******************************************************************************** Trades report produced on 10/10/2024 21:37 from 09/10/2024 21:37 to 10/10/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15029 AUD caleb_strategy_v3 [20241200] 2024-10-10 14:00:26.000 [-1] 0.672900 15016 BOBL caleb_strategy_v3 [20241200] 2024-10-10 07:06:17.000 [-1] 118.910000 15017 BTP caleb_strategy_v3 [20241200] 2024-10-10 07:08:01.000 [-1] 120.300000 15015 BUND caleb_strategy_v3 [20241200] 2024-10-10 07:03:39.000 [-1] 133.240000 15030 CAD caleb_strategy_v3 [20241200] 2024-10-10 14:00:28.000 [-1] 0.728250 15020 COPPER caleb_strategy_v3 [20241200] 2024-10-10 13:00:56.000 [-1] 4.416000 15023 COTTON2 caleb_strategy_v3 [20241200] 2024-10-10 13:11:00.000 [1] 72.010000 15025 CRUDE_W caleb_strategy_v3 [20251200] 2024-10-10 19:45:20.637 [0] NaN 15022 CRUDE_W caleb_strategy_v3 [20251200] 2024-10-10 19:45:20.556 [0] NaN 15027 CRUDE_W caleb_strategy_v3 [20251200] 2024-10-10 13:21:29.000 [-1] 69.760000 15031 EUR caleb_strategy_v3 [20241200] 2024-10-10 14:00:39.000 [-1] 1.096950 15046 FEEDCOW caleb_strategy_v3 [20250100] 2024-10-10 14:40:02.000 [1] 245.975000 15026 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-10 13:21:18.000 [-1] 3.065000 15024 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-10 13:11:14.000 [-1] 3.060000 15019 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-10 13:00:54.000 [-1] 3.060000 15018 HEATOIL caleb_strategy_v3 [20250100] 2024-10-10 13:00:38.000 [1] 2.328600 15047 LIVECOW caleb_strategy_v3 [20241200] 2024-10-10 14:40:03.000 [-1] 187.400000 15037 MXP caleb_strategy_v3 [20241200] 2024-10-10 14:23:01.000 [1] 0.050650 15028 MXP caleb_strategy_v3 [20241200] 2024-10-10 14:00:25.000 [1] 0.050500 15034 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-10-10 14:07:39.000 [1] 20363.250000 15014 NIKKEI caleb_strategy_v3 [20241200] 2024-10-10 02:04:52.000 [-1] 39430.000000 15021 SUGAR11 caleb_strategy_v3 [20250500] 2024-10-10 13:00:57.000 [-1] 20.530000 15032 US30 caleb_strategy_v3 [20241200] 2024-10-10 14:00:56.000 [-1] 128.000000 15033 US5 caleb_strategy_v3 [20241200] 2024-10-10 14:07:38.000 [-1] 108.390625 15040 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-10 14:23:05.000 [1] 19.150000 15041 VIX _ROLL_PSEUDO_STRATEGY [20250100] 2024-10-10 14:23:06.000 [-1] 19.350000 15042 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-10 14:24:39.000 [1] 19.100000 15043 VIX _ROLL_PSEUDO_STRATEGY [20250100] 2024-10-10 14:24:39.000 [-1] 19.350000 15044 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-10 14:30:08.000 [1] 19.100000 15045 VIX _ROLL_PSEUDO_STRATEGY [20250100] 2024-10-10 14:30:09.000 [-1] 19.350000 15048 VIX _ROLL_PSEUDO_STRATEGY [20250100] 2024-10-10 14:40:03.000 [-1] 19.450000 15035 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-10 14:07:54.000 [1] 19.150000 15036 VIX _ROLL_PSEUDO_STRATEGY [20250100] 2024-10-10 19:45:20.719 [0] NaN 15038 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-10 14:23:01.000 [1] 19.100000 15039 VIX _ROLL_PSEUDO_STRATEGY [20250100] 2024-10-10 14:23:02.000 [-1] 19.350000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15014 NIKKEI caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 03:01:15.143 2024-10-10 02:04:52.000 97275.143 NaN 15015 BUND caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 08:00:21.690 2024-10-10 07:03:39.000 115221.69 NaN 15016 BOBL caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 08:03:40.974 2024-10-10 07:06:17.000 115420.974 NaN 15017 BTP caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 08:06:27.366 2024-10-10 07:08:01.000 115587.366 NaN 15018 HEATOIL caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:00:37.271 2024-10-10 13:00:38.000 136837.271 NaN 15020 COPPER caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:00:55.323 2024-10-10 13:00:56.000 136855.323 NaN 15021 SUGAR11 caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:00:57.742 2024-10-10 13:00:57.000 136857.742 NaN 15023 COTTON2 caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:11:00.702 2024-10-10 13:11:00.000 137460.702 NaN 15024 GAS_US_mini caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:11:14.718 2024-10-10 13:11:14.000 137474.718 NaN 15026 GAS_US_mini caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:21:18.819 2024-10-10 13:21:18.000 138078.819 NaN 15019 GAS_US_mini caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:00:39.618 2024-10-10 13:00:54.000 136839.618 NaN 15029 AUD caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:00:26.743 2024-10-10 14:00:26.000 140426.743 NaN 15030 CAD caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:00:28.142 2024-10-10 14:00:28.000 140428.142 NaN 15031 EUR caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:00:29.642 2024-10-10 14:00:39.000 140429.642 NaN 15032 US30 caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:00:40.694 2024-10-10 14:00:56.000 140440.694 NaN 15033 US5 caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:00:57.667 2024-10-10 14:07:38.000 140457.667 NaN 15034 NASDAQ_micro caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:07:39.630 2024-10-10 14:07:39.000 140859.63 NaN 15028 MXP caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:00:25.035 2024-10-10 14:00:25.000 140425.035 NaN 15037 MXP caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:18:15.131 2024-10-10 14:23:01.000 141495.131 NaN 15046 FEEDCOW caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:30:13.807 2024-10-10 14:40:02.000 142213.807 NaN 15047 LIVECOW caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 15:40:03.338 2024-10-10 14:40:03.000 142803.338 NaN 15025 CRUDE_W caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:11:15.167 2024-10-10 19:45:20.637 137475.167 20045.47 15027 CRUDE_W caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:21:19.447 2024-10-10 13:21:29.000 138079.447 NaN 15022 CRUDE_W caleb_strategy_v3 2024-10-09 00:00:00 2024-10-10 14:00:59.103 2024-10-10 19:45:20.556 136859.103 20661.453 15040 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:23:05.608 2024-10-10 14:23:05.000 69785.608 NaN 15041 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:23:06.066 2024-10-10 14:23:06.000 69786.066 NaN 15042 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:24:06.044 2024-10-10 14:24:39.000 69846.044 NaN 15043 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:24:39.651 2024-10-10 14:24:39.000 69879.651 NaN 15044 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:25:06.393 2024-10-10 14:30:08.000 69906.393 NaN 15045 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:30:09.053 2024-10-10 14:30:09.000 70209.053 NaN 15048 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:40:03.945 2024-10-10 14:40:03.000 70803.945 NaN 15035 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:07:41.127 2024-10-10 14:07:54.000 68861.127 NaN 15036 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:07:55.219 2024-10-10 19:45:20.719 68875.219 16645.5 15038 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:23:01.490 2024-10-10 14:23:01.000 69781.49 NaN 15039 VIX _ROLL_PSEUDO_STRATEGY 2024-10-09 20:00:00 2024-10-10 15:23:02.083 2024-10-10 14:23:02.000 69782.083 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 15014 NIKKEI caleb_strategy_v3 [-1] 39665.0 None 39477.5 39475.0 39480.0 39480.0 39430.0 -187.5 -2.5 -45.0 -50.0 NaN -47.5 15015 BUND caleb_strategy_v3 [-1] 133.24 None 133.275 133.27 133.28 133.28 133.24 0.035 -0.005 -0.03 -0.04 NaN -0.035 15016 BOBL caleb_strategy_v3 [-1] 118.93 None 118.925 118.92 118.93 118.93 118.91 -0.005 -0.005 -0.01 -0.02 NaN -0.015 15017 BTP caleb_strategy_v3 [-1] 120.35 None 120.315 120.31 120.32 120.32 120.3 -0.035 -0.005 -0.01 -0.02 NaN -0.015 15018 HEATOIL caleb_strategy_v3 [1] 2.2966 None 2.33075 2.3311 2.3304 2.3304 2.3286 -0.03415 -0.00035 0.0025 0.0018 NaN 0.00215 15020 COPPER caleb_strategy_v3 [-1] 4.4065 None 4.4155 4.415 4.416 4.416 4.416 0.009 -0.0005 0.001 -0.0 NaN 0.0005 15021 SUGAR11 caleb_strategy_v3 [-1] 20.53 None 20.52 20.51 20.53 20.53 20.53 -0.01 -0.01 0.02 -0.0 NaN 0.01 15023 COTTON2 caleb_strategy_v3 [1] 72.29 None 72.225 72.24 72.21 72.21 72.01 0.065 -0.015 0.23 0.2 NaN 0.215 15024 GAS_US_mini caleb_strategy_v3 [-1] 3.1 None 3.0575 3.055 3.06 3.06 3.06 -0.0425 -0.0025 0.005 -0.0 NaN 0.0025 15026 GAS_US_mini caleb_strategy_v3 [-1] 3.1 None 3.0575 3.055 3.06 3.06 3.065 -0.0425 -0.0025 0.01 0.005 NaN 0.0075 15019 GAS_US_mini caleb_strategy_v3 [-1] 3.1 None 3.0625 3.06 3.065 3.065 3.06 -0.0375 -0.0025 -0.0 -0.005 NaN -0.0025 15029 AUD caleb_strategy_v3 [-1] 0.6719 None 0.672275 0.67225 0.6723 0.6723 0.6729 0.000375 -0.000025 0.00065 0.0006 NaN 0.000625 15030 CAD caleb_strategy_v3 [-1] 0.7308 None 0.727875 0.72785 0.7279 0.7279 0.72825 -0.002925 -0.000025 0.0004 0.00035 NaN 0.000375 15031 EUR caleb_strategy_v3 [-1] 1.0969 None 1.096925 1.0969 1.09695 1.09695 1.09695 0.000025 -0.000025 0.00005 -0.0 NaN 0.000025 15032 US30 caleb_strategy_v3 [-1] 128.71875 None 127.984375 127.96875 128.0 128.0 128.0 -0.734375 -0.015625 0.03125 -0.0 NaN 0.015625 15033 US5 caleb_strategy_v3 [-1] 108.367188 None 108.472656 108.46875 108.476562 108.476562 108.390625 0.105469 -0.003906 -0.078125 -0.085938 NaN -0.082031 15034 NASDAQ_micro caleb_strategy_v3 [1] 20433.25 None 20378.625 20378.75 20378.5 20378.5 20363.25 54.625 -0.125 15.5 15.25 NaN 15.375 15028 MXP caleb_strategy_v3 [1] 0.05078 None 0.05053 0.05054 0.05052 0.05052 0.0505 0.00025 -0.00001 0.00004 0.00002 NaN 0.00003 15037 MXP caleb_strategy_v3 [1] 0.05078 None 0.05053 0.05054 0.05052 0.05052 0.05065 0.00025 -0.00001 -0.00011 -0.00013 NaN -0.00012 15046 FEEDCOW caleb_strategy_v3 [1] 245.925 None 245.55 245.6 245.5 245.5 245.975 0.375 -0.05 -0.375 -0.475 NaN -0.425 15047 LIVECOW caleb_strategy_v3 [-1] 187.325 None 187.2375 187.225 187.25 187.25 187.4 -0.0875 -0.0125 0.175 0.15 NaN 0.1625 15025 CRUDE_W caleb_strategy_v3 [-1] 69.28 None 70.01 70.0 70.02 70.02 NaN 0.73 -0.01 NaN NaN NaN NaN 15027 CRUDE_W caleb_strategy_v3 [-1] 69.28 None 69.86 69.85 69.87 69.87 69.76 0.58 -0.01 -0.09 -0.11 NaN -0.1 15022 CRUDE_W caleb_strategy_v3 [-1] 69.28 None 70.22 70.21 70.23 70.23 NaN 0.94 -0.01 NaN NaN NaN NaN 15040 VIX _ROLL_PSEUDO_STRATEGY [1] 18.95 None 19.175 19.2 19.15 19.15 19.15 -0.225 -0.025 0.05 0.0 NaN 0.025 15041 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.35 None 19.325 19.3 19.35 19.35 19.35 -0.025 -0.025 0.05 -0.0 NaN 0.025 15042 VIX _ROLL_PSEUDO_STRATEGY [1] 18.95 None 18.975 19.0 18.95 18.95 19.1 -0.025 -0.025 -0.1 -0.15 NaN -0.125 15043 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.35 None 19.325 19.3 19.35 19.35 19.35 -0.025 -0.025 0.05 -0.0 NaN 0.025 15044 VIX _ROLL_PSEUDO_STRATEGY [1] 18.95 None 19.075 19.1 19.05 19.05 19.1 -0.125 -0.025 0.0 -0.05 NaN -0.025 15045 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.35 None 19.325 19.3 19.35 19.35 19.35 -0.025 -0.025 0.05 -0.0 NaN 0.025 15048 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.35 None 19.325 19.3 19.35 19.35 19.45 -0.025 -0.025 0.15 0.1 NaN 0.125 15035 VIX _ROLL_PSEUDO_STRATEGY [1] 18.95 None 19.125 19.15 19.1 19.1 19.15 -0.175 -0.025 0.0 -0.05 NaN -0.025 15036 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.35 None 19.425 19.4 19.45 19.45 NaN 0.075 -0.025 NaN NaN NaN NaN 15038 VIX _ROLL_PSEUDO_STRATEGY [1] 18.95 None 19.175 19.2 19.15 19.15 19.1 -0.225 -0.025 0.1 0.05 NaN 0.075 15039 VIX _ROLL_PSEUDO_STRATEGY [-1] 19.35 None 19.425 19.4 19.45 19.45 19.35 0.075 -0.025 -0.05 -0.1 NaN -0.075 =================================================================================================================================================================== 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 15014 NIKKEI caleb_strategy_v3 [-1] 11099.878105 -168.920774 -2.252277 -40.540986 -45.04554 NaN -42.793263 15015 BUND caleb_strategy_v3 [-1] 8.400008 41.666629 -5.952376 -35.714253 -47.619004 NaN -41.666629 15016 BOBL caleb_strategy_v3 [-1] 4.638059 -10.780372 -10.780372 -21.560744 -43.121489 NaN -32.341116 15017 BTP caleb_strategy_v3 [-1] 7.640773 -45.806883 -6.54384 -13.087681 -26.175362 NaN -19.631521 15018 HEATOIL caleb_strategy_v3 [1] 0.729704 -467.997705 -4.796463 34.260447 24.667522 NaN 29.463984 15020 COPPER caleb_strategy_v3 [-1] 1.050293 85.69037 -4.760576 9.521152 -0.0 NaN 4.760576 15021 SUGAR11 caleb_strategy_v3 [-1] 5.842138 -17.11702 -17.11702 34.23404 -0.0 NaN 17.11702 15023 COTTON2 caleb_strategy_v3 [1] 16.235246 40.03635 -9.239158 141.667083 123.188768 NaN 132.427925 15024 GAS_US_mini caleb_strategy_v3 [-1] 1.265066 -335.950748 -19.761809 39.523617 -0.0 NaN 19.761809 15026 GAS_US_mini caleb_strategy_v3 [-1] 1.265066 -335.950748 -19.761809 79.047235 39.523617 NaN 59.285426 15019 GAS_US_mini caleb_strategy_v3 [-1] 1.265066 -296.427131 -19.761809 -0.0 -39.523617 NaN -19.761809 15029 AUD caleb_strategy_v3 [-1] 0.061411 61.063645 -4.07091 105.843651 97.701831 NaN 101.772741 15030 CAD caleb_strategy_v3 [-1] 0.037215 -785.972048 -6.71771 107.483357 94.047937 NaN 100.765647 15031 EUR caleb_strategy_v3 [-1] 0.063652 3.927585 -3.927585 7.855171 -0.0 NaN 3.927585 15032 US30 caleb_strategy_v3 [-1] 16.28776 -450.87538 -9.593093 19.186186 -0.0 NaN 9.593093 15033 US5 caleb_strategy_v3 [-1] 4.664723 226.098621 -8.374023 -167.48046 -184.228506 NaN -175.854483 15034 NASDAQ_micro caleb_strategy_v3 [1] 3285.090414 166.281573 -0.380507 47.182872 46.421858 NaN 46.802365 15028 MXP caleb_strategy_v3 [1] 0.006597 378.93698 -15.157479 60.629917 30.314958 NaN 45.472438 15037 MXP caleb_strategy_v3 [1] 0.006597 378.93698 -15.157479 -166.732271 -197.047229 NaN -181.88975 15046 FEEDCOW caleb_strategy_v3 [1] 29.178718 128.518327 -17.135777 -128.518327 -162.789881 NaN -145.654104 15047 LIVECOW caleb_strategy_v3 [-1] 18.914766 -46.260155 -6.608594 92.520311 79.303124 NaN 85.911717 15025 CRUDE_W caleb_strategy_v3 [-1] 20.364091 358.474137 -4.910605 NaN NaN NaN NaN 15027 CRUDE_W caleb_strategy_v3 [-1] 20.364091 284.815068 -4.910605 -44.195442 -54.016651 NaN -49.106046 15022 CRUDE_W caleb_strategy_v3 [-1] 20.364091 461.596834 -4.910605 NaN NaN NaN NaN 15040 VIX _ROLL_PSEUDO_STRATEGY [1] 9.913621 -226.960455 -25.217828 50.435657 0.0 NaN 25.217828 15041 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.913621 -25.217828 -25.217828 50.435657 -0.0 NaN 25.217828 15042 VIX _ROLL_PSEUDO_STRATEGY [1] 9.913621 -25.217828 -25.217828 -100.871313 -151.30697 NaN -126.089142 15043 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.913621 -25.217828 -25.217828 50.435657 -0.0 NaN 25.217828 15044 VIX _ROLL_PSEUDO_STRATEGY [1] 9.913621 -126.089142 -25.217828 0.0 -50.435657 NaN -25.217828 15045 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.913621 -25.217828 -25.217828 50.435657 -0.0 NaN 25.217828 15048 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.913621 -25.217828 -25.217828 151.30697 100.871313 NaN 126.089142 15035 VIX _ROLL_PSEUDO_STRATEGY [1] 9.913621 -176.524798 -25.217828 0.0 -50.435657 NaN -25.217828 15036 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.913621 75.653485 -25.217828 NaN NaN NaN NaN 15038 VIX _ROLL_PSEUDO_STRATEGY [1] 9.913621 -226.960455 -25.217828 100.871313 50.435657 NaN 75.653485 15039 VIX _ROLL_PSEUDO_STRATEGY [-1] 9.913621 75.653485 -25.217828 -50.435657 -100.871313 NaN -75.653485 ============================================================================================================================================================================= 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 15014 NIKKEI caleb_strategy_v3 [-1] 0.670547 -125.727543 -1.676367 -30.17461 -33.527345 NaN -31.850978 15015 BUND caleb_strategy_v3 [-1] 1093.7 38.2795 -5.4685 -32.811 -43.748 NaN -38.2795 15016 BOBL caleb_strategy_v3 [-1] 1093.7 -5.4685 -5.4685 -10.937 -21.874 NaN -16.4055 15017 BTP caleb_strategy_v3 [-1] 1093.7 -38.2795 -5.4685 -10.937 -21.874 NaN -16.4055 15018 HEATOIL caleb_strategy_v3 [1] 42000.0 -1434.3 -14.7 105.0 75.6 NaN 90.3 15020 COPPER caleb_strategy_v3 [-1] 25000.0 225.0 -12.5 25.0 -0.0 NaN 12.5 15021 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -11.2 -11.2 22.4 -0.0 NaN 11.2 15023 COTTON2 caleb_strategy_v3 [1] 500.0 32.5 -7.5 115.0 100.0 NaN 107.5 15024 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -106.25 -6.25 12.5 -0.0 NaN 6.25 15026 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -106.25 -6.25 25.0 12.5 NaN 18.75 15019 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -93.75 -6.25 -0.0 -12.5 NaN -6.25 15029 AUD caleb_strategy_v3 [-1] 100000.0 37.5 -2.5 65.0 60.0 NaN 62.5 15030 CAD caleb_strategy_v3 [-1] 100000.0 -292.5 -2.5 40.0 35.0 NaN 37.5 15031 EUR caleb_strategy_v3 [-1] 125000.0 3.125 -3.125 6.25 -0.0 NaN 3.125 15032 US30 caleb_strategy_v3 [-1] 1000.0 -734.375 -15.625 31.25 -0.0 NaN 15.625 15033 US5 caleb_strategy_v3 [-1] 1000.0 105.46875 -3.90625 -78.125 -85.9375 NaN -82.03125 15034 NASDAQ_micro caleb_strategy_v3 [1] 2.0 109.25 -0.25 31.0 30.5 NaN 30.75 15028 MXP caleb_strategy_v3 [1] 500000.0 125.0 -5.0 20.0 10.0 NaN 15.0 15037 MXP caleb_strategy_v3 [1] 500000.0 125.0 -5.0 -55.0 -65.0 NaN -60.0 15046 FEEDCOW caleb_strategy_v3 [1] 500.0 187.5 -25.0 -187.5 -237.5 NaN -212.5 15047 LIVECOW caleb_strategy_v3 [-1] 400.0 -35.0 -5.0 70.0 60.0 NaN 65.0 15025 CRUDE_W caleb_strategy_v3 [-1] 1000.0 730.0 -10.0 NaN NaN NaN NaN 15027 CRUDE_W caleb_strategy_v3 [-1] 1000.0 580.0 -10.0 -90.0 -110.0 NaN -100.0 15022 CRUDE_W caleb_strategy_v3 [-1] 1000.0 940.0 -10.0 NaN NaN NaN NaN 15040 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 50.0 0.0 NaN 25.0 15041 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 15042 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 -100.0 -150.0 NaN -125.0 15043 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 15044 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 0.0 -50.0 NaN -25.0 15045 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 15048 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 150.0 100.0 NaN 125.0 15035 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -175.0 -25.0 0.0 -50.0 NaN -25.0 15036 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 NaN NaN NaN NaN 15038 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -225.0 -25.0 100.0 50.0 NaN 75.0 15039 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -725.0 caleb_strategy_v3 AUD 37.5 BOBL -5.4685 BTP -38.2795 BUND 38.2795 CAD -292.5 COPPER 225.0 COTTON2 32.5 CRUDE_W 2250.0 EUR 3.125 FEEDCOW 187.5 GAS_US_mini -306.25 HEATOIL -1434.3 LIVECOW -35.0 MXP 250.0 NASDAQ_micro 109.25 NIKKEI -125.727543 SUGAR11 -11.2 US30 -734.375 US5 105.46875 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -725.0 caleb_strategy_v3 255.522707 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -275.0 caleb_strategy_v3 AUD -2.5 BOBL -5.4685 BTP -5.4685 BUND -5.4685 CAD -2.5 COPPER -12.5 COTTON2 -7.5 CRUDE_W -30.0 EUR -3.125 FEEDCOW -25.0 GAS_US_mini -18.75 HEATOIL -14.7 LIVECOW -5.0 MXP -10.0 NASDAQ_micro -0.25 NIKKEI -1.676367 SUGAR11 -11.2 US30 -15.625 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -275.0 caleb_strategy_v3 -180.638117 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 300.0 caleb_strategy_v3 AUD 65.0 BOBL -10.937 BTP -10.937 BUND -32.811 CAD 40.0 COPPER 25.0 COTTON2 115.0 CRUDE_W -90.0 EUR 6.25 FEEDCOW -187.5 GAS_US_mini 37.5 HEATOIL 105.0 LIVECOW 70.0 MXP -35.0 NASDAQ_micro 31.0 NIKKEI -30.17461 SUGAR11 22.4 US30 31.25 US5 -78.125 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 300.0 caleb_strategy_v3 72.91539 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -200.0 caleb_strategy_v3 AUD 60.0 BOBL -21.874 BTP -21.874 BUND -43.748 CAD 35.0 COPPER -0.0 COTTON2 100.0 CRUDE_W -110.0 EUR -0.0 FEEDCOW -237.5 GAS_US_mini 0.0 HEATOIL 75.6 LIVECOW 60.0 MXP -55.0 NASDAQ_micro 30.5 NIKKEI -33.527345 SUGAR11 -0.0 US30 -0.0 US5 -85.9375 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -200.0 caleb_strategy_v3 -248.360845 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 AUD 0 BOBL 0 BTP 0 BUND 0 CAD 0 COPPER 0 COTTON2 0 CRUDE_W 0 EUR 0 FEEDCOW 0 GAS_US_mini 0 HEATOIL 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 SUGAR11 0 US30 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 50.0 caleb_strategy_v3 AUD 62.5 BOBL -16.4055 BTP -16.4055 BUND -38.2795 CAD 37.5 COPPER 12.5 COTTON2 107.5 CRUDE_W -100.0 EUR 3.125 FEEDCOW -212.5 GAS_US_mini 18.75 HEATOIL 90.3 LIVECOW 65.0 MXP -45.0 NASDAQ_micro 30.75 NIKKEI -31.850978 SUGAR11 11.2 US30 15.625 US5 -82.03125 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 50.0 caleb_strategy_v3 -87.722728 ******************************************************************************** END OF REPORT ********************************************************************************