 50 0 NaN 25 8316 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 125 -25 50 -0 NaN 25 8317 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 50 0 NaN 25 8318 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000 150 -50 -50 -150 NaN -100 8319 VIX _ROLL_PSEUDO_STRATEGY [1] 1000 -125 -25 50 0 NaN 25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 100.000000 caleb_strategy_v3 AUD -92.500000 BUXL -171.072000 CHF 118.750000 COTTON2 162.500000 DAX 29.937600 DOW -29.250000 EURIBOR-ICE 6.682500 GASOIL -300.000000 GAS_US_mini 231.250000 LIVECOW 30.000000 MXP 22.500000 NASDAQ_micro 181.000000 NIKKEI -472.820249 OAT 80.190000 PALLAD -300.000000 REDWHEAT 306.250000 SMI 221.830000 SP500_micro 58.125000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 100.000000 caleb_strategy_v3 83.372851 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -900.000000 caleb_strategy_v3 AUD -2.500000 BUXL -21.384000 CHF -6.250000 COTTON2 -7.500000 DAX -1.069200 DOW -0.750000 EURIBOR-ICE -6.682500 GASOIL -25.000000 GAS_US_mini -6.250000 LIVECOW -10.000000 MXP -2.500000 NASDAQ_micro -0.500000 NIKKEI -4.942372 OAT -5.346000 PALLAD -50.000000 REDWHEAT -6.250000 SMI -11.091500 SP500_micro -0.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -900.000000 caleb_strategy_v3 -168.640572 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 200.000000 caleb_strategy_v3 AUD -5.000000 BUXL 0.000000 CHF 0.000000 COTTON2 -0.000000 DAX 0.000000 DOW 5.000000 EURIBOR-ICE -13.365000 GASOIL -0.000000 GAS_US_mini 12.500000 LIVECOW 10.000000 MXP 5.000000 NASDAQ_micro -4.500000 NIKKEI 6.589829 OAT 10.692000 PALLAD -50.000000 REDWHEAT 12.500000 SMI -11.091500 SP500_micro 1.250000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 200.000000 caleb_strategy_v3 -20.424671 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1.500000e+03 caleb_strategy_v3 AUD -1.000000e+01 BUXL -4.276800e+01 CHF -1.250000e+01 COTTON2 -1.500000e+01 DAX -2.138400e+00 DOW 3.500000e+00 EURIBOR-ICE -2.673000e+01 GASOIL -5.000000e+01 GAS_US_mini -1.110223e-12 LIVECOW -1.000000e+01 MXP 3.469447e-12 NASDAQ_micro -5.500000e+00 NIKKEI -3.294915e+00 OAT -0.000000e+00 PALLAD -1.500000e+02 REDWHEAT 0.000000e+00 SMI -3.327450e+01 SP500_micro 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1500.000000 caleb_strategy_v3 -357.705815 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 AUD 0 BUXL 0 CHF 0 COTTON2 0 DAX 0 DOW 0 EURIBOR-ICE 0 GASOIL 0 GAS_US_mini 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 OAT 0 PALLAD 0 REDWHEAT 0 SMI 0 SP500_micro 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -700.000000 caleb_strategy_v3 AUD -7.500000 BUXL -21.384000 CHF -6.250000 COTTON2 -7.500000 DAX -1.069200 DOW 4.250000 EURIBOR-ICE -20.047500 GASOIL -25.000000 GAS_US_mini 6.250000 LIVECOW 0.000000 MXP 2.500000 NASDAQ_micro -5.000000 NIKKEI 1.647457 OAT 5.346000 PALLAD -100.000000 REDWHEAT 6.250000 SMI -22.183000 SP500_micro 0.625000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -700.000000 caleb_strategy_v3 -189.065243 ******************************************************************************** END OF REPORT ********************************************************************************