******************************************************************************** Trades report produced on 14/11/2023 21:39 from 13/11/2023 21:39 to 14/11/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8374 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:10:01 [-1] 36725.00000 8376 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:11:01 [-1] 36715.00000 8377 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:11:04 [1] 37205.00000 8378 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:12:01 [-1] 36680.00000 8379 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:12:01 [1] 37170.00000 8380 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:13:01 [-1] 36660.00000 8381 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:13:02 [1] 37150.00000 8382 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:14:01 [-1] 36680.00000 8383 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:14:02 [1] 37165.00000 8384 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:15:04 [-1] 36690.00000 8385 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:15:05 [1] 37180.00000 8375 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:10:01 [1] 37210.00000 8386 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:16:02 [-1] 36655.00000 8388 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:17:02 [-1] 36615.00000 8389 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:17:25 [1] 37110.00000 8390 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:19:03 [1] 37120.00000 8391 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:19:12 [1] 37125.00000 8392 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:20:39 [1] 37085.00000 8393 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:21:30 [1] 37040.00000 8394 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:22:06 [1] 37070.00000 8395 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:23:25 [1] 37060.00000 8396 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:24:06 [1] 36990.00000 8397 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:25:17 [1] 36960.00000 8387 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:16:03 [1] 37145.00000 8398 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:26:12 [1] 36925.00000 8399 BITCOIN caleb_strategy_v3 [20231200] 2023-11-14 15:27:07 [1] 36940.00000 8372 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:09:00 [-1] 36725.00000 8353 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:01:02 [-1] 36795.00000 8354 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:01:05 [1] 37275.00000 8373 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:09:01 [1] 37210.00000 8358 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:02:16 [1] 37230.00000 8361 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:03:01 [-1] 36790.00000 8362 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:03:01 [1] 37270.00000 8364 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:04:00 [-1] 36735.00000 8357 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:02:01 [-1] 36760.00000 8366 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:05:00 [-1] 36720.00000 8367 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:06:48 [1] 37170.00000 8368 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:06:50 [-1] 36695.00000 8369 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:07:58 [1] 37190.00000 8370 BITCOIN _ROLL_PSEUDO_STRATEGY [20231100] 2023-11-14 15:08:00 [-1] 36690.00000 8371 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:08:09 [1] 37195.00000 8365 BITCOIN _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-14 15:04:01 [1] 37215.00000 8349 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-14 09:01:29 [-1] 97.24500 8350 GOLD_micro caleb_strategy_v3 [20231200] 2023-11-14 14:00:58 [-1] 1959.50000 8351 MXP caleb_strategy_v3 [20231200] 2023-11-14 15:01:00 [1] 0.05722 8355 MXP caleb_strategy_v3 [20231200] 2023-11-14 15:01:59 [1] 0.05723 8359 MXP caleb_strategy_v3 [20231200] 2023-11-14 15:02:59 [1] 0.05722 8360 RUSSELL caleb_strategy_v3 [20231200] 2023-11-14 15:03:00 [1] 1782.90000 8356 RUSSELL caleb_strategy_v3 [20231200] 2023-11-14 15:02:00 [1] 1779.50000 8363 RUSSELL caleb_strategy_v3 [20231200] 2023-11-14 15:04:00 [1] 1783.90000 8352 RUSSELL caleb_strategy_v3 [20231200] 2023-11-14 15:01:01 [1] 1780.80000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8349 EURIBOR-ICE caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 09:00:33.357 2023-11-14 09:01:29 118833 55.643 8350 GOLD_micro caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 14:00:57.848 2023-11-14 14:00:58 136858 0.152 8359 MXP caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:02:59.756 2023-11-14 15:02:59 140580 NaN 8355 MXP caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:01:59.675 2023-11-14 15:01:59 140520 NaN 8351 MXP caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:00:59.856 2023-11-14 15:01:00 140460 0.144 8352 RUSSELL caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:01:01.498 2023-11-14 15:01:01 140461 NaN 8363 RUSSELL caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:04:00.161 2023-11-14 15:04:00 140640 NaN 8356 RUSSELL caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:02:00.426 2023-11-14 15:02:00 140520 NaN 8360 RUSSELL caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:03:00.392 2023-11-14 15:03:00 140580 NaN 8353 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:01:02.403 2023-11-14 15:01:02 72062.4 NaN 8354 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:01:03.517 2023-11-14 15:01:05 72063.5 1.483 8357 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:02:00.916 2023-11-14 15:02:01 72120.9 0.084 8358 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:02:01.567 2023-11-14 15:02:16 72121.6 14.433 8361 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:03:01.056 2023-11-14 15:03:01 72181.1 NaN 8362 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:03:01.540 2023-11-14 15:03:01 72181.5 NaN 8364 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:04:00.799 2023-11-14 15:04:00 72240.8 NaN 8365 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:04:01.320 2023-11-14 15:04:01 72241.3 NaN 8366 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:05:00.183 2023-11-14 15:05:00 72300.2 NaN 8367 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:05:00.883 2023-11-14 15:06:48 72300.9 107.117 8368 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:06:50.446 2023-11-14 15:06:50 72410.4 NaN 8369 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:06:50.982 2023-11-14 15:07:58 72411 67.018 8370 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:08:00.677 2023-11-14 15:08:00 72480.7 NaN 8371 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:08:01.334 2023-11-14 15:08:09 72481.3 7.666 8372 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:09:00.750 2023-11-14 15:09:00 72540.8 NaN 8373 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:09:01.184 2023-11-14 15:09:01 72541.2 NaN 8374 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:10:00.732 2023-11-14 15:10:01 72600.7 0.268 8375 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:10:01.529 2023-11-14 15:10:01 72601.5 NaN 8376 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:11:00.904 2023-11-14 15:11:01 72660.9 0.096 8377 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:11:01.489 2023-11-14 15:11:04 72661.5 2.511 8378 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:12:01.274 2023-11-14 15:12:01 72721.3 NaN 8379 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:12:01.856 2023-11-14 15:12:01 72721.9 NaN 8380 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:13:01.497 2023-11-14 15:13:01 72781.5 NaN 8381 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:13:02.042 2023-11-14 15:13:02 72782 NaN 8382 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:14:01.762 2023-11-14 15:14:01 72841.8 NaN 8383 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:14:02.256 2023-11-14 15:14:02 72842.3 NaN 8384 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:15:01.843 2023-11-14 15:15:04 72901.8 2.157 8385 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:15:05.233 2023-11-14 15:15:05 72905.2 NaN 8386 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:16:02.231 2023-11-14 15:16:02 72962.2 NaN 8387 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:16:02.807 2023-11-14 15:16:03 72962.8 0.193 8388 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:17:02.205 2023-11-14 15:17:02 73022.2 NaN 8389 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-11-13 19:00:00 2023-11-14 15:17:02.796 2023-11-14 15:17:25 73022.8 22.204 8390 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:18:04.069 2023-11-14 15:19:03 141484 58.931 8391 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:19:06.428 2023-11-14 15:19:12 141546 5.572 8392 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:20:06.449 2023-11-14 15:20:39 141606 32.551 8393 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:21:06.562 2023-11-14 15:21:30 141667 23.438 8394 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:22:06.818 2023-11-14 15:22:06 141727 NaN 8395 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:23:06.814 2023-11-14 15:23:25 141787 18.186 8396 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:24:06.885 2023-11-14 15:24:06 141847 NaN 8397 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:25:07.172 2023-11-14 15:25:17 141907 9.828 8398 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:26:07.296 2023-11-14 15:26:12 141967 4.704 8399 BITCOIN caleb_strategy_v3 2023-11-13 00:00:00 2023-11-14 15:27:07.325 2023-11-14 15:27:07 142027 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 8349 EURIBOR-ICE caleb_strategy_v3 [-1] 97.235 None 97.2525 97.25 97.255 97.255 97.245 0.0175 -0.0025 -0.005 -0.01 NaN -0.0075 8350 GOLD_micro caleb_strategy_v3 [-1] 1950.1 None 1959.65 1959.6 1959.7 1959.7 1959.5 9.55 -0.05 -0.1 -0.2 NaN -0.15 8359 MXP caleb_strategy_v3 [1] 0.05651 None 0.057215 0.05722 0.05721 0.05721 0.05722 -0.000705 -5e-06 0 -1e-05 NaN -5e-06 8355 MXP caleb_strategy_v3 [1] 0.05651 None 0.057215 0.05722 0.05721 NaN 0.05723 -0.000705 -5e-06 -1e-05 NaN NaN -1.5e-05 8351 MXP caleb_strategy_v3 [1] 0.05651 None 0.05722 0.05723 0.05721 0.05721 0.05722 -0.00071 -1e-05 1e-05 -1e-05 NaN 0 8352 RUSSELL caleb_strategy_v3 [1] 1712.7 None 1780.45 1780.5 1780.4 1780.4 1780.8 -67.75 -0.05 -0.3 -0.4 NaN -0.35 8363 RUSSELL caleb_strategy_v3 [1] 1712.7 None 1782.8 1782.9 1782.7 1782.7 1783.9 -70.1 -0.1 -1 -1.2 NaN -1.1 8356 RUSSELL caleb_strategy_v3 [1] 1712.7 None 1780.8 1780.9 1780.7 1780.7 1779.5 -68.1 -0.1 1.4 1.2 NaN 1.3 8360 RUSSELL caleb_strategy_v3 [1] 1712.7 None 1779.45 1779.5 1779.4 1779.4 1782.9 -66.75 -0.05 -3.4 -3.5 NaN -3.45 8353 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36805 36800 36810 36810 36795 -235 -5 -5 -15 NaN -10 8354 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37257.5 37285 37230 37230 37275 192.5 -27.5 10 -45 NaN -17.5 8357 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36802.5 36795 36810 36810 36760 -237.5 -7.5 -35 -50 NaN -42.5 8358 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37252.5 37275 37230 37230 37230 197.5 -22.5 45 0 NaN 22.5 8361 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36765 36760 36770 36770 36790 -275 -5 30 20 NaN 25 8362 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37235 37260 37210 37210 37270 215 -25 -10 -60 NaN -35 8364 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36795 36790 36800 36800 36735 -245 -5 -55 -65 NaN -60 8365 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37245 37270 37220 37220 37215 205 -25 55 5 NaN 30 8366 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36742.5 36735 36750 36750 36720 -297.5 -7.5 -15 -30 NaN -22.5 8367 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37192.5 37215 37170 37170 37170 257.5 -22.5 45 0 NaN 22.5 8368 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36727.5 36720 36735 36735 36695 -312.5 -7.5 -25 -40 NaN -32.5 8369 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37162.5 37175 37150 37150 37190 287.5 -12.5 -15 -40 NaN -27.5 8370 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36702.5 36695 36710 36710 36690 -337.5 -7.5 -5 -20 NaN -12.5 8371 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37170 37190 37150 37150 37195 280 -20 -5 -45 NaN -25 8372 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36697.5 36690 36705 36705 36725 -342.5 -7.5 35 20 NaN 27.5 8373 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37177.5 37195 37160 37160 37210 272.5 -17.5 -15 -50 NaN -32.5 8374 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36727.5 36725 36730 36730 36725 -312.5 -2.5 -0 -5 NaN -2.5 8375 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37190 37210 37170 37170 37210 260 -20 0 -40 NaN -20 8376 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36730 36725 36735 36735 36715 -310 -5 -10 -20 NaN -15 8377 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37192.5 37210 37175 37175 37205 257.5 -17.5 5 -30 NaN -12.5 8378 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36720 36715 36725 36725 36680 -320 -5 -35 -45 NaN -40 8379 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37190 37205 37175 37175 37170 260 -15 35 5 NaN 20 8380 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36687.5 36680 36695 36695 36660 -352.5 -7.5 -20 -35 NaN -27.5 8381 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37160 37170 37150 37150 37150 290 -10 20 0 NaN 10 8382 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36667.5 36660 36675 36675 36680 -372.5 -7.5 20 5 NaN 12.5 8383 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37132.5 37150 37115 37115 37165 317.5 -17.5 -15 -50 NaN -32.5 8384 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36685 36680 36690 36690 36690 -355 -5 10 -0 NaN 5 8385 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37147.5 37165 37130 37130 37180 302.5 -17.5 -15 -50 NaN -32.5 8386 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36690 36685 36695 36695 36655 -350 -5 -30 -40 NaN -35 8387 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37162.5 37180 37145 37145 37145 287.5 -17.5 35 0 NaN 17.5 8388 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 37040 None 36662.5 36655 36670 36670 36615 -377.5 -7.5 -40 -55 NaN -47.5 8389 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 37450 None 37132.5 37155 37110 37110 37110 317.5 -22.5 45 0 NaN 22.5 8390 BITCOIN caleb_strategy_v3 [1] 37455 None 37097.5 37120 37075 37075 37120 357.5 -22.5 0 -45 NaN -22.5 8391 BITCOIN caleb_strategy_v3 [1] 37455 None 37100 37120 37080 37080 37125 355 -20 -5 -45 NaN -25 8392 BITCOIN caleb_strategy_v3 [1] 37455 None 37105 37125 37085 37085 37085 350 -20 40 0 NaN 20 8393 BITCOIN caleb_strategy_v3 [1] 37455 None 37060 37080 37040 37040 37040 395 -20 40 0 NaN 20 8394 BITCOIN caleb_strategy_v3 [1] 37455 None 37025 37050 37000 37000 37070 430 -25 -20 -70 NaN -45 8395 BITCOIN caleb_strategy_v3 [1] 37455 None 37047.5 37070 37025 37025 37060 407.5 -22.5 10 -35 NaN -12.5 8396 BITCOIN caleb_strategy_v3 [1] 37455 None 37045 37060 37030 37030 36990 410 -15 70 40 NaN 55 8397 BITCOIN caleb_strategy_v3 [1] 37455 None 36975 36990 36960 36960 36960 480 -15 30 0 NaN 15 8398 BITCOIN caleb_strategy_v3 [1] 37455 None 36947.5 36970 36925 36925 36925 507.5 -22.5 45 0 NaN 22.5 8399 BITCOIN caleb_strategy_v3 [1] 37455 None 36905 36925 36885 36885 36940 550 -20 -15 -55 NaN -35 ================================================================================================================================================================ 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 8349 EURIBOR-ICE caleb_strategy_v3 [-1] 0.964346 181.47 -25.9243 -51.8486 -103.697 NaN -77.7729 8350 GOLD_micro caleb_strategy_v3 [-1] 254.827 374.765 -1.96212 -3.92424 -7.84848 NaN -5.88636 8359 MXP caleb_strategy_v3 [1] 0.00720636 -978.303 -6.93832 0 -13.8766 NaN -6.93832 8355 MXP caleb_strategy_v3 [1] 0.00720636 -978.303 -6.93832 -13.8766 NaN NaN -20.8149 8351 MXP caleb_strategy_v3 [1] 0.00720636 -985.241 -13.8766 13.8766 -13.8766 NaN 0 8352 RUSSELL caleb_strategy_v3 [1] 468.244 -1446.9 -1.06782 -6.40692 -8.54255 NaN -7.47473 8363 RUSSELL caleb_strategy_v3 [1] 468.244 -1497.08 -2.13564 -21.3564 -25.6277 NaN -23.492 8356 RUSSELL caleb_strategy_v3 [1] 468.244 -1454.37 -2.13564 29.8989 25.6277 NaN 27.7633 8360 RUSSELL caleb_strategy_v3 [1] 468.244 -1425.54 -1.06782 -72.6117 -74.7473 NaN -73.6795 8353 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -171.057 -3.63951 -3.63951 -10.9185 NaN -7.27901 8354 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 140.121 -20.0173 7.27901 -32.7556 NaN -12.7383 8357 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -172.877 -5.45926 -25.4766 -36.3951 NaN -30.9358 8358 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 143.761 -16.3778 32.7556 0 NaN 16.3778 8361 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -200.173 -3.63951 21.837 14.558 NaN 18.1975 8362 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 156.499 -18.1975 -7.27901 -43.6741 NaN -25.4766 8364 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -178.336 -3.63951 -40.0346 -47.3136 NaN -43.6741 8365 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 149.22 -18.1975 40.0346 3.63951 NaN 21.837 8366 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -216.551 -5.45926 -10.9185 -21.837 NaN -16.3778 8367 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 187.435 -16.3778 32.7556 0 NaN 16.3778 8368 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -227.469 -5.45926 -18.1975 -29.1161 NaN -23.6568 8369 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 209.272 -9.09877 -10.9185 -29.1161 NaN -20.0173 8370 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -245.667 -5.45926 -3.63951 -14.558 NaN -9.09877 8371 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 203.812 -14.558 -3.63951 -32.7556 NaN -18.1975 8372 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -249.306 -5.45926 25.4766 14.558 NaN 20.0173 8373 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 198.353 -12.7383 -10.9185 -36.3951 NaN -23.6568 8374 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -227.469 -1.81975 -0 -3.63951 NaN -1.81975 8375 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 189.254 -14.558 0 -29.1161 NaN -14.558 8376 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -225.649 -3.63951 -7.27901 -14.558 NaN -10.9185 8377 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 187.435 -12.7383 3.63951 -21.837 NaN -9.09877 8378 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -232.928 -3.63951 -25.4766 -32.7556 NaN -29.1161 8379 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 189.254 -10.9185 25.4766 3.63951 NaN 14.558 8380 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -256.585 -5.45926 -14.558 -25.4766 NaN -20.0173 8381 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 211.091 -7.27901 14.558 0 NaN 7.27901 8382 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -271.143 -5.45926 14.558 3.63951 NaN 9.09877 8383 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 231.109 -12.7383 -10.9185 -36.3951 NaN -23.6568 8384 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -258.405 -3.63951 7.27901 -0 NaN 3.63951 8385 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 220.19 -12.7383 -10.9185 -36.3951 NaN -23.6568 8386 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -254.766 -3.63951 -21.837 -29.1161 NaN -25.4766 8387 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 209.272 -12.7383 25.4766 0 NaN 12.7383 8388 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 13738.1 -274.783 -5.45926 -29.1161 -40.0346 NaN -34.5753 8389 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 13738.1 231.109 -16.3778 32.7556 0 NaN 16.3778 8390 BITCOIN caleb_strategy_v3 [1] 13738.1 260.225 -16.3778 0 -32.7556 NaN -16.3778 8391 BITCOIN caleb_strategy_v3 [1] 13738.1 258.405 -14.558 -3.63951 -32.7556 NaN -18.1975 8392 BITCOIN caleb_strategy_v3 [1] 13738.1 254.766 -14.558 29.1161 0 NaN 14.558 8393 BITCOIN caleb_strategy_v3 [1] 13738.1 287.521 -14.558 29.1161 0 NaN 14.558 8394 BITCOIN caleb_strategy_v3 [1] 13738.1 312.998 -18.1975 -14.558 -50.9531 NaN -32.7556 8395 BITCOIN caleb_strategy_v3 [1] 13738.1 296.62 -16.3778 7.27901 -25.4766 NaN -9.09877 8396 BITCOIN caleb_strategy_v3 [1] 13738.1 298.44 -10.9185 50.9531 29.1161 NaN 40.0346 8397 BITCOIN caleb_strategy_v3 [1] 13738.1 349.393 -10.9185 21.837 0 NaN 10.9185 8398 BITCOIN caleb_strategy_v3 [1] 13738.1 369.41 -16.3778 32.7556 0 NaN 16.3778 8399 BITCOIN caleb_strategy_v3 [1] 13738.1 400.346 -14.558 -10.9185 -40.0346 NaN -25.4766 =========================================================================================================================================================================== 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 8349 EURIBOR-ICE caleb_strategy_v3 [-1] 2675.5 46.8212 -6.68875 -13.3775 -26.755 NaN -20.0662 8350 GOLD_micro caleb_strategy_v3 [-1] 10 95.5 -0.5 -1 -2 NaN -1.5 8359 MXP caleb_strategy_v3 [1] 500000 -352.5 -2.5 0 -5 NaN -2.5 8355 MXP caleb_strategy_v3 [1] 500000 -352.5 -2.5 -5 NaN NaN -7.5 8351 MXP caleb_strategy_v3 [1] 500000 -355 -5 5 -5 NaN 0 8352 RUSSELL caleb_strategy_v3 [1] 5 -338.75 -0.25 -1.5 -2 NaN -1.75 8363 RUSSELL caleb_strategy_v3 [1] 5 -350.5 -0.5 -5 -6 NaN -5.5 8356 RUSSELL caleb_strategy_v3 [1] 5 -340.5 -0.5 7 6 NaN 6.5 8360 RUSSELL caleb_strategy_v3 [1] 5 -333.75 -0.25 -17 -17.5 NaN -17.25 8353 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -23.5 -0.5 -0.5 -1.5 NaN -1 8354 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 19.25 -2.75 1 -4.5 NaN -1.75 8357 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -23.75 -0.75 -3.5 -5 NaN -4.25 8358 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 19.75 -2.25 4.5 0 NaN 2.25 8361 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -27.5 -0.5 3 2 NaN 2.5 8362 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 21.5 -2.5 -1 -6 NaN -3.5 8364 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -24.5 -0.5 -5.5 -6.5 NaN -6 8365 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 20.5 -2.5 5.5 0.5 NaN 3 8366 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -29.75 -0.75 -1.5 -3 NaN -2.25 8367 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 25.75 -2.25 4.5 0 NaN 2.25 8368 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -31.25 -0.75 -2.5 -4 NaN -3.25 8369 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 28.75 -1.25 -1.5 -4 NaN -2.75 8370 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -33.75 -0.75 -0.5 -2 NaN -1.25 8371 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 28 -2 -0.5 -4.5 NaN -2.5 8372 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -34.25 -0.75 3.5 2 NaN 2.75 8373 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 27.25 -1.75 -1.5 -5 NaN -3.25 8374 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -31.25 -0.25 -0 -0.5 NaN -0.25 8375 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 26 -2 0 -4 NaN -2 8376 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -31 -0.5 -1 -2 NaN -1.5 8377 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 25.75 -1.75 0.5 -3 NaN -1.25 8378 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -32 -0.5 -3.5 -4.5 NaN -4 8379 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 26 -1.5 3.5 0.5 NaN 2 8380 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -35.25 -0.75 -2 -3.5 NaN -2.75 8381 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 29 -1 2 0 NaN 1 8382 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -37.25 -0.75 2 0.5 NaN 1.25 8383 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 31.75 -1.75 -1.5 -5 NaN -3.25 8384 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -35.5 -0.5 1 -0 NaN 0.5 8385 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 30.25 -1.75 -1.5 -5 NaN -3.25 8386 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -35 -0.5 -3 -4 NaN -3.5 8387 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 28.75 -1.75 3.5 0 NaN 1.75 8388 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -37.75 -0.75 -4 -5.5 NaN -4.75 8389 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 31.75 -2.25 4.5 0 NaN 2.25 8390 BITCOIN caleb_strategy_v3 [1] 0.1 35.75 -2.25 0 -4.5 NaN -2.25 8391 BITCOIN caleb_strategy_v3 [1] 0.1 35.5 -2 -0.5 -4.5 NaN -2.5 8392 BITCOIN caleb_strategy_v3 [1] 0.1 35 -2 4 0 NaN 2 8393 BITCOIN caleb_strategy_v3 [1] 0.1 39.5 -2 4 0 NaN 2 8394 BITCOIN caleb_strategy_v3 [1] 0.1 43 -2.5 -2 -7 NaN -4.5 8395 BITCOIN caleb_strategy_v3 [1] 0.1 40.75 -2.25 1 -3.5 NaN -1.25 8396 BITCOIN caleb_strategy_v3 [1] 0.1 41 -1.5 7 4 NaN 5.5 8397 BITCOIN caleb_strategy_v3 [1] 0.1 48 -1.5 3 0 NaN 1.5 8398 BITCOIN caleb_strategy_v3 [1] 0.1 50.75 -2.25 4.5 0 NaN 2.25 8399 BITCOIN caleb_strategy_v3 [1] 0.1 55 -2 -1.5 -5.5 NaN -3.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -83.25000 caleb_strategy_v3 BITCOIN 424.25000 EURIBOR-ICE 46.82125 GOLD_micro 95.50000 MXP -1060.00000 RUSSELL -1363.50000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -83.25000 caleb_strategy_v3 -1856.92875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -40.75000 caleb_strategy_v3 BITCOIN -20.25000 EURIBOR-ICE -6.68875 GOLD_micro -0.50000 MXP -10.00000 RUSSELL -1.50000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -40.75000 caleb_strategy_v3 -38.93875 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 4.0000 caleb_strategy_v3 BITCOIN 19.5000 EURIBOR-ICE -13.3775 GOLD_micro -1.0000 MXP 0.0000 RUSSELL -16.5000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 4.0000 caleb_strategy_v3 -11.3775 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -77.500 caleb_strategy_v3 BITCOIN -21.000 EURIBOR-ICE -26.755 GOLD_micro -2.000 MXP -10.000 RUSSELL -19.500 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -77.500 caleb_strategy_v3 -79.255 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 0 caleb_strategy_v3 BITCOIN 0 EURIBOR-ICE 0 GOLD_micro 0 MXP 0 RUSSELL 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 BITCOIN -36.75000 caleb_strategy_v3 BITCOIN -0.75000 EURIBOR-ICE -20.06625 GOLD_micro -1.50000 MXP -10.00000 RUSSELL -18.00000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -36.75000 caleb_strategy_v3 -50.31625 ******************************************************************************** END OF REPORT ********************************************************************************