******************************************************************************** Trades report produced on 21/05/2024 21:37 from 20/05/2024 21:37 to 21/05/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12603 BTP caleb_strategy_v3 [20240600] 2024-05-21 07:00:31 [1] 117.910000 12605 COFFEE caleb_strategy_v3 [20240900] 2024-05-21 13:00:38 [1] 212.000000 12606 COPPER caleb_strategy_v3 [20240700] 2024-05-21 13:00:39 [1] 5.141500 12608 COTTON2 _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-21 13:00:51 [1] 75.700000 12609 COTTON2 _ROLL_PSEUDO_STRATEGY [20241200] 2024-05-21 13:00:53 [-1] 74.740000 12611 COTTON2 _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-21 13:01:38 [1] 75.720000 12612 COTTON2 _ROLL_PSEUDO_STRATEGY [20241200] 2024-05-21 13:01:39 [-1] 74.680000 12614 COTTON2 _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-21 13:02:42 [1] 75.730000 12615 COTTON2 _ROLL_PSEUDO_STRATEGY [20241200] 2024-05-21 13:02:43 [-1] 74.710000 12626 DOW caleb_strategy_v3 [20240600] 2024-05-21 14:06:20 [1] 39987.000000 12618 DOW caleb_strategy_v3 [20240600] 2024-05-21 14:00:43 [1] 39962.000000 12610 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-21 13:01:37 [1] 2.845000 12613 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-21 13:02:41 [1] 2.850000 12616 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-21 13:04:11 [1] 2.850000 12617 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-21 13:04:37 [1] 2.855000 12607 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-21 13:00:50 [1] 2.840000 12637 LIVECOW caleb_strategy_v3 [20240800] 2024-05-21 14:30:06 [1] 179.275000 12628 MXP caleb_strategy_v3 [20240600] 2024-05-21 14:06:22 [1] 0.060110 12621 MXP caleb_strategy_v3 [20240600] 2024-05-21 14:00:51 [1] 0.060080 12627 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-21 14:06:21 [1] 18717.000000 12619 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-21 14:00:44 [1] 18713.750000 12604 OAT caleb_strategy_v3 [20240600] 2024-05-21 07:00:33 [-1] 126.020000 12622 RUSSELL caleb_strategy_v3 [20240600] 2024-05-21 14:00:54 [-1] 2104.000000 12620 SP500_micro caleb_strategy_v3 [20240600] 2024-05-21 14:00:48 [1] 5328.250000 12636 US10U _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-21 14:10:06 [-1] 113.046875 12635 US10U _ROLL_PSEUDO_STRATEGY [20240600] 2024-05-21 14:10:04 [1] 112.562500 12634 US10U _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-21 14:09:58 [-1] 113.031250 12633 US10U _ROLL_PSEUDO_STRATEGY [20240600] 2024-05-21 14:09:07 [1] 112.578125 12632 US10U _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-21 14:07:55 [-1] 113.046875 12625 US10U _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-21 14:06:16 [-1] 113.046875 12630 US10U _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-21 14:06:34 [-1] 113.031250 12629 US10U _ROLL_PSEUDO_STRATEGY [20240600] 2024-05-21 14:06:34 [1] 112.562500 12624 US10U _ROLL_PSEUDO_STRATEGY [20240600] 2024-05-21 14:06:07 [1] 112.578125 12631 US10U _ROLL_PSEUDO_STRATEGY [20240600] 2024-05-21 14:07:54 [1] 112.593750 12623 VIX caleb_strategy_v3 [20240800] 2024-05-21 14:05:55 [-1] 14.950000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12603 BTP caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 08:00:27.318 2024-05-21 07:00:31 115227.318 NaN 12604 OAT caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 08:00:32.358 2024-05-21 07:00:33 115232.358 NaN 12605 COFFEE caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 14:00:37.573 2024-05-21 13:00:38 136837.573 NaN 12606 COPPER caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 14:00:39.578 2024-05-21 13:00:39 136839.578 NaN 12608 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-05-20 19:00:00 2024-05-21 14:00:51.334 2024-05-21 13:00:51 68451.334 NaN 12609 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-05-20 19:00:00 2024-05-21 14:00:52.490 2024-05-21 13:00:53 68452.49 NaN 12611 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-05-20 19:00:00 2024-05-21 14:01:38.317 2024-05-21 13:01:38 68498.317 NaN 12612 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-05-20 19:00:00 2024-05-21 14:01:38.922 2024-05-21 13:01:39 68498.922 NaN 12614 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-05-20 19:00:00 2024-05-21 14:02:42.333 2024-05-21 13:02:42 68562.333 NaN 12615 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-05-20 19:00:00 2024-05-21 14:02:42.978 2024-05-21 13:02:43 68562.978 NaN 12610 GAS_US_mini caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 14:01:37.584 2024-05-21 13:01:37 136897.584 NaN 12613 GAS_US_mini caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 14:02:37.422 2024-05-21 13:02:41 136957.422 NaN 12616 GAS_US_mini caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 14:03:37.612 2024-05-21 13:04:11 137017.612 NaN 12617 GAS_US_mini caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 14:04:37.437 2024-05-21 13:04:37 137077.437 NaN 12607 GAS_US_mini caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 14:00:40.695 2024-05-21 13:00:50 136840.695 NaN 12620 SP500_micro caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:00:44.998 2024-05-21 14:00:48 140444.998 NaN 12622 RUSSELL caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:00:52.519 2024-05-21 14:00:54 140452.519 NaN 12623 VIX caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:00:55.511 2024-05-21 14:05:55 140455.511 NaN 12618 DOW caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:00:43.462 2024-05-21 14:00:43 140443.462 NaN 12626 DOW caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:06:20.471 2024-05-21 14:06:20 140780.471 NaN 12627 NASDAQ_micro caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:06:21.379 2024-05-21 14:06:21 140781.379 NaN 12619 NASDAQ_micro caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:00:44.187 2024-05-21 14:00:44 140444.187 NaN 12628 MXP caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:06:22.151 2024-05-21 14:06:22 140782.151 NaN 12621 MXP caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:00:49.068 2024-05-21 14:00:51 140449.068 NaN 12624 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:05:56.286 2024-05-21 14:06:07 68756.286 NaN 12625 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:06:08.351 2024-05-21 14:06:16 68768.351 NaN 12629 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:06:22.833 2024-05-21 14:06:34 68782.833 NaN 12630 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:06:34.550 2024-05-21 14:06:34 68794.55 NaN 12631 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:07:20.993 2024-05-21 14:07:54 68840.993 NaN 12632 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:07:55.378 2024-05-21 14:07:55 68875.378 NaN 12633 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:08:21.107 2024-05-21 14:09:07 68901.107 NaN 12634 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:09:07.824 2024-05-21 14:09:58 68947.824 NaN 12635 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:10:02.556 2024-05-21 14:10:04 69002.556 NaN 12636 US10U _ROLL_PSEUDO_STRATEGY 2024-05-20 20:00:00 2024-05-21 15:10:05.064 2024-05-21 14:10:06 69005.064 NaN 12637 LIVECOW caleb_strategy_v3 2024-05-20 00:00:00 2024-05-21 15:30:06.050 2024-05-21 14:30:06 142206.05 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 12603 BTP caleb_strategy_v3 [1] 117.93 None 117.915 117.92 117.91 117.91 117.91 0.015 -0.005 0.01 0.0 NaN 0.005 12604 OAT caleb_strategy_v3 [-1] 125.98 None 126.035 126.03 126.04 126.04 126.02 0.055 -0.005 -0.01 -0.02 NaN -0.015 12605 COFFEE caleb_strategy_v3 [1] 205.8 None 211.775 211.85 211.7 211.7 212.0 -5.975 -0.075 -0.15 -0.3 NaN -0.225 12606 COPPER caleb_strategy_v3 [1] 5.1085 None 5.141 5.1415 5.1405 5.1405 5.1415 -0.0325 -0.0005 0.0 -0.001 NaN -0.0005 12608 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 75.92 None 75.685 75.7 75.67 75.67 75.7 0.235 -0.015 0.0 -0.03 NaN -0.015 12609 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 75.01 None 75.0 75.0 75.0 75.0 74.74 -0.01 -0.0 -0.26 -0.26 NaN -0.26 12611 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 75.92 None 75.85 75.7 76.0 76.0 75.72 0.07 0.15 -0.02 0.28 NaN 0.13 12612 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 75.01 None 74.87 74.74 75.0 75.0 74.68 -0.14 -0.13 -0.06 -0.32 NaN -0.19 12614 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 75.92 None 75.695 75.72 75.67 75.67 75.73 0.225 -0.025 -0.01 -0.06 NaN -0.035 12615 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 75.01 None 74.84 74.68 75.0 75.0 74.71 -0.17 -0.16 0.03 -0.29 NaN -0.13 12610 GAS_US_mini caleb_strategy_v3 [1] 2.9 None 2.84 2.845 2.835 2.835 2.845 0.06 -0.005 0.0 -0.01 NaN -0.005 12613 GAS_US_mini caleb_strategy_v3 [1] 2.9 None 2.8425 2.845 2.84 2.84 2.85 0.0575 -0.0025 -0.005 -0.01 NaN -0.0075 12616 GAS_US_mini caleb_strategy_v3 [1] 2.9 None 2.8475 2.85 2.845 2.845 2.85 0.0525 -0.0025 0.0 -0.005 NaN -0.0025 12617 GAS_US_mini caleb_strategy_v3 [1] 2.9 None 2.8475 2.85 2.845 NaN 2.855 0.0525 -0.0025 -0.005 NaN NaN -0.0075 12607 GAS_US_mini caleb_strategy_v3 [1] 2.9 None 2.8425 2.845 2.84 2.84 2.84 0.0575 -0.0025 0.005 0.0 NaN 0.0025 12620 SP500_micro caleb_strategy_v3 [1] 5333.75 None 5327.875 5328.0 5327.75 5327.75 5328.25 5.875 -0.125 -0.25 -0.5 NaN -0.375 12622 RUSSELL caleb_strategy_v3 [-1] 2113.7 None 2104.15 2104.1 2104.2 2104.2 2104.0 -9.55 -0.05 -0.1 -0.2 NaN -0.15 12623 VIX caleb_strategy_v3 [-1] 14.95 None 14.975 14.95 15.0 15.0 14.95 0.025 -0.025 -0.0 -0.05 NaN -0.025 12618 DOW caleb_strategy_v3 [1] 39954.0 None 39961.5 39962.0 39961.0 NaN 39962.0 -7.5 -0.5 0.0 NaN NaN -0.5 12626 DOW caleb_strategy_v3 [1] 39954.0 None 39986.5 39987.0 39986.0 39986.0 39987.0 -32.5 -0.5 0.0 -1.0 NaN -0.5 12627 NASDAQ_micro caleb_strategy_v3 [1] 18759.25 None 18713.75 18714.0 18713.5 18713.5 18717.0 45.5 -0.25 -3.0 -3.5 NaN -3.25 12619 NASDAQ_micro caleb_strategy_v3 [1] 18759.25 None 18713.875 18714.0 18713.75 18713.75 18713.75 45.375 -0.125 0.25 0.0 NaN 0.125 12628 MXP caleb_strategy_v3 [1] 0.06012 None 0.060075 0.06008 0.06007 0.06007 0.06011 0.000045 -0.000005 -0.00003 -0.00004 NaN -0.000035 12621 MXP caleb_strategy_v3 [1] 0.06012 None 0.060065 0.06007 0.06006 0.06006 0.06008 0.000055 -0.000005 -0.00001 -0.00002 NaN -0.000015 12624 US10U _ROLL_PSEUDO_STRATEGY [1] 112.265625 None 112.554688 112.5625 112.546875 112.546875 112.578125 -0.289062 -0.007812 -0.015625 -0.03125 NaN -0.023438 12625 US10U _ROLL_PSEUDO_STRATEGY [-1] 112.734375 None 113.046875 113.03125 113.0625 113.0625 113.046875 0.3125 -0.015625 0.015625 -0.015625 NaN 0.0 12629 US10U _ROLL_PSEUDO_STRATEGY [1] 112.265625 None 112.570312 112.578125 112.5625 112.5625 112.5625 -0.304688 -0.007812 0.015625 0.0 NaN 0.007812 12630 US10U _ROLL_PSEUDO_STRATEGY [-1] 112.734375 None 113.054688 113.046875 113.0625 113.0625 113.03125 0.320312 -0.007812 -0.015625 -0.03125 NaN -0.023438 12631 US10U _ROLL_PSEUDO_STRATEGY [1] 112.265625 None 112.570312 112.578125 112.5625 112.5625 112.59375 -0.304688 -0.007812 -0.015625 -0.03125 NaN -0.023438 12632 US10U _ROLL_PSEUDO_STRATEGY [-1] 112.734375 None 113.039062 113.03125 113.046875 113.046875 113.046875 0.304688 -0.007812 0.015625 -0.0 NaN 0.007812 12633 US10U _ROLL_PSEUDO_STRATEGY [1] 112.265625 None 112.585938 112.59375 112.578125 112.578125 112.578125 -0.320312 -0.007812 0.015625 0.0 NaN 0.007812 12634 US10U _ROLL_PSEUDO_STRATEGY [-1] 112.734375 None 113.054688 113.046875 113.0625 113.0625 113.03125 0.320312 -0.007812 -0.015625 -0.03125 NaN -0.023438 12635 US10U _ROLL_PSEUDO_STRATEGY [1] 112.265625 None 112.570312 112.578125 112.5625 112.5625 112.5625 -0.304688 -0.007812 0.015625 0.0 NaN 0.007812 12636 US10U _ROLL_PSEUDO_STRATEGY [-1] 112.734375 None 113.039062 113.03125 113.046875 113.046875 113.046875 0.304688 -0.007812 0.015625 -0.0 NaN 0.007812 12637 LIVECOW caleb_strategy_v3 [1] 178.75 None 179.2625 179.275 179.25 179.25 179.275 -0.5125 -0.0125 0.0 -0.025 NaN -0.0125 =================================================================================================================================================================== 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 12603 BTP caleb_strategy_v3 [1] 10.313787 14.54364 -4.84788 9.69576 0.0 NaN 4.84788 12604 OAT caleb_strategy_v3 [-1] 9.838179 55.904653 -5.082241 -10.164482 -20.328965 NaN -15.246723 12605 COFFEE caleb_strategy_v3 [1] 78.351286 -762.591186 -9.572274 -19.144549 -38.289097 NaN -28.716823 12606 COPPER caleb_strategy_v3 [1] 1.036035 -313.695944 -4.826091 0.0 -9.652183 NaN -4.826091 12608 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 23.501716 99.9927 -6.382513 0.0 -12.765026 NaN -6.382513 12609 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 23.501716 -4.255009 -0.0 -110.630221 -110.630221 NaN -110.630221 12611 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 23.501716 29.78506 63.825128 -8.510017 119.140238 NaN 55.315111 12612 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 23.501716 -59.570119 -55.315111 -25.530051 -136.160272 NaN -80.845162 12614 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 23.501716 95.737692 -10.637521 -4.255009 -25.530051 NaN -14.89253 12615 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 23.501716 -72.335145 -68.080136 12.765026 -123.395247 NaN -55.315111 12610 GAS_US_mini caleb_strategy_v3 [1] 1.463982 409.841056 -34.153421 0.0 -68.306843 NaN -34.153421 12613 GAS_US_mini caleb_strategy_v3 [1] 1.463982 392.764345 -17.076711 -34.153421 -68.306843 NaN -51.230132 12616 GAS_US_mini caleb_strategy_v3 [1] 1.463982 358.610924 -17.076711 0.0 -34.153421 NaN -17.076711 12617 GAS_US_mini caleb_strategy_v3 [1] 1.463982 358.610924 -17.076711 -34.153421 NaN NaN -51.230132 12607 GAS_US_mini caleb_strategy_v3 [1] 1.463982 392.764345 -17.076711 34.153421 0.0 NaN 17.076711 12620 SP500_micro caleb_strategy_v3 [1] 597.239891 98.369183 -2.092961 -4.185923 -8.371845 NaN -6.278884 12622 RUSSELL caleb_strategy_v3 [-1] 346.240494 -275.819847 -1.444083 -2.888166 -5.776332 NaN -4.332249 12623 VIX caleb_strategy_v3 [-1] 5.482796 45.597176 -45.597176 -0.0 -91.194353 NaN -45.597176 12618 DOW caleb_strategy_v3 [1] 3993.794073 -18.779135 -1.251942 0.0 NaN NaN -1.251942 12626 DOW caleb_strategy_v3 [1] 3993.794073 -81.376254 -1.251942 0.0 -2.503885 NaN -1.251942 12627 NASDAQ_micro caleb_strategy_v3 [1] 2791.773303 162.978849 -0.895488 -10.745858 -12.536835 NaN -11.641346 12619 NASDAQ_micro caleb_strategy_v3 [1] 2791.773303 162.531105 -0.447744 0.895488 0.0 NaN 0.447744 12628 MXP caleb_strategy_v3 [1] 0.005199 86.550668 -9.616741 -57.700446 -76.933928 NaN -67.317187 12621 MXP caleb_strategy_v3 [1] 0.005199 105.78415 -9.616741 -19.233482 -38.466964 NaN -28.850223 12624 US10U _ROLL_PSEUDO_STRATEGY [1] 8.46617 -341.432421 -9.227903 -18.455807 -36.911613 NaN -27.68371 12625 US10U _ROLL_PSEUDO_STRATEGY [-1] 8.46617 369.116131 -18.455807 18.455807 -18.455807 NaN 0.0 12629 US10U _ROLL_PSEUDO_STRATEGY [1] 8.46617 -359.888228 -9.227903 18.455807 0.0 NaN 9.227903 12630 US10U _ROLL_PSEUDO_STRATEGY [-1] 8.46617 378.344034 -9.227903 -18.455807 -36.911613 NaN -27.68371 12631 US10U _ROLL_PSEUDO_STRATEGY [1] 8.46617 -359.888228 -9.227903 -18.455807 -36.911613 NaN -27.68371 12632 US10U _ROLL_PSEUDO_STRATEGY [-1] 8.46617 359.888228 -9.227903 18.455807 -0.0 NaN 9.227903 12633 US10U _ROLL_PSEUDO_STRATEGY [1] 8.46617 -378.344034 -9.227903 18.455807 0.0 NaN 9.227903 12634 US10U _ROLL_PSEUDO_STRATEGY [-1] 8.46617 378.344034 -9.227903 -18.455807 -36.911613 NaN -27.68371 12635 US10U _ROLL_PSEUDO_STRATEGY [1] 8.46617 -359.888228 -9.227903 18.455807 0.0 NaN 9.227903 12636 US10U _ROLL_PSEUDO_STRATEGY [-1] 8.46617 359.888228 -9.227903 18.455807 -0.0 NaN 9.227903 12637 LIVECOW caleb_strategy_v3 [1] 23.05202 -222.323247 -5.422518 0.0 -10.845036 NaN -5.422518 ============================================================================================================================================================================ 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 12603 BTP caleb_strategy_v3 [1] 1086.05 16.29075 -5.43025 10.8605 0.0 NaN 5.43025 12604 OAT caleb_strategy_v3 [-1] 1086.05 59.73275 -5.43025 -10.8605 -21.721 NaN -16.29075 12605 COFFEE caleb_strategy_v3 [1] 375.0 -2240.625 -28.125 -56.25 -112.5 NaN -84.375 12606 COPPER caleb_strategy_v3 [1] 25000.0 -812.5 -12.5 0.0 -25.0 NaN -12.5 12608 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 117.5 -7.5 0.0 -15.0 NaN -7.5 12609 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 -5.0 -0.0 -130.0 -130.0 NaN -130.0 12611 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 35.0 75.0 -10.0 140.0 NaN 65.0 12612 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 -70.0 -65.0 -30.0 -160.0 NaN -95.0 12614 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 112.5 -12.5 -5.0 -30.0 NaN -17.5 12615 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 -85.0 -80.0 15.0 -145.0 NaN -65.0 12610 GAS_US_mini caleb_strategy_v3 [1] 2500.0 150.0 -12.5 0.0 -25.0 NaN -12.5 12613 GAS_US_mini caleb_strategy_v3 [1] 2500.0 143.75 -6.25 -12.5 -25.0 NaN -18.75 12616 GAS_US_mini caleb_strategy_v3 [1] 2500.0 131.25 -6.25 0.0 -12.5 NaN -6.25 12617 GAS_US_mini caleb_strategy_v3 [1] 2500.0 131.25 -6.25 -12.5 NaN NaN -18.75 12607 GAS_US_mini caleb_strategy_v3 [1] 2500.0 143.75 -6.25 12.5 0.0 NaN 6.25 12620 SP500_micro caleb_strategy_v3 [1] 5.0 29.375 -0.625 -1.25 -2.5 NaN -1.875 12622 RUSSELL caleb_strategy_v3 [-1] 5.0 -47.75 -0.25 -0.5 -1.0 NaN -0.75 12623 VIX caleb_strategy_v3 [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 12618 DOW caleb_strategy_v3 [1] 0.5 -3.75 -0.25 0.0 NaN NaN -0.25 12626 DOW caleb_strategy_v3 [1] 0.5 -16.25 -0.25 0.0 -0.5 NaN -0.25 12627 NASDAQ_micro caleb_strategy_v3 [1] 2.0 91.0 -0.5 -6.0 -7.0 NaN -6.5 12619 NASDAQ_micro caleb_strategy_v3 [1] 2.0 90.75 -0.25 0.5 0.0 NaN 0.25 12628 MXP caleb_strategy_v3 [1] 500000.0 22.5 -2.5 -15.0 -20.0 NaN -17.5 12621 MXP caleb_strategy_v3 [1] 500000.0 27.5 -2.5 -5.0 -10.0 NaN -7.5 12624 US10U _ROLL_PSEUDO_STRATEGY [1] 1000.0 -289.0625 -7.8125 -15.625 -31.25 NaN -23.4375 12625 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000.0 312.5 -15.625 15.625 -15.625 NaN 0.0 12629 US10U _ROLL_PSEUDO_STRATEGY [1] 1000.0 -304.6875 -7.8125 15.625 0.0 NaN 7.8125 12630 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000.0 320.3125 -7.8125 -15.625 -31.25 NaN -23.4375 12631 US10U _ROLL_PSEUDO_STRATEGY [1] 1000.0 -304.6875 -7.8125 -15.625 -31.25 NaN -23.4375 12632 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000.0 304.6875 -7.8125 15.625 -0.0 NaN 7.8125 12633 US10U _ROLL_PSEUDO_STRATEGY [1] 1000.0 -320.3125 -7.8125 15.625 0.0 NaN 7.8125 12634 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000.0 320.3125 -7.8125 -15.625 -31.25 NaN -23.4375 12635 US10U _ROLL_PSEUDO_STRATEGY [1] 1000.0 -304.6875 -7.8125 15.625 0.0 NaN 7.8125 12636 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000.0 304.6875 -7.8125 15.625 -0.0 NaN 7.8125 12637 LIVECOW caleb_strategy_v3 [1] 400.0 -205.0 -5.0 0.0 -10.0 NaN -5.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 105.0 US10U 39.0625 caleb_strategy_v3 BTP 16.29075 COFFEE -2240.625 COPPER -812.5 DOW -20.0 GAS_US_mini 700.0 LIVECOW -205.0 MXP 50.0 NASDAQ_micro 181.75 OAT 59.73275 RUSSELL -47.75 SP500_micro 29.375 VIX 25.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 144.0625 caleb_strategy_v3 -2263.7265 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -90.0 US10U -85.9375 caleb_strategy_v3 BTP -5.43025 COFFEE -28.125 COPPER -12.5 DOW -0.5 GAS_US_mini -37.5 LIVECOW -5.0 MXP -5.0 NASDAQ_micro -0.75 OAT -5.43025 RUSSELL -0.25 SP500_micro -0.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -175.9375 caleb_strategy_v3 -126.1105 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -160.0 US10U 31.25 caleb_strategy_v3 BTP 10.8605 COFFEE -56.25 COPPER 0.0 DOW 0.0 GAS_US_mini -12.5 LIVECOW 0.0 MXP -20.0 NASDAQ_micro -5.5 OAT -10.8605 RUSSELL -0.5 SP500_micro -1.25 VIX -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -128.75 caleb_strategy_v3 -96.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -340.0 US10U -140.625 caleb_strategy_v3 BTP 0.0 COFFEE -112.5 COPPER -25.0 DOW -0.5 GAS_US_mini -62.5 LIVECOW -10.0 MXP -30.0 NASDAQ_micro -7.0 OAT -21.721 RUSSELL -1.0 SP500_micro -2.5 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -480.625 caleb_strategy_v3 -322.721 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 0 US10U 0 caleb_strategy_v3 BTP 0 COFFEE 0 COPPER 0 DOW 0 GAS_US_mini 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 OAT 0 RUSSELL 0 SP500_micro 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 COTTON2 -250.0 US10U -54.6875 caleb_strategy_v3 BTP 5.43025 COFFEE -84.375 COPPER -12.5 DOW -0.5 GAS_US_mini -50.0 LIVECOW -5.0 MXP -25.0 NASDAQ_micro -6.25 OAT -16.29075 RUSSELL -0.75 SP500_micro -1.875 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -304.6875 caleb_strategy_v3 -222.1105 ******************************************************************************** END OF REPORT 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