******************************************************************************** Trades report produced on 29/02/2024 21:36 from 28/02/2024 21:36 to 29/02/2024 21:36 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10759 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:14:18 [-1] 117.50 10725 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:01:28 [1] 116.07 10726 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:01:29 [-1] 117.57 10728 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:02:28 [1] 116.04 10729 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:02:28 [-1] 117.54 10731 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:03:28 [1] 116.03 10732 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:03:29 [-1] 117.53 10734 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:04:28 [1] 116.02 10723 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:00:38 [-1] 117.59 10735 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:04:58 [-1] 117.54 10738 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:05:31 [-1] 117.52 10740 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:06:28 [1] 116.01 10741 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:06:28 [-1] 117.51 10743 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:07:28 [1] 115.99 10744 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:07:29 [-1] 117.49 10746 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:08:28 [1] 115.98 10747 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:08:31 [-1] 117.48 10737 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:05:30 [1] 116.01 10722 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:00:33 [1] 116.09 10750 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:09:50 [-1] 117.49 10758 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:14:17 [1] 116.00 10756 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:13:34 [-1] 117.49 10755 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:13:33 [1] 115.99 10753 BOBL _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:12:17 [-1] 117.50 10752 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:12:16 [1] 116.00 10749 BOBL _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:09:49 [1] 115.99 10721 BUND _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-29 08:00:31 [-1] 131.94 10720 BUND _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-29 08:00:29 [1] 132.33 10742 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:06:29 [-1] 7979.00 10748 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:08:39 [-1] 7978.00 10736 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:04:59 [-1] 7985.00 10733 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:03:29 [-1] 7986.50 10730 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:02:29 [-1] 7986.00 10727 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:01:29 [-1] 7980.00 10757 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:13:35 [-1] 7981.00 10724 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:00:40 [-1] 7984.00 10754 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:12:18 [-1] 7978.50 10751 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:12:13 [-1] 7980.00 10745 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:07:29 [-1] 7978.00 10739 CAC caleb_strategy_v3 [20240300] 2024-02-29 08:05:31 [-1] 7981.00 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10720 BUND _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:00:28.162 2024-02-29 08:00:29 43228.162 0.838 10721 BUND _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:00:30.105 2024-02-29 08:00:31 43230.105 0.895 10754 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:12:17.958 2024-02-29 08:12:18 76337.958 0.042 10724 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:00:39.837 2024-02-29 08:00:40 75639.837 0.163 10757 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:13:35.094 2024-02-29 08:13:35 76415.094 NaN 10727 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:01:29.618 2024-02-29 08:01:29 75689.618 NaN 10730 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:02:29.343 2024-02-29 08:02:29 75749.343 NaN 10733 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:03:29.630 2024-02-29 08:03:29 75809.63 NaN 10736 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:04:59.420 2024-02-29 08:04:59 75899.42 NaN 10739 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:05:31.798 2024-02-29 08:05:31 75931.798 NaN 10742 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:06:29.363 2024-02-29 08:06:29 75989.363 NaN 10745 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:07:29.645 2024-02-29 08:07:29 76049.645 NaN 10748 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:08:32.511 2024-02-29 08:08:39 76112.511 6.489 10751 CAC caleb_strategy_v3 2024-02-28 11:00:00 2024-02-29 08:09:51.299 2024-02-29 08:12:13 76191.299 141.701 10752 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:12:16.650 2024-02-29 08:12:16 43936.65 NaN 10753 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:12:17.308 2024-02-29 08:12:17 43937.308 NaN 10755 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:13:17.140 2024-02-29 08:13:33 43997.14 15.86 10756 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:13:34.388 2024-02-29 08:13:34 44014.388 NaN 10758 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:14:16.983 2024-02-29 08:14:17 44056.983 0.017 10759 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:14:17.887 2024-02-29 08:14:18 44057.887 0.113 10722 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:00:31.782 2024-02-29 08:00:33 43231.782 1.218 10723 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:00:34.570 2024-02-29 08:00:38 43234.57 3.43 10725 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:01:27.987 2024-02-29 08:01:28 43287.987 0.013 10726 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:01:28.673 2024-02-29 08:01:29 43288.673 0.327 10728 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:02:27.996 2024-02-29 08:02:28 43347.996 0.004 10729 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:02:28.649 2024-02-29 08:02:28 43348.649 NaN 10731 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:03:28.178 2024-02-29 08:03:28 43408.178 NaN 10732 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:03:28.857 2024-02-29 08:03:29 43408.857 0.143 10734 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:04:28.198 2024-02-29 08:04:28 43468.198 NaN 10735 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:04:28.883 2024-02-29 08:04:58 43468.883 29.117 10737 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:05:28.207 2024-02-29 08:05:30 43528.207 1.793 10738 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:05:30.979 2024-02-29 08:05:31 43530.979 0.021 10740 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:06:28.199 2024-02-29 08:06:28 43588.199 NaN 10741 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:06:28.705 2024-02-29 08:06:28 43588.705 NaN 10743 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:07:28.217 2024-02-29 08:07:28 43648.217 NaN 10744 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:07:28.736 2024-02-29 08:07:29 43648.736 0.264 10746 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:08:28.223 2024-02-29 08:08:28 43708.223 NaN 10747 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:08:28.909 2024-02-29 08:08:31 43708.909 2.091 10749 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:09:28.232 2024-02-29 08:09:49 43768.232 20.768 10750 BOBL _ROLL_PSEUDO_STRATEGY 2024-02-28 20:00:00 2024-02-29 08:09:49.432 2024-02-29 08:09:50 43789.432 0.568 ================================================================================================================================================================================================================================ 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 10720 BUND _ROLL_PSEUDO_STRATEGY [1] 132.29 None 132.335 132.34 132.33 132.33 132.33 -0.045 -0.005 0.01 0.0 NaN 0.005 10721 BUND _ROLL_PSEUDO_STRATEGY [-1] 131.9 None 131.95 131.94 131.96 131.96 131.94 0.05 -0.01 -0.0 -0.02 NaN -0.01 10754 CAC caleb_strategy_v3 [-1] 7962.0 None 7979.5 7979.0 7980.0 7980.0 7978.5 17.5 -0.5 -0.5 -1.5 NaN -1.0 10724 CAC caleb_strategy_v3 [-1] 7962.0 None 7978.75 7978.5 7979.0 7979.0 7984.0 16.75 -0.25 5.5 5.0 NaN 5.25 10757 CAC caleb_strategy_v3 [-1] 7962.0 None 7979.0 7978.5 7979.5 7979.5 7981.0 17.0 -0.5 2.5 1.5 NaN 2.0 10727 CAC caleb_strategy_v3 [-1] 7962.0 None 7978.75 7978.5 7979.0 7979.0 7980.0 16.75 -0.25 1.5 1.0 NaN 1.25 10730 CAC caleb_strategy_v3 [-1] 7962.0 None 7978.75 7978.5 7979.0 7979.0 7986.0 16.75 -0.25 7.5 7.0 NaN 7.25 10733 CAC caleb_strategy_v3 [-1] 7962.0 None 7978.75 7978.5 7979.0 7979.0 7986.5 16.75 -0.25 8.0 7.5 NaN 7.75 10736 CAC caleb_strategy_v3 [-1] 7962.0 None 7978.75 7978.5 7979.0 7979.0 7985.0 16.75 -0.25 6.5 6.0 NaN 6.25 10739 CAC caleb_strategy_v3 [-1] 7962.0 None 7977.5 7977.0 7978.0 7978.0 7981.0 15.5 -0.5 4.0 3.0 NaN 3.5 10742 CAC caleb_strategy_v3 [-1] 7962.0 None 7977.5 7977.0 7978.0 7978.0 7979.0 15.5 -0.5 2.0 1.0 NaN 1.5 10745 CAC caleb_strategy_v3 [-1] 7962.0 None 7977.5 7977.0 7978.0 7978.0 7978.0 15.5 -0.5 1.0 -0.0 NaN 0.5 10748 CAC caleb_strategy_v3 [-1] 7962.0 None 7977.5 7977.0 7978.0 7978.0 7978.0 15.5 -0.5 1.0 -0.0 NaN 0.5 10751 CAC caleb_strategy_v3 [-1] 7962.0 None 7979.5 7979.0 7980.0 7980.0 7980.0 17.5 -0.5 1.0 -0.0 NaN 0.5 10752 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 115.985 115.99 115.98 115.98 116.0 0.105 -0.005 -0.01 -0.02 NaN -0.015 10753 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.49 117.48 117.5 117.5 117.5 -0.11 -0.01 0.02 -0.0 NaN 0.01 10755 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 115.995 116.0 115.99 115.99 115.99 0.095 -0.005 0.01 0.0 NaN 0.005 10756 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.505 117.5 117.51 117.51 117.49 -0.095 -0.005 -0.01 -0.02 NaN -0.015 10758 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 115.985 115.99 115.98 NaN 116.0 0.105 -0.005 -0.01 NaN NaN -0.015 10759 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.495 117.49 117.5 117.5 117.5 -0.105 -0.005 0.01 -0.0 NaN 0.005 10722 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.095 116.1 116.09 116.09 116.09 -0.005 -0.005 0.01 0.0 NaN 0.005 10723 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.605 117.6 117.61 117.61 117.59 0.005 -0.005 -0.01 -0.02 NaN -0.015 10725 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.095 116.1 116.09 116.09 116.07 -0.005 -0.005 0.03 0.02 NaN 0.025 10726 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.595 117.59 117.6 117.6 117.57 -0.005 -0.005 -0.02 -0.03 NaN -0.025 10728 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.065 116.07 116.06 116.06 116.04 0.025 -0.005 0.03 0.02 NaN 0.025 10729 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.58 117.57 117.59 117.59 117.54 -0.02 -0.01 -0.03 -0.05 NaN -0.04 10731 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.035 116.04 116.03 116.03 116.03 0.055 -0.005 0.01 0.0 NaN 0.005 10732 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.545 117.54 117.55 117.55 117.53 -0.055 -0.005 -0.01 -0.02 NaN -0.015 10734 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.025 116.03 116.02 116.02 116.02 0.065 -0.005 0.01 0.0 NaN 0.005 10735 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.535 117.53 117.54 117.54 117.54 -0.065 -0.005 0.01 -0.0 NaN 0.005 10737 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.015 116.02 116.01 116.01 116.01 0.075 -0.005 0.01 0.0 NaN 0.005 10738 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.54 117.53 117.55 117.55 117.52 -0.06 -0.01 -0.01 -0.03 NaN -0.02 10740 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.015 116.02 116.01 116.01 116.01 0.075 -0.005 0.01 0.0 NaN 0.005 10741 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.525 117.52 117.53 117.53 117.51 -0.075 -0.005 -0.01 -0.02 NaN -0.015 10743 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 116.005 116.01 116.0 116.0 115.99 0.085 -0.005 0.02 0.01 NaN 0.015 10744 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.515 117.51 117.52 117.52 117.49 -0.085 -0.005 -0.02 -0.03 NaN -0.025 10746 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 115.985 115.99 115.98 115.98 115.98 0.105 -0.005 0.01 0.0 NaN 0.005 10747 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.495 117.49 117.5 117.5 117.48 -0.105 -0.005 -0.01 -0.02 NaN -0.015 10749 BOBL _ROLL_PSEUDO_STRATEGY [1] 116.09 None 115.975 115.98 115.97 115.97 115.99 0.115 -0.005 -0.01 -0.02 NaN -0.015 10750 BOBL _ROLL_PSEUDO_STRATEGY [-1] 117.6 None 117.485 117.48 117.49 117.49 117.49 -0.115 -0.005 0.01 -0.0 NaN 0.005 =================================================================================================================================================================== 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 10720 BUND _ROLL_PSEUDO_STRATEGY [1] 9.825851 -45.797559 -5.088618 10.177235 0.0 NaN 5.088618 10721 BUND _ROLL_PSEUDO_STRATEGY [-1] 9.825851 50.886177 -10.177235 -0.0 -20.354471 NaN -10.177235 10754 CAC caleb_strategy_v3 [-1] 840.289774 208.26149 -5.950328 -5.950328 -17.850985 NaN -11.900657 10724 CAC caleb_strategy_v3 [-1] 840.289774 199.335997 -2.975164 65.453611 59.503283 NaN 62.478447 10757 CAC caleb_strategy_v3 [-1] 840.289774 202.311161 -5.950328 29.751641 17.850985 NaN 23.801313 10727 CAC caleb_strategy_v3 [-1] 840.289774 199.335997 -2.975164 17.850985 11.900657 NaN 14.875821 10730 CAC caleb_strategy_v3 [-1] 840.289774 199.335997 -2.975164 89.254924 83.304596 NaN 86.27976 10733 CAC caleb_strategy_v3 [-1] 840.289774 199.335997 -2.975164 95.205252 89.254924 NaN 92.230088 10736 CAC caleb_strategy_v3 [-1] 840.289774 199.335997 -2.975164 77.354268 71.403939 NaN 74.379103 10739 CAC caleb_strategy_v3 [-1] 840.289774 184.460177 -5.950328 47.602626 35.70197 NaN 41.652298 10742 CAC caleb_strategy_v3 [-1] 840.289774 184.460177 -5.950328 23.801313 11.900657 NaN 17.850985 10745 CAC caleb_strategy_v3 [-1] 840.289774 184.460177 -5.950328 11.900657 -0.0 NaN 5.950328 10748 CAC caleb_strategy_v3 [-1] 840.289774 184.460177 -5.950328 11.900657 -0.0 NaN 5.950328 10751 CAC caleb_strategy_v3 [-1] 840.289774 208.26149 -5.950328 11.900657 -0.0 NaN 5.950328 10752 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 207.789581 -9.894742 -19.789484 -39.578968 NaN -29.684226 10753 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -217.684323 -19.789484 39.578968 -0.0 NaN 19.789484 10755 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 188.000097 -9.894742 19.789484 0.0 NaN 9.894742 10756 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -188.000097 -9.894742 -19.789484 -39.578968 NaN -29.684226 10758 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 207.789581 -9.894742 -19.789484 NaN NaN -29.684226 10759 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -207.789581 -9.894742 19.789484 -0.0 NaN 9.894742 10722 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 -9.894742 -9.894742 19.789484 0.0 NaN 9.894742 10723 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 9.894742 -9.894742 -19.789484 -39.578968 NaN -29.684226 10725 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 -9.894742 -9.894742 59.368452 39.578968 NaN 49.47371 10726 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -9.894742 -9.894742 -39.578968 -59.368452 NaN -49.47371 10728 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 49.47371 -9.894742 59.368452 39.578968 NaN 49.47371 10729 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -39.578968 -19.789484 -59.368452 -98.94742 NaN -79.157936 10731 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 108.842161 -9.894742 19.789484 0.0 NaN 9.894742 10732 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -108.842161 -9.894742 -19.789484 -39.578968 NaN -29.684226 10734 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 128.631645 -9.894742 19.789484 0.0 NaN 9.894742 10735 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -128.631645 -9.894742 19.789484 -0.0 NaN 9.894742 10737 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 148.421129 -9.894742 19.789484 0.0 NaN 9.894742 10738 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -118.736903 -19.789484 -19.789484 -59.368452 NaN -39.578968 10740 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 148.421129 -9.894742 19.789484 0.0 NaN 9.894742 10741 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -148.421129 -9.894742 -19.789484 -39.578968 NaN -29.684226 10743 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 168.210613 -9.894742 39.578968 19.789484 NaN 29.684226 10744 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -168.210613 -9.894742 -39.578968 -59.368452 NaN -49.47371 10746 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 207.789581 -9.894742 19.789484 0.0 NaN 9.894742 10747 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -207.789581 -9.894742 -19.789484 -39.578968 NaN -29.684226 10749 BOBL _ROLL_PSEUDO_STRATEGY [1] 5.053189 227.579065 -9.894742 -19.789484 -39.578968 NaN -29.684226 10750 BOBL _ROLL_PSEUDO_STRATEGY [-1] 5.053189 -227.579065 -9.894742 19.789484 -0.0 NaN 9.894742 ============================================================================================================================================================================= 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 10720 BUND _ROLL_PSEUDO_STRATEGY [1] 1083.55 -48.75975 -5.41775 10.8355 0.0 NaN 5.41775 10721 BUND _ROLL_PSEUDO_STRATEGY [-1] 1083.55 54.1775 -10.8355 -0.0 -21.671 NaN -10.8355 10754 CAC caleb_strategy_v3 [-1] 10.8355 189.62125 -5.41775 -5.41775 -16.25325 NaN -10.8355 10724 CAC caleb_strategy_v3 [-1] 10.8355 181.494625 -2.708875 59.59525 54.1775 NaN 56.886375 10757 CAC caleb_strategy_v3 [-1] 10.8355 184.2035 -5.41775 27.08875 16.25325 NaN 21.671 10727 CAC caleb_strategy_v3 [-1] 10.8355 181.494625 -2.708875 16.25325 10.8355 NaN 13.544375 10730 CAC caleb_strategy_v3 [-1] 10.8355 181.494625 -2.708875 81.26625 75.8485 NaN 78.557375 10733 CAC caleb_strategy_v3 [-1] 10.8355 181.494625 -2.708875 86.684 81.26625 NaN 83.975125 10736 CAC caleb_strategy_v3 [-1] 10.8355 181.494625 -2.708875 70.43075 65.013 NaN 67.721875 10739 CAC caleb_strategy_v3 [-1] 10.8355 167.95025 -5.41775 43.342 32.5065 NaN 37.92425 10742 CAC caleb_strategy_v3 [-1] 10.8355 167.95025 -5.41775 21.671 10.8355 NaN 16.25325 10745 CAC caleb_strategy_v3 [-1] 10.8355 167.95025 -5.41775 10.8355 -0.0 NaN 5.41775 10748 CAC caleb_strategy_v3 [-1] 10.8355 167.95025 -5.41775 10.8355 -0.0 NaN 5.41775 10751 CAC caleb_strategy_v3 [-1] 10.8355 189.62125 -5.41775 10.8355 -0.0 NaN 5.41775 10752 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 113.77275 -5.41775 -10.8355 -21.671 NaN -16.25325 10753 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -119.1905 -10.8355 21.671 -0.0 NaN 10.8355 10755 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 102.93725 -5.41775 10.8355 0.0 NaN 5.41775 10756 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -102.93725 -5.41775 -10.8355 -21.671 NaN -16.25325 10758 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 113.77275 -5.41775 -10.8355 NaN NaN -16.25325 10759 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -113.77275 -5.41775 10.8355 -0.0 NaN 5.41775 10722 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 -5.41775 -5.41775 10.8355 0.0 NaN 5.41775 10723 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 5.41775 -5.41775 -10.8355 -21.671 NaN -16.25325 10725 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 -5.41775 -5.41775 32.5065 21.671 NaN 27.08875 10726 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -5.41775 -5.41775 -21.671 -32.5065 NaN -27.08875 10728 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 27.08875 -5.41775 32.5065 21.671 NaN 27.08875 10729 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -21.671 -10.8355 -32.5065 -54.1775 NaN -43.342 10731 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 59.59525 -5.41775 10.8355 0.0 NaN 5.41775 10732 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -59.59525 -5.41775 -10.8355 -21.671 NaN -16.25325 10734 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 70.43075 -5.41775 10.8355 0.0 NaN 5.41775 10735 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -70.43075 -5.41775 10.8355 -0.0 NaN 5.41775 10737 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 81.26625 -5.41775 10.8355 0.0 NaN 5.41775 10738 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -65.013 -10.8355 -10.8355 -32.5065 NaN -21.671 10740 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 81.26625 -5.41775 10.8355 0.0 NaN 5.41775 10741 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -81.26625 -5.41775 -10.8355 -21.671 NaN -16.25325 10743 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 92.10175 -5.41775 21.671 10.8355 NaN 16.25325 10744 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -92.10175 -5.41775 -21.671 -32.5065 NaN -27.08875 10746 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 113.77275 -5.41775 10.8355 0.0 NaN 5.41775 10747 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -113.77275 -5.41775 -10.8355 -21.671 NaN -16.25325 10749 BOBL _ROLL_PSEUDO_STRATEGY [1] 1083.55 124.60825 -5.41775 -10.8355 -21.671 NaN -16.25325 10750 BOBL _ROLL_PSEUDO_STRATEGY [-1] 1083.55 -124.60825 -5.41775 10.8355 -0.0 NaN 5.41775 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 5.41775 BUND 5.41775 caleb_strategy_v3 CAC 2142.720125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.8355 caleb_strategy_v3 2142.720125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -157.11475 BUND -16.25325 caleb_strategy_v3 CAC -51.468625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -173.368 caleb_strategy_v3 -51.468625 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 43.342 BUND 10.8355 caleb_strategy_v3 CAC 433.42 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 54.1775 caleb_strategy_v3 433.42 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -249.2165 BUND -21.671 caleb_strategy_v3 CAC 330.48275 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -270.8875 caleb_strategy_v3 330.48275 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 0 BUND 0 caleb_strategy_v3 CAC 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 BOBL -113.77275 BUND -5.41775 caleb_strategy_v3 CAC 381.951375 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -119.1905 caleb_strategy_v3 381.951375 ******************************************************************************** END OF REPORT ********************************************************************************