******************************************************************************** Trades report produced on 12/12/2024 21:41 from 11/12/2024 21:41 to 12/12/2024 21:41 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15662 CAD caleb_strategy_v3 [20250300] 2024-12-12 15:46:36.000 [-1] 0.707100 15655 CAD caleb_strategy_v3 [20250300] 2024-12-12 15:36:39.000 [-1] 0.707100 15651 CAD caleb_strategy_v3 [20250300] 2024-12-12 19:45:04.908 [0] NaN 15639 CANOLA caleb_strategy_v3 [20250300] 2024-12-12 14:08:19.000 [1] 633.900000 15647 CANOLA caleb_strategy_v3 [20250300] 2024-12-12 14:11:59.000 [1] 633.800000 15646 CANOLA caleb_strategy_v3 [20250300] 2024-12-12 14:10:12.000 [1] 633.800000 15652 CHF caleb_strategy_v3 [20250300] 2024-12-12 19:45:05.035 [0] NaN 15656 CHF caleb_strategy_v3 [20250300] 2024-12-12 15:40:39.000 [-1] 1.135850 15642 COFFEE caleb_strategy_v3 [20250500] 2024-12-12 14:10:04.000 [1] 318.150000 15640 COPPER caleb_strategy_v3 [20250300] 2024-12-12 14:08:21.000 [1] 4.253500 15644 CRUDE_W caleb_strategy_v3 [20251200] 2024-12-12 14:10:07.000 [1] 67.160000 15632 DAX caleb_strategy_v3 [20250300] 2024-12-12 08:00:51.000 [-1] 20601.000000 15634 DAX caleb_strategy_v3 [20250300] 2024-12-12 08:11:24.000 [-1] 20626.000000 15636 DAX caleb_strategy_v3 [20250300] 2024-12-12 08:15:10.000 [-1] 20630.000000 15648 EUR caleb_strategy_v3 [20250300] 2024-12-12 15:02:29.000 [1] 1.056000 15633 EUROSTX caleb_strategy_v3 [20241200] 2024-12-12 19:45:04.779 [0] NaN 15635 EUROSTX caleb_strategy_v3 [20241200] 2024-12-12 08:15:10.000 [1] 4976.000000 15643 GASOLINE caleb_strategy_v3 [20250300] 2024-12-12 14:10:05.000 [1] 2.005600 15637 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-12 14:00:16.000 [1] 3.120000 15638 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-12 14:00:17.000 [1] 2726.900000 15645 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-12 14:10:11.000 [1] 2725.000000 15628 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-12 03:15:40.000 [-1] 142.170000 15659 LEANHOG caleb_strategy_v3 [20250400] 2024-12-12 15:44:44.000 [-1] 88.100000 15663 LEANHOG caleb_strategy_v3 [20250400] 2024-12-12 15:49:47.000 [-1] 88.075000 15661 LIVECOW caleb_strategy_v3 [20250200] 2024-12-12 15:45:37.000 [-1] 191.800000 15649 MXP caleb_strategy_v3 [20250300] 2024-12-12 15:02:30.000 [1] 0.048850 15627 NIKKEI caleb_strategy_v3 [20250300] 2024-12-12 19:45:04.647 [0] NaN 15629 NIKKEI caleb_strategy_v3 [20250300] 2024-12-12 03:15:42.000 [1] 39960.000000 15630 NIKKEI caleb_strategy_v3 [20250300] 2024-12-12 03:15:59.000 [1] 39960.000000 15631 NIKKEI caleb_strategy_v3 [20250300] 2024-12-12 03:16:47.000 [1] 39955.000000 15641 PLAT caleb_strategy_v3 [20250100] 2024-12-12 14:09:08.000 [-1] 948.100000 15657 SOYBEAN caleb_strategy_v3 [20251100] 2024-12-12 15:40:40.000 [1] 1012.000000 15650 SP500_micro caleb_strategy_v3 [20250300] 2024-12-12 15:02:32.000 [1] 6142.500000 15658 US5 caleb_strategy_v3 [20250300] 2024-12-12 15:40:40.000 [-1] 107.304688 15653 US5 caleb_strategy_v3 [20250300] 2024-12-12 15:22:35.000 [-1] 107.281250 15668 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 15:57:54.000 [1, -1] -0.460000 15687 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 17:09:32.000 [1, -1] -0.450000 15688 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 17:09:38.000 [1, -1] -0.450000 15689 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 17:11:58.000 [1, -1] -0.450000 15690 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 17:12:03.000 [1, -1] -0.450000 15664 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 15:49:48.000 [1, -1] -0.460000 15665 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 15:54:53.000 [1, -1] -0.460000 15686 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 17:06:42.000 [1, -1] -0.450000 15660 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 15:45:33.000 [1, -1] -0.460000 15654 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 15:27:38.000 [1, -1] -0.460000 15691 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 17:13:18.000 [1, -1] -0.450000 15667 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 15:56:16.000 [1, -1] -0.460000 15685 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 17:01:38.000 [1, -1] -0.440000 15683 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:57:21.000 [1, -1] -0.450000 15669 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:03:15.000 [1, -1] -0.460000 15666 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 15:56:11.000 [1, -1] -0.460000 15671 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:13:24.000 [1, -1] -0.460000 15672 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:18:29.000 [1, -1] -0.460000 15673 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:20:26.000 [1, -1] -0.460000 15674 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:25:30.000 [1, -1] -0.460000 15684 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:57:26.000 [1, -1] -0.450000 15675 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:27:18.000 [1, -1] -0.470000 15677 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:32:44.000 [1, -1] -0.470000 15678 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:38:43.000 [1, -1] -0.470000 15679 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:43:47.000 [1, -1] -0.460000 15680 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:48:51.000 [1, -1] -0.450000 15681 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:50:24.000 [1, -1] -0.460000 15682 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:55:28.000 [1, -1] -0.460000 15676 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:32:22.000 [1, -1] -0.470000 15670 VIX _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-12 16:08:20.000 [1, -1] -0.460000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15628 JGB-SGX-mini caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 03:10:40.750000 2024-12-12 03:15:40 97840.75 299.25 15632 DAX caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 08:00:25.658000 2024-12-12 08:00:51 115225.658 25.342 15634 DAX caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 08:11:24.661000 2024-12-12 08:11:24 115884.661 NaN 15636 DAX caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 08:15:10.507000 2024-12-12 08:15:10 116110.507 NaN 15637 GAS_US_mini caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:00:03.686000 2024-12-12 14:00:16 136803.686 12.314 15640 COPPER caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:08:21.082000 2024-12-12 14:08:21 137301.082 NaN 15641 PLAT caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:08:22.394000 2024-12-12 14:09:08 137302.394 45.606 15642 COFFEE caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:09:09.274000 2024-12-12 14:10:04 137349.274 54.726 15643 GASOLINE caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:10:05.338000 2024-12-12 14:10:05 137405.338 NaN 15644 CRUDE_W caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:10:06.642000 2024-12-12 14:10:07 137406.642 0.358 15645 GOLD_micro caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:10:11.473000 2024-12-12 14:10:11 137411.473 NaN 15638 GOLD_micro caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:00:17.242000 2024-12-12 14:00:17 136817.242 NaN 15647 CANOLA caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:11:11.920000 2024-12-12 14:11:59 137471.92 47.08 15646 CANOLA caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:10:11.961000 2024-12-12 14:10:12 137411.961 0.039 15639 CANOLA caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 14:00:18.850000 2024-12-12 14:08:19 136818.85 480.15 15648 EUR caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:00:25.178000 2024-12-12 15:02:29 140425.178 123.822 15649 MXP caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:02:30.470000 2024-12-12 15:02:30 140550.47 NaN 15650 SP500_micro caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:02:31.964000 2024-12-12 15:02:32 140551.964 0.036 15657 SOYBEAN caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:40:40.279000 2024-12-12 15:40:40 142840.279 NaN 15658 US5 caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:40:40.914000 2024-12-12 15:40:40 142840.914 NaN 15653 US5 caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:22:35.650000 2024-12-12 15:22:35 141755.65 NaN 15661 LIVECOW caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:45:37.686000 2024-12-12 15:45:37 143137.686 NaN 15659 LEANHOG caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:40:42.258000 2024-12-12 15:44:44 142842.258 241.742 15663 LEANHOG caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:46:37.486000 2024-12-12 15:49:47 143197.486 189.514 15654 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:22:38.070000 2024-12-12 15:27:38 69758.07 299.93 15660 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:44:44.831000 2024-12-12 15:45:33 71084.831 48.169 15664 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:49:47.876000 2024-12-12 15:49:48 71387.876 0.124 15665 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:49:52.997000 2024-12-12 15:54:53 71392.997 300.003 15666 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:54:57.382000 2024-12-12 15:56:11 71697.382 73.618 15667 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:56:15.263000 2024-12-12 15:56:16 71775.263 0.737 15668 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:57:15.959000 2024-12-12 15:57:54 71835.959 38.041 15669 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 15:58:15.813000 2024-12-12 16:03:15 71895.813 299.187 15670 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:03:20.173000 2024-12-12 16:08:20 72200.173 299.827 15671 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:08:24.846000 2024-12-12 16:13:24 72504.846 299.154 15672 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:13:28.949000 2024-12-12 16:18:29 72808.949 300.051 15673 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:18:33.493000 2024-12-12 16:20:26 73113.493 112.507 15674 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:20:30.635000 2024-12-12 16:25:30 73230.635 299.365 15675 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:25:34.954000 2024-12-12 16:27:18 73534.954 103.046 15676 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:27:22.437000 2024-12-12 16:32:22 73642.437 299.563 15677 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:32:42.828000 2024-12-12 16:32:44 73962.828 1.172 15678 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:33:43.081000 2024-12-12 16:38:43 74023.081 299.919 15679 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:38:47.397000 2024-12-12 16:43:47 74327.397 299.603 15680 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:43:51.709000 2024-12-12 16:48:51 74631.709 299.291 15681 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:48:56.233000 2024-12-12 16:50:24 74936.233 87.767 15682 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:50:28.842000 2024-12-12 16:55:28 75028.842 299.158 15683 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:55:33.157000 2024-12-12 16:57:21 75333.157 107.843 15684 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:57:25.390000 2024-12-12 16:57:26 75445.39 0.61 15685 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 16:58:25.619000 2024-12-12 17:01:38 75505.619 192.381 15686 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 17:01:42.631000 2024-12-12 17:06:42 75702.631 299.369 15687 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 17:06:47.419000 2024-12-12 17:09:32 76007.419 164.581 15688 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 17:09:37.155000 2024-12-12 17:09:38 76177.155 0.845 15689 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 17:10:37.573000 2024-12-12 17:11:58 76237.573 80.427 15690 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 17:12:02.581000 2024-12-12 17:12:03 76322.581 0.419 15691 VIX _ROLL_PSEUDO_STRATEGY 2024-12-11 20:00:00 2024-12-12 17:13:02.610000 2024-12-12 17:13:18 76382.61 15.39 15651 CAD caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:02:33.294000 2024-12-12 19:45:04.908000 140553.294 16951.614 15662 CAD caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:45:38.169000 2024-12-12 15:46:36 143138.169 57.831 15655 CAD caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:27:58.875000 2024-12-12 15:36:39 142078.875 520.125 15633 EUROSTX caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 08:01:24.030000 2024-12-12 19:45:04.779000 115284.03 42220.749 15635 EUROSTX caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 08:11:34.963000 2024-12-12 08:15:10 115894.963 215.037 15656 CHF caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:36:39.552000 2024-12-12 15:40:39 142599.552 239.448 15652 CHF caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 15:12:34.526000 2024-12-12 19:45:05.035000 141154.526 16350.509 15627 NIKKEI caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 03:00:27.266000 2024-12-12 19:45:04.647000 97227.266 60277.381 15629 NIKKEI caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 03:15:41.637000 2024-12-12 03:15:42 98141.637 0.363 15630 NIKKEI caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 03:15:46.593000 2024-12-12 03:15:59 98146.593 12.407 15631 NIKKEI caleb_strategy_v3 2024-12-11 00:00:00 2024-12-12 03:16:46.874000 2024-12-12 03:16:47 98206.874 0.126 =========================================================================================================================================================================================================================================== 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 15628 JGB-SGX-mini caleb_strategy_v3 [-1] 142.24 None 142.175 142.17 142.18 142.18 142.17 -0.065 -0.005 -0.0 -0.01 NaN -0.005 15632 DAX caleb_strategy_v3 [-1] 20629.0 None 20591.0 20581.0 20601.0 20601.0 20601.0 -38.0 -10.0 20.0 -0.0 NaN 10.0 15634 DAX caleb_strategy_v3 [-1] 20629.0 None 20591.0 20581.0 20601.0 20601.0 20626.0 -38.0 -10.0 45.0 25.0 NaN 35.0 15636 DAX caleb_strategy_v3 [-1] 20629.0 None 20591.0 20581.0 20601.0 20601.0 20630.0 -38.0 -10.0 49.0 29.0 NaN 39.0 15637 GAS_US_mini caleb_strategy_v3 [1] 3.135 None 3.115 3.12 3.11 3.11 3.12 0.02 -0.005 0.0 -0.01 NaN -0.005 15640 COPPER caleb_strategy_v3 [1] 4.264 None 4.2545 4.255 4.254 4.254 4.2535 0.0095 -0.0005 0.0015 0.0005 NaN 0.001 15641 PLAT caleb_strategy_v3 [-1] 950.8 None 948.6 948.5 948.7 948.7 948.1 -2.2 -0.1 -0.4 -0.6 NaN -0.5 15642 COFFEE caleb_strategy_v3 [1] 317.3 None 317.875 318.0 317.75 317.75 318.15 -0.575 -0.125 -0.15 -0.4 NaN -0.275 15643 GASOLINE caleb_strategy_v3 [1] 2.0172 None 2.0101 2.0103 2.0099 2.0099 2.0056 0.0071 -0.0002 0.0047 0.0043 NaN 0.0045 15644 CRUDE_W caleb_strategy_v3 [1] 67.55 None 67.345 67.35 67.34 67.34 67.16 0.205 -0.005 0.19 0.18 NaN 0.185 15645 GOLD_micro caleb_strategy_v3 [1] 2753.3 None 2734.8 2734.9 2734.7 2734.7 2725.0 18.5 -0.1 9.9 9.7 NaN 9.8 15638 GOLD_micro caleb_strategy_v3 [1] 2753.3 None 2734.8 2734.9 2734.7 2734.7 2726.9 18.5 -0.1 8.0 7.8 NaN 7.9 15647 CANOLA caleb_strategy_v3 [1] 631.8 None 633.75 633.8 633.7 633.7 633.8 -1.95 -0.05 0.0 -0.1 NaN -0.05 15646 CANOLA caleb_strategy_v3 [1] 631.8 None 633.75 633.9 633.6 633.6 633.8 -1.95 -0.15 0.1 -0.2 NaN -0.05 15639 CANOLA caleb_strategy_v3 [1] 631.8 None 633.35 633.4 633.3 633.3 633.9 -1.55 -0.05 -0.5 -0.6 NaN -0.55 15648 EUR caleb_strategy_v3 [1] 1.0536 None 1.055575 1.0556 1.05555 1.05555 1.056 -0.001975 -0.000025 -0.0004 -0.00045 NaN -0.000425 15649 MXP caleb_strategy_v3 [1] 0.04897 None 0.048875 0.04888 0.04887 NaN 0.04885 0.000095 -0.000005 0.00003 NaN NaN 0.000025 15650 SP500_micro caleb_strategy_v3 [1] 6165.0 None 6144.125 6144.25 6144.0 6144.0 6142.5 20.875 -0.125 1.75 1.5 NaN 1.625 15657 SOYBEAN caleb_strategy_v3 [1] 1014.5 None 1013.125 1013.25 1013.0 1013.0 1012.0 1.375 -0.125 1.25 1.0 NaN 1.125 15658 US5 caleb_strategy_v3 [-1] 107.34375 None 107.269531 107.265625 107.273438 107.273438 107.304688 -0.074219 -0.003906 0.039063 0.03125 NaN 0.035157 15653 US5 caleb_strategy_v3 [-1] 107.34375 None 107.269531 107.265625 107.273438 107.273438 107.28125 -0.074219 -0.003906 0.015625 0.007812 NaN 0.011719 15661 LIVECOW caleb_strategy_v3 [-1] 191.45 None 191.7125 191.7 191.725 191.725 191.8 0.2625 -0.0125 0.1 0.075 NaN 0.0875 15659 LEANHOG caleb_strategy_v3 [-1] 88.175 None 88.375 88.35 88.4 88.4 88.1 0.2 -0.025 -0.25 -0.3 NaN -0.275 15663 LEANHOG caleb_strategy_v3 [-1] 88.175 None 88.1125 88.1 88.125 88.125 88.075 -0.0625 -0.0125 -0.025 -0.05 NaN -0.0375 15654 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15660 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15664 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 NaN -0.46 0.05 -0.05 0.01 NaN NaN -0.04 15665 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15666 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 -0.55 -0.46 0.05 -0.05 0.01 -0.09 NaN -0.04 15667 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 NaN -0.46 0.05 -0.05 0.01 NaN NaN -0.04 15668 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 -0.55 -0.46 0.05 -0.05 0.01 -0.09 NaN -0.04 15669 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15670 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15671 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15672 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15673 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 -0.55 -0.46 0.05 -0.05 0.01 -0.09 NaN -0.04 15674 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15675 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 -0.55 -0.47 0.05 -0.05 0.02 -0.08 NaN -0.03 15676 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.47 0.0 -0.05 0.07 -0.03 NaN 0.02 15677 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.475 -0.4 -0.55 -0.55 -0.47 0.025 -0.075 0.07 -0.08 NaN -0.005 15678 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.47 0.0 -0.05 0.07 -0.03 NaN 0.02 15679 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15680 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.45 0.0 -0.05 0.05 -0.05 NaN -0.0 15681 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 -0.55 -0.46 0.05 -0.05 0.01 -0.09 NaN -0.04 15682 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.46 0.0 -0.05 0.06 -0.04 NaN 0.01 15683 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.45 0.0 -0.05 0.05 -0.05 NaN -0.0 15684 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 NaN -0.45 0.05 -0.05 -0.0 NaN NaN -0.05 15685 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.44 0.0 -0.05 0.04 -0.06 NaN -0.01 15686 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.45 0.0 -0.05 0.05 -0.05 NaN -0.0 15687 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.45 0.0 -0.05 0.05 -0.05 NaN -0.0 15688 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 NaN -0.45 0.0 -0.05 0.05 NaN NaN -0.0 15689 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.45 0.0 -0.05 0.05 -0.05 NaN -0.0 15690 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.5 -0.45 -0.55 -0.55 -0.45 0.05 -0.05 -0.0 -0.1 NaN -0.05 15691 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.45 None -0.45 -0.4 -0.5 -0.5 -0.45 0.0 -0.05 0.05 -0.05 NaN -0.0 15651 CAD caleb_strategy_v3 [-1] 0.7088 None 0.708475 0.70845 0.7085 0.7085 NaN -0.000325 -0.000025 NaN NaN NaN NaN 15662 CAD caleb_strategy_v3 [-1] 0.7088 None 0.70715 0.7071 0.7072 0.7072 0.7071 -0.00165 -0.00005 -0.0 -0.0001 NaN -0.00005 15655 CAD caleb_strategy_v3 [-1] 0.7088 None 0.70825 0.7082 0.7083 0.7083 0.7071 -0.00055 -0.00005 -0.0011 -0.0012 NaN -0.00115 15633 EUROSTX caleb_strategy_v3 [1] 4978.0 None 4968.5 4969.0 4968.0 4968.0 NaN 9.5 -0.5 NaN NaN NaN NaN 15635 EUROSTX caleb_strategy_v3 [1] 4978.0 None 4969.5 4970.0 4969.0 4969.0 4976.0 8.5 -0.5 -6.0 -7.0 NaN -6.5 15656 CHF caleb_strategy_v3 [-1] 1.14225 None 1.1381 1.13805 1.13815 1.13815 1.13585 -0.00415 -0.00005 -0.0022 -0.0023 NaN -0.00225 15652 CHF caleb_strategy_v3 [-1] 1.14225 None 1.1394 1.13935 1.13945 1.13945 NaN -0.00285 -0.00005 NaN NaN NaN NaN 15627 NIKKEI caleb_strategy_v3 [1] 40105.0 None 39927.5 39930.0 39925.0 39925.0 NaN 177.5 -2.5 NaN NaN NaN NaN 15629 NIKKEI caleb_strategy_v3 [1] 40105.0 None 39907.5 39910.0 39905.0 39905.0 39960.0 197.5 -2.5 -50.0 -55.0 NaN -52.5 15630 NIKKEI caleb_strategy_v3 [1] 40105.0 None 39957.5 39960.0 39955.0 39955.0 39960.0 147.5 -2.5 0.0 -5.0 NaN -2.5 15631 NIKKEI caleb_strategy_v3 [1] 40105.0 None 39957.5 39960.0 39955.0 39955.0 39955.0 147.5 -2.5 5.0 0.0 NaN 2.5 ====================================================================================================================================================================== 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 15628 JGB-SGX-mini caleb_strategy_v3 [-1] 3.411025 -190.558533 -14.658349 -0.0 -29.316697 NaN -14.658349 15632 DAX caleb_strategy_v3 [-1] 2243.546519 -169.374692 -44.572287 89.144575 -0.0 NaN 44.572287 15634 DAX caleb_strategy_v3 [-1] 2243.546519 -169.374692 -44.572287 200.575293 111.430718 NaN 156.003005 15636 DAX caleb_strategy_v3 [-1] 2243.546519 -169.374692 -44.572287 218.404208 129.259633 NaN 173.83192 15637 GAS_US_mini caleb_strategy_v3 [1] 1.676559 119.291988 -29.822997 0.0 -59.645994 NaN -29.822997 15640 COPPER caleb_strategy_v3 [1] 0.872203 108.919626 -5.732612 17.197836 5.732612 NaN 11.465224 15641 PLAT caleb_strategy_v3 [-1] 214.329263 -102.645806 -4.665718 -18.662874 -27.994311 NaN -23.328592 15642 COFFEE caleb_strategy_v3 [1] 115.776219 -49.664776 -10.79669 -12.956029 -34.54941 NaN -23.752719 15643 GASOLINE caleb_strategy_v3 [1] 0.541998 130.99675 -3.690049 86.716159 79.33606 NaN 83.026109 15644 CRUDE_W caleb_strategy_v3 [1] 15.63409 131.123713 -3.198139 121.529295 115.133017 NaN 118.331156 15645 GOLD_micro caleb_strategy_v3 [1] 447.92468 413.015867 -2.232518 221.019302 216.554266 NaN 218.786784 15638 GOLD_micro caleb_strategy_v3 [1] 447.92468 413.015867 -2.232518 178.601456 174.13642 NaN 176.368938 15647 CANOLA caleb_strategy_v3 [1] 161.953085 -120.40524 -3.087314 0.0 -6.174628 NaN -3.087314 15646 CANOLA caleb_strategy_v3 [1] 161.953085 -120.40524 -9.261942 6.174628 -12.349255 NaN -3.087314 15639 CANOLA caleb_strategy_v3 [1] 161.953085 -95.706729 -3.087314 -30.873138 -37.047766 NaN -33.960452 15648 EUR caleb_strategy_v3 [1] 0.075695 -260.916632 -3.302742 -52.843875 -59.449359 NaN -56.146617 15649 MXP caleb_strategy_v3 [1] 0.005738 165.555242 -8.713434 52.280603 NaN NaN 43.567169 15650 SP500_micro caleb_strategy_v3 [1] 569.84875 366.325275 -2.193565 30.709903 26.322774 NaN 28.516339 15657 SOYBEAN caleb_strategy_v3 [1] 129.957 105.804227 -9.618566 96.185661 76.948529 NaN 86.567095 15658 US5 caleb_strategy_v3 [-1] 3.79553 -195.542542 -10.291713 102.918445 82.335019 NaN 92.626732 15653 US5 caleb_strategy_v3 [-1] 3.79553 -195.542542 -10.291713 41.166851 20.583425 NaN 30.875138 15661 LIVECOW caleb_strategy_v3 [-1] 19.32974 135.801103 -6.466719 51.733754 38.800315 NaN 45.267034 15659 LEANHOG caleb_strategy_v3 [-1] 18.19141 109.942002 -13.74275 -137.427502 -164.913003 NaN -151.170253 15663 LEANHOG caleb_strategy_v3 [-1] 18.19141 -34.356876 -6.871375 -13.74275 -27.4855 NaN -20.614125 15654 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15660 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15664 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 15.567533 NaN NaN -62.270132 15665 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15666 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 15.567533 -140.107797 NaN -62.270132 15667 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 15.567533 NaN NaN -62.270132 15668 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 15.567533 -140.107797 NaN -62.270132 15669 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15670 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15671 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15672 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15673 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 15.567533 -140.107797 NaN -62.270132 15674 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15675 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 31.135066 -124.540264 NaN -46.702599 15676 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 108.972731 -46.702599 NaN 31.135066 15677 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 38.918832 -116.756497 108.972731 -124.540264 NaN -7.783766 15678 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 108.972731 -46.702599 NaN 31.135066 15679 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15680 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 77.837665 -77.837665 NaN -0.0 15681 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 15.567533 -140.107797 NaN -62.270132 15682 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 93.405198 -62.270132 NaN 15.567533 15683 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 77.837665 -77.837665 NaN -0.0 15684 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 -0.0 NaN NaN -77.837665 15685 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 62.270132 -93.405198 NaN -15.567533 15686 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 77.837665 -77.837665 NaN -0.0 15687 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 77.837665 -77.837665 NaN -0.0 15688 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 77.837665 NaN NaN -0.0 15689 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 77.837665 -77.837665 NaN -0.0 15690 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 77.837665 -77.837665 -0.0 -155.67533 NaN -77.837665 15691 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.423625 0.0 -77.837665 77.837665 -77.837665 NaN -0.0 15651 CAD caleb_strategy_v3 [-1] 0.038081 -85.344084 -6.56493 NaN NaN NaN NaN 15662 CAD caleb_strategy_v3 [-1] 0.038081 -433.285348 -13.129859 -0.0 -26.259718 NaN -13.129859 15655 CAD caleb_strategy_v3 [-1] 0.038081 -144.428449 -13.129859 -288.856899 -315.116617 NaN -301.986758 15633 EUROSTX caleb_strategy_v3 [1] 626.149459 151.720965 -7.985314 NaN NaN NaN NaN 15635 EUROSTX caleb_strategy_v3 [1] 626.149459 135.750337 -7.985314 -95.823767 -111.794395 NaN -103.809081 15656 CHF caleb_strategy_v3 [-1] 0.085968 -482.740223 -5.816147 -255.91048 -267.542774 NaN -261.726627 15652 CHF caleb_strategy_v3 [-1] 0.085968 -331.520394 -5.816147 NaN NaN NaN NaN 15627 NIKKEI caleb_strategy_v3 [1] 6877.253231 258.097229 -3.635172 NaN NaN NaN NaN 15629 NIKKEI caleb_strategy_v3 [1] 6877.253231 287.178607 -3.635172 -72.703445 -79.973789 NaN -76.338617 15630 NIKKEI caleb_strategy_v3 [1] 6877.253231 214.475162 -3.635172 0.0 -7.270344 NaN -3.635172 15631 NIKKEI caleb_strategy_v3 [1] 6877.253231 214.475162 -3.635172 7.270344 0.0 NaN 3.635172 ================================================================================================================================================================================ 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 15628 JGB-SGX-mini caleb_strategy_v3 [-1] 656.021622 -42.641405 -3.280108 -0.0 -6.560216 NaN -3.280108 15632 DAX caleb_strategy_v3 [-1] 1.0519 -39.9722 -10.519 21.038 -0.0 NaN 10.519 15634 DAX caleb_strategy_v3 [-1] 1.0519 -39.9722 -10.519 47.3355 26.2975 NaN 36.8165 15636 DAX caleb_strategy_v3 [-1] 1.0519 -39.9722 -10.519 51.5431 30.5051 NaN 41.0241 15637 GAS_US_mini caleb_strategy_v3 [1] 2500.0 50.0 -12.5 0.0 -25.0 NaN -12.5 15640 COPPER caleb_strategy_v3 [1] 25000.0 237.5 -12.5 37.5 12.5 NaN 25.0 15641 PLAT caleb_strategy_v3 [-1] 50.0 -110.0 -5.0 -20.0 -30.0 NaN -25.0 15642 COFFEE caleb_strategy_v3 [1] 375.0 -215.625 -46.875 -56.25 -150.0 NaN -103.125 15643 GASOLINE caleb_strategy_v3 [1] 42000.0 298.2 -8.4 197.4 180.6 NaN 189.0 15644 CRUDE_W caleb_strategy_v3 [1] 1000.0 205.0 -5.0 190.0 180.0 NaN 185.0 15645 GOLD_micro caleb_strategy_v3 [1] 10.0 185.0 -1.0 99.0 97.0 NaN 98.0 15638 GOLD_micro caleb_strategy_v3 [1] 10.0 185.0 -1.0 80.0 78.0 NaN 79.0 15647 CANOLA caleb_strategy_v3 [1] 14.145772 -27.584256 -0.707289 0.0 -1.414577 NaN -0.707289 15646 CANOLA caleb_strategy_v3 [1] 14.145772 -27.584256 -2.121866 1.414577 -2.829154 NaN -0.707289 15639 CANOLA caleb_strategy_v3 [1] 14.145772 -21.925947 -0.707289 -7.072886 -8.487463 NaN -7.780175 15648 EUR caleb_strategy_v3 [1] 125000.0 -246.875 -3.125 -50.0 -56.25 NaN -53.125 15649 MXP caleb_strategy_v3 [1] 500000.0 47.5 -2.5 15.0 NaN NaN 12.5 15650 SP500_micro caleb_strategy_v3 [1] 5.0 104.375 -0.625 8.75 7.5 NaN 8.125 15657 SOYBEAN caleb_strategy_v3 [1] 50.0 68.75 -6.25 62.5 50.0 NaN 56.25 15658 US5 caleb_strategy_v3 [-1] 1000.0 -74.21875 -3.90625 39.063 31.2505 NaN 35.15675 15653 US5 caleb_strategy_v3 [-1] 1000.0 -74.21875 -3.90625 15.625 7.8125 NaN 11.71875 15661 LIVECOW caleb_strategy_v3 [-1] 400.0 105.0 -5.0 40.0 30.0 NaN 35.0 15659 LEANHOG caleb_strategy_v3 [-1] 400.0 80.0 -10.0 -100.0 -120.0 NaN -110.0 15663 LEANHOG caleb_strategy_v3 [-1] 400.0 -25.0 -5.0 -10.0 -20.0 NaN -15.0 15654 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15660 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15664 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 NaN NaN -40.0 15665 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15666 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 -90.0 NaN -40.0 15667 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 NaN NaN -40.0 15668 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 -90.0 NaN -40.0 15669 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15670 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15671 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15672 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15673 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 -90.0 NaN -40.0 15674 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15675 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 20.0 -80.0 NaN -30.0 15676 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 70.0 -30.0 NaN 20.0 15677 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 25.0 -75.0 70.0 -80.0 NaN -5.0 15678 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 70.0 -30.0 NaN 20.0 15679 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15680 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 50.0 -50.0 NaN -0.0 15681 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 -90.0 NaN -40.0 15682 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 60.0 -40.0 NaN 10.0 15683 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 50.0 -50.0 NaN -0.0 15684 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 -0.0 NaN NaN -50.0 15685 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 40.0 -60.0 NaN -10.0 15686 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 50.0 -50.0 NaN -0.0 15687 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 50.0 -50.0 NaN -0.0 15688 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 50.0 NaN NaN -0.0 15689 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 50.0 -50.0 NaN -0.0 15690 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 -0.0 -100.0 NaN -50.0 15691 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 50.0 -50.0 NaN -0.0 15651 CAD caleb_strategy_v3 [-1] 100000.0 -32.5 -2.5 NaN NaN NaN NaN 15662 CAD caleb_strategy_v3 [-1] 100000.0 -165.0 -5.0 -0.0 -10.0 NaN -5.0 15655 CAD caleb_strategy_v3 [-1] 100000.0 -55.0 -5.0 -110.0 -120.0 NaN -115.0 15633 EUROSTX caleb_strategy_v3 [1] 10.519 99.9305 -5.2595 NaN NaN NaN NaN 15635 EUROSTX caleb_strategy_v3 [1] 10.519 89.4115 -5.2595 -63.114 -73.633 NaN -68.3735 15656 CHF caleb_strategy_v3 [-1] 125000.0 -518.75 -6.25 -275.0 -287.5 NaN -281.25 15652 CHF caleb_strategy_v3 [-1] 125000.0 -356.25 -6.25 NaN NaN NaN NaN 15627 NIKKEI caleb_strategy_v3 [1] 0.656022 116.443838 -1.640054 NaN NaN NaN NaN 15629 NIKKEI caleb_strategy_v3 [1] 0.656022 129.56427 -1.640054 -32.801081 -36.081189 NaN -34.441135 15630 NIKKEI caleb_strategy_v3 [1] 0.656022 96.763189 -1.640054 0.0 -3.280108 NaN -1.640054 15631 NIKKEI caleb_strategy_v3 [1] 0.656022 96.763189 -1.640054 3.280108 0.0 NaN 1.640054 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 475.0 caleb_strategy_v3 CAD -252.5 CANOLA -77.094458 CHF -875.0 COFFEE -215.625 COPPER 237.5 CRUDE_W 205.0 DAX -119.9166 EUR -246.875 EUROSTX 189.342 GASOLINE 298.2 GAS_US_mini 50.0 GOLD_micro 370.0 JGB-SGX-mini -42.641405 LEANHOG 55.0 LIVECOW 105.0 MXP 47.5 NIKKEI 439.534487 PLAT -110.0 SOYBEAN 68.75 SP500_micro 104.375 US5 -148.4375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 475.0 caleb_strategy_v3 82.111523 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1525.0 caleb_strategy_v3 CAD -12.5 CANOLA -3.536443 CHF -12.5 COFFEE -46.875 COPPER -12.5 CRUDE_W -5.0 DAX -31.557 EUR -3.125 EUROSTX -10.519 GASOLINE -8.4 GAS_US_mini -12.5 GOLD_micro -2.0 JGB-SGX-mini -3.280108 LEANHOG -15.0 LIVECOW -5.0 MXP -2.5 NIKKEI -6.560216 PLAT -5.0 SOYBEAN -6.25 SP500_micro -0.625 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -1525.0 caleb_strategy_v3 -213.040267 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 1280.0 caleb_strategy_v3 CAD -110.0 CANOLA -5.658309 CHF -275.0 COFFEE -56.25 COPPER 37.5 CRUDE_W 190.0 DAX 119.9166 EUR -50.0 EUROSTX -63.114 GASOLINE 197.4 GAS_US_mini 0.0 GOLD_micro 179.0 JGB-SGX-mini -0.0 LEANHOG -110.0 LIVECOW 40.0 MXP 15.0 NIKKEI -29.520973 PLAT -20.0 SOYBEAN 62.5 SP500_micro 8.75 US5 54.688 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1280.0 caleb_strategy_v3 185.211318 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1440.0 caleb_strategy_v3 CAD -130.0 CANOLA -12.731195 CHF -287.5 COFFEE -150.0 COPPER 12.5 CRUDE_W 180.0 DAX 56.8026 EUR -56.25 EUROSTX -73.633 GASOLINE 180.6 GAS_US_mini -25.0 GOLD_micro 175.0 JGB-SGX-mini -6.560216 LEANHOG -140.0 LIVECOW 30.0 MXP 0 NIKKEI -39.361297 PLAT -30.0 SOYBEAN 50.0 SP500_micro 7.5 US5 39.063 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1440.0 caleb_strategy_v3 -219.570109 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 CAD 0 CANOLA 0 CHF 0 COFFEE 0 COPPER 0 CRUDE_W 0 DAX 0 EUR 0 EUROSTX 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JGB-SGX-mini 0 LEANHOG 0 LIVECOW 0 MXP 0 NIKKEI 0 PLAT 0 SOYBEAN 0 SP500_micro 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 -245.0 caleb_strategy_v3 CAD -120.0 CANOLA -9.194752 CHF -281.25 COFFEE -103.125 COPPER 25.0 CRUDE_W 185.0 DAX 88.3596 EUR -53.125 EUROSTX -68.3735 GASOLINE 189.0 GAS_US_mini -12.5 GOLD_micro 177.0 JGB-SGX-mini -3.280108 LEANHOG -125.0 LIVECOW 35.0 MXP 12.5 NIKKEI -34.441135 PLAT -25.0 SOYBEAN 56.25 SP500_micro 8.125 US5 46.8755 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -245.0 caleb_strategy_v3 -12.179395 ******************************************************************************** END OF REPORT ********************************************************************************