******************************************************************************** Trades report produced on 28/11/2023 21:39 from 27/11/2023 21:39 to 28/11/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8676 AUD caleb_strategy_v3 [20231200] 2023-11-28 15:03:11 [1] 0.662900 8667 AUD caleb_strategy_v3 [20231200] 2023-11-28 15:00:22 [1] 0.662850 8674 AUD caleb_strategy_v3 [20231200] 2023-11-28 15:02:11 [1] 0.662950 8672 CAD caleb_strategy_v3 [20231200] 2023-11-28 15:01:54 [1] 0.736100 8659 COCOA caleb_strategy_v3 [20240300] 2023-11-28 14:00:18 [1] 4130.000000 8661 CRUDE_W caleb_strategy_v3 [20241200] 2023-11-28 14:00:45 [-1] 73.350000 8670 DOW caleb_strategy_v3 [20231200] 2023-11-28 15:01:47 [1] 35352.000000 8675 DOW caleb_strategy_v3 [20231200] 2023-11-28 15:02:12 [1] 35353.000000 8656 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-28 09:04:07 [-1] 97.395000 8658 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-28 09:06:29 [-1] 97.395000 8657 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-28 09:05:14 [-1] 97.395000 8655 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-28 09:03:46 [-1] 97.395000 8652 EUROSTX caleb_strategy_v3 [20231200] 2023-11-28 08:00:44 [1] 4346.000000 8653 EUROSTX caleb_strategy_v3 [20231200] 2023-11-28 08:01:36 [1] 4350.000000 8654 EUROSTX caleb_strategy_v3 [20231200] 2023-11-28 08:02:36 [1] 4349.000000 8660 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-28 14:00:41 [-1] 2.860000 8663 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-28 14:02:15 [-1] 2.850000 8664 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-28 14:03:17 [-1] 2.845000 8665 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-28 14:04:36 [-1] 2.850000 8662 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-28 14:01:23 [-1] 2.860000 8666 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-28 14:05:28 [-1] 2.855000 8669 JPY caleb_strategy_v3 [20231200] 2023-11-28 15:01:46 [1] 0.006763 8679 LEANHOG caleb_strategy_v3 [20240200] 2023-11-28 15:31:19 [-1] 67.275000 8678 LEANHOG caleb_strategy_v3 [20240200] 2023-11-28 15:30:24 [-1] 67.150000 8677 LIVECOW caleb_strategy_v3 [20240200] 2023-11-28 15:30:21 [-1] 171.475000 8671 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-28 15:01:48 [-1] 15973.000000 8651 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:22:34 [-1] 33370.000000 8650 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:21:48 [1] 33285.000000 8649 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:21:48 [-1] 33365.000000 8648 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:21:02 [1] 33285.000000 8647 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:21:01 [-1] 33360.000000 8646 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:19:47 [1] 33280.000000 8612 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:00:40 [1] 33245.000000 8643 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:18:46 [-1] 33370.000000 8613 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:01:37 [-1] 33330.000000 8614 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:01:38 [1] 33255.000000 8615 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:02:17 [-1] 33330.000000 8616 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:02:18 [1] 33250.000000 8617 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:03:17 [-1] 33325.000000 8618 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:03:17 [1] 33245.000000 8619 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:04:17 [-1] 33325.000000 8620 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:04:18 [1] 33245.000000 8621 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:06:33 [-1] 33330.000000 8622 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:06:34 [1] 33250.000000 8623 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:06:49 [-1] 33335.000000 8624 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:07:27 [1] 33250.000000 8625 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:07:46 [-1] 33330.000000 8644 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:18:47 [1] 33290.000000 8627 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:09:05 [-1] 33340.000000 8626 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:07:48 [1] 33250.000000 8629 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:09:38 [-1] 33345.000000 8642 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:18:01 [1] 33285.000000 8641 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:18:01 [-1] 33365.000000 8640 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:16:46 [1] 33290.000000 8639 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:16:46 [-1] 33365.000000 8638 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:15:19 [1] 33295.000000 8637 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:15:18 [-1] 33375.000000 8628 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:09:07 [1] 33255.000000 8636 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:15:11 [1] 33290.000000 8634 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:12:01 [1] 33280.000000 8633 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:12:00 [-1] 33360.000000 8632 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:11:11 [1] 33275.000000 8631 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:11:10 [-1] 33355.000000 8630 NIKKEI _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-28 03:09:39 [1] 33265.000000 8635 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:15:10 [-1] 33370.000000 8645 NIKKEI _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-28 03:19:46 [-1] 33355.000000 8673 US5 caleb_strategy_v3 [20240300] 2023-11-28 15:01:56 [1] 106.460938 8668 VIX caleb_strategy_v3 [20240200] 2023-11-28 15:01:31 [-1] 16.450000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8612 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:00:21.050 2023-11-28 03:00:40 25221 18.95 8613 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:01:17.041 2023-11-28 03:01:37 25277 19.959 8614 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:01:37.693 2023-11-28 03:01:38 25297.7 0.307 8615 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:02:16.875 2023-11-28 03:02:17 25336.9 0.125 8616 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:02:18.060 2023-11-28 03:02:18 25338.1 NaN 8617 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:03:16.893 2023-11-28 03:03:17 25396.9 0.107 8618 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:03:17.470 2023-11-28 03:03:17 25397.5 NaN 8619 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:04:17.351 2023-11-28 03:04:17 25457.4 NaN 8620 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:04:17.972 2023-11-28 03:04:18 25458 0.028 8621 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:05:17.610 2023-11-28 03:06:33 25517.6 75.39 8622 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:06:34.344 2023-11-28 03:06:34 25594.3 NaN 8623 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:06:36.464 2023-11-28 03:06:49 25596.5 12.536 8624 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:06:49.904 2023-11-28 03:07:27 25609.9 37.096 8625 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:07:36.997 2023-11-28 03:07:46 25657 9.003 8626 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:07:47.000 2023-11-28 03:07:48 25667 1 8627 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:08:37.216 2023-11-28 03:09:05 25717.2 27.784 8628 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:09:06.560 2023-11-28 03:09:07 25746.6 0.44 8629 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:09:37.352 2023-11-28 03:09:38 25777.4 0.648 8630 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:09:38.612 2023-11-28 03:09:39 25778.6 0.388 8631 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:10:37.848 2023-11-28 03:11:10 25837.8 32.152 8632 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:11:10.440 2023-11-28 03:11:11 25870.4 0.56 8633 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:11:37.956 2023-11-28 03:12:00 25898 22.044 8634 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:12:01.226 2023-11-28 03:12:01 25921.2 NaN 8635 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:12:38.040 2023-11-28 03:15:10 25958 151.96 8636 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:15:10.764 2023-11-28 03:15:11 26110.8 0.236 8637 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:15:13.355 2023-11-28 03:15:18 26113.4 4.645 8638 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:15:18.592 2023-11-28 03:15:19 26118.6 0.408 8639 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:16:13.865 2023-11-28 03:16:46 26173.9 32.135 8640 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:16:46.488 2023-11-28 03:16:46 26206.5 NaN 8641 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:17:14.159 2023-11-28 03:18:01 26234.2 46.841 8642 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:18:01.696 2023-11-28 03:18:01 26281.7 NaN 8643 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:18:14.628 2023-11-28 03:18:46 26294.6 31.372 8644 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:18:46.848 2023-11-28 03:18:47 26326.8 0.152 8645 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:19:14.746 2023-11-28 03:19:46 26354.7 31.254 8646 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:19:47.417 2023-11-28 03:19:47 26387.4 NaN 8647 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:20:14.956 2023-11-28 03:21:01 26415 46.044 8648 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:21:02.248 2023-11-28 03:21:02 26462.2 NaN 8649 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:21:15.006 2023-11-28 03:21:48 26475 32.994 8650 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:21:48.737 2023-11-28 03:21:48 26508.7 NaN 8651 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-11-27 20:00:00 2023-11-28 03:22:15.492 2023-11-28 03:22:34 26535.5 18.508 8652 EUROSTX caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 08:00:37.108 2023-11-28 08:00:44 115237 6.892 8653 EUROSTX caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 08:01:36.296 2023-11-28 08:01:36 115296 NaN 8654 EUROSTX caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 08:02:36.261 2023-11-28 08:02:36 115356 NaN 8656 EURIBOR-ICE caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 09:03:49.428 2023-11-28 09:04:07 119029 17.572 8657 EURIBOR-ICE caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 09:04:49.690 2023-11-28 09:05:14 119090 24.31 8658 EURIBOR-ICE caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 09:05:49.907 2023-11-28 09:06:29 119150 39.093 8655 EURIBOR-ICE caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 09:01:38.593 2023-11-28 09:03:46 118899 127.407 8659 COCOA caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:00:16.278 2023-11-28 14:00:18 136816 1.722 8661 CRUDE_W caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:00:43.144 2023-11-28 14:00:45 136843 1.856 8660 GAS_US_mini caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:00:19.423 2023-11-28 14:00:41 136819 21.577 8662 GAS_US_mini caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:01:15.810 2023-11-28 14:01:23 136876 7.19 8663 GAS_US_mini caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:02:15.638 2023-11-28 14:02:15 136936 NaN 8664 GAS_US_mini caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:03:15.713 2023-11-28 14:03:17 136996 1.287 8665 GAS_US_mini caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:04:15.872 2023-11-28 14:04:36 137056 20.128 8666 GAS_US_mini caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 14:05:15.908 2023-11-28 14:05:28 137116 12.092 8668 VIX caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:00:23.503 2023-11-28 15:01:31 140424 67.497 8669 JPY caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:01:32.296 2023-11-28 15:01:46 140492 13.704 8671 NASDAQ_micro caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:01:48.151 2023-11-28 15:01:48 140508 NaN 8672 CAD caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:01:49.125 2023-11-28 15:01:54 140509 4.875 8673 US5 caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:01:55.209 2023-11-28 15:01:56 140515 0.791 8675 DOW caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:02:12.343 2023-11-28 15:02:12 140532 NaN 8670 DOW caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:01:47.244 2023-11-28 15:01:47 140507 NaN 8674 AUD caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:02:11.784 2023-11-28 15:02:11 140532 NaN 8667 AUD caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:00:18.954 2023-11-28 15:00:22 140419 3.046 8676 AUD caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:03:11.827 2023-11-28 15:03:11 140592 NaN 8677 LIVECOW caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:30:19.742 2023-11-28 15:30:21 142220 1.258 8678 LEANHOG caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:30:21.930 2023-11-28 15:30:24 142222 2.07 8679 LEANHOG caleb_strategy_v3 2023-11-27 00:00:00 2023-11-28 15:31:19.772 2023-11-28 15:31:19 142280 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 8612 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33247.5 33250 33245 33245 33245 207.5 -2.5 5 0 NaN 2.5 8613 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33337.5 33335 33340 33340 33330 -197.5 -2.5 -5 -10 NaN -7.5 8614 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33247.5 33250 33245 33245 33255 207.5 -2.5 -5 -10 NaN -7.5 8615 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33330 33325 33335 33335 33330 -205 -5 5 -5 NaN 0 8616 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33252.5 33255 33250 33250 33250 202.5 -2.5 5 0 NaN 2.5 8617 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33327.5 33325 33330 NaN 33325 -207.5 -2.5 -0 NaN NaN -2.5 8618 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33252.5 33255 33250 33250 33245 202.5 -2.5 10 5 NaN 7.5 8619 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33322.5 33320 33325 33325 33325 -212.5 -2.5 5 -0 NaN 2.5 8620 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33252.5 33255 33250 33250 33245 202.5 -2.5 10 5 NaN 7.5 8621 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33327.5 33325 33330 33330 33330 -207.5 -2.5 5 -0 NaN 2.5 8622 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33252.5 33255 33250 33250 33250 202.5 -2.5 5 0 NaN 2.5 8623 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33332.5 33330 33335 33335 33335 -202.5 -2.5 5 -0 NaN 2.5 8624 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33252.5 33255 33250 33250 33250 202.5 -2.5 5 0 NaN 2.5 8625 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33337.5 33335 33340 33340 33330 -197.5 -2.5 -5 -10 NaN -7.5 8626 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33252.5 33255 33250 33250 33250 202.5 -2.5 5 0 NaN 2.5 8627 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33337.5 33335 33340 33340 33340 -197.5 -2.5 5 -0 NaN 2.5 8628 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33250 33255 33245 33245 33255 205 -5 0 -10 NaN -5 8629 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33342.5 33340 33345 33345 33345 -192.5 -2.5 5 -0 NaN 2.5 8630 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33252.5 33255 33250 33250 33265 202.5 -2.5 -10 -15 NaN -12.5 8631 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33352.5 33350 33355 33355 33355 -182.5 -2.5 5 -0 NaN 2.5 8632 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33262.5 33265 33260 33260 33275 192.5 -2.5 -10 -15 NaN -12.5 8633 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33357.5 33355 33360 33360 33360 -177.5 -2.5 5 -0 NaN 2.5 8634 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33272.5 33275 33270 33270 33280 182.5 -2.5 -5 -10 NaN -7.5 8635 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33367.5 33365 33370 33370 33370 -167.5 -2.5 5 -0 NaN 2.5 8636 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33277.5 33280 33275 33275 33290 177.5 -2.5 -10 -15 NaN -12.5 8637 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33372.5 33370 33375 33375 33375 -162.5 -2.5 5 -0 NaN 2.5 8638 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33287.5 33290 33285 33285 33295 167.5 -2.5 -5 -10 NaN -7.5 8639 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33362.5 33360 33365 33365 33365 -172.5 -2.5 5 -0 NaN 2.5 8640 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33292.5 33295 33290 33290 33290 162.5 -2.5 5 0 NaN 2.5 8641 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33362.5 33360 33365 33365 33365 -172.5 -2.5 5 -0 NaN 2.5 8642 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33292.5 33295 33290 33290 33285 162.5 -2.5 10 5 NaN 7.5 8643 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33367.5 33365 33370 33370 33370 -167.5 -2.5 5 -0 NaN 2.5 8644 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33292.5 33295 33290 33290 33290 162.5 -2.5 5 0 NaN 2.5 8645 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33362.5 33360 33365 33365 33355 -172.5 -2.5 -5 -10 NaN -7.5 8646 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33292.5 33295 33290 33290 33280 162.5 -2.5 15 10 NaN 12.5 8647 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33357.5 33355 33360 33360 33360 -177.5 -2.5 5 -0 NaN 2.5 8648 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33292.5 33295 33290 33290 33285 162.5 -2.5 10 5 NaN 7.5 8649 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33362.5 33360 33365 33365 33365 -172.5 -2.5 5 -0 NaN 2.5 8650 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 33455 None 33292.5 33295 33290 33290 33285 162.5 -2.5 10 5 NaN 7.5 8651 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 33535 None 33367.5 33365 33370 33370 33370 -167.5 -2.5 5 -0 NaN 2.5 8652 EUROSTX caleb_strategy_v3 [1] 4365 None 4344.5 4345 4344 4344 4346 20.5 -0.5 -1 -2 NaN -1.5 8653 EUROSTX caleb_strategy_v3 [1] 4365 None 4348.5 4349 4348 4348 4350 16.5 -0.5 -1 -2 NaN -1.5 8654 EUROSTX caleb_strategy_v3 [1] 4365 None 4349.5 4350 4349 4349 4349 15.5 -0.5 1 0 NaN 0.5 8656 EURIBOR-ICE caleb_strategy_v3 [-1] 97.395 None 97.3925 97.39 97.395 97.395 97.395 -0.0025 -0.0025 0.005 -0 NaN 0.0025 8657 EURIBOR-ICE caleb_strategy_v3 [-1] 97.395 None 97.3925 97.39 97.395 97.395 97.395 -0.0025 -0.0025 0.005 -0 NaN 0.0025 8658 EURIBOR-ICE caleb_strategy_v3 [-1] 97.395 None 97.3925 97.39 97.395 97.395 97.395 -0.0025 -0.0025 0.005 -0 NaN 0.0025 8655 EURIBOR-ICE caleb_strategy_v3 [-1] 97.395 None 97.3925 97.39 97.395 97.395 97.395 -0.0025 -0.0025 0.005 -0 NaN 0.0025 8659 COCOA caleb_strategy_v3 [1] 4131 None 4129 4130 4128 4128 4130 2 -1 0 -2 NaN -1 8661 CRUDE_W caleb_strategy_v3 [-1] 73.06 None 73.37 73.36 73.38 73.38 73.35 0.31 -0.01 -0.01 -0.03 NaN -0.02 8660 GAS_US_mini caleb_strategy_v3 [-1] 2.89 None 2.865 2.86 2.87 2.87 2.86 -0.025 -0.005 -0 -0.01 NaN -0.005 8662 GAS_US_mini caleb_strategy_v3 [-1] 2.89 None 2.8625 2.86 2.865 2.865 2.86 -0.0275 -0.0025 -0 -0.005 NaN -0.0025 8663 GAS_US_mini caleb_strategy_v3 [-1] 2.89 None 2.8625 2.86 2.865 NaN 2.85 -0.0275 -0.0025 -0.01 NaN NaN -0.0125 8664 GAS_US_mini caleb_strategy_v3 [-1] 2.89 None 2.8475 2.845 2.85 2.85 2.845 -0.0425 -0.0025 -0 -0.005 NaN -0.0025 8665 GAS_US_mini caleb_strategy_v3 [-1] 2.89 None 2.85 2.845 2.855 2.855 2.85 -0.04 -0.005 0.005 -0.005 NaN 0 8666 GAS_US_mini caleb_strategy_v3 [-1] 2.89 None 2.86 2.855 2.865 2.865 2.855 -0.03 -0.005 -0 -0.01 NaN -0.005 8668 VIX caleb_strategy_v3 [-1] 16.5 None 16.425 16.4 16.45 16.45 16.45 -0.075 -0.025 0.05 -0 NaN 0.025 8669 JPY caleb_strategy_v3 [1] 0.006752 None 0.00676275 0.006763 0.0067625 0.0067625 0.006763 -1.075e-05 -2.5e-07 0 -5e-07 NaN -2.5e-07 8671 NASDAQ_micro caleb_strategy_v3 [-1] 16025 None 15973.6 15973.5 15973.8 15973.8 15973 -51.375 -0.125 -0.5 -0.75 NaN -0.625 8672 CAD caleb_strategy_v3 [1] 0.73415 None 0.736025 0.73605 0.736 0.736 0.7361 -0.001875 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 8673 US5 caleb_strategy_v3 [1] 106.43 None 106.465 106.469 106.461 106.461 106.461 -0.0351562 -0.00390625 0.007812 -5e-07 NaN 0.00390575 8675 DOW caleb_strategy_v3 [1] 35354 None 35352.5 35353 35352 35352 35353 1.5 -0.5 0 -1 NaN -0.5 8670 DOW caleb_strategy_v3 [1] 35354 None 35353 35354 35352 35352 35352 1 -1 2 0 NaN 1 8674 AUD caleb_strategy_v3 [1] 0.66105 None 0.6628 0.66285 0.66275 0.66275 0.66295 -0.00175 -5e-05 -0.0001 -0.0002 NaN -0.00015 8667 AUD caleb_strategy_v3 [1] 0.66105 None 0.6629 0.66295 0.66285 0.66285 0.66285 -0.00185 -5e-05 0.0001 0 NaN 5e-05 8676 AUD caleb_strategy_v3 [1] 0.66105 None 0.662925 0.66295 0.6629 0.6629 0.6629 -0.001875 -2.5e-05 5e-05 0 NaN 2.5e-05 8677 LIVECOW caleb_strategy_v3 [-1] 168.95 None 171.5 171.475 171.525 171.525 171.475 2.55 -0.025 -0 -0.05 NaN -0.025 8678 LEANHOG caleb_strategy_v3 [-1] 66.9 None 67.175 67.15 67.2 67.2 67.15 0.275 -0.025 -0 -0.05 NaN -0.025 8679 LEANHOG caleb_strategy_v3 [-1] 66.9 None 67.325 67.15 67.5 67.5 67.275 0.425 -0.175 0.125 -0.225 NaN -0.05 ================================================================================================================================================================ 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 8612 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 392.282 -4.72628 9.45257 0 NaN 4.72628 8613 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -373.376 -4.72628 -9.45257 -18.9051 NaN -14.1789 8614 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 392.282 -4.72628 -9.45257 -18.9051 NaN -14.1789 8615 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -387.555 -9.45257 9.45257 -9.45257 NaN 0 8616 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 382.829 -4.72628 9.45257 0 NaN 4.72628 8617 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -392.282 -4.72628 -0 NaN NaN -4.72628 8618 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 382.829 -4.72628 18.9051 9.45257 NaN 14.1789 8619 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -401.734 -4.72628 9.45257 -0 NaN 4.72628 8620 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 382.829 -4.72628 18.9051 9.45257 NaN 14.1789 8621 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -392.282 -4.72628 9.45257 -0 NaN 4.72628 8622 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 382.829 -4.72628 9.45257 0 NaN 4.72628 8623 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -382.829 -4.72628 9.45257 -0 NaN 4.72628 8624 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 382.829 -4.72628 9.45257 0 NaN 4.72628 8625 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -373.376 -4.72628 -9.45257 -18.9051 NaN -14.1789 8626 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 382.829 -4.72628 9.45257 0 NaN 4.72628 8627 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -373.376 -4.72628 9.45257 -0 NaN 4.72628 8628 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 387.555 -9.45257 0 -18.9051 NaN -9.45257 8629 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -363.924 -4.72628 9.45257 -0 NaN 4.72628 8630 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 382.829 -4.72628 -18.9051 -28.3577 NaN -23.6314 8631 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -345.019 -4.72628 9.45257 -0 NaN 4.72628 8632 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 363.924 -4.72628 -18.9051 -28.3577 NaN -23.6314 8633 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -335.566 -4.72628 9.45257 -0 NaN 4.72628 8634 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 345.019 -4.72628 -9.45257 -18.9051 NaN -14.1789 8635 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -316.661 -4.72628 9.45257 -0 NaN 4.72628 8636 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 335.566 -4.72628 -18.9051 -28.3577 NaN -23.6314 8637 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -307.208 -4.72628 9.45257 -0 NaN 4.72628 8638 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 316.661 -4.72628 -9.45257 -18.9051 NaN -14.1789 8639 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -326.114 -4.72628 9.45257 -0 NaN 4.72628 8640 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 307.208 -4.72628 9.45257 0 NaN 4.72628 8641 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -326.114 -4.72628 9.45257 -0 NaN 4.72628 8642 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 307.208 -4.72628 18.9051 9.45257 NaN 14.1789 8643 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -316.661 -4.72628 9.45257 -0 NaN 4.72628 8644 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 307.208 -4.72628 9.45257 0 NaN 4.72628 8645 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -326.114 -4.72628 -9.45257 -18.9051 NaN -14.1789 8646 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 307.208 -4.72628 28.3577 18.9051 NaN 23.6314 8647 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -335.566 -4.72628 9.45257 -0 NaN 4.72628 8648 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 307.208 -4.72628 18.9051 9.45257 NaN 14.1789 8649 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -326.114 -4.72628 9.45257 -0 NaN 4.72628 8650 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 5289.57 307.208 -4.72628 18.9051 9.45257 NaN 14.1789 8651 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 5289.57 -316.661 -4.72628 9.45257 -0 NaN 4.72628 8652 EUROSTX caleb_strategy_v3 [1] 564.882 362.908 -8.85141 -17.7028 -35.4057 NaN -26.5542 8653 EUROSTX caleb_strategy_v3 [1] 564.882 292.097 -8.85141 -17.7028 -35.4057 NaN -26.5542 8654 EUROSTX caleb_strategy_v3 [1] 564.882 274.394 -8.85141 17.7028 0 NaN 8.85141 8656 EURIBOR-ICE caleb_strategy_v3 [-1] 1.07424 -23.2722 -23.2722 46.5443 -0 NaN 23.2722 8657 EURIBOR-ICE caleb_strategy_v3 [-1] 1.07424 -23.2722 -23.2722 46.5443 -0 NaN 23.2722 8658 EURIBOR-ICE caleb_strategy_v3 [-1] 1.07424 -23.2722 -23.2722 46.5443 -0 NaN 23.2722 8655 EURIBOR-ICE caleb_strategy_v3 [-1] 1.07424 -23.2722 -23.2722 46.5443 -0 NaN 23.2722 8659 COCOA caleb_strategy_v3 [1] 714.36 27.9971 -13.9985 0 -27.9971 NaN -13.9985 8661 CRUDE_W caleb_strategy_v3 [-1] 22.7235 136.422 -4.40072 -4.40072 -13.2022 NaN -8.80145 8660 GAS_US_mini caleb_strategy_v3 [-1] 1.99454 -125.342 -25.0685 -0 -50.1369 NaN -25.0685 8662 GAS_US_mini caleb_strategy_v3 [-1] 1.99454 -137.876 -12.5342 -0 -25.0685 NaN -12.5342 8663 GAS_US_mini caleb_strategy_v3 [-1] 1.99454 -137.876 -12.5342 -50.1369 NaN NaN -62.6711 8664 GAS_US_mini caleb_strategy_v3 [-1] 1.99454 -213.082 -12.5342 -0 -25.0685 NaN -12.5342 8665 GAS_US_mini caleb_strategy_v3 [-1] 1.99454 -200.548 -25.0685 25.0685 -25.0685 NaN 0 8666 GAS_US_mini caleb_strategy_v3 [-1] 1.99454 -150.411 -25.0685 -0 -50.1369 NaN -25.0685 8668 VIX caleb_strategy_v3 [-1] 8.42781 -88.991 -29.6637 59.3274 -0 NaN 29.6637 8669 JPY caleb_strategy_v3 [1] 0.000645458 -166.548 -3.87322 0 -7.74643 NaN -3.87322 8671 NASDAQ_micro caleb_strategy_v3 [-1] 2809.64 -182.853 -0.444897 -1.77959 -2.66938 NaN -2.22449 8672 CAD caleb_strategy_v3 [1] 0.0459577 -407.984 -5.43979 -10.8796 -21.7591 NaN -16.3194 8673 US5 caleb_strategy_v3 [1] 5.8407 -60.1918 -6.68798 13.3751 -0.000856061 NaN 6.68712 8675 DOW caleb_strategy_v3 [1] 4092.03 3.66567 -1.22189 0 -2.44378 NaN -1.22189 8670 DOW caleb_strategy_v3 [1] 4092.03 2.44378 -2.44378 4.88756 0 NaN 2.44378 8674 AUD caleb_strategy_v3 [1] 0.0704996 -248.228 -7.09224 -14.1845 -28.3689 NaN -21.2767 8667 AUD caleb_strategy_v3 [1] 0.0704996 -262.413 -7.09224 14.1845 0 NaN 7.09224 8676 AUD caleb_strategy_v3 [1] 0.0704996 -265.959 -3.54612 7.09224 0 NaN 3.54612 8677 LIVECOW caleb_strategy_v3 [-1] 26.9809 945.112 -9.26581 -0 -18.5316 NaN -9.26581 8678 LEANHOG caleb_strategy_v3 [-1] 22.2018 123.864 -11.2604 -0 -22.5207 NaN -11.2604 8679 LEANHOG caleb_strategy_v3 [-1] 22.2018 191.426 -78.8226 56.3018 -101.343 NaN -22.5207 =========================================================================================================================================================================== 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 8612 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 139.917 -1.68574 3.37149 0 NaN 1.68574 8613 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -133.174 -1.68574 -3.37149 -6.74297 NaN -5.05723 8614 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 139.917 -1.68574 -3.37149 -6.74297 NaN -5.05723 8615 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -138.231 -3.37149 3.37149 -3.37149 NaN 0 8616 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 136.545 -1.68574 3.37149 0 NaN 1.68574 8617 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -139.917 -1.68574 -0 NaN NaN -1.68574 8618 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 136.545 -1.68574 6.74297 3.37149 NaN 5.05723 8619 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -143.288 -1.68574 3.37149 -0 NaN 1.68574 8620 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 136.545 -1.68574 6.74297 3.37149 NaN 5.05723 8621 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -139.917 -1.68574 3.37149 -0 NaN 1.68574 8622 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 136.545 -1.68574 3.37149 0 NaN 1.68574 8623 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -136.545 -1.68574 3.37149 -0 NaN 1.68574 8624 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 136.545 -1.68574 3.37149 0 NaN 1.68574 8625 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -133.174 -1.68574 -3.37149 -6.74297 NaN -5.05723 8626 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 136.545 -1.68574 3.37149 0 NaN 1.68574 8627 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -133.174 -1.68574 3.37149 -0 NaN 1.68574 8628 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 138.231 -3.37149 0 -6.74297 NaN -3.37149 8629 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -129.802 -1.68574 3.37149 -0 NaN 1.68574 8630 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 136.545 -1.68574 -6.74297 -10.1145 NaN -8.42872 8631 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -123.059 -1.68574 3.37149 -0 NaN 1.68574 8632 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 129.802 -1.68574 -6.74297 -10.1145 NaN -8.42872 8633 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -119.688 -1.68574 3.37149 -0 NaN 1.68574 8634 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 123.059 -1.68574 -3.37149 -6.74297 NaN -5.05723 8635 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -112.945 -1.68574 3.37149 -0 NaN 1.68574 8636 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 119.688 -1.68574 -6.74297 -10.1145 NaN -8.42872 8637 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -109.573 -1.68574 3.37149 -0 NaN 1.68574 8638 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 112.945 -1.68574 -3.37149 -6.74297 NaN -5.05723 8639 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -116.316 -1.68574 3.37149 -0 NaN 1.68574 8640 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 109.573 -1.68574 3.37149 0 NaN 1.68574 8641 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -116.316 -1.68574 3.37149 -0 NaN 1.68574 8642 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 109.573 -1.68574 6.74297 3.37149 NaN 5.05723 8643 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -112.945 -1.68574 3.37149 -0 NaN 1.68574 8644 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 109.573 -1.68574 3.37149 0 NaN 1.68574 8645 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -116.316 -1.68574 -3.37149 -6.74297 NaN -5.05723 8646 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 109.573 -1.68574 10.1145 6.74297 NaN 8.42872 8647 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -119.688 -1.68574 3.37149 -0 NaN 1.68574 8648 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 109.573 -1.68574 6.74297 3.37149 NaN 5.05723 8649 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -116.316 -1.68574 3.37149 -0 NaN 1.68574 8650 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.674297 109.573 -1.68574 6.74297 3.37149 NaN 5.05723 8651 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.674297 -112.945 -1.68574 3.37149 -0 NaN 1.68574 8652 EUROSTX caleb_strategy_v3 [1] 10.9465 224.403 -5.47325 -10.9465 -21.893 NaN -16.4197 8653 EUROSTX caleb_strategy_v3 [1] 10.9465 180.617 -5.47325 -10.9465 -21.893 NaN -16.4197 8654 EUROSTX caleb_strategy_v3 [1] 10.9465 169.671 -5.47325 10.9465 0 NaN 5.47325 8656 EURIBOR-ICE caleb_strategy_v3 [-1] 2736.62 -6.84156 -6.84156 13.6831 -0 NaN 6.84156 8657 EURIBOR-ICE caleb_strategy_v3 [-1] 2736.62 -6.84156 -6.84156 13.6831 -0 NaN 6.84156 8658 EURIBOR-ICE caleb_strategy_v3 [-1] 2736.62 -6.84156 -6.84156 13.6831 -0 NaN 6.84156 8655 EURIBOR-ICE caleb_strategy_v3 [-1] 2736.62 -6.84156 -6.84156 13.6831 -0 NaN 6.84156 8659 COCOA caleb_strategy_v3 [1] 10 20 -10 0 -20 NaN -10 8661 CRUDE_W caleb_strategy_v3 [-1] 1000 310 -10 -10 -30 NaN -20 8660 GAS_US_mini caleb_strategy_v3 [-1] 2500 -62.5 -12.5 -0 -25 NaN -12.5 8662 GAS_US_mini caleb_strategy_v3 [-1] 2500 -68.75 -6.25 -0 -12.5 NaN -6.25 8663 GAS_US_mini caleb_strategy_v3 [-1] 2500 -68.75 -6.25 -25 NaN NaN -31.25 8664 GAS_US_mini caleb_strategy_v3 [-1] 2500 -106.25 -6.25 -0 -12.5 NaN -6.25 8665 GAS_US_mini caleb_strategy_v3 [-1] 2500 -100 -12.5 12.5 -12.5 NaN 0 8666 GAS_US_mini caleb_strategy_v3 [-1] 2500 -75 -12.5 -0 -25 NaN -12.5 8668 VIX caleb_strategy_v3 [-1] 1000 -75 -25 50 -0 NaN 25 8669 JPY caleb_strategy_v3 [1] 1.25e+07 -134.375 -3.125 0 -6.25 NaN -3.125 8671 NASDAQ_micro caleb_strategy_v3 [-1] 2 -102.75 -0.25 -1 -1.5 NaN -1.25 8672 CAD caleb_strategy_v3 [1] 100000 -187.5 -2.5 -5 -10 NaN -7.5 8673 US5 caleb_strategy_v3 [1] 1000 -35.1562 -3.90625 7.812 -0.0005 NaN 3.90575 8675 DOW caleb_strategy_v3 [1] 0.5 0.75 -0.25 0 -0.5 NaN -0.25 8670 DOW caleb_strategy_v3 [1] 0.5 0.5 -0.5 1 0 NaN 0.5 8674 AUD caleb_strategy_v3 [1] 100000 -175 -5 -10 -20 NaN -15 8667 AUD caleb_strategy_v3 [1] 100000 -185 -5 10 0 NaN 5 8676 AUD caleb_strategy_v3 [1] 100000 -187.5 -2.5 5 0 NaN 2.5 8677 LIVECOW caleb_strategy_v3 [-1] 400 1020 -10 -0 -20 NaN -10 8678 LEANHOG caleb_strategy_v3 [-1] 400 110 -10 -0 -20 NaN -10 8679 LEANHOG caleb_strategy_v3 [-1] 400 170 -70 50 -90 NaN -20 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 13.485949 caleb_strategy_v3 AUD -547.500000 CAD -187.500000 COCOA 20.000000 CRUDE_W 310.000000 DOW 1.250000 EURIBOR-ICE -27.366250 EUROSTX 574.691250 GAS_US_mini -481.250000 JPY -134.375000 LEANHOG 280.000000 LIVECOW 1020.000000 NASDAQ_micro -102.750000 US5 -35.156250 VIX -75.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 13.485949 caleb_strategy_v3 615.043750 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -70.801234 caleb_strategy_v3 AUD -12.500000 CAD -2.500000 COCOA -10.000000 CRUDE_W -10.000000 DOW -0.750000 EURIBOR-ICE -27.366250 EUROSTX -16.419750 GAS_US_mini -56.250000 JPY -3.125000 LEANHOG -80.000000 LIVECOW -10.000000 NASDAQ_micro -0.250000 US5 -3.906250 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -70.801234 caleb_strategy_v3 -258.067250 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 80.915696 caleb_strategy_v3 AUD 5.000000 CAD -5.000000 COCOA 0.000000 CRUDE_W -10.000000 DOW 1.000000 EURIBOR-ICE 54.732500 EUROSTX -10.946500 GAS_US_mini -12.500000 JPY 0.000000 LEANHOG 50.000000 LIVECOW -0.000000 NASDAQ_micro -1.000000 US5 7.812000 VIX 50.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 80.915696 caleb_strategy_v3 129.098000 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -57.315285 caleb_strategy_v3 AUD -20.000000 CAD -10.000000 COCOA -20.000000 CRUDE_W -30.000000 DOW -0.500000 EURIBOR-ICE -0.000000 EUROSTX -43.786000 GAS_US_mini -87.500000 JPY -6.250000 LEANHOG -110.000000 LIVECOW -20.000000 NASDAQ_micro -1.500000 US5 -0.000500 VIX -0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -57.315285 caleb_strategy_v3 -349.536500 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 0 caleb_strategy_v3 AUD 0 CAD 0 COCOA 0 CRUDE_W 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 JPY 0 LEANHOG 0 LIVECOW 0 NASDAQ_micro 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 NIKKEI 10.114462 caleb_strategy_v3 AUD -7.500000 CAD -7.500000 COCOA -10.000000 CRUDE_W -20.000000 DOW 0.250000 EURIBOR-ICE 27.366250 EUROSTX -27.366250 GAS_US_mini -68.750000 JPY -3.125000 LEANHOG -30.000000 LIVECOW -10.000000 NASDAQ_micro -1.250000 US5 3.905750 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.114462 caleb_strategy_v3 -128.969250 ******************************************************************************** END OF REPORT ********************************************************************************