******************************************************************************** Trades report produced on 15/03/2024 21:37 from 14/03/2024 21:37 to 15/03/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11293 CHF caleb_strategy_v3 [20240600] 2024-03-15 15:00:10 [1] 1.143550 11285 COCOA caleb_strategy_v3 [20240700] 2024-03-15 14:00:59 [1] 6966.000000 11289 COPPER caleb_strategy_v3 [20240700] 2024-03-15 14:01:59 [1] 4.117000 11287 COPPER caleb_strategy_v3 [20240700] 2024-03-15 14:01:01 [1] 4.118500 11286 COTTON2 caleb_strategy_v3 [20240500] 2024-03-15 14:01:00 [-1] 93.960000 11290 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-15 14:01:59 [-1] 75.900000 11288 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-15 14:01:02 [-1] 75.910000 11281 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-15 09:02:40 [-1] 97.555000 11282 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-15 09:05:21 [-1] 97.550000 11283 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-15 09:10:25 [-1] 97.550000 11284 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-15 09:12:20 [-1] 97.545000 11280 EUROSTX caleb_strategy_v3 [20240600] 2024-03-15 08:00:35 [1] 4948.000000 11298 JPY caleb_strategy_v3 [20240600] 2024-03-15 15:02:03 [1] 0.006808 11324 LIVECOW caleb_strategy_v3 [20240600] 2024-03-15 15:35:11 [1] 183.700000 11295 MXP caleb_strategy_v3 [20240600] 2024-03-15 15:00:24 [1] 0.059020 11291 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-15 15:00:04 [-1] 18123.250000 11301 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-15 15:06:32 [-1] 18115.000000 11278 NIKKEI caleb_strategy_v3 [20240600] 2024-03-15 03:03:17 [-1] 38500.000000 11277 NIKKEI caleb_strategy_v3 [20240600] 2024-03-15 03:02:24 [-1] 38500.000000 11279 NIKKEI caleb_strategy_v3 [20240600] 2024-03-15 03:04:21 [-1] 38505.000000 11276 NIKKEI caleb_strategy_v3 [20240600] 2024-03-15 03:01:51 [-1] 38495.000000 11333 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:44:55 [-1] 2062.100000 11327 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:41:17 [-1] 2063.100000 11294 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:00:12 [-1] 2064.200000 11322 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:34:57 [-1] 2062.700000 11318 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:28:33 [-1] 2063.000000 11310 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:13:23 [-1] 2061.000000 11306 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:08:17 [-1] 2061.800000 11336 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:45:55 [-1] 2062.000000 11302 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:06:33 [-1] 2063.100000 11314 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:18:51 [-1] 2060.500000 11330 RUSSELL caleb_strategy_v3 [20240600] 2024-03-15 15:43:55 [-1] 2061.300000 11323 SP500_micro caleb_strategy_v3 [20240600] 2024-03-15 15:34:58 [1] 5188.000000 11319 SP500_micro caleb_strategy_v3 [20240600] 2024-03-15 15:28:34 [1] 5192.000000 11315 SP500_micro caleb_strategy_v3 [20240600] 2024-03-15 15:18:52 [1] 5188.500000 11311 SP500_micro caleb_strategy_v3 [20240600] 2024-03-15 15:13:24 [1] 5192.250000 11307 SP500_micro caleb_strategy_v3 [20240600] 2024-03-15 15:08:17 [1] 5191.000000 11303 SP500_micro caleb_strategy_v3 [20240600] 2024-03-15 15:06:34 [1] 5193.000000 11296 SP500_micro caleb_strategy_v3 [20240600] 2024-03-15 15:00:25 [1] 5196.000000 11292 US30 caleb_strategy_v3 [20240600] 2024-03-15 15:00:08 [-1] 126.562500 11297 US5 caleb_strategy_v3 [20240600] 2024-03-15 15:01:52 [-1] 106.539063 11334 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:44:59 [1] 16.500000 11335 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:45:00 [-1] 17.050000 11337 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:48:00 [1] 16.550000 11338 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:48:25 [-1] 17.100000 11339 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:52:49 [1] 16.500000 11340 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:52:51 [-1] 17.050000 11344 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:58:46 [-1] 17.150000 11342 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:53:03 [-1] 17.100000 11343 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:58:14 [1] 16.600000 11332 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:44:43 [-1] 17.050000 11345 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:59:13 [1] 16.550000 11346 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 16:00:36 [-1] 17.150000 11347 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 16:01:37 [1] 16.550000 11341 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:53:03 [1] 16.550000 11331 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:44:42 [1] 16.450000 11321 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:34:53 [-1] 17.000000 11328 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:43:50 [1] 16.500000 11348 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 16:02:48 [-1] 17.150000 11299 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:04:41 [1] 16.400000 11300 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:06:15 [-1] 16.950000 11304 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:08:12 [1] 16.400000 11305 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:08:13 [-1] 17.000000 11308 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:08:18 [1] 16.450000 11329 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:43:51 [-1] 17.050000 11309 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:13:19 [-1] 17.000000 11313 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:18:47 [-1] 17.000000 11316 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:23:53 [1] 16.450000 11317 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:28:29 [-1] 16.950000 11320 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:33:34 [1] 16.400000 11325 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:36:12 [1] 16.450000 11326 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-15 15:41:13 [-1] 17.000000 11312 VIX _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-15 15:13:47 [1] 16.450000 11349 VIX caleb_strategy_v3 [20240600] 2024-03-15 16:07:54 [-1] 17.100000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11276 NIKKEI caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 03:01:16.610 2024-03-15 03:01:51 97276.61 34.39 11277 NIKKEI caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 03:02:16.630 2024-03-15 03:02:24 97336.63 7.37 11278 NIKKEI caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 03:03:17.221 2024-03-15 03:03:17 97397.221 NaN 11279 NIKKEI caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 03:04:17.284 2024-03-15 03:04:21 97457.284 3.716 11280 EUROSTX caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 08:00:34.626 2024-03-15 08:00:35 115234.626 0.374 11281 EURIBOR-ICE caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 09:00:37.407 2024-03-15 09:02:40 118837.407 122.593 11282 EURIBOR-ICE caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 09:02:43.957 2024-03-15 09:05:21 118963.957 157.043 11283 EURIBOR-ICE caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 09:05:25.044 2024-03-15 09:10:25 119125.044 299.956 11284 EURIBOR-ICE caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 09:10:28.824 2024-03-15 09:12:20 119428.824 111.176 11285 COCOA caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 14:00:59.047 2024-03-15 14:00:59 136859.047 NaN 11286 COTTON2 caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 14:01:00.547 2024-03-15 14:01:00 136860.547 NaN 11289 COPPER caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 14:01:59.028 2024-03-15 14:01:59 136919.028 NaN 11287 COPPER caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 14:01:01.496 2024-03-15 14:01:01 136861.496 NaN 11288 CRUDE_W caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 14:01:02.106 2024-03-15 14:01:02 136862.106 NaN 11290 CRUDE_W caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 14:01:59.589 2024-03-15 14:01:59 136919.589 NaN 11292 US30 caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:00:05.152 2024-03-15 15:00:08 140405.152 2.848 11293 CHF caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:00:09.855 2024-03-15 15:00:10 140409.855 0.145 11295 MXP caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:00:12.911 2024-03-15 15:00:24 140412.911 11.089 11297 US5 caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:00:26.495 2024-03-15 15:01:52 140426.495 85.505 11298 JPY caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:01:53.146 2024-03-15 15:02:03 140513.146 9.854 11291 NASDAQ_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:00:04.034 2024-03-15 15:00:04 140404.034 NaN 11301 NASDAQ_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:06:32.620 2024-03-15 15:06:32 140792.62 NaN 11296 SP500_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:00:25.098 2024-03-15 15:00:25 140425.098 NaN 11303 SP500_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:06:33.970 2024-03-15 15:06:34 140793.97 0.03 11307 SP500_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:08:17.922 2024-03-15 15:08:17 140897.922 NaN 11311 SP500_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:13:23.890 2024-03-15 15:13:24 141203.89 0.11 11315 SP500_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:18:52.479 2024-03-15 15:18:52 141532.479 NaN 11319 SP500_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:28:34.202 2024-03-15 15:28:34 142114.202 NaN 11323 SP500_micro caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:34:57.976 2024-03-15 15:34:58 142497.976 0.024 11324 LIVECOW caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:34:58.994 2024-03-15 15:35:11 142498.994 12.006 11330 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:43:55.201 2024-03-15 15:43:55 143035.201 NaN 11333 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:44:55.282 2024-03-15 15:44:55 143095.282 NaN 11302 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:06:33.290 2024-03-15 15:06:33 140793.29 NaN 11336 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:45:55.183 2024-03-15 15:45:55 143155.183 NaN 11306 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:08:17.254 2024-03-15 15:08:17 140897.254 NaN 11310 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:13:23.213 2024-03-15 15:13:23 141203.213 NaN 11314 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:18:51.767 2024-03-15 15:18:51 141531.767 NaN 11318 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:28:33.591 2024-03-15 15:28:33 142113.591 NaN 11322 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:34:57.455 2024-03-15 15:34:57 142497.455 NaN 11294 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:00:11.706 2024-03-15 15:00:12 140411.706 0.294 11327 RUSSELL caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 15:41:17.202 2024-03-15 15:41:17 142877.202 NaN 11299 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:02:05.278 2024-03-15 15:04:41 68525.278 155.722 11300 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:04:42.259 2024-03-15 15:06:15 68682.259 92.741 11304 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:06:34.538 2024-03-15 15:08:12 68794.538 97.462 11305 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:08:13.442 2024-03-15 15:08:13 68893.442 NaN 11308 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:08:18.343 2024-03-15 15:08:18 68898.343 NaN 11309 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:08:19.301 2024-03-15 15:13:19 68899.301 299.699 11312 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:13:24.571 2024-03-15 15:13:47 69204.571 22.429 11313 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:13:47.891 2024-03-15 15:18:47 69227.891 299.109 11316 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:18:53.045 2024-03-15 15:23:53 69533.045 299.955 11317 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:23:53.623 2024-03-15 15:28:29 69833.623 275.377 11320 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:28:34.869 2024-03-15 15:33:34 70114.869 299.131 11321 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:33:35.443 2024-03-15 15:34:53 70415.443 77.557 11325 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:35:12.287 2024-03-15 15:36:12 70512.287 59.713 11326 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:36:13.173 2024-03-15 15:41:13 70573.173 299.827 11328 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:41:17.771 2024-03-15 15:43:50 70877.771 152.229 11329 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:43:51.312 2024-03-15 15:43:51 71031.312 NaN 11331 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:43:55.746 2024-03-15 15:44:42 71035.746 46.254 11332 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:44:43.091 2024-03-15 15:44:43 71083.091 NaN 11334 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:44:55.859 2024-03-15 15:44:59 71095.859 3.141 11335 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:45:00.175 2024-03-15 15:45:00 71100.175 NaN 11337 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:45:55.881 2024-03-15 15:48:00 71155.881 124.119 11338 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:48:00.740 2024-03-15 15:48:25 71280.74 24.26 11339 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:48:29.542 2024-03-15 15:52:49 71309.542 259.458 11340 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:52:50.148 2024-03-15 15:52:51 71570.148 0.852 11341 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:52:55.699 2024-03-15 15:53:03 71575.699 7.301 11342 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:53:03.523 2024-03-15 15:53:03 71583.523 NaN 11343 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:53:55.772 2024-03-15 15:58:14 71635.772 258.228 11344 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:58:15.201 2024-03-15 15:58:46 71895.201 30.799 11345 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:58:50.681 2024-03-15 15:59:13 71930.681 22.319 11346 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 15:59:14.285 2024-03-15 16:00:36 71954.285 81.715 11347 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 16:00:40.503 2024-03-15 16:01:37 72040.503 56.497 11348 VIX _ROLL_PSEUDO_STRATEGY 2024-03-14 20:00:00 2024-03-15 16:01:38.517 2024-03-15 16:02:48 72098.517 69.483 11349 VIX caleb_strategy_v3 2024-03-14 00:00:00 2024-03-15 16:02:53.949 2024-03-15 16:07:54 144173.949 300.051 ======================================================================================================================================================================================================================================== 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 11276 NIKKEI caleb_strategy_v3 [-1] 38290.0 None 38492.5 38490.0 38495.0 38495.0 38495.0 202.5 -2.5 5.0 -0.0 NaN 2.5 11277 NIKKEI caleb_strategy_v3 [-1] 38290.0 None 38497.5 38495.0 38500.0 38500.0 38500.0 207.5 -2.5 5.0 -0.0 NaN 2.5 11278 NIKKEI caleb_strategy_v3 [-1] 38290.0 None 38497.5 38495.0 38500.0 38500.0 38500.0 207.5 -2.5 5.0 -0.0 NaN 2.5 11279 NIKKEI caleb_strategy_v3 [-1] 38290.0 None 38502.5 38500.0 38505.0 38505.0 38505.0 212.5 -2.5 5.0 -0.0 NaN 2.5 11280 EUROSTX caleb_strategy_v3 [1] 4947.0 None 4948.5 4949.0 4948.0 4948.0 4948.0 -1.5 -0.5 1.0 0.0 NaN 0.5 11281 EURIBOR-ICE caleb_strategy_v3 [-1] 97.565 None 97.5525 97.55 97.555 97.555 97.555 -0.0125 -0.0025 0.005 -0.0 NaN 0.0025 11282 EURIBOR-ICE caleb_strategy_v3 [-1] 97.565 None 97.555 97.55 97.56 97.56 97.55 -0.01 -0.005 -0.0 -0.01 NaN -0.005 11283 EURIBOR-ICE caleb_strategy_v3 [-1] 97.565 None 97.5525 97.55 97.555 97.555 97.55 -0.0125 -0.0025 -0.0 -0.005 NaN -0.0025 11284 EURIBOR-ICE caleb_strategy_v3 [-1] 97.565 None 97.5525 97.55 97.555 97.555 97.545 -0.0125 -0.0025 -0.005 -0.01 NaN -0.0075 11285 COCOA caleb_strategy_v3 [1] 6828.0 None 6962.0 6966.0 6958.0 6958.0 6966.0 -134.0 -4.0 0.0 -8.0 NaN -4.0 11286 COTTON2 caleb_strategy_v3 [-1] 93.65 None 93.985 93.96 94.01 94.01 93.96 0.335 -0.025 -0.0 -0.05 NaN -0.025 11289 COPPER caleb_strategy_v3 [1] 4.0715 None 4.11675 4.117 4.1165 4.1165 4.117 -0.04525 -0.00025 0.0 -0.0005 NaN -0.00025 11287 COPPER caleb_strategy_v3 [1] 4.0715 None 4.118 4.1185 4.1175 NaN 4.1185 -0.0465 -0.0005 0.0 NaN NaN -0.0005 11288 CRUDE_W caleb_strategy_v3 [-1] 75.91 None 75.92 75.91 75.93 NaN 75.91 0.01 -0.01 -0.0 NaN NaN -0.01 11290 CRUDE_W caleb_strategy_v3 [-1] 75.91 None 75.91 75.9 75.92 NaN 75.9 -0.0 -0.01 -0.0 NaN NaN -0.01 11292 US30 caleb_strategy_v3 [-1] 126.6875 None 126.609375 126.59375 126.625 126.625 126.5625 -0.078125 -0.015625 -0.03125 -0.0625 NaN -0.046875 11293 CHF caleb_strategy_v3 [1] 1.1431 None 1.1435 1.14355 1.14345 1.14345 1.14355 -0.0004 -0.00005 0.0 -0.0001 NaN -0.00005 11295 MXP caleb_strategy_v3 [1] 0.05905 None 0.059025 0.05903 0.05902 0.05902 0.05902 0.000025 -0.000005 0.00001 0.0 NaN 0.000005 11297 US5 caleb_strategy_v3 [-1] 106.726562 None 106.550781 106.546875 106.554688 106.554688 106.539063 -0.175781 -0.003906 -0.007812 -0.015625 NaN -0.011718 11298 JPY caleb_strategy_v3 [1] 0.006843 None 0.006807 0.006808 0.006807 0.006807 0.006808 0.000036 -0.0 -0.0 -0.000001 NaN -0.000001 11291 NASDAQ_micro caleb_strategy_v3 [-1] 18269.0 None 18124.25 18124.0 18124.5 18124.5 18123.25 -144.75 -0.25 -0.75 -1.25 NaN -1.0 11301 NASDAQ_micro caleb_strategy_v3 [-1] 18269.0 None 18123.375 18123.25 18123.5 18123.5 18115.0 -145.625 -0.125 -8.25 -8.5 NaN -8.375 11296 SP500_micro caleb_strategy_v3 [1] 5218.5 None 5195.875 5196.0 5195.75 5195.75 5196.0 22.625 -0.125 0.0 -0.25 NaN -0.125 11303 SP500_micro caleb_strategy_v3 [1] 5218.5 None 5195.875 5196.0 5195.75 5195.75 5193.0 22.625 -0.125 3.0 2.75 NaN 2.875 11307 SP500_micro caleb_strategy_v3 [1] 5218.5 None 5192.875 5193.0 5192.75 5192.75 5191.0 25.625 -0.125 2.0 1.75 NaN 1.875 11311 SP500_micro caleb_strategy_v3 [1] 5218.5 None 5190.875 5191.0 5190.75 5190.75 5192.25 27.625 -0.125 -1.25 -1.5 NaN -1.375 11315 SP500_micro caleb_strategy_v3 [1] 5218.5 None 5192.125 5192.25 5192.0 5192.0 5188.5 26.375 -0.125 3.75 3.5 NaN 3.625 11319 SP500_micro caleb_strategy_v3 [1] 5218.5 None 5188.375 5188.5 5188.25 5188.25 5192.0 30.125 -0.125 -3.5 -3.75 NaN -3.625 11323 SP500_micro caleb_strategy_v3 [1] 5218.5 None 5191.875 5192.0 5191.75 5191.75 5188.0 26.625 -0.125 4.0 3.75 NaN 3.875 11324 LIVECOW caleb_strategy_v3 [1] 183.6 None 183.625 183.65 183.6 183.6 183.7 -0.025 -0.025 -0.05 -0.1 NaN -0.075 11330 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2063.15 2063.1 2063.2 2063.2 2061.3 4.75 -0.05 -1.8 -1.9 NaN -1.85 11333 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2061.35 2061.3 2061.4 2061.4 2062.1 2.95 -0.05 0.8 0.7 NaN 0.75 11302 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2064.25 2064.2 2064.3 2064.3 2063.1 5.85 -0.05 -1.1 -1.2 NaN -1.15 11336 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2062.2 2062.1 2062.3 2062.3 2062.0 3.8 -0.1 -0.1 -0.3 NaN -0.2 11306 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2063.15 2063.1 2063.2 2063.2 2061.8 4.75 -0.05 -1.3 -1.4 NaN -1.35 11310 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2061.85 2061.8 2061.9 2061.9 2061.0 3.45 -0.05 -0.8 -0.9 NaN -0.85 11314 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2061.05 2061.0 2061.1 2061.1 2060.5 2.65 -0.05 -0.5 -0.6 NaN -0.55 11318 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2060.65 2060.6 2060.7 2060.7 2063.0 2.25 -0.05 2.4 2.3 NaN 2.35 11322 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2063.1 2063.0 2063.2 2063.2 2062.7 4.7 -0.1 -0.3 -0.5 NaN -0.4 11294 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2064.35 2064.3 2064.4 2064.4 2064.2 5.95 -0.05 -0.1 -0.2 NaN -0.15 11327 RUSSELL caleb_strategy_v3 [-1] 2058.4 None 2062.75 2062.7 2062.8 2062.8 2063.1 4.35 -0.05 0.4 0.3 NaN 0.35 11299 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.425 16.45 16.4 16.4 16.4 -0.225 -0.025 0.05 0.0 NaN 0.025 11300 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.025 17.0 17.05 17.05 16.95 0.225 -0.025 -0.05 -0.1 NaN -0.075 11304 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.375 16.4 16.35 16.35 16.4 -0.175 -0.025 0.0 -0.05 NaN -0.025 11305 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 16.975 16.95 17.0 17.0 17.0 0.175 -0.025 0.05 -0.0 NaN 0.025 11308 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.375 16.4 16.35 NaN 16.45 -0.175 -0.025 -0.05 NaN NaN -0.075 11309 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.025 17.0 17.05 17.05 17.0 0.225 -0.025 -0.0 -0.05 NaN -0.025 11312 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.375 16.4 16.35 16.35 16.45 -0.175 -0.025 -0.05 -0.1 NaN -0.075 11313 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.025 17.0 17.05 17.05 17.0 0.225 -0.025 -0.0 -0.05 NaN -0.025 11316 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.425 16.45 16.4 16.4 16.45 -0.225 -0.025 0.0 -0.05 NaN -0.025 11317 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.025 17.0 17.05 17.05 16.95 0.225 -0.025 -0.05 -0.1 NaN -0.075 11320 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.375 16.4 16.35 16.35 16.4 -0.175 -0.025 0.0 -0.05 NaN -0.025 11321 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 16.975 16.95 17.0 17.0 17.0 0.175 -0.025 0.05 -0.0 NaN 0.025 11325 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.375 16.4 16.35 16.35 16.45 -0.175 -0.025 -0.05 -0.1 NaN -0.075 11326 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.025 17.0 17.05 17.05 17.0 0.225 -0.025 -0.0 -0.05 NaN -0.025 11328 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.425 16.45 16.4 16.4 16.5 -0.225 -0.025 -0.05 -0.1 NaN -0.075 11329 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.025 17.0 17.05 17.05 17.05 0.225 -0.025 0.05 -0.0 NaN 0.025 11331 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.475 16.5 16.45 16.45 16.45 -0.275 -0.025 0.05 0.0 NaN 0.025 11332 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.075 17.05 17.1 17.1 17.05 0.275 -0.025 -0.0 -0.05 NaN -0.025 11334 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.425 16.45 16.4 16.4 16.5 -0.225 -0.025 -0.05 -0.1 NaN -0.075 11335 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.075 17.05 17.1 NaN 17.05 0.275 -0.025 -0.0 NaN NaN -0.025 11337 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.475 16.5 16.45 16.45 16.55 -0.275 -0.025 -0.05 -0.1 NaN -0.075 11338 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.075 17.05 17.1 17.1 17.1 0.275 -0.025 0.05 -0.0 NaN 0.025 11339 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.525 16.55 16.5 16.5 16.5 -0.325 -0.025 0.05 0.0 NaN 0.025 11340 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.1 17.05 17.15 17.15 17.05 0.3 -0.05 -0.0 -0.1 NaN -0.05 11341 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.475 16.5 16.45 16.45 16.55 -0.275 -0.025 -0.05 -0.1 NaN -0.075 11342 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.125 17.1 17.15 NaN 17.1 0.325 -0.025 -0.0 NaN NaN -0.025 11343 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.525 16.55 16.5 16.5 16.6 -0.325 -0.025 -0.05 -0.1 NaN -0.075 11344 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.125 17.1 17.15 17.15 17.15 0.325 -0.025 0.05 -0.0 NaN 0.025 11345 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.575 16.6 16.55 16.55 16.55 -0.375 -0.025 0.05 0.0 NaN 0.025 11346 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.125 17.1 17.15 17.15 17.15 0.325 -0.025 0.05 -0.0 NaN 0.025 11347 VIX _ROLL_PSEUDO_STRATEGY [1] 16.2 None 16.575 16.6 16.55 16.55 16.55 -0.375 -0.025 0.05 0.0 NaN 0.025 11348 VIX _ROLL_PSEUDO_STRATEGY [-1] 16.8 None 17.125 17.1 17.15 17.15 17.15 0.325 -0.025 0.05 -0.0 NaN 0.025 11349 VIX caleb_strategy_v3 [-1] 16.8 None 17.125 17.1 17.15 17.15 17.1 0.325 -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 11276 NIKKEI caleb_strategy_v3 [-1] 6655.228137 304.272064 -3.756445 7.51289 -0.0 NaN 3.756445 11277 NIKKEI caleb_strategy_v3 [-1] 6655.228137 311.784954 -3.756445 7.51289 -0.0 NaN 3.756445 11278 NIKKEI caleb_strategy_v3 [-1] 6655.228137 311.784954 -3.756445 7.51289 -0.0 NaN 3.756445 11279 NIKKEI caleb_strategy_v3 [-1] 6655.228137 319.297845 -3.756445 7.51289 -0.0 NaN 3.756445 11280 EUROSTX caleb_strategy_v3 [1] 512.776534 -29.252509 -9.750836 19.501672 0.0 NaN 9.750836 11281 EURIBOR-ICE caleb_strategy_v3 [-1] 0.966092 -129.38731 -25.877462 51.754924 -0.0 NaN 25.877462 11282 EURIBOR-ICE caleb_strategy_v3 [-1] 0.966092 -103.509848 -51.754924 -0.0 -103.509848 NaN -51.754924 11283 EURIBOR-ICE caleb_strategy_v3 [-1] 0.966092 -129.38731 -25.877462 -0.0 -51.754924 NaN -25.877462 11284 EURIBOR-ICE caleb_strategy_v3 [-1] 0.966092 -129.38731 -25.877462 -51.754924 -103.509848 NaN -77.632386 11285 COCOA caleb_strategy_v3 [1] 2690.367952 -498.073135 -14.867855 0.0 -29.73571 NaN -14.867855 11286 COTTON2 caleb_strategy_v3 [-1] 29.233436 114.594809 -8.551851 -0.0 -17.103703 NaN -8.551851 11289 COPPER caleb_strategy_v3 [1] 0.724211 -624.817808 -3.452032 0.0 -6.904064 NaN -3.452032 11287 COPPER caleb_strategy_v3 [1] 0.724211 -642.077968 -6.904064 0.0 NaN NaN -6.904064 11288 CRUDE_W caleb_strategy_v3 [-1] 15.300909 6.535559 -6.535559 -0.0 NaN NaN -6.535559 11290 CRUDE_W caleb_strategy_v3 [-1] 15.300909 -0.0 -6.535559 -0.0 NaN NaN -6.535559 11292 US30 caleb_strategy_v3 [-1] 18.853353 -41.438253 -8.287651 -16.575301 -33.150602 NaN -24.862952 11293 CHF caleb_strategy_v3 [1] 0.07412 -53.966291 -6.745786 0.0 -13.491573 NaN -6.745786 11295 MXP caleb_strategy_v3 [1] 0.004119 60.697902 -12.13958 24.279161 0.0 NaN 12.13958 11297 US5 caleb_strategy_v3 [-1] 4.837285 -363.388216 -8.075294 -16.149554 -32.300141 NaN -24.224847 11298 JPY caleb_strategy_v3 [1] 0.000583 613.672653 -4.291417 -8.582834 -17.165669 NaN -12.874251 11291 NASDAQ_micro caleb_strategy_v3 [-1] 2852.979237 -507.364365 -0.876277 -2.628831 -4.381385 NaN -3.505108 11301 NASDAQ_micro caleb_strategy_v3 [-1] 2852.979237 -510.431335 -0.438138 -28.91714 -29.793417 NaN -29.355278 11296 SP500_micro caleb_strategy_v3 [1] 580.927116 389.463659 -2.151733 0.0 -4.303466 NaN -2.151733 11303 SP500_micro caleb_strategy_v3 [1] 580.927116 389.463659 -2.151733 51.64159 47.338124 NaN 49.489857 11307 SP500_micro caleb_strategy_v3 [1] 580.927116 441.105249 -2.151733 34.427727 30.124261 NaN 32.275994 11311 SP500_micro caleb_strategy_v3 [1] 580.927116 475.532976 -2.151733 -21.517329 -25.820795 NaN -23.669062 11315 SP500_micro caleb_strategy_v3 [1] 580.927116 454.015647 -2.151733 64.551988 60.248522 NaN 62.400255 11319 SP500_micro caleb_strategy_v3 [1] 580.927116 518.567634 -2.151733 -60.248522 -64.551988 NaN -62.400255 11323 SP500_micro caleb_strategy_v3 [1] 580.927116 458.319112 -2.151733 68.855454 64.551988 NaN 66.703721 11324 LIVECOW caleb_strategy_v3 [1] 20.974063 -11.919484 -11.919484 -23.838967 -47.677934 NaN -35.758451 11330 RUSSELL caleb_strategy_v3 [-1] 397.477728 119.503551 -1.257932 -45.285556 -47.80142 NaN -46.543488 11333 RUSSELL caleb_strategy_v3 [-1] 397.477728 74.217995 -1.257932 20.126914 17.61105 NaN 18.868982 11302 RUSSELL caleb_strategy_v3 [-1] 397.477728 147.178058 -1.257932 -27.674507 -30.190371 NaN -28.932439 11336 RUSSELL caleb_strategy_v3 [-1] 397.477728 95.602841 -2.515864 -2.515864 -7.547593 NaN -5.031728 11306 RUSSELL caleb_strategy_v3 [-1] 397.477728 119.503551 -1.257932 -32.706235 -35.222099 NaN -33.964167 11310 RUSSELL caleb_strategy_v3 [-1] 397.477728 86.797316 -1.257932 -20.126914 -22.642778 NaN -21.384846 11314 RUSSELL caleb_strategy_v3 [-1] 397.477728 66.670402 -1.257932 -12.579321 -15.095185 NaN -13.837253 11318 RUSSELL caleb_strategy_v3 [-1] 397.477728 56.606945 -1.257932 60.380742 57.864877 NaN 59.122809 11322 RUSSELL caleb_strategy_v3 [-1] 397.477728 118.245619 -2.515864 -7.547593 -12.579321 NaN -10.063457 11294 RUSSELL caleb_strategy_v3 [-1] 397.477728 149.693922 -1.257932 -2.515864 -5.031728 NaN -3.773796 11327 RUSSELL caleb_strategy_v3 [-1] 397.477728 109.440094 -1.257932 10.063457 7.547593 NaN 8.805525 11299 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -394.834673 -43.870519 87.741039 0.0 NaN 43.870519 11300 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 394.834673 -43.870519 -87.741039 -175.482077 NaN -131.611558 11304 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -307.093635 -43.870519 0.0 -87.741039 NaN -43.870519 11305 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 307.093635 -43.870519 87.741039 -0.0 NaN 43.870519 11308 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -307.093635 -43.870519 -87.741039 NaN NaN -131.611558 11309 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 394.834673 -43.870519 -0.0 -87.741039 NaN -43.870519 11312 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -307.093635 -43.870519 -87.741039 -175.482077 NaN -131.611558 11313 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 394.834673 -43.870519 -0.0 -87.741039 NaN -43.870519 11316 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -394.834673 -43.870519 0.0 -87.741039 NaN -43.870519 11317 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 394.834673 -43.870519 -87.741039 -175.482077 NaN -131.611558 11320 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -307.093635 -43.870519 0.0 -87.741039 NaN -43.870519 11321 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 307.093635 -43.870519 87.741039 -0.0 NaN 43.870519 11325 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -307.093635 -43.870519 -87.741039 -175.482077 NaN -131.611558 11326 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 394.834673 -43.870519 -0.0 -87.741039 NaN -43.870519 11328 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -394.834673 -43.870519 -87.741039 -175.482077 NaN -131.611558 11329 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 394.834673 -43.870519 87.741039 -0.0 NaN 43.870519 11331 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -482.575712 -43.870519 87.741039 0.0 NaN 43.870519 11332 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 482.575712 -43.870519 -0.0 -87.741039 NaN -43.870519 11334 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -394.834673 -43.870519 -87.741039 -175.482077 NaN -131.611558 11335 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 482.575712 -43.870519 -0.0 NaN NaN -43.870519 11337 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -482.575712 -43.870519 -87.741039 -175.482077 NaN -131.611558 11338 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 482.575712 -43.870519 87.741039 -0.0 NaN 43.870519 11339 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -570.316751 -43.870519 87.741039 0.0 NaN 43.870519 11340 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 526.446231 -87.741039 -0.0 -175.482077 NaN -87.741039 11341 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -482.575712 -43.870519 -87.741039 -175.482077 NaN -131.611558 11342 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 570.316751 -43.870519 -0.0 NaN NaN -43.870519 11343 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -570.316751 -43.870519 -87.741039 -175.482077 NaN -131.611558 11344 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 570.316751 -43.870519 87.741039 -0.0 NaN 43.870519 11345 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -658.057789 -43.870519 87.741039 0.0 NaN 43.870519 11346 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 570.316751 -43.870519 87.741039 -0.0 NaN 43.870519 11347 VIX _ROLL_PSEUDO_STRATEGY [1] 5.698588 -658.057789 -43.870519 87.741039 0.0 NaN 43.870519 11348 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.698588 570.316751 -43.870519 87.741039 -0.0 NaN 43.870519 11349 VIX caleb_strategy_v3 [-1] 5.698588 570.316751 -43.870519 -0.0 -87.741039 NaN -43.870519 ============================================================================================================================================================================= 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 11276 NIKKEI caleb_strategy_v3 [-1] 0.675477 136.784121 -1.688693 3.377386 -0.0 NaN 1.688693 11277 NIKKEI caleb_strategy_v3 [-1] 0.675477 140.161507 -1.688693 3.377386 -0.0 NaN 1.688693 11278 NIKKEI caleb_strategy_v3 [-1] 0.675477 140.161507 -1.688693 3.377386 -0.0 NaN 1.688693 11279 NIKKEI caleb_strategy_v3 [-1] 0.675477 143.538892 -1.688693 3.377386 -0.0 NaN 1.688693 11280 EUROSTX caleb_strategy_v3 [1] 10.881 -16.3215 -5.4405 10.881 0.0 NaN 5.4405 11281 EURIBOR-ICE caleb_strategy_v3 [-1] 2720.25 -34.003125 -6.800625 13.60125 -0.0 NaN 6.800625 11282 EURIBOR-ICE caleb_strategy_v3 [-1] 2720.25 -27.2025 -13.60125 -0.0 -27.2025 NaN -13.60125 11283 EURIBOR-ICE caleb_strategy_v3 [-1] 2720.25 -34.003125 -6.800625 -0.0 -13.60125 NaN -6.800625 11284 EURIBOR-ICE caleb_strategy_v3 [-1] 2720.25 -34.003125 -6.800625 -13.60125 -27.2025 NaN -20.401875 11285 COCOA caleb_strategy_v3 [1] 10.0 -1340.0 -40.0 0.0 -80.0 NaN -40.0 11286 COTTON2 caleb_strategy_v3 [-1] 500.0 167.5 -12.5 -0.0 -25.0 NaN -12.5 11289 COPPER caleb_strategy_v3 [1] 25000.0 -1131.25 -6.25 0.0 -12.5 NaN -6.25 11287 COPPER caleb_strategy_v3 [1] 25000.0 -1162.5 -12.5 0.0 NaN NaN -12.5 11288 CRUDE_W caleb_strategy_v3 [-1] 1000.0 10.0 -10.0 -0.0 NaN NaN -10.0 11290 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -0.0 -10.0 -0.0 NaN NaN -10.0 11292 US30 caleb_strategy_v3 [-1] 1000.0 -78.125 -15.625 -31.25 -62.5 NaN -46.875 11293 CHF caleb_strategy_v3 [1] 125000.0 -50.0 -6.25 0.0 -12.5 NaN -6.25 11295 MXP caleb_strategy_v3 [1] 500000.0 12.5 -2.5 5.0 0.0 NaN 2.5 11297 US5 caleb_strategy_v3 [-1] 1000.0 -175.78125 -3.90625 -7.812 -15.6245 NaN -11.71825 11298 JPY caleb_strategy_v3 [1] 12500000.0 446.875 -3.125 -6.25 -12.5 NaN -9.375 11291 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -289.5 -0.5 -1.5 -2.5 NaN -2.0 11301 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -291.25 -0.25 -16.5 -17.0 NaN -16.75 11296 SP500_micro caleb_strategy_v3 [1] 5.0 113.125 -0.625 0.0 -1.25 NaN -0.625 11303 SP500_micro caleb_strategy_v3 [1] 5.0 113.125 -0.625 15.0 13.75 NaN 14.375 11307 SP500_micro caleb_strategy_v3 [1] 5.0 128.125 -0.625 10.0 8.75 NaN 9.375 11311 SP500_micro caleb_strategy_v3 [1] 5.0 138.125 -0.625 -6.25 -7.5 NaN -6.875 11315 SP500_micro caleb_strategy_v3 [1] 5.0 131.875 -0.625 18.75 17.5 NaN 18.125 11319 SP500_micro caleb_strategy_v3 [1] 5.0 150.625 -0.625 -17.5 -18.75 NaN -18.125 11323 SP500_micro caleb_strategy_v3 [1] 5.0 133.125 -0.625 20.0 18.75 NaN 19.375 11324 LIVECOW caleb_strategy_v3 [1] 400.0 -10.0 -10.0 -20.0 -40.0 NaN -30.0 11330 RUSSELL caleb_strategy_v3 [-1] 5.0 23.75 -0.25 -9.0 -9.5 NaN -9.25 11333 RUSSELL caleb_strategy_v3 [-1] 5.0 14.75 -0.25 4.0 3.5 NaN 3.75 11302 RUSSELL caleb_strategy_v3 [-1] 5.0 29.25 -0.25 -5.5 -6.0 NaN -5.75 11336 RUSSELL caleb_strategy_v3 [-1] 5.0 19.0 -0.5 -0.5 -1.5 NaN -1.0 11306 RUSSELL caleb_strategy_v3 [-1] 5.0 23.75 -0.25 -6.5 -7.0 NaN -6.75 11310 RUSSELL caleb_strategy_v3 [-1] 5.0 17.25 -0.25 -4.0 -4.5 NaN -4.25 11314 RUSSELL caleb_strategy_v3 [-1] 5.0 13.25 -0.25 -2.5 -3.0 NaN -2.75 11318 RUSSELL caleb_strategy_v3 [-1] 5.0 11.25 -0.25 12.0 11.5 NaN 11.75 11322 RUSSELL caleb_strategy_v3 [-1] 5.0 23.5 -0.5 -1.5 -2.5 NaN -2.0 11294 RUSSELL caleb_strategy_v3 [-1] 5.0 29.75 -0.25 -0.5 -1.0 NaN -0.75 11327 RUSSELL caleb_strategy_v3 [-1] 5.0 21.75 -0.25 2.0 1.5 NaN 1.75 11299 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 50.0 0.0 NaN 25.0 11300 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -50.0 -100.0 NaN -75.0 11304 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 0.0 -50.0 NaN -25.0 11305 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 175.0 -25.0 50.0 -0.0 NaN 25.0 11308 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 -50.0 NaN NaN -75.0 11309 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -0.0 -50.0 NaN -25.0 11312 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 -50.0 -100.0 NaN -75.0 11313 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -0.0 -50.0 NaN -25.0 11316 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 0.0 -50.0 NaN -25.0 11317 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -50.0 -100.0 NaN -75.0 11320 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 0.0 -50.0 NaN -25.0 11321 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 175.0 -25.0 50.0 -0.0 NaN 25.0 11325 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 -50.0 -100.0 NaN -75.0 11326 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -0.0 -50.0 NaN -25.0 11328 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 -50.0 -100.0 NaN -75.0 11329 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 50.0 -0.0 NaN 25.0 11331 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 50.0 0.0 NaN 25.0 11332 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 275.0 -25.0 -0.0 -50.0 NaN -25.0 11334 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 -50.0 -100.0 NaN -75.0 11335 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 275.0 -25.0 -0.0 NaN NaN -25.0 11337 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 -50.0 -100.0 NaN -75.0 11338 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 275.0 -25.0 50.0 -0.0 NaN 25.0 11339 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -325.0 -25.0 50.0 0.0 NaN 25.0 11340 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 300.0 -50.0 -0.0 -100.0 NaN -50.0 11341 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 -50.0 -100.0 NaN -75.0 11342 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 325.0 -25.0 -0.0 NaN NaN -25.0 11343 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -325.0 -25.0 -50.0 -100.0 NaN -75.0 11344 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 325.0 -25.0 50.0 -0.0 NaN 25.0 11345 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -375.0 -25.0 50.0 0.0 NaN 25.0 11346 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 325.0 -25.0 50.0 -0.0 NaN 25.0 11347 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -375.0 -25.0 50.0 0.0 NaN 25.0 11348 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 325.0 -25.0 50.0 -0.0 NaN 25.0 11349 VIX caleb_strategy_v3 [-1] 1000.0 325.0 -25.0 -0.0 -50.0 NaN -25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 125.0 caleb_strategy_v3 CHF -50.0 COCOA -1340.0 COPPER -2293.75 COTTON2 167.5 CRUDE_W 10.0 EURIBOR-ICE -129.211875 EUROSTX -16.3215 JPY 446.875 LIVECOW -10.0 MXP 12.5 NASDAQ_micro -580.75 NIKKEI 560.646026 RUSSELL 227.25 SP500_micro 908.125 US30 -78.125 US5 -175.78125 VIX 325.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 125.0 caleb_strategy_v3 -2016.043599 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -825.0 caleb_strategy_v3 CHF -6.25 COCOA -40.0 COPPER -18.75 COTTON2 -12.5 CRUDE_W -20.0 EURIBOR-ICE -34.003125 EUROSTX -5.4405 JPY -3.125 LIVECOW -10.0 MXP -2.5 NASDAQ_micro -0.75 NIKKEI -6.754771 RUSSELL -3.25 SP500_micro -4.375 US30 -15.625 US5 -3.90625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -825.0 caleb_strategy_v3 -212.229646 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 100.0 caleb_strategy_v3 CHF 0.0 COCOA 0.0 COPPER 0.0 COTTON2 -0.0 CRUDE_W -0.0 EURIBOR-ICE 0.0 EUROSTX 10.881 JPY -6.25 LIVECOW -20.0 MXP 5.0 NASDAQ_micro -18.0 NIKKEI 13.509543 RUSSELL -12.0 SP500_micro 40.0 US30 -31.25 US5 -7.812 VIX -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 100.0 caleb_strategy_v3 -25.921457 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1350.0 caleb_strategy_v3 CHF -12.5 COCOA -80.0 COPPER -12.5 COTTON2 -25.0 CRUDE_W 0 EURIBOR-ICE -68.00625 EUROSTX 0.0 JPY -12.5 LIVECOW -40.0 MXP 0.0 NASDAQ_micro -19.5 NIKKEI -0.0 RUSSELL -18.5 SP500_micro 31.25 US30 -62.5 US5 -15.6245 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1350.0 caleb_strategy_v3 -385.38075 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 CHF 0 COCOA 0 COPPER 0 COTTON2 0 CRUDE_W 0 EURIBOR-ICE 0 EUROSTX 0 JPY 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 0 SP500_micro 0 US30 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 VIX -725.0 caleb_strategy_v3 CHF -6.25 COCOA -40.0 COPPER -18.75 COTTON2 -12.5 CRUDE_W -20.0 EURIBOR-ICE -34.003125 EUROSTX 5.4405 JPY -9.375 LIVECOW -30.0 MXP 2.5 NASDAQ_micro -18.75 NIKKEI 6.754771 RUSSELL -15.25 SP500_micro 35.625 US30 -46.875 US5 -11.71825 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -725.0 caleb_strategy_v3 -238.151104 ******************************************************************************** END OF REPORT ********************************************************************************