******************************************************************************** Trades report produced on 12/01/2024 21:36 from 11/01/2024 21:36 to 12/01/2024 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9694 MXP caleb_strategy_v3 [20240300] 2024-01-12 15:00:45 [1] 0.05866 9693 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-12 15:00:43 [1] 16958.50000 9692 NIKKEI caleb_strategy_v3 [20240300] 2024-01-12 03:01:17 [1] 35425.00000 9712 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:20:08 [-1] 16.00000 9713 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:25:51 [1] 15.30000 9714 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:30:52 [-1] 15.95000 9715 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:30:56 [1] 15.25000 9716 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:33:22 [-1] 16.00000 9717 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:33:26 [1] 15.30000 9718 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:33:26 [-1] 16.00000 9719 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:39:10 [1] 15.35000 9720 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:39:12 [-1] 16.05000 9721 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:42:49 [1] 15.40000 9722 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:42:50 [-1] 16.05000 9723 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:42:58 [1] 15.35000 9724 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:43:16 [-1] 16.10000 9725 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:44:13 [1] 15.35000 9711 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:20:07 [1] 15.30000 9710 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:19:18 [-1] 16.05000 9709 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:19:17 [1] 15.35000 9708 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:18:10 [-1] 16.00000 9728 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:46:58 [-1] 16.10000 9695 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:02:17 [1] 15.35000 9696 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:02:45 [-1] 16.05000 9697 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:03:00 [1] 15.30000 9698 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:08:00 [-1] 16.00000 9699 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:08:04 [1] 15.30000 9726 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:44:14 [-1] 16.05000 9700 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:13:05 [-1] 16.00000 9702 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:13:17 [-1] 16.05000 9703 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:14:09 [1] 15.30000 9704 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:14:09 [-1] 16.00000 9705 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:17:47 [1] 15.35000 9706 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-12 15:17:47 [-1] 16.05000 9707 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:18:10 [1] 15.30000 9701 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:13:16 [1] 15.35000 9727 VIX _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-12 15:44:54 [1] 15.35000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9692 NIKKEI caleb_strategy_v3 2024-01-10 00:00:00 2024-01-12 03:01:15.286 2024-01-12 03:01:17 183675.286 1.714 9693 NASDAQ_micro caleb_strategy_v3 2024-01-11 00:00:00 2024-01-12 15:00:43.171 2024-01-12 15:00:43 140443.171 NaN 9694 MXP caleb_strategy_v3 2024-01-11 00:00:00 2024-01-12 15:00:44.178 2024-01-12 15:00:45 140444.178 0.822 9728 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:44:54.949 2024-01-12 15:46:58 71094.949 123.051 9695 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:00:45.802 2024-01-12 15:02:17 68445.802 91.198 9696 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:02:18.166 2024-01-12 15:02:45 68538.166 26.834 9697 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:02:48.516 2024-01-12 15:03:00 68568.516 11.484 9698 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:03:00.867 2024-01-12 15:08:00 68580.867 299.133 9699 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:08:04.492 2024-01-12 15:08:04 68884.492 NaN 9700 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:08:05.112 2024-01-12 15:13:05 68885.112 299.888 9701 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:13:08.669 2024-01-12 15:13:16 69188.669 7.331 9702 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:13:17.486 2024-01-12 15:13:17 69197.486 NaN 9703 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:14:09.117 2024-01-12 15:14:09 69249.117 NaN 9704 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:14:09.716 2024-01-12 15:14:09 69249.716 NaN 9705 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:15:09.116 2024-01-12 15:17:47 69309.116 157.884 9706 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:17:47.650 2024-01-12 15:17:47 69467.65 NaN 9707 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:17:51.120 2024-01-12 15:18:10 69471.12 18.88 9708 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:18:10.848 2024-01-12 15:18:10 69490.848 NaN 9709 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:18:51.135 2024-01-12 15:19:17 69531.135 25.865 9710 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:19:18.015 2024-01-12 15:19:18 69558.015 NaN 9711 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:19:51.272 2024-01-12 15:20:07 69591.272 15.728 9712 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:20:08.199 2024-01-12 15:20:08 69608.199 NaN 9713 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:20:51.768 2024-01-12 15:25:51 69651.768 299.232 9714 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:25:52.349 2024-01-12 15:30:52 69952.349 299.651 9715 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:30:55.951 2024-01-12 15:30:56 70255.951 0.049 9716 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:30:56.584 2024-01-12 15:33:22 70256.584 145.416 9717 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:33:25.924 2024-01-12 15:33:26 70405.924 0.076 9718 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:33:26.669 2024-01-12 15:33:26 70406.669 NaN 9719 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:34:26.313 2024-01-12 15:39:10 70466.313 283.687 9720 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:39:11.351 2024-01-12 15:39:12 70751.351 0.649 9721 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:39:15.933 2024-01-12 15:42:49 70755.933 213.067 9722 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:42:50.401 2024-01-12 15:42:50 70970.401 NaN 9723 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:42:53.995 2024-01-12 15:42:58 70973.995 4.005 9724 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:42:59.471 2024-01-12 15:43:16 70979.471 16.529 9725 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:43:54.015 2024-01-12 15:44:13 71034.015 18.985 9726 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:44:13.566 2024-01-12 15:44:14 71053.566 0.434 9727 VIX _ROLL_PSEUDO_STRATEGY 2024-01-11 20:00:00 2024-01-12 15:44:53.908 2024-01-12 15:44:54 71093.908 0.092 ==================================================================================================================================================================================================================================== 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 9692 NIKKEI caleb_strategy_v3 [1] 34450.0 None 35427.5 35430.0 35425.0 35425.0 35425.0 -977.5 -2.5 5.0 0.0 NaN 2.5 9693 NASDAQ_micro caleb_strategy_v3 [1] 16943.25 None 16955.75 16956.0 16955.5 16955.5 16958.5 -12.5 -0.25 -2.5 -3.0 NaN -2.75 9694 MXP caleb_strategy_v3 [1] 0.05849 None 0.058665 0.05867 0.05866 0.05866 0.05866 -0.000175 -0.000005 0.00001 0.0 NaN 0.000005 9728 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.075 16.05 16.1 16.1 16.1 0.075 -0.025 0.05 -0.0 NaN 0.025 9695 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.275 15.3 15.25 15.25 15.35 -0.075 -0.025 -0.05 -0.1 NaN -0.075 9696 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.05 0.025 -0.025 0.05 -0.0 NaN 0.025 9697 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.325 15.35 15.3 15.3 15.3 -0.125 -0.025 0.05 0.0 NaN 0.025 9698 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.0 0.025 -0.025 -0.0 -0.05 NaN -0.025 9699 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.325 15.35 15.3 15.3 15.3 -0.125 -0.025 0.05 0.0 NaN 0.025 9700 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.0 0.025 -0.025 -0.0 -0.05 NaN -0.025 9701 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.275 15.3 15.25 15.25 15.35 -0.075 -0.025 -0.05 -0.1 NaN -0.075 9702 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.05 0.025 -0.025 0.05 -0.0 NaN 0.025 9703 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.325 15.35 15.3 15.3 15.3 -0.125 -0.025 0.05 0.0 NaN 0.025 9704 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.075 16.05 16.1 16.1 16.0 0.075 -0.025 -0.05 -0.1 NaN -0.075 9705 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.275 15.3 15.25 15.25 15.35 -0.075 -0.025 -0.05 -0.1 NaN -0.075 9706 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.05 0.025 -0.025 0.05 -0.0 NaN 0.025 9707 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.325 15.35 15.3 15.3 15.3 -0.125 -0.025 0.05 0.0 NaN 0.025 9708 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.075 16.05 16.1 16.1 16.0 0.075 -0.025 -0.05 -0.1 NaN -0.075 9709 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.275 15.3 15.25 15.25 15.35 -0.075 -0.025 -0.05 -0.1 NaN -0.075 9710 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.05 0.025 -0.025 0.05 -0.0 NaN 0.025 9711 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.325 15.35 15.3 15.3 15.3 -0.125 -0.025 0.05 0.0 NaN 0.025 9712 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.075 16.05 16.1 16.1 16.0 0.075 -0.025 -0.05 -0.1 NaN -0.075 9713 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.275 15.3 15.25 15.25 15.3 -0.075 -0.025 0.0 -0.05 NaN -0.025 9714 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 15.95 0.025 -0.025 -0.05 -0.1 NaN -0.075 9715 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.275 15.3 15.25 15.25 15.25 -0.075 -0.025 0.05 0.0 NaN 0.025 9716 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 15.975 15.95 16.0 16.0 16.0 -0.025 -0.025 0.05 -0.0 NaN 0.025 9717 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.225 15.25 15.2 15.2 15.3 -0.025 -0.025 -0.05 -0.1 NaN -0.075 9718 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 15.975 15.95 16.0 16.0 16.0 -0.025 -0.025 0.05 -0.0 NaN 0.025 9719 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.275 15.3 15.25 15.25 15.35 -0.075 -0.025 -0.05 -0.1 NaN -0.075 9720 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.05 0.025 -0.025 0.05 -0.0 NaN 0.025 9721 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.325 15.35 15.3 15.3 15.4 -0.125 -0.025 -0.05 -0.1 NaN -0.075 9722 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.025 16.0 16.05 16.05 16.05 0.025 -0.025 0.05 -0.0 NaN 0.025 9723 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.375 15.4 15.35 15.35 15.35 -0.175 -0.025 0.05 0.0 NaN 0.025 9724 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.075 16.05 16.1 16.1 16.1 0.075 -0.025 0.05 -0.0 NaN 0.025 9725 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.375 15.4 15.35 15.35 15.35 -0.175 -0.025 0.05 0.0 NaN 0.025 9726 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.0 None 16.125 16.1 16.15 NaN 16.05 0.125 -0.025 -0.05 NaN NaN -0.075 9727 VIX _ROLL_PSEUDO_STRATEGY [1] 15.2 None 15.325 15.35 15.3 NaN 15.35 -0.125 -0.025 0.0 NaN 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 9692 NIKKEI caleb_strategy_v3 [1] 5326.172383 -1835.276686 -4.693802 9.387605 0.0 NaN 4.693802 9693 NASDAQ_micro caleb_strategy_v3 [1] 2466.473782 -50.679639 -1.013593 -10.135928 -12.163113 NaN -11.149521 9694 MXP caleb_strategy_v3 [1] 0.005422 -322.752921 -9.221512 18.443024 0.0 NaN 9.221512 9728 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 113.445712 -37.815237 75.630475 -0.0 NaN 37.815237 9695 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9696 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9697 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -189.076187 -37.815237 75.630475 0.0 NaN 37.815237 9698 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 -0.0 -75.630475 NaN -37.815237 9699 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -189.076187 -37.815237 75.630475 0.0 NaN 37.815237 9700 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 -0.0 -75.630475 NaN -37.815237 9701 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9702 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9703 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -189.076187 -37.815237 75.630475 0.0 NaN 37.815237 9704 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9705 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9706 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9707 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -189.076187 -37.815237 75.630475 0.0 NaN 37.815237 9708 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9709 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9710 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9711 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -189.076187 -37.815237 75.630475 0.0 NaN 37.815237 9712 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9713 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -113.445712 -37.815237 0.0 -75.630475 NaN -37.815237 9714 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 -75.630475 -151.26095 NaN -113.445712 9715 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -113.445712 -37.815237 75.630475 0.0 NaN 37.815237 9716 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 -37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9717 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -37.815237 -37.815237 -75.630475 -151.26095 NaN -113.445712 9718 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 -37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9719 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -113.445712 -37.815237 -75.630475 -151.26095 NaN -113.445712 9720 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9721 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -189.076187 -37.815237 -75.630475 -151.26095 NaN -113.445712 9722 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 37.815237 -37.815237 75.630475 -0.0 NaN 37.815237 9723 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -264.706662 -37.815237 75.630475 0.0 NaN 37.815237 9724 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 113.445712 -37.815237 75.630475 -0.0 NaN 37.815237 9725 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -264.706662 -37.815237 75.630475 0.0 NaN 37.815237 9726 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.611092 189.076187 -37.815237 -75.630475 NaN NaN -113.445712 9727 VIX _ROLL_PSEUDO_STRATEGY [1] 6.611092 -189.076187 -37.815237 0.0 NaN NaN -37.815237 ============================================================================================================================================================================ 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 9692 NIKKEI caleb_strategy_v3 [1] 0.688568 -673.074937 -1.721419 3.442839 0.0 NaN 1.721419 9693 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -25.0 -0.5 -5.0 -6.0 NaN -5.5 9694 MXP caleb_strategy_v3 [1] 500000.0 -87.5 -2.5 5.0 0.0 NaN 2.5 9728 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 9695 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 9696 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 50.0 -0.0 NaN 25.0 9697 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 9698 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 9699 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 9700 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 9701 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 9702 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 50.0 -0.0 NaN 25.0 9703 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 9704 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 9705 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 9706 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 50.0 -0.0 NaN 25.0 9707 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 9708 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 9709 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 9710 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 50.0 -0.0 NaN 25.0 9711 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 9712 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 9713 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 0.0 -50.0 NaN -25.0 9714 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -50.0 -100.0 NaN -75.0 9715 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 50.0 0.0 NaN 25.0 9716 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 9717 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 -50.0 -100.0 NaN -75.0 9718 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 9719 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 9720 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 50.0 -0.0 NaN 25.0 9721 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 -50.0 -100.0 NaN -75.0 9722 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 50.0 -0.0 NaN 25.0 9723 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 50.0 0.0 NaN 25.0 9724 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 9725 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 50.0 0.0 NaN 25.0 9726 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 -50.0 NaN NaN -75.0 9727 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 0.0 NaN NaN -25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1100.0 caleb_strategy_v3 MXP -87.5 NASDAQ_micro -25.0 NIKKEI -673.074937 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1100.0 caleb_strategy_v3 -785.574937 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -850.0 caleb_strategy_v3 MXP -2.5 NASDAQ_micro -0.5 NIKKEI -1.721419 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -850.0 caleb_strategy_v3 -4.721419 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 300.0 caleb_strategy_v3 MXP 5.0 NASDAQ_micro -5.0 NIKKEI 3.442839 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 300.0 caleb_strategy_v3 3.442839 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1250.0 caleb_strategy_v3 MXP 0.0 NASDAQ_micro -6.0 NIKKEI 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1250.0 caleb_strategy_v3 -6.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 MXP 0 NASDAQ_micro 0 NIKKEI 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 -550.0 caleb_strategy_v3 MXP 2.5 NASDAQ_micro -5.5 NIKKEI 1.721419 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -550.0 caleb_strategy_v3 -1.278581 ******************************************************************************** END OF REPORT ********************************************************************************