******************************************************************************** Trades report produced on 09/02/2024 21:37 from 08/02/2024 21:37 to 09/02/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10206 COCOA caleb_strategy_v3 [20240500] 2024-02-09 14:00:10 [1] 5593.000000 10210 EUR caleb_strategy_v3 [20240300] 2024-02-09 15:00:21 [-1] 1.079600 10204 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-09 09:03:41 [-1] 97.670000 10205 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-09 09:04:23 [-1] 97.675000 10203 EUROSTX caleb_strategy_v3 [20240300] 2024-02-09 08:00:36 [-1] 4725.000000 10209 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-09 15:00:19 [1] 17950.250000 10214 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-09 15:09:10 [1] 17945.250000 10202 NIKKEI caleb_strategy_v3 [20240300] 2024-02-09 03:01:25 [1] 37060.000000 10207 RUSSELL caleb_strategy_v3 [20240300] 2024-02-09 15:00:12 [-1] 1996.400000 10213 RUSSELL caleb_strategy_v3 [20240300] 2024-02-09 15:09:10 [-1] 1999.500000 10217 RUSSELL caleb_strategy_v3 [20240300] 2024-02-09 15:15:10 [-1] 1993.000000 10220 RUSSELL caleb_strategy_v3 [20240300] 2024-02-09 15:16:10 [-1] 1991.800000 10208 US5 caleb_strategy_v3 [20240300] 2024-02-09 15:00:17 [-1] 107.179688 10229 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:39:20 [1] 15.450000 10224 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:31:16 [-1] 15.950000 10225 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:33:40 [1] 15.400000 10226 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:33:41 [-1] 15.900000 10227 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:34:16 [1] 15.450000 10228 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:39:16 [-1] 15.900000 10230 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:44:21 [-1] 15.900000 10236 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 16:03:31 [-1] 15.900000 10232 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:49:25 [-1] 15.900000 10233 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:49:29 [1] 15.450000 10234 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:54:29 [-1] 15.900000 10235 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:58:30 [1] 15.400000 10223 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:31:15 [1] 15.450000 10237 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 16:07:18 [1] 15.450000 10231 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:44:24 [1] 15.400000 10222 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:26:11 [-1] 15.900000 10212 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:08:51 [-1] 15.850000 10219 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:15:12 [-1] 15.900000 10240 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 16:16:04 [-1] 15.950000 10241 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 16:17:27 [1] 15.500000 10242 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 16:22:27 [-1] 15.950000 10243 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 16:23:41 [1] 15.450000 10244 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 16:28:42 [-1] 15.950000 10245 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 16:28:46 [1] 15.450000 10221 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:21:11 [1] 15.450000 10246 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 16:33:46 [-1] 15.950000 10248 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 16:38:51 [-1] 15.950000 10211 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:03:50 [1] 15.350000 10238 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 16:08:24 [-1] 15.950000 10215 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:14:11 [1] 15.400000 10216 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-09 15:15:06 [-1] 15.900000 10218 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 15:15:11 [1] 15.450000 10247 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 16:33:50 [1] 15.500000 10239 VIX _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-09 16:13:28 [1] 15.450000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10202 NIKKEI caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 03:01:16.958 2024-02-09 03:01:25 97276.958 8.042 10203 EUROSTX caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 08:00:32.207 2024-02-09 08:00:36 115232.207 3.793 10204 EURIBOR-ICE caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 09:00:34.430 2024-02-09 09:03:41 118834.43 186.57 10205 EURIBOR-ICE caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 09:03:45.181 2024-02-09 09:04:23 119025.181 37.819 10206 COCOA caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 14:00:09.603 2024-02-09 14:00:10 136809.603 0.397 10208 US5 caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:00:13.206 2024-02-09 15:00:17 140413.206 3.794 10210 EUR caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:00:19.983 2024-02-09 15:00:21 140419.983 1.017 10209 NASDAQ_micro caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:00:18.715 2024-02-09 15:00:19 140418.715 0.285 10214 NASDAQ_micro caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:09:10.460 2024-02-09 15:09:10 140950.46 NaN 10217 RUSSELL caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:15:10.305 2024-02-09 15:15:10 141310.305 NaN 10220 RUSSELL caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:16:10.510 2024-02-09 15:16:10 141370.51 NaN 10213 RUSSELL caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:09:10.094 2024-02-09 15:09:10 140950.094 NaN 10207 RUSSELL caleb_strategy_v3 2024-02-08 00:00:00 2024-02-09 15:00:12.291 2024-02-09 15:00:12 140412.291 NaN 10240 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:13:29.187 2024-02-09 16:16:04 72809.187 154.813 10241 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:16:24.091 2024-02-09 16:17:27 72984.091 62.909 10242 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:17:27.577 2024-02-09 16:22:27 73047.577 299.423 10243 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:22:31.375 2024-02-09 16:23:41 73351.375 69.625 10244 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:23:42.440 2024-02-09 16:28:42 73422.44 299.56 10245 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:28:46.185 2024-02-09 16:28:46 73726.185 NaN 10246 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:28:46.781 2024-02-09 16:33:46 73726.781 299.219 10247 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:33:50.456 2024-02-09 16:33:50 74030.456 NaN 10248 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:33:51.129 2024-02-09 16:38:51 74031.129 299.871 10211 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:00:22.983 2024-02-09 15:03:50 68422.983 207.017 10212 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:03:51.014 2024-02-09 15:08:51 68631.014 299.986 10215 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:09:11.489 2024-02-09 15:14:11 68951.489 299.511 10216 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:14:12.077 2024-02-09 15:15:06 69252.077 53.923 10218 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:15:11.282 2024-02-09 15:15:11 69311.282 NaN 10219 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:15:11.956 2024-02-09 15:15:12 69311.956 0.044 10221 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:16:11.199 2024-02-09 15:21:11 69371.199 299.801 10222 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:21:11.785 2024-02-09 15:26:11 69671.785 299.215 10223 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:26:15.570 2024-02-09 15:31:15 69975.57 299.43 10224 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:31:16.182 2024-02-09 15:31:16 70276.182 NaN 10225 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:31:19.822 2024-02-09 15:33:40 70279.822 140.178 10226 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:33:40.910 2024-02-09 15:33:41 70420.91 0.09 10227 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:33:44.990 2024-02-09 15:34:16 70424.99 31.01 10228 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:34:16.838 2024-02-09 15:39:16 70456.838 299.162 10229 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:39:20.496 2024-02-09 15:39:20 70760.496 NaN 10230 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:39:21.164 2024-02-09 15:44:21 70761.164 299.836 10231 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:44:24.841 2024-02-09 15:44:24 71064.841 NaN 10232 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:44:25.444 2024-02-09 15:49:25 71065.444 299.556 10233 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:49:29.178 2024-02-09 15:49:29 71369.178 NaN 10234 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:49:29.838 2024-02-09 15:54:29 71369.838 299.162 10235 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:54:33.522 2024-02-09 15:58:30 71673.522 236.478 10236 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 15:58:31.121 2024-02-09 16:03:31 71911.121 299.879 10237 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:03:34.906 2024-02-09 16:07:18 72214.906 223.094 10238 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:07:18.906 2024-02-09 16:08:24 72438.906 65.094 10239 VIX _ROLL_PSEUDO_STRATEGY 2024-02-08 20:00:00 2024-02-09 16:08:28.599 2024-02-09 16:13:28 72508.599 299.401 ======================================================================================================================================================================================================================================= 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 10202 NIKKEI caleb_strategy_v3 [1] 37040.0 None 37052.5 37055.0 37050.0 37050.0 37060.0 -12.5 -2.5 -5.0 -10.0 NaN -7.5 10203 EUROSTX caleb_strategy_v3 [-1] 4721.0 None 4724.5 4724.0 4725.0 4725.0 4725.0 3.5 -0.5 1.0 -0.0 NaN 0.5 10204 EURIBOR-ICE caleb_strategy_v3 [-1] 97.675 None 97.6775 97.675 97.68 97.68 97.67 0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 10205 EURIBOR-ICE caleb_strategy_v3 [-1] 97.675 None 97.6725 97.67 97.675 97.675 97.675 -0.0025 -0.0025 0.005 -0.0 NaN 0.0025 10206 COCOA caleb_strategy_v3 [1] 5611.0 None 5592.5 5594.0 5591.0 5591.0 5593.0 18.5 -1.5 1.0 -2.0 NaN -0.5 10208 US5 caleb_strategy_v3 [-1] 107.289062 None 107.191406 107.1875 107.195312 107.195312 107.179688 -0.097656 -0.003906 -0.007812 -0.015625 NaN -0.011718 10210 EUR caleb_strategy_v3 [-1] 1.0792 None 1.07965 1.0796 1.0797 1.0797 1.0796 0.00045 -0.00005 -0.0 -0.0001 NaN -0.00005 10209 NASDAQ_micro caleb_strategy_v3 [1] 17867.25 None 17949.75 17950.0 17949.5 17949.5 17950.25 -82.5 -0.25 -0.25 -0.75 NaN -0.5 10214 NASDAQ_micro caleb_strategy_v3 [1] 17867.25 None 17950.375 17950.5 17950.25 NaN 17945.25 -83.125 -0.125 5.25 NaN NaN 5.125 10217 RUSSELL caleb_strategy_v3 [-1] 1986.6 None 1999.6 1999.5 1999.7 NaN 1993.0 13.0 -0.1 -6.5 NaN NaN -6.6 10220 RUSSELL caleb_strategy_v3 [-1] 1986.6 None 1991.7 1991.6 1991.8 1991.8 1991.8 5.1 -0.1 0.2 -0.0 NaN 0.1 10213 RUSSELL caleb_strategy_v3 [-1] 1986.6 None 1996.45 1996.4 1996.5 1996.5 1999.5 9.85 -0.05 3.1 3.0 NaN 3.05 10207 RUSSELL caleb_strategy_v3 [-1] 1986.6 None 1996.3 1996.2 1996.4 1996.4 1996.4 9.7 -0.1 0.2 -0.0 NaN 0.1 10240 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.95 -0.025 -0.025 0.05 -0.0 NaN 0.025 10241 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.5 0.025 -0.025 -0.05 -0.1 NaN -0.075 10242 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.975 15.95 16.0 16.0 15.95 0.025 -0.025 -0.0 -0.05 NaN -0.025 10243 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.475 15.5 15.45 15.45 15.45 -0.025 -0.025 0.05 0.0 NaN 0.025 10244 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.975 15.95 16.0 16.0 15.95 0.025 -0.025 -0.0 -0.05 NaN -0.025 10245 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.475 15.5 15.45 15.45 15.45 -0.025 -0.025 0.05 0.0 NaN 0.025 10246 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.975 15.95 16.0 16.0 15.95 0.025 -0.025 -0.0 -0.05 NaN -0.025 10247 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.5 0.025 -0.025 -0.05 -0.1 NaN -0.075 10248 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.975 15.95 16.0 16.0 15.95 0.025 -0.025 -0.0 -0.05 NaN -0.025 10211 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.375 15.4 15.35 15.35 15.35 0.075 -0.025 0.05 0.0 NaN 0.025 10212 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.875 15.85 15.9 15.9 15.85 -0.075 -0.025 -0.0 -0.05 NaN -0.025 10215 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.375 15.4 15.35 15.35 15.4 0.075 -0.025 0.0 -0.05 NaN -0.025 10216 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.875 15.85 15.9 15.9 15.9 -0.075 -0.025 0.05 -0.0 NaN 0.025 10218 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.375 15.4 15.35 15.35 15.45 0.075 -0.025 -0.05 -0.1 NaN -0.075 10219 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.875 15.85 15.9 15.9 15.9 -0.075 -0.025 0.05 -0.0 NaN 0.025 10221 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.45 0.025 -0.025 0.0 -0.05 NaN -0.025 10222 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.9 -0.025 -0.025 -0.0 -0.05 NaN -0.025 10223 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.45 0.025 -0.025 0.0 -0.05 NaN -0.025 10224 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.95 -0.025 -0.025 0.05 -0.0 NaN 0.025 10225 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.4 0.025 -0.025 0.05 0.0 NaN 0.025 10226 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.975 15.95 16.0 NaN 15.9 0.025 -0.025 -0.05 NaN NaN -0.075 10227 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.375 15.4 15.35 15.35 15.45 0.075 -0.025 -0.05 -0.1 NaN -0.075 10228 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.9 -0.025 -0.025 -0.0 -0.05 NaN -0.025 10229 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.4 15.45 15.35 15.35 15.45 0.05 -0.05 0.0 -0.1 NaN -0.05 10230 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.9 -0.025 -0.025 -0.0 -0.05 NaN -0.025 10231 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.4 0.025 -0.025 0.05 0.0 NaN 0.025 10232 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.9 -0.025 -0.025 -0.0 -0.05 NaN -0.025 10233 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.375 15.4 15.35 15.35 15.45 0.075 -0.025 -0.05 -0.1 NaN -0.075 10234 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.9 -0.025 -0.025 -0.0 -0.05 NaN -0.025 10235 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.4 0.025 -0.025 0.05 0.0 NaN 0.025 10236 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.9 -0.025 -0.025 -0.0 -0.05 NaN -0.025 10237 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.375 15.4 15.35 15.35 15.45 0.075 -0.025 -0.05 -0.1 NaN -0.075 10238 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.95 None 15.925 15.9 15.95 15.95 15.95 -0.025 -0.025 0.05 -0.0 NaN 0.025 10239 VIX _ROLL_PSEUDO_STRATEGY [1] 15.45 None 15.425 15.45 15.4 15.4 15.45 0.025 -0.025 0.0 -0.05 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 10202 NIKKEI caleb_strategy_v3 [1] 5469.048405 -22.855896 -4.571179 -9.142358 -18.284717 NaN -13.713537 10203 EUROSTX caleb_strategy_v3 [-1] 543.175356 64.435913 -9.20513 18.410261 -0.0 NaN 9.20513 10204 EURIBOR-ICE caleb_strategy_v3 [-1] 1.098376 22.760869 -22.760869 -45.521737 -91.043475 NaN -68.282606 10205 EURIBOR-ICE caleb_strategy_v3 [-1] 1.098376 -22.760869 -22.760869 45.521737 -0.0 NaN 22.760869 10206 COCOA caleb_strategy_v3 [1] 1362.215346 135.80819 -11.011475 7.340983 -14.681966 NaN -3.670492 10208 US5 caleb_strategy_v3 [-1] 5.550545 -175.939931 -7.037597 -14.074294 -28.149488 NaN -21.111891 10210 EUR caleb_strategy_v3 [-1] 0.068991 65.225697 -7.2473 -0.0 -14.494599 NaN -7.2473 10209 NASDAQ_micro caleb_strategy_v3 [1] 2706.993307 -304.766177 -0.923534 -0.923534 -2.770602 NaN -1.847068 10214 NASDAQ_micro caleb_strategy_v3 [1] 2706.993307 -307.075011 -0.461767 19.394211 NaN NaN 18.932444 10217 RUSSELL caleb_strategy_v3 [-1] 405.287485 320.759967 -2.467384 -160.379983 NaN NaN -162.847368 10220 RUSSELL caleb_strategy_v3 [-1] 405.287485 125.836602 -2.467384 4.934769 -0.0 NaN 2.467384 10213 RUSSELL caleb_strategy_v3 [-1] 405.287485 243.037359 -1.233692 76.488915 74.021531 NaN 75.255223 10207 RUSSELL caleb_strategy_v3 [-1] 405.287485 239.336283 -2.467384 4.934769 -0.0 NaN 2.467384 10240 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 83.096074 -0.0 NaN 41.548037 10241 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 -83.096074 -166.192148 NaN -124.644111 10242 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10243 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 -41.548037 -41.548037 83.096074 0.0 NaN 41.548037 10244 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10245 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 -41.548037 -41.548037 83.096074 0.0 NaN 41.548037 10246 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10247 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 -83.096074 -166.192148 NaN -124.644111 10248 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10211 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 124.644111 -41.548037 83.096074 0.0 NaN 41.548037 10212 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -124.644111 -41.548037 -0.0 -83.096074 NaN -41.548037 10215 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 124.644111 -41.548037 0.0 -83.096074 NaN -41.548037 10216 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -124.644111 -41.548037 83.096074 -0.0 NaN 41.548037 10218 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 124.644111 -41.548037 -83.096074 -166.192148 NaN -124.644111 10219 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -124.644111 -41.548037 83.096074 -0.0 NaN 41.548037 10221 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 0.0 -83.096074 NaN -41.548037 10222 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10223 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 0.0 -83.096074 NaN -41.548037 10224 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 83.096074 -0.0 NaN 41.548037 10225 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 83.096074 0.0 NaN 41.548037 10226 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 41.548037 -41.548037 -83.096074 NaN NaN -124.644111 10227 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 124.644111 -41.548037 -83.096074 -166.192148 NaN -124.644111 10228 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10229 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 83.096074 -83.096074 0.0 -166.192148 NaN -83.096074 10230 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10231 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 83.096074 0.0 NaN 41.548037 10232 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10233 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 124.644111 -41.548037 -83.096074 -166.192148 NaN -124.644111 10234 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10235 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 83.096074 0.0 NaN 41.548037 10236 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 -0.0 -83.096074 NaN -41.548037 10237 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 124.644111 -41.548037 -83.096074 -166.192148 NaN -124.644111 10238 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.017131 -41.548037 -41.548037 83.096074 -0.0 NaN 41.548037 10239 VIX _ROLL_PSEUDO_STRATEGY [1] 6.017131 41.548037 -41.548037 0.0 -83.096074 NaN -41.548037 ============================================================================================================================================================================ 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 10202 NIKKEI caleb_strategy_v3 [1] 0.669855 -8.37319 -1.674638 -3.349276 -6.698552 NaN -5.023914 10203 EUROSTX caleb_strategy_v3 [-1] 10.777 37.7195 -5.3885 10.777 -0.0 NaN 5.3885 10204 EURIBOR-ICE caleb_strategy_v3 [-1] 2694.25 6.735625 -6.735625 -13.47125 -26.9425 NaN -20.206875 10205 EURIBOR-ICE caleb_strategy_v3 [-1] 2694.25 -6.735625 -6.735625 13.47125 -0.0 NaN 6.735625 10206 COCOA caleb_strategy_v3 [1] 10.0 185.0 -15.0 10.0 -20.0 NaN -5.0 10208 US5 caleb_strategy_v3 [-1] 1000.0 -97.65625 -3.90625 -7.812 -15.6245 NaN -11.71825 10210 EUR caleb_strategy_v3 [-1] 125000.0 56.25 -6.25 -0.0 -12.5 NaN -6.25 10209 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -165.0 -0.5 -0.5 -1.5 NaN -1.0 10214 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -166.25 -0.25 10.5 NaN NaN 10.25 10217 RUSSELL caleb_strategy_v3 [-1] 5.0 65.0 -0.5 -32.5 NaN NaN -33.0 10220 RUSSELL caleb_strategy_v3 [-1] 5.0 25.5 -0.5 1.0 -0.0 NaN 0.5 10213 RUSSELL caleb_strategy_v3 [-1] 5.0 49.25 -0.25 15.5 15.0 NaN 15.25 10207 RUSSELL caleb_strategy_v3 [-1] 5.0 48.5 -0.5 1.0 -0.0 NaN 0.5 10240 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 10241 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 -50.0 -100.0 NaN -75.0 10242 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 10243 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 50.0 0.0 NaN 25.0 10244 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 10245 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 50.0 0.0 NaN 25.0 10246 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 10247 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 -50.0 -100.0 NaN -75.0 10248 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 10211 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 75.0 -25.0 50.0 0.0 NaN 25.0 10212 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -75.0 -25.0 -0.0 -50.0 NaN -25.0 10215 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 75.0 -25.0 0.0 -50.0 NaN -25.0 10216 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -75.0 -25.0 50.0 -0.0 NaN 25.0 10218 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 10219 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -75.0 -25.0 50.0 -0.0 NaN 25.0 10221 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 0.0 -50.0 NaN -25.0 10222 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 -0.0 -50.0 NaN -25.0 10223 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 0.0 -50.0 NaN -25.0 10224 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 10225 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 50.0 0.0 NaN 25.0 10226 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -50.0 NaN NaN -75.0 10227 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 10228 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 -0.0 -50.0 NaN -25.0 10229 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 50.0 -50.0 0.0 -100.0 NaN -50.0 10230 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 -0.0 -50.0 NaN -25.0 10231 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 50.0 0.0 NaN 25.0 10232 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 -0.0 -50.0 NaN -25.0 10233 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 10234 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 -0.0 -50.0 NaN -25.0 10235 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 50.0 0.0 NaN 25.0 10236 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 -0.0 -50.0 NaN -25.0 10237 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 10238 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 10239 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 0.0 -50.0 NaN -25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 325.0 caleb_strategy_v3 COCOA 185.0 EUR 56.25 EURIBOR-ICE 0.0 EUROSTX 37.7195 NASDAQ_micro -331.25 NIKKEI -8.37319 RUSSELL 188.25 US5 -97.65625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 325.0 caleb_strategy_v3 29.94006 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -875.0 caleb_strategy_v3 COCOA -15.0 EUR -6.25 EURIBOR-ICE -13.47125 EUROSTX -5.3885 NASDAQ_micro -0.75 NIKKEI -1.674638 RUSSELL -1.75 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -875.0 caleb_strategy_v3 -48.190638 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 200.0 caleb_strategy_v3 COCOA 10.0 EUR -0.0 EURIBOR-ICE 0.0 EUROSTX 10.777 NASDAQ_micro 10.0 NIKKEI -3.349276 RUSSELL -15.0 US5 -7.812 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 200.0 caleb_strategy_v3 4.615724 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1450.0 caleb_strategy_v3 COCOA -20.0 EUR -12.5 EURIBOR-ICE -26.9425 EUROSTX -0.0 NASDAQ_micro -1.5 NIKKEI -6.698552 RUSSELL 15.0 US5 -15.6245 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1450.0 caleb_strategy_v3 -68.265552 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 COCOA 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -675.0 caleb_strategy_v3 COCOA -5.0 EUR -6.25 EURIBOR-ICE -13.47125 EUROSTX 5.3885 NASDAQ_micro 9.25 NIKKEI -5.023914 RUSSELL -16.75 US5 -11.71825 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -675.0 caleb_strategy_v3 -43.574914 ******************************************************************************** END OF REPORT ********************************************************************************