******************************************************************************** Trades report produced on 10/04/2024 21:37 from 09/04/2024 21:37 to 10/04/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11681 CAC caleb_strategy_v3 [20240500] 2024-04-10 07:08:48 [1] 8027.000000 11671 CAC caleb_strategy_v3 [20240500] 2024-04-10 07:04:37 [1] 8030.500000 11673 CAC caleb_strategy_v3 [20240500] 2024-04-10 07:04:48 [1] 8029.000000 11675 CAC caleb_strategy_v3 [20240500] 2024-04-10 07:05:48 [1] 8029.000000 11677 CAC caleb_strategy_v3 [20240500] 2024-04-10 07:06:48 [1] 8025.500000 11679 CAC caleb_strategy_v3 [20240500] 2024-04-10 07:07:48 [1] 8026.000000 11699 CHF caleb_strategy_v3 [20240600] 2024-04-10 14:00:27 [-1] 1.105000 11687 COCOA caleb_strategy_v3 [20240700] 2024-04-10 13:00:44 [-1] 9773.000000 11691 COFFEE caleb_strategy_v3 [20240700] 2024-04-10 13:00:53 [1] 210.450000 11686 COPPER caleb_strategy_v3 [20240700] 2024-04-10 13:00:33 [-1] 4.306000 11678 DAX caleb_strategy_v3 [20240600] 2024-04-10 07:06:48 [-1] 18435.000000 11676 DAX caleb_strategy_v3 [20240600] 2024-04-10 07:05:48 [-1] 18431.000000 11674 DAX caleb_strategy_v3 [20240600] 2024-04-10 07:04:49 [-1] 18428.000000 11683 DAX caleb_strategy_v3 [20240600] 2024-04-10 07:09:50 [-1] 18440.000000 11682 DAX caleb_strategy_v3 [20240600] 2024-04-10 07:08:49 [-1] 18438.000000 11680 DAX caleb_strategy_v3 [20240600] 2024-04-10 07:07:49 [-1] 18440.000000 11672 DAX caleb_strategy_v3 [20240600] 2024-04-10 07:04:44 [-1] 18426.000000 11723 DOW caleb_strategy_v3 [20240600] 2024-04-10 14:08:37 [-1] 38755.000000 11714 DOW caleb_strategy_v3 [20240600] 2024-04-10 14:05:33 [-1] 38707.000000 11727 DOW caleb_strategy_v3 [20240600] 2024-04-10 14:11:12 [-1] 38735.000000 11703 DOW caleb_strategy_v3 [20240600] 2024-04-10 14:02:07 [-1] 38706.000000 11719 DOW caleb_strategy_v3 [20240600] 2024-04-10 14:06:40 [-1] 38681.000000 11695 DOW caleb_strategy_v3 [20240600] 2024-04-10 14:00:15 [-1] 38681.000000 11709 DOW caleb_strategy_v3 [20240600] 2024-04-10 14:03:07 [-1] 38684.000000 11684 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-10 08:05:57 [-1] 97.610000 11685 GASOIL caleb_strategy_v3 [20240700] 2024-04-10 08:05:59 [1] 817.250000 11689 GAS_US_mini caleb_strategy_v3 [20240600] 2024-04-10 13:00:48 [-1] 2.090000 11692 GAS_US_mini caleb_strategy_v3 [20240600] 2024-04-10 13:02:57 [-1] 2.090000 11693 GAS_US_mini caleb_strategy_v3 [20240600] 2024-04-10 13:03:01 [-1] 2.090000 11688 HEATOIL caleb_strategy_v3 [20240700] 2024-04-10 13:00:47 [1] 2.686900 11694 JPY caleb_strategy_v3 [20240600] 2024-04-10 14:00:13 [1] 0.006619 11705 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-10 14:02:08 [1] 18173.000000 11711 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-10 14:03:09 [1] 18153.250000 11697 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-10 14:00:17 [1] 18172.500000 11716 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-10 14:05:35 [1] 18169.000000 11667 NIKKEI caleb_strategy_v3 [20240600] 2024-04-10 02:01:36 [-1] 39645.000000 11670 NIKKEI caleb_strategy_v3 [20240600] 2024-04-10 02:04:30 [-1] 39655.000000 11669 NIKKEI caleb_strategy_v3 [20240600] 2024-04-10 02:03:29 [-1] 39660.000000 11668 NIKKEI caleb_strategy_v3 [20240600] 2024-04-10 02:02:32 [-1] 39645.000000 11700 NZD caleb_strategy_v3 [20240600] 2024-04-10 14:00:31 [-1] 0.599450 11710 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:03:08 [-1] 5200.750000 11728 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:11:13 [-1] 5208.500000 11743 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:19:39 [-1] 5214.250000 11737 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:17:39 [-1] 5205.750000 11704 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:02:08 [-1] 5203.750000 11734 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:16:39 [-1] 5207.500000 11731 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:12:56 [-1] 5208.250000 11740 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:18:39 [-1] 5209.000000 11696 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:00:16 [-1] 5203.000000 11749 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:21:40 [-1] 5210.750000 11752 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:22:40 [-1] 5213.000000 11720 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:06:40 [-1] 5199.000000 11724 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:08:38 [-1] 5207.750000 11715 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:05:34 [-1] 5203.000000 11746 SP500_micro caleb_strategy_v3 [20240600] 2024-04-10 14:20:40 [-1] 5212.500000 11690 SUGAR11 caleb_strategy_v3 [20240700] 2024-04-10 13:00:50 [-1] 21.210000 11698 US5 caleb_strategy_v3 [20240600] 2024-04-10 14:00:24 [1] 105.429688 11706 US5 caleb_strategy_v3 [20240600] 2024-04-10 14:02:09 [1] 105.414063 11738 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:17:48 [1] 16.900000 11739 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:17:48 [-1] 17.500000 11741 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:19:00 [1] 16.850000 11742 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:19:01 [-1] 17.450000 11744 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:19:40 [1] 16.850000 11745 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:19:43 [-1] 17.400000 11750 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:21:58 [1] 16.800000 11748 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:20:50 [-1] 17.450000 11736 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:17:31 [-1] 17.550000 11751 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:22:33 [-1] 17.450000 11753 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:22:43 [1] 16.850000 11754 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:22:44 [-1] 17.400000 11755 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:24:17 [1] 16.800000 11747 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:20:50 [1] 16.800000 11735 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:16:46 [1] 16.950000 11729 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:12:52 [1] 17.000000 11732 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:13:18 [1] 17.000000 11756 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:24:18 [-1] 17.400000 11701 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:01:08 [1] 16.950000 11702 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:01:48 [-1] 17.600000 11707 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:02:10 [1] 17.000000 11708 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:02:11 [-1] 17.600000 11712 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:05:29 [1] 16.950000 11733 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:16:35 [-1] 17.500000 11713 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:05:29 [-1] 17.550000 11718 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:06:36 [-1] 17.600000 11721 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:08:33 [1] 16.950000 11722 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:08:33 [-1] 17.550000 11725 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:09:25 [1] 16.950000 11726 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:11:08 [-1] 17.500000 11730 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-10 14:12:53 [-1] 17.550000 11717 VIX _ROLL_PSEUDO_STRATEGY [20240600] 2024-04-10 14:05:39 [1] 16.950000 11757 VIX caleb_strategy_v3 [20240700] 2024-04-10 14:24:43 [-1] 17.450000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11667 NIKKEI caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 03:01:28.974 2024-04-10 02:01:36 97288.974 NaN 11668 NIKKEI caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 03:02:28.671 2024-04-10 02:02:32 97348.671 NaN 11669 NIKKEI caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 03:03:28.626 2024-04-10 02:03:29 97408.626 NaN 11670 NIKKEI caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 03:04:28.833 2024-04-10 02:04:30 97468.833 NaN 11681 CAC caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:08:48.223 2024-04-10 07:08:48 115728.223 NaN 11671 CAC caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:00:43.835 2024-04-10 07:04:37 115243.835 NaN 11673 CAC caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:04:48.151 2024-04-10 07:04:48 115488.151 NaN 11675 CAC caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:05:48.052 2024-04-10 07:05:48 115548.052 NaN 11677 CAC caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:06:48.056 2024-04-10 07:06:48 115608.056 NaN 11679 CAC caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:07:48.260 2024-04-10 07:07:48 115668.26 NaN 11680 DAX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:07:48.923 2024-04-10 07:07:49 115668.923 NaN 11682 DAX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:08:48.937 2024-04-10 07:08:49 115728.937 NaN 11683 DAX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:09:48.365 2024-04-10 07:09:50 115788.365 NaN 11672 DAX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:04:38.046 2024-04-10 07:04:44 115478.046 NaN 11674 DAX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:04:49.263 2024-04-10 07:04:49 115489.263 NaN 11676 DAX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:05:48.613 2024-04-10 07:05:48 115548.613 NaN 11678 DAX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 08:06:48.755 2024-04-10 07:06:48 115608.755 NaN 11684 EURIBOR-ICE caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 09:00:57.086 2024-04-10 08:05:57 118857.086 NaN 11685 GASOIL caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 09:05:57.985 2024-04-10 08:05:59 119157.985 NaN 11686 COPPER caleb_strategy_v3 2024-04-08 00:00:00 2024-04-10 14:00:32.274 2024-04-10 13:00:33 223232.274 NaN 11687 COCOA caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 14:00:34.504 2024-04-10 13:00:44 136834.504 NaN 11688 HEATOIL caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 14:00:45.840 2024-04-10 13:00:47 136845.84 NaN 11690 SUGAR11 caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 14:00:50.016 2024-04-10 13:00:50 136850.016 NaN 11691 COFFEE caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 14:00:51.641 2024-04-10 13:00:53 136851.641 NaN 11689 GAS_US_mini caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 14:00:48.377 2024-04-10 13:00:48 136848.377 NaN 11692 GAS_US_mini caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 14:01:31.403 2024-04-10 13:02:57 136891.403 NaN 11693 GAS_US_mini caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 14:03:00.729 2024-04-10 13:03:01 136980.729 NaN 11694 JPY caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:00:11.806 2024-04-10 14:00:13 140411.806 NaN 11699 CHF caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:00:25.296 2024-04-10 14:00:27 140425.296 NaN 11700 NZD caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:00:28.539 2024-04-10 14:00:31 140428.539 NaN 11706 US5 caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:02:09.484 2024-04-10 14:02:09 140529.484 NaN 11698 US5 caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:00:18.570 2024-04-10 14:00:24 140418.57 NaN 11697 NASDAQ_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:00:17.356 2024-04-10 14:00:17 140417.356 NaN 11705 NASDAQ_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:02:08.732 2024-04-10 14:02:08 140528.732 NaN 11716 NASDAQ_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:05:34.908 2024-04-10 14:05:35 140734.908 NaN 11711 NASDAQ_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:03:09.361 2024-04-10 14:03:09 140589.361 NaN 11714 DOW caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:05:33.554 2024-04-10 14:05:33 140733.554 NaN 11719 DOW caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:06:39.788 2024-04-10 14:06:40 140799.788 NaN 11723 DOW caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:08:37.575 2024-04-10 14:08:37 140917.575 NaN 11695 DOW caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:00:14.562 2024-04-10 14:00:15 140414.562 NaN 11727 DOW caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:11:12.110 2024-04-10 14:11:12 141072.11 NaN 11703 DOW caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:02:07.351 2024-04-10 14:02:07 140527.351 NaN 11709 DOW caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:03:07.461 2024-04-10 14:03:07 140587.461 NaN 11746 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:20:39.791 2024-04-10 14:20:40 141639.791 NaN 11715 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:05:34.161 2024-04-10 14:05:34 140734.161 NaN 11749 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:21:39.628 2024-04-10 14:21:40 141699.628 NaN 11720 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:06:40.533 2024-04-10 14:06:40 140800.533 NaN 11752 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:22:40.103 2024-04-10 14:22:40 141760.103 NaN 11724 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:08:38.194 2024-04-10 14:08:38 140918.194 NaN 11696 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:00:16.238 2024-04-10 14:00:16 140416.238 NaN 11728 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:11:12.919 2024-04-10 14:11:13 141072.919 NaN 11731 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:12:56.750 2024-04-10 14:12:56 141176.75 NaN 11734 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:16:39.410 2024-04-10 14:16:39 141399.41 NaN 11704 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:02:07.810 2024-04-10 14:02:08 140527.81 NaN 11737 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:17:39.570 2024-04-10 14:17:39 141459.57 NaN 11740 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:18:39.617 2024-04-10 14:18:39 141519.617 NaN 11710 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:03:08.268 2024-04-10 14:03:08 140588.268 NaN 11743 SP500_micro caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:19:39.778 2024-04-10 14:19:39 141579.778 NaN 11701 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:00:32.655 2024-04-10 14:01:08 68432.655 NaN 11702 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:01:09.654 2024-04-10 14:01:48 68469.654 NaN 11707 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:02:09.954 2024-04-10 14:02:10 68529.954 NaN 11708 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:02:10.964 2024-04-10 14:02:11 68530.964 NaN 11712 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:03:09.993 2024-04-10 14:05:29 68589.993 NaN 11713 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:05:29.685 2024-04-10 14:05:29 68729.685 NaN 11717 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:05:35.624 2024-04-10 14:05:39 68735.624 NaN 11718 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:05:39.535 2024-04-10 14:06:36 68739.535 NaN 11721 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:06:41.244 2024-04-10 14:08:33 68801.244 NaN 11722 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:08:33.618 2024-04-10 14:08:33 68913.618 NaN 11725 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:08:39.519 2024-04-10 14:09:25 68919.519 NaN 11726 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:09:25.947 2024-04-10 14:11:08 68965.947 NaN 11729 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:11:14.050 2024-04-10 14:12:52 69074.05 NaN 11730 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:12:52.928 2024-04-10 14:12:53 69172.928 NaN 11732 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:12:57.255 2024-04-10 14:13:18 69177.255 NaN 11733 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:13:18.748 2024-04-10 14:16:35 69198.748 NaN 11735 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:16:40.027 2024-04-10 14:16:46 69400.027 NaN 11736 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:16:47.188 2024-04-10 14:17:31 69407.188 NaN 11738 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:17:40.286 2024-04-10 14:17:48 69460.286 NaN 11739 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:17:48.560 2024-04-10 14:17:48 69468.56 NaN 11741 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:18:40.479 2024-04-10 14:19:00 69520.479 NaN 11742 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:19:00.804 2024-04-10 14:19:01 69540.804 NaN 11744 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:19:40.371 2024-04-10 14:19:40 69580.371 NaN 11745 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:19:41.315 2024-04-10 14:19:43 69581.315 NaN 11747 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:20:40.724 2024-04-10 14:20:50 69640.724 NaN 11748 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:20:50.405 2024-04-10 14:20:50 69650.405 NaN 11750 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:21:40.639 2024-04-10 14:21:58 69700.639 NaN 11751 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:21:59.221 2024-04-10 14:22:33 69719.221 NaN 11753 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:22:40.760 2024-04-10 14:22:43 69760.76 NaN 11754 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:22:43.846 2024-04-10 14:22:44 69763.846 NaN 11755 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:23:40.157 2024-04-10 14:24:17 69820.157 NaN 11756 VIX _ROLL_PSEUDO_STRATEGY 2024-04-09 20:00:00 2024-04-10 15:24:18.278 2024-04-10 14:24:18 69858.278 NaN 11757 VIX caleb_strategy_v3 2024-04-09 00:00:00 2024-04-10 15:24:42.109 2024-04-10 14:24:43 141882.109 NaN ======================================================================================================================================================================================================================================== Slippage (ticks per lot) ======================================================================================================================================================================================================================================== instrument_code strategy_name trade parent_reference_price parent_limit_price mid_price side_price offside_price limit_price filled_price delay bid_ask execution versus_limit versus_parent_limit total_trading 11667 NIKKEI caleb_strategy_v3 [-1] 39455.0 None 39642.5 39640.0 39645.0 39645.0 39645.0 187.5 -2.5 5.0 -0.0 NaN 2.5 11668 NIKKEI caleb_strategy_v3 [-1] 39455.0 None 39642.5 39640.0 39645.0 39645.0 39645.0 187.5 -2.5 5.0 -0.0 NaN 2.5 11669 NIKKEI caleb_strategy_v3 [-1] 39455.0 None 39647.5 39645.0 39650.0 NaN 39660.0 192.5 -2.5 15.0 NaN NaN 12.5 11670 NIKKEI caleb_strategy_v3 [-1] 39455.0 None 39662.5 39660.0 39665.0 39665.0 39655.0 207.5 -2.5 -5.0 -10.0 NaN -7.5 11681 CAC caleb_strategy_v3 [1] 7986.5 None 8031.75 8034.5 8029.0 8029.0 8027.0 -45.25 -2.75 7.5 2.0 NaN 4.75 11671 CAC caleb_strategy_v3 [1] 7986.5 None 8033.25 8036.0 8030.5 8030.5 8030.5 -46.75 -2.75 5.5 0.0 NaN 2.75 11673 CAC caleb_strategy_v3 [1] 7986.5 None 8031.5 8034.5 8028.5 8028.5 8029.0 -45.0 -3.0 5.5 -0.5 NaN 2.5 11675 CAC caleb_strategy_v3 [1] 7986.5 None 8031.75 8034.5 8029.0 8029.0 8029.0 -45.25 -2.75 5.5 0.0 NaN 2.75 11677 CAC caleb_strategy_v3 [1] 7986.5 None 8031.75 8034.5 8029.0 8029.0 8025.5 -45.25 -2.75 9.0 3.5 NaN 6.25 11679 CAC caleb_strategy_v3 [1] 7986.5 None 8031.75 8034.5 8029.0 8029.0 8026.0 -45.25 -2.75 8.5 3.0 NaN 5.75 11680 DAX caleb_strategy_v3 [-1] 18320.0 None 18436.0 18435.0 18437.0 18437.0 18440.0 116.0 -1.0 5.0 3.0 NaN 4.0 11682 DAX caleb_strategy_v3 [-1] 18320.0 None 18440.5 18440.0 18441.0 18441.0 18438.0 120.5 -0.5 -2.0 -3.0 NaN -2.5 11683 DAX caleb_strategy_v3 [-1] 18320.0 None 18439.0 18438.0 18440.0 18440.0 18440.0 119.0 -1.0 2.0 -0.0 NaN 1.0 11672 DAX caleb_strategy_v3 [-1] 18320.0 None 18427.0 18426.0 18428.0 18428.0 18426.0 107.0 -1.0 -0.0 -2.0 NaN -1.0 11674 DAX caleb_strategy_v3 [-1] 18320.0 None 18426.5 18426.0 18427.0 18427.0 18428.0 106.5 -0.5 2.0 1.0 NaN 1.5 11676 DAX caleb_strategy_v3 [-1] 18320.0 None 18428.5 18428.0 18429.0 18429.0 18431.0 108.5 -0.5 3.0 2.0 NaN 2.5 11678 DAX caleb_strategy_v3 [-1] 18320.0 None 18432.0 18431.0 18433.0 18433.0 18435.0 112.0 -1.0 4.0 2.0 NaN 3.0 11684 EURIBOR-ICE caleb_strategy_v3 [-1] 97.6 None 97.6125 97.61 97.615 97.615 97.61 0.0125 -0.0025 -0.0 -0.005 NaN -0.0025 11685 GASOIL caleb_strategy_v3 [1] 818.5 None 818.875 819.0 818.75 NaN 817.25 -0.375 -0.125 1.75 NaN NaN 1.625 11686 COPPER caleb_strategy_v3 [-1] 4.319 None 4.30575 4.3055 4.306 4.306 4.306 -0.01325 -0.00025 0.0005 -0.0 NaN 0.00025 11687 COCOA caleb_strategy_v3 [-1] 9534.0 None 9771.5 9770.0 9773.0 9773.0 9773.0 237.5 -1.5 3.0 -0.0 NaN 1.5 11688 HEATOIL caleb_strategy_v3 [1] 2.6745 None 2.68725 2.6877 2.6868 2.6868 2.6869 -0.01275 -0.00045 0.0008 -0.0001 NaN 0.00035 11690 SUGAR11 caleb_strategy_v3 [-1] 21.12 None 21.0 21.0 21.0 NaN 21.21 -0.12 -0.0 0.21 NaN NaN 0.21 11691 COFFEE caleb_strategy_v3 [1] 211.55 None 210.325 210.35 210.3 210.3 210.45 1.225 -0.025 -0.1 -0.15 NaN -0.125 11689 GAS_US_mini caleb_strategy_v3 [-1] 2.07 None 2.095 2.09 2.1 2.1 2.09 0.025 -0.005 -0.0 -0.01 NaN -0.005 11692 GAS_US_mini caleb_strategy_v3 [-1] 2.07 None 2.0925 2.09 2.095 2.095 2.09 0.0225 -0.0025 -0.0 -0.005 NaN -0.0025 11693 GAS_US_mini caleb_strategy_v3 [-1] 2.07 None 2.0925 2.09 2.095 NaN 2.09 0.0225 -0.0025 -0.0 NaN NaN -0.0025 11694 JPY caleb_strategy_v3 [1] 0.006659 None 0.006618 0.006619 0.006618 0.006618 0.006619 0.000041 -0.0 -0.0 -0.000001 NaN -0.000001 11699 CHF caleb_strategy_v3 [-1] 1.115 None 1.105 1.10495 1.10505 1.10505 1.105 -0.01 -0.00005 0.00005 -0.00005 NaN 0.0 11700 NZD caleb_strategy_v3 [-1] 0.6051 None 0.59955 0.5995 0.5996 0.5996 0.59945 -0.00555 -0.00005 -0.00005 -0.00015 NaN -0.0001 11706 US5 caleb_strategy_v3 [1] 106.265625 None 105.425781 105.429688 105.421875 105.421875 105.414063 0.839844 -0.003906 0.015625 0.007812 NaN 0.011718 11698 US5 caleb_strategy_v3 [1] 106.265625 None 105.417969 105.421875 105.414062 105.414062 105.429688 0.847656 -0.003906 -0.007813 -0.015625 NaN -0.011719 11697 NASDAQ_micro caleb_strategy_v3 [1] 18224.5 None 18172.625 18172.75 18172.5 18172.5 18172.5 51.875 -0.125 0.25 0.0 NaN 0.125 11705 NASDAQ_micro caleb_strategy_v3 [1] 18224.5 None 18172.125 18172.25 18172.0 18172.0 18173.0 52.375 -0.125 -0.75 -1.0 NaN -0.875 11716 NASDAQ_micro caleb_strategy_v3 [1] 18224.5 None 18153.25 18153.5 18153.0 18153.0 18169.0 71.25 -0.25 -15.5 -16.0 NaN -15.75 11711 NASDAQ_micro caleb_strategy_v3 [1] 18224.5 None 18172.5 18172.75 18172.25 18172.25 18153.25 52.0 -0.25 19.5 19.0 NaN 19.25 11714 DOW caleb_strategy_v3 [-1] 39007.0 None 38684.0 38683.0 38685.0 38685.0 38707.0 -323.0 -1.0 24.0 22.0 NaN 23.0 11719 DOW caleb_strategy_v3 [-1] 39007.0 None 38708.0 38707.0 38709.0 38709.0 38681.0 -299.0 -1.0 -26.0 -28.0 NaN -27.0 11723 DOW caleb_strategy_v3 [-1] 39007.0 None 38681.0 38680.0 38682.0 38682.0 38755.0 -326.0 -1.0 75.0 73.0 NaN 74.0 11695 DOW caleb_strategy_v3 [-1] 39007.0 None 38683.0 38682.0 38684.0 38684.0 38681.0 -324.0 -1.0 -1.0 -3.0 NaN -2.0 11727 DOW caleb_strategy_v3 [-1] 39007.0 None 38756.0 38755.0 38757.0 38757.0 38735.0 -251.0 -1.0 -20.0 -22.0 NaN -21.0 11703 DOW caleb_strategy_v3 [-1] 39007.0 None 38681.5 38681.0 38682.0 38682.0 38706.0 -325.5 -0.5 25.0 24.0 NaN 24.5 11709 DOW caleb_strategy_v3 [-1] 39007.0 None 38706.5 38706.0 38707.0 38707.0 38684.0 -300.5 -0.5 -22.0 -23.0 NaN -22.5 11746 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5212.375 5212.25 5212.5 5212.5 5212.5 -13.375 -0.125 0.25 -0.0 NaN 0.125 11715 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5203.875 5203.75 5204.0 5204.0 5203.0 -21.875 -0.125 -0.75 -1.0 NaN -0.875 11749 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5211.625 5211.5 5211.75 NaN 5210.75 -14.125 -0.125 -0.75 NaN NaN -0.875 11720 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5199.375 5199.25 5199.5 5199.5 5199.0 -26.375 -0.125 -0.25 -0.5 NaN -0.375 11752 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5212.875 5212.75 5213.0 5213.0 5213.0 -12.875 -0.125 0.25 -0.0 NaN 0.125 11724 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5208.125 5208.0 5208.25 5208.25 5207.75 -17.625 -0.125 -0.25 -0.5 NaN -0.375 11696 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5202.375 5202.25 5202.5 5202.5 5203.0 -23.375 -0.125 0.75 0.5 NaN 0.625 11728 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5208.375 5208.25 5208.5 5208.5 5208.5 -17.375 -0.125 0.25 -0.0 NaN 0.125 11731 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5208.125 5208.0 5208.25 5208.25 5208.25 -17.625 -0.125 0.25 -0.0 NaN 0.125 11734 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5207.375 5207.25 5207.5 5207.5 5207.5 -18.375 -0.125 0.25 -0.0 NaN 0.125 11704 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5203.125 5203.0 5203.25 NaN 5203.75 -22.625 -0.125 0.75 NaN NaN 0.625 11737 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5206.125 5206.0 5206.25 5206.25 5205.75 -19.625 -0.125 -0.25 -0.5 NaN -0.375 11740 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5209.375 5209.25 5209.5 5209.5 5209.0 -16.375 -0.125 -0.25 -0.5 NaN -0.375 11710 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5200.625 5200.5 5200.75 5200.75 5200.75 -25.125 -0.125 0.25 -0.0 NaN 0.125 11743 SP500_micro caleb_strategy_v3 [-1] 5225.75 None 5214.125 5214.0 5214.25 5214.25 5214.25 -11.625 -0.125 0.25 -0.0 NaN 0.125 11701 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.975 17.0 16.95 16.95 16.95 -0.275 -0.025 0.05 0.0 NaN 0.025 11702 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.575 17.55 17.6 17.6 17.6 0.225 -0.025 0.05 -0.0 NaN 0.025 11707 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.925 16.95 16.9 NaN 17.0 -0.225 -0.025 -0.05 NaN NaN -0.075 11708 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.575 17.55 17.6 17.6 17.6 0.225 -0.025 0.05 -0.0 NaN 0.025 11712 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.975 17.0 16.95 16.95 16.95 -0.275 -0.025 0.05 0.0 NaN 0.025 11713 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.625 17.6 17.65 17.65 17.55 0.275 -0.025 -0.05 -0.1 NaN -0.075 11717 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.975 17.0 16.95 16.95 16.95 -0.275 -0.025 0.05 0.0 NaN 0.025 11718 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.575 17.55 17.6 17.6 17.6 0.225 -0.025 0.05 -0.0 NaN 0.025 11721 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.975 17.0 16.95 16.95 16.95 -0.275 -0.025 0.05 0.0 NaN 0.025 11722 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.625 17.6 17.65 17.65 17.55 0.275 -0.025 -0.05 -0.1 NaN -0.075 11725 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.975 17.0 16.95 16.95 16.95 -0.275 -0.025 0.05 0.0 NaN 0.025 11726 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.575 17.55 17.6 17.6 17.5 0.225 -0.025 -0.05 -0.1 NaN -0.075 11729 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.925 16.95 16.9 16.9 17.0 -0.225 -0.025 -0.05 -0.1 NaN -0.075 11730 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.525 17.5 17.55 17.55 17.55 0.175 -0.025 0.05 -0.0 NaN 0.025 11732 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.925 16.95 16.9 16.9 17.0 -0.225 -0.025 -0.05 -0.1 NaN -0.075 11733 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.575 17.55 17.6 17.6 17.5 0.225 -0.025 -0.05 -0.1 NaN -0.075 11735 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.875 16.9 16.85 16.85 16.95 -0.175 -0.025 -0.05 -0.1 NaN -0.075 11736 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.525 17.5 17.55 17.55 17.55 0.175 -0.025 0.05 -0.0 NaN 0.025 11738 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.925 16.95 16.9 16.9 16.9 -0.225 -0.025 0.05 0.0 NaN 0.025 11739 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.575 17.55 17.6 17.6 17.5 0.225 -0.025 -0.05 -0.1 NaN -0.075 11741 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.875 16.9 16.85 16.85 16.85 -0.175 -0.025 0.05 0.0 NaN 0.025 11742 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.525 17.5 17.55 17.55 17.45 0.175 -0.025 -0.05 -0.1 NaN -0.075 11744 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.8 16.85 16.75 16.75 16.85 -0.1 -0.05 0.0 -0.1 NaN -0.05 11745 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.475 17.45 17.5 17.5 17.4 0.125 -0.025 -0.05 -0.1 NaN -0.075 11747 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.825 16.85 16.8 16.8 16.8 -0.125 -0.025 0.05 0.0 NaN 0.025 11748 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.425 17.4 17.45 17.45 17.45 0.075 -0.025 0.05 -0.0 NaN 0.025 11750 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.825 16.85 16.8 16.8 16.8 -0.125 -0.025 0.05 0.0 NaN 0.025 11751 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.425 17.4 17.45 17.45 17.45 0.075 -0.025 0.05 -0.0 NaN 0.025 11753 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.775 16.8 16.75 16.75 16.85 -0.075 -0.025 -0.05 -0.1 NaN -0.075 11754 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.475 17.45 17.5 17.5 17.4 0.125 -0.025 -0.05 -0.1 NaN -0.075 11755 VIX _ROLL_PSEUDO_STRATEGY [1] 16.7 None 16.825 16.85 16.8 16.8 16.8 -0.125 -0.025 0.05 0.0 NaN 0.025 11756 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.35 None 17.45 17.4 17.5 17.5 17.4 0.1 -0.05 -0.0 -0.1 NaN -0.05 11757 VIX caleb_strategy_v3 [-1] 17.35 None 17.425 17.4 17.45 17.45 17.45 0.075 -0.025 0.05 -0.0 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 11667 NIKKEI caleb_strategy_v3 [-1] 6627.95256 282.892791 -3.771904 7.543808 -0.0 NaN 3.771904 11668 NIKKEI caleb_strategy_v3 [-1] 6627.95256 282.892791 -3.771904 7.543808 -0.0 NaN 3.771904 11669 NIKKEI caleb_strategy_v3 [-1] 6627.95256 290.436599 -3.771904 22.631423 NaN NaN 18.859519 11670 NIKKEI caleb_strategy_v3 [-1] 6627.95256 313.068022 -3.771904 -7.543808 -15.087616 NaN -11.315712 11681 CAC caleb_strategy_v3 [1] 787.899482 -574.311838 -34.902929 95.189807 25.383949 NaN 60.286878 11671 CAC caleb_strategy_v3 [1] 787.899482 -593.3498 -34.902929 69.805859 0.0 NaN 34.902929 11673 CAC caleb_strategy_v3 [1] 787.899482 -571.138845 -38.075923 69.805859 -6.345987 NaN 31.729936 11675 CAC caleb_strategy_v3 [1] 787.899482 -574.311838 -34.902929 69.805859 0.0 NaN 34.902929 11677 CAC caleb_strategy_v3 [1] 787.899482 -574.311838 -34.902929 114.227769 44.42191 NaN 79.32484 11679 CAC caleb_strategy_v3 [1] 787.899482 -574.311838 -34.902929 107.881782 38.075923 NaN 72.978852 11680 DAX caleb_strategy_v3 [-1] 2027.079491 572.251855 -4.933206 24.666028 14.799617 NaN 19.732823 11682 DAX caleb_strategy_v3 [-1] 2027.079491 594.451281 -2.466603 -9.866411 -14.799617 NaN -12.333014 11683 DAX caleb_strategy_v3 [-1] 2027.079491 587.051472 -4.933206 9.866411 -0.0 NaN 4.933206 11672 DAX caleb_strategy_v3 [-1] 2027.079491 527.853005 -4.933206 -0.0 -9.866411 NaN -4.933206 11674 DAX caleb_strategy_v3 [-1] 2027.079491 525.386402 -2.466603 9.866411 4.933206 NaN 7.399808 11676 DAX caleb_strategy_v3 [-1] 2027.079491 535.252813 -2.466603 14.799617 9.866411 NaN 12.333014 11678 DAX caleb_strategy_v3 [-1] 2027.079491 552.519033 -4.933206 19.732823 9.866411 NaN 14.799617 11684 EURIBOR-ICE caleb_strategy_v3 [-1] 0.933881 133.850036 -26.770007 -0.0 -53.540014 NaN -26.770007 11685 GASOIL caleb_strategy_v3 [1] 215.88375 -17.37046 -5.790153 81.062146 NaN NaN 75.271992 11686 COPPER caleb_strategy_v3 [-1] 0.734061 -180.502718 -3.405712 6.811423 -0.0 NaN 3.405712 11687 COCOA caleb_strategy_v3 [-1] 2907.678185 816.802909 -5.158755 10.31751 -0.0 NaN 5.158755 11688 HEATOIL caleb_strategy_v3 [1] 0.687668 -185.409235 -6.543855 11.633521 -1.45419 NaN 5.089665 11690 SUGAR11 caleb_strategy_v3 [-1] 4.931447 -243.336278 -0.0 425.838486 NaN NaN 425.838486 11691 COFFEE caleb_strategy_v3 [1] 51.656388 237.143954 -4.839673 -19.35869 -29.038035 NaN -24.198363 11689 GAS_US_mini caleb_strategy_v3 [-1] 1.411167 177.15833 -35.431666 -0.0 -70.863332 NaN -35.431666 11692 GAS_US_mini caleb_strategy_v3 [-1] 1.411167 159.442497 -17.715833 -0.0 -35.431666 NaN -17.715833 11693 GAS_US_mini caleb_strategy_v3 [-1] 1.411167 159.442497 -17.715833 -0.0 NaN NaN -17.715833 11694 JPY caleb_strategy_v3 [1] 0.000538 762.003036 -9.29272 -9.29272 -27.87816 NaN -18.58544 11699 CHF caleb_strategy_v3 [-1] 0.084077 -1189.387223 -5.946936 5.946936 -5.946936 NaN 0.0 11700 NZD caleb_strategy_v3 [-1] 0.059027 -940.240724 -8.470637 -8.470637 -25.411911 NaN -16.941274 11706 US5 caleb_strategy_v3 [1] 5.488656 1530.144674 -7.116952 28.466897 14.232993 NaN 21.349945 11698 US5 caleb_strategy_v3 [1] 5.488656 1544.378578 -7.116952 -14.234815 -28.468719 NaN -21.351767 11697 NASDAQ_micro caleb_strategy_v3 [1] 2742.13606 189.177338 -0.455849 0.911698 0.0 NaN 0.455849 11705 NASDAQ_micro caleb_strategy_v3 [1] 2742.13606 191.000734 -0.455849 -2.735094 -3.646792 NaN -3.190943 11716 NASDAQ_micro caleb_strategy_v3 [1] 2742.13606 259.833934 -0.911698 -56.525277 -58.348673 NaN -57.436975 11711 NASDAQ_micro caleb_strategy_v3 [1] 2742.13606 189.633187 -0.911698 71.112445 69.289049 NaN 70.200747 11714 DOW caleb_strategy_v3 [-1] 4647.025985 -695.068203 -2.151914 51.645935 47.342107 NaN 49.494021 11719 DOW caleb_strategy_v3 [-1] 4647.025985 -643.422268 -2.151914 -55.949762 -60.25359 NaN -58.101676 11723 DOW caleb_strategy_v3 [-1] 4647.025985 -701.523945 -2.151914 161.393546 157.089718 NaN 159.241632 11695 DOW caleb_strategy_v3 [-1] 4647.025985 -697.220117 -2.151914 -2.151914 -6.455742 NaN -4.303828 11727 DOW caleb_strategy_v3 [-1] 4647.025985 -540.130399 -2.151914 -43.038279 -47.342107 NaN -45.190193 11703 DOW caleb_strategy_v3 [-1] 4647.025985 -700.447988 -1.075957 53.797849 51.645935 NaN 52.721892 11709 DOW caleb_strategy_v3 [-1] 4647.025985 -646.650139 -1.075957 -47.342107 -49.494021 NaN -48.418064 11746 SP500_micro caleb_strategy_v3 [-1] 622.933152 -214.710037 -2.006636 4.013272 -0.0 NaN 2.006636 11715 SP500_micro caleb_strategy_v3 [-1] 622.933152 -351.161275 -2.006636 -12.039815 -16.053087 NaN -14.046451 11749 SP500_micro caleb_strategy_v3 [-1] 622.933152 -226.749852 -2.006636 -12.039815 NaN NaN -14.046451 11720 SP500_micro caleb_strategy_v3 [-1] 622.933152 -423.400166 -2.006636 -4.013272 -8.026543 NaN -6.019908 11752 SP500_micro caleb_strategy_v3 [-1] 622.933152 -206.683493 -2.006636 4.013272 -0.0 NaN 2.006636 11724 SP500_micro caleb_strategy_v3 [-1] 622.933152 -282.935656 -2.006636 -4.013272 -8.026543 NaN -6.019908 11696 SP500_micro caleb_strategy_v3 [-1] 622.933152 -375.240906 -2.006636 12.039815 8.026543 NaN 10.033179 11728 SP500_micro caleb_strategy_v3 [-1] 622.933152 -278.922384 -2.006636 4.013272 -0.0 NaN 2.006636 11731 SP500_micro caleb_strategy_v3 [-1] 622.933152 -282.935656 -2.006636 4.013272 -0.0 NaN 2.006636 11734 SP500_micro caleb_strategy_v3 [-1] 622.933152 -294.975471 -2.006636 4.013272 -0.0 NaN 2.006636 11704 SP500_micro caleb_strategy_v3 [-1] 622.933152 -363.20109 -2.006636 12.039815 NaN NaN 10.033179 11737 SP500_micro caleb_strategy_v3 [-1] 622.933152 -315.04183 -2.006636 -4.013272 -8.026543 NaN -6.019908 11740 SP500_micro caleb_strategy_v3 [-1] 622.933152 -262.869297 -2.006636 -4.013272 -8.026543 NaN -6.019908 11710 SP500_micro caleb_strategy_v3 [-1] 622.933152 -403.333808 -2.006636 4.013272 -0.0 NaN 2.006636 11743 SP500_micro caleb_strategy_v3 [-1] 622.933152 -186.617135 -2.006636 4.013272 -0.0 NaN 2.006636 11701 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -467.862971 -42.532997 85.065995 0.0 NaN 42.532997 11702 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 382.796976 -42.532997 85.065995 -0.0 NaN 42.532997 11707 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -382.796976 -42.532997 -85.065995 NaN NaN -127.598992 11708 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 382.796976 -42.532997 85.065995 -0.0 NaN 42.532997 11712 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -467.862971 -42.532997 85.065995 0.0 NaN 42.532997 11713 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 467.862971 -42.532997 -85.065995 -170.131989 NaN -127.598992 11717 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -467.862971 -42.532997 85.065995 0.0 NaN 42.532997 11718 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 382.796976 -42.532997 85.065995 -0.0 NaN 42.532997 11721 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -467.862971 -42.532997 85.065995 0.0 NaN 42.532997 11722 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 467.862971 -42.532997 -85.065995 -170.131989 NaN -127.598992 11725 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -467.862971 -42.532997 85.065995 0.0 NaN 42.532997 11726 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 382.796976 -42.532997 -85.065995 -170.131989 NaN -127.598992 11729 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -382.796976 -42.532997 -85.065995 -170.131989 NaN -127.598992 11730 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 297.730981 -42.532997 85.065995 -0.0 NaN 42.532997 11732 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -382.796976 -42.532997 -85.065995 -170.131989 NaN -127.598992 11733 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 382.796976 -42.532997 -85.065995 -170.131989 NaN -127.598992 11735 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -297.730981 -42.532997 -85.065995 -170.131989 NaN -127.598992 11736 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 297.730981 -42.532997 85.065995 -0.0 NaN 42.532997 11738 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -382.796976 -42.532997 85.065995 0.0 NaN 42.532997 11739 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 382.796976 -42.532997 -85.065995 -170.131989 NaN -127.598992 11741 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -297.730981 -42.532997 85.065995 0.0 NaN 42.532997 11742 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 297.730981 -42.532997 -85.065995 -170.131989 NaN -127.598992 11744 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -170.131989 -85.065995 0.0 -170.131989 NaN -85.065995 11745 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 212.664987 -42.532997 -85.065995 -170.131989 NaN -127.598992 11747 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -212.664987 -42.532997 85.065995 0.0 NaN 42.532997 11748 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 127.598992 -42.532997 85.065995 -0.0 NaN 42.532997 11750 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -212.664987 -42.532997 85.065995 0.0 NaN 42.532997 11751 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 127.598992 -42.532997 85.065995 -0.0 NaN 42.532997 11753 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -127.598992 -42.532997 -85.065995 -170.131989 NaN -127.598992 11754 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 212.664987 -42.532997 -85.065995 -170.131989 NaN -127.598992 11755 VIX _ROLL_PSEUDO_STRATEGY [1] 5.877789 -212.664987 -42.532997 85.065995 0.0 NaN 42.532997 11756 VIX _ROLL_PSEUDO_STRATEGY [-1] 5.877789 170.131989 -85.065995 -0.0 -170.131989 NaN -85.065995 11757 VIX caleb_strategy_v3 [-1] 5.877789 127.598992 -42.532997 85.065995 -0.0 NaN 42.532997 ============================================================================================================================================================================= 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 11667 NIKKEI caleb_strategy_v3 [-1] 0.658777 123.520635 -1.646942 3.293884 -0.0 NaN 1.646942 11668 NIKKEI caleb_strategy_v3 [-1] 0.658777 123.520635 -1.646942 3.293884 -0.0 NaN 1.646942 11669 NIKKEI caleb_strategy_v3 [-1] 0.658777 126.814518 -1.646942 9.881651 NaN NaN 8.234709 11670 NIKKEI caleb_strategy_v3 [-1] 0.658777 136.696169 -1.646942 -3.293884 -6.587767 NaN -4.940825 11681 CAC caleb_strategy_v3 [1] 10.8505 -490.985125 -29.838875 81.37875 21.701 NaN 51.539875 11671 CAC caleb_strategy_v3 [1] 10.8505 -507.260875 -29.838875 59.67775 0.0 NaN 29.838875 11673 CAC caleb_strategy_v3 [1] 10.8505 -488.2725 -32.5515 59.67775 -5.42525 NaN 27.12625 11675 CAC caleb_strategy_v3 [1] 10.8505 -490.985125 -29.838875 59.67775 0.0 NaN 29.838875 11677 CAC caleb_strategy_v3 [1] 10.8505 -490.985125 -29.838875 97.6545 37.97675 NaN 67.815625 11679 CAC caleb_strategy_v3 [1] 10.8505 -490.985125 -29.838875 92.22925 32.5515 NaN 62.390375 11680 DAX caleb_strategy_v3 [-1] 1.08505 125.8658 -1.08505 5.42525 3.25515 NaN 4.3402 11682 DAX caleb_strategy_v3 [-1] 1.08505 130.748525 -0.542525 -2.1701 -3.25515 NaN -2.712625 11683 DAX caleb_strategy_v3 [-1] 1.08505 129.12095 -1.08505 2.1701 -0.0 NaN 1.08505 11672 DAX caleb_strategy_v3 [-1] 1.08505 116.10035 -1.08505 -0.0 -2.1701 NaN -1.08505 11674 DAX caleb_strategy_v3 [-1] 1.08505 115.557825 -0.542525 2.1701 1.08505 NaN 1.627575 11676 DAX caleb_strategy_v3 [-1] 1.08505 117.727925 -0.542525 3.25515 2.1701 NaN 2.712625 11678 DAX caleb_strategy_v3 [-1] 1.08505 121.5256 -1.08505 4.3402 2.1701 NaN 3.25515 11684 EURIBOR-ICE caleb_strategy_v3 [-1] 2712.625 33.907813 -6.781562 -0.0 -13.563125 NaN -6.781562 11685 GASOIL caleb_strategy_v3 [1] 100.0 -37.5 -12.5 175.0 NaN NaN 162.5 11686 COPPER caleb_strategy_v3 [-1] 25000.0 -331.25 -6.25 12.5 -0.0 NaN 6.25 11687 COCOA caleb_strategy_v3 [-1] 10.0 2375.0 -15.0 30.0 -0.0 NaN 15.0 11688 HEATOIL caleb_strategy_v3 [1] 42000.0 -535.5 -18.9 33.6 -4.2 NaN 14.7 11690 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -134.4 -0.0 235.2 NaN NaN 235.2 11691 COFFEE caleb_strategy_v3 [1] 375.0 459.375 -9.375 -37.5 -56.25 NaN -46.875 11689 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 62.5 -12.5 -0.0 -25.0 NaN -12.5 11692 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 56.25 -6.25 -0.0 -12.5 NaN -6.25 11693 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 56.25 -6.25 -0.0 NaN NaN -6.25 11694 JPY caleb_strategy_v3 [1] 12500000.0 512.5 -6.25 -6.25 -18.75 NaN -12.5 11699 CHF caleb_strategy_v3 [-1] 125000.0 -1250.0 -6.25 6.25 -6.25 NaN 0.0 11700 NZD caleb_strategy_v3 [-1] 100000.0 -555.0 -5.0 -5.0 -15.0 NaN -10.0 11706 US5 caleb_strategy_v3 [1] 1000.0 839.84375 -3.90625 15.6245 7.812 NaN 11.71825 11698 US5 caleb_strategy_v3 [1] 1000.0 847.65625 -3.90625 -7.813 -15.6255 NaN -11.71925 11697 NASDAQ_micro caleb_strategy_v3 [1] 2.0 103.75 -0.25 0.5 0.0 NaN 0.25 11705 NASDAQ_micro caleb_strategy_v3 [1] 2.0 104.75 -0.25 -1.5 -2.0 NaN -1.75 11716 NASDAQ_micro caleb_strategy_v3 [1] 2.0 142.5 -0.5 -31.0 -32.0 NaN -31.5 11711 NASDAQ_micro caleb_strategy_v3 [1] 2.0 104.0 -0.5 39.0 38.0 NaN 38.5 11714 DOW caleb_strategy_v3 [-1] 0.5 -161.5 -0.5 12.0 11.0 NaN 11.5 11719 DOW caleb_strategy_v3 [-1] 0.5 -149.5 -0.5 -13.0 -14.0 NaN -13.5 11723 DOW caleb_strategy_v3 [-1] 0.5 -163.0 -0.5 37.5 36.5 NaN 37.0 11695 DOW caleb_strategy_v3 [-1] 0.5 -162.0 -0.5 -0.5 -1.5 NaN -1.0 11727 DOW caleb_strategy_v3 [-1] 0.5 -125.5 -0.5 -10.0 -11.0 NaN -10.5 11703 DOW caleb_strategy_v3 [-1] 0.5 -162.75 -0.25 12.5 12.0 NaN 12.25 11709 DOW caleb_strategy_v3 [-1] 0.5 -150.25 -0.25 -11.0 -11.5 NaN -11.25 11746 SP500_micro caleb_strategy_v3 [-1] 5.0 -66.875 -0.625 1.25 -0.0 NaN 0.625 11715 SP500_micro caleb_strategy_v3 [-1] 5.0 -109.375 -0.625 -3.75 -5.0 NaN -4.375 11749 SP500_micro caleb_strategy_v3 [-1] 5.0 -70.625 -0.625 -3.75 NaN NaN -4.375 11720 SP500_micro caleb_strategy_v3 [-1] 5.0 -131.875 -0.625 -1.25 -2.5 NaN -1.875 11752 SP500_micro caleb_strategy_v3 [-1] 5.0 -64.375 -0.625 1.25 -0.0 NaN 0.625 11724 SP500_micro caleb_strategy_v3 [-1] 5.0 -88.125 -0.625 -1.25 -2.5 NaN -1.875 11696 SP500_micro caleb_strategy_v3 [-1] 5.0 -116.875 -0.625 3.75 2.5 NaN 3.125 11728 SP500_micro caleb_strategy_v3 [-1] 5.0 -86.875 -0.625 1.25 -0.0 NaN 0.625 11731 SP500_micro caleb_strategy_v3 [-1] 5.0 -88.125 -0.625 1.25 -0.0 NaN 0.625 11734 SP500_micro caleb_strategy_v3 [-1] 5.0 -91.875 -0.625 1.25 -0.0 NaN 0.625 11704 SP500_micro caleb_strategy_v3 [-1] 5.0 -113.125 -0.625 3.75 NaN NaN 3.125 11737 SP500_micro caleb_strategy_v3 [-1] 5.0 -98.125 -0.625 -1.25 -2.5 NaN -1.875 11740 SP500_micro caleb_strategy_v3 [-1] 5.0 -81.875 -0.625 -1.25 -2.5 NaN -1.875 11710 SP500_micro caleb_strategy_v3 [-1] 5.0 -125.625 -0.625 1.25 -0.0 NaN 0.625 11743 SP500_micro caleb_strategy_v3 [-1] 5.0 -58.125 -0.625 1.25 -0.0 NaN 0.625 11701 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 50.0 0.0 NaN 25.0 11702 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 50.0 -0.0 NaN 25.0 11707 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 -50.0 NaN NaN -75.0 11708 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 50.0 -0.0 NaN 25.0 11712 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 50.0 0.0 NaN 25.0 11713 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 275.0 -25.0 -50.0 -100.0 NaN -75.0 11717 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 50.0 0.0 NaN 25.0 11718 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 50.0 -0.0 NaN 25.0 11721 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 50.0 0.0 NaN 25.0 11722 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 275.0 -25.0 -50.0 -100.0 NaN -75.0 11725 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -275.0 -25.0 50.0 0.0 NaN 25.0 11726 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -50.0 -100.0 NaN -75.0 11729 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 -50.0 -100.0 NaN -75.0 11730 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 175.0 -25.0 50.0 -0.0 NaN 25.0 11732 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 -50.0 -100.0 NaN -75.0 11733 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -50.0 -100.0 NaN -75.0 11735 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 -50.0 -100.0 NaN -75.0 11736 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 175.0 -25.0 50.0 -0.0 NaN 25.0 11738 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 50.0 0.0 NaN 25.0 11739 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 225.0 -25.0 -50.0 -100.0 NaN -75.0 11741 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 50.0 0.0 NaN 25.0 11742 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 175.0 -25.0 -50.0 -100.0 NaN -75.0 11744 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -100.0 -50.0 0.0 -100.0 NaN -50.0 11745 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 -50.0 -100.0 NaN -75.0 11747 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 11748 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 11750 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 11751 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 11753 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 11754 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 -50.0 -100.0 NaN -75.0 11755 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 11756 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 100.0 -50.0 -0.0 -100.0 NaN -50.0 11757 VIX caleb_strategy_v3 [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -250.0 caleb_strategy_v3 CAC -2959.473875 CHF -1250.0 COCOA 2375.0 COFFEE 459.375 COPPER -331.25 DAX 856.646975 DOW -1074.5 EURIBOR-ICE 33.907813 GASOIL -37.5 GAS_US_mini 175.0 HEATOIL -535.5 JPY 512.5 NASDAQ_micro 455.0 NIKKEI 510.551956 NZD -555.0 SP500_micro -1391.875 SUGAR11 -134.4 US5 1687.5 VIX 75.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -250.0 caleb_strategy_v3 -1129.017131 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -850.0 caleb_strategy_v3 CAC -181.745875 CHF -6.25 COCOA -15.0 COFFEE -9.375 COPPER -6.25 DAX -5.967775 DOW -3.0 EURIBOR-ICE -6.781562 GASOIL -12.5 GAS_US_mini -25.0 HEATOIL -18.9 JPY -6.25 NASDAQ_micro -1.5 NIKKEI -6.587767 NZD -5.0 SP500_micro -9.375 SUGAR11 -0.0 US5 -7.8125 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -850.0 caleb_strategy_v3 -352.29548 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 200.0 caleb_strategy_v3 CAC 450.29575 CHF 6.25 COCOA 30.0 COFFEE -37.5 COPPER 12.5 DAX 15.1907 DOW 27.5 EURIBOR-ICE -0.0 GASOIL 175.0 GAS_US_mini -0.0 HEATOIL 33.6 JPY -6.25 NASDAQ_micro 7.0 NIKKEI 13.175534 NZD -5.0 SP500_micro 3.75 SUGAR11 235.2 US5 7.8115 VIX 50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 200.0 caleb_strategy_v3 1018.523484 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1400.0 caleb_strategy_v3 CAC 86.804 CHF -6.25 COCOA -0.0 COFFEE -56.25 COPPER -0.0 DAX 3.25515 DOW 21.5 EURIBOR-ICE -13.563125 GASOIL 0 GAS_US_mini -37.5 HEATOIL -4.2 JPY -18.75 NASDAQ_micro 4.0 NIKKEI -6.587767 NZD -15.0 SP500_micro -12.5 SUGAR11 0 US5 -7.8135 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1400.0 caleb_strategy_v3 -62.855242 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 CAC 0 CHF 0 COCOA 0 COFFEE 0 COPPER 0 DAX 0 DOW 0 EURIBOR-ICE 0 GASOIL 0 GAS_US_mini 0 HEATOIL 0 JPY 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 SP500_micro 0 SUGAR11 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 -650.0 caleb_strategy_v3 CAC 268.549875 CHF 0.0 COCOA 15.0 COFFEE -46.875 COPPER 6.25 DAX 9.222925 DOW 24.5 EURIBOR-ICE -6.781562 GASOIL 162.5 GAS_US_mini -25.0 HEATOIL 14.7 JPY -12.5 NASDAQ_micro 5.5 NIKKEI 6.587767 NZD -10.0 SP500_micro -5.625 SUGAR11 235.2 US5 -0.001 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -650.0 caleb_strategy_v3 666.228005 ******************************************************************************** END OF REPORT ********************************************************************************