******************************************************************************** Trades report produced on 15/09/2025 21:38 from 14/09/2025 21:38 to 15/09/2025 21:38 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 18757 COPPER caleb_strategy_v3 [20251200] 2025-09-15 13:02:42.000 [1] 4.66850 18768 DOW caleb_strategy_v3 [20251200] 2025-09-15 14:15:24.000 [-1] 46220.00000 18770 DOW caleb_strategy_v3 [20251200] 2025-09-15 19:45:09.962 [0] NaN 18772 DOW caleb_strategy_v3 [20251200] 2025-09-15 14:30:33.000 [-1] 46293.00000 18764 DOW caleb_strategy_v3 [20251200] 2025-09-15 14:00:41.000 [-1] 46276.00000 18780 DOW caleb_strategy_v3 [20251200] 2025-09-15 14:46:23.000 [-1] 46343.00000 18778 DOW caleb_strategy_v3 [20251200] 2025-09-15 14:45:23.000 [-1] 46333.00000 18776 DOW caleb_strategy_v3 [20251200] 2025-09-15 14:40:19.000 [-1] 46260.00000 18752 EUROSTX _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-15 07:21:59.000 [-1, 1] -9.50000 18754 EUROSTX _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-15 07:27:52.000 [-1, 1] -9.50000 18755 EUROSTX _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-15 07:27:57.000 [-1, 1] -9.50000 18750 EUROSTX _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-15 07:11:54.000 [-1, 1] -9.50000 18760 GAS_US_mini caleb_strategy_v3 [20251100] 2025-09-15 19:45:09.805 [0] NaN 18758 GAS_US_mini caleb_strategy_v3 [20251100] 2025-09-15 13:03:18.000 [-1] 3.18500 18762 GAS_US_mini caleb_strategy_v3 [20251100] 2025-09-15 13:23:34.000 [-1] 3.21000 18761 GOLD_micro caleb_strategy_v3 [20251200] 2025-09-15 19:45:09.882 [0] NaN 18763 GOLD_micro caleb_strategy_v3 [20251200] 2025-09-15 13:23:34.000 [-1] 3690.40000 18759 GOLD_micro caleb_strategy_v3 [20251200] 2025-09-15 13:03:27.000 [-1] 3685.90000 18773 LEANHOG caleb_strategy_v3 [20251200] 2025-09-15 14:31:54.000 [1] 88.95000 18766 MXP caleb_strategy_v3 [20251200] 2025-09-15 14:01:45.000 [1] 0.05382 18751 OAT caleb_strategy_v3 [20251200] 2025-09-15 19:45:09.722 [0] NaN 18749 OAT caleb_strategy_v3 [20251200] 2025-09-15 19:45:09.643 [0] NaN 18753 OAT caleb_strategy_v3 [20251200] 2025-09-15 07:27:50.000 [1] 121.66000 18756 SILVER-mini caleb_strategy_v3 [20260100] 2025-09-15 13:00:49.000 [1] 42.86250 18774 SOYMEAL caleb_strategy_v3 [20260100] 2025-09-15 14:40:14.000 [-1] 290.20000 18765 SP500_micro caleb_strategy_v3 [20250900] 2025-09-15 14:01:44.000 [1] 6617.25000 18769 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:15:25.000 [1, -1] -0.57000 18784 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:53:28.000 [1, -1] -0.57000 18785 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:59:28.000 [1, -1] -0.57000 18786 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:59:33.000 [1, -1] -0.57000 18787 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 15:05:39.000 [1, -1] -0.57000 18788 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 15:05:44.000 [1, -1] -0.57000 18789 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 15:11:43.000 [1, -1] -0.56000 18791 VIX caleb_strategy_v3 [20251200] 2025-09-15 15:12:49.000 [-1] 19.75000 18792 VIX caleb_strategy_v3 [20251200] 2025-09-15 15:13:49.000 [-1] 19.75000 18783 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:53:23.000 [1, -1] -0.57000 18782 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:47:24.000 [1, -1] -0.57000 18781 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:46:52.000 [1, -1] -0.57000 18779 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:45:25.000 [1, -1] -0.56000 18790 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 15:11:48.000 [1, -1] -0.56000 18775 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:40:15.000 [1, -1] -0.57000 18771 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:30:30.000 [1, -1] -0.57000 18767 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:06:47.000 [1, -1] -0.56000 18777 VIX _ROLL_PSEUDO_STRATEGY [20251100, 20251200] 2025-09-15 14:45:20.000 [1, -1] -0.56000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18752 EUROSTX _ROLL_PSEUDO_STRATEGY 2025-09-12 19:00:00 2025-09-15 08:21:58.116000 2025-09-15 07:21:59 220918.116 NaN 18754 EUROSTX _ROLL_PSEUDO_STRATEGY 2025-09-12 19:00:00 2025-09-15 08:27:51.197000 2025-09-15 07:27:52 221271.197 NaN 18755 EUROSTX _ROLL_PSEUDO_STRATEGY 2025-09-12 19:00:00 2025-09-15 08:27:56.041000 2025-09-15 07:27:57 221276.041 NaN 18750 EUROSTX _ROLL_PSEUDO_STRATEGY 2025-09-12 19:00:00 2025-09-15 08:10:31.235000 2025-09-15 07:11:54 220231.235 NaN 18756 SILVER-mini caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:00:34.534000 2025-09-15 13:00:49 309634.534 NaN 18757 COPPER caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:00:49.950000 2025-09-15 13:02:42 309649.95 NaN 18765 SP500_micro caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:00:42.434000 2025-09-15 14:01:44 313242.434 NaN 18766 MXP caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:01:45.710000 2025-09-15 14:01:45 313305.71 NaN 18773 LEANHOG caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:30:34.485000 2025-09-15 14:31:54 315034.485 NaN 18774 SOYMEAL caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:31:55.629000 2025-09-15 14:40:14 315115.629 NaN 18784 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:53:27.689000 2025-09-15 14:53:28 244407.689 NaN 18785 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:54:28.162000 2025-09-15 14:59:28 244468.162 NaN 18786 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:59:31.958000 2025-09-15 14:59:33 244771.958 NaN 18787 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 16:00:39.210000 2025-09-15 15:05:39 244839.21 NaN 18788 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 16:05:43.073000 2025-09-15 15:05:44 245143.073 NaN 18789 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 16:06:43.524000 2025-09-15 15:11:43 245203.524 NaN 18790 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 16:11:47.301000 2025-09-15 15:11:48 245507.301 NaN 18767 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:01:47.438000 2025-09-15 14:06:47 241307.438 NaN 18769 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:15:24.850000 2025-09-15 14:15:25 242124.85 NaN 18771 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:25:29.955000 2025-09-15 14:30:30 242729.955 NaN 18775 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:40:14.834000 2025-09-15 14:40:15 243614.834 NaN 18777 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:40:20.076000 2025-09-15 14:45:20 243620.076 NaN 18779 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:45:24.216000 2025-09-15 14:45:25 243924.216 NaN 18781 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:46:24.263000 2025-09-15 14:46:52 243984.263 NaN 18782 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:47:23.834000 2025-09-15 14:47:24 244043.834 NaN 18783 VIX _ROLL_PSEUDO_STRATEGY 2025-09-12 20:00:00 2025-09-15 15:48:23.895000 2025-09-15 14:53:23 244103.895 NaN 18792 VIX caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 16:13:49.138000 2025-09-15 15:13:49 317629.138 NaN 18791 VIX caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 16:12:49.242000 2025-09-15 15:12:49 317569.242 NaN 18764 DOW caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:00:41.538000 2025-09-15 14:00:41 313241.538 NaN 18768 DOW caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:06:50.779000 2025-09-15 14:15:24 313610.779 NaN 18770 DOW caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:15:29.242000 2025-09-15 19:45:09.962000 314129.242 16180.72 18772 DOW caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:30:33.398000 2025-09-15 14:30:33 315033.398 NaN 18776 DOW caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:40:19.268000 2025-09-15 14:40:19 315619.268 NaN 18778 DOW caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:45:23.529000 2025-09-15 14:45:23 315923.529 NaN 18780 DOW caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 15:46:23.621000 2025-09-15 14:46:23 315983.621 NaN 18753 OAT caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 08:22:02.657000 2025-09-15 07:27:50 289322.657 NaN 18749 OAT caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 08:00:29.079000 2025-09-15 19:45:09.643000 288029.079 42280.564 18751 OAT caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 08:11:57.573000 2025-09-15 19:45:09.722000 288717.573 41592.149 18760 GAS_US_mini caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:03:30.598000 2025-09-15 19:45:09.805000 309810.598 20499.207 18762 GAS_US_mini caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:23:34.275000 2025-09-15 13:23:34 311014.275 NaN 18758 GAS_US_mini caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:02:42.938000 2025-09-15 13:03:18 309762.938 NaN 18761 GOLD_micro caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:13:31.063000 2025-09-15 19:45:09.882000 310411.063 19898.819 18763 GOLD_micro caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:23:34.850000 2025-09-15 13:23:34 311014.85 NaN 18759 GOLD_micro caleb_strategy_v3 2025-09-12 00:00:00 2025-09-15 14:03:19.478000 2025-09-15 13:03:27 309799.478 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 18752 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] -9.0 None -5.0 -10.0 0.0 0.0 -9.5 4.0 -5.0 0.5 -9.5 NaN -4.5 18754 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] -9.0 None -5.5 -11.0 0.0 0.0 -9.5 3.5 -5.5 1.5 -9.5 NaN -4.0 18755 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] -9.0 None -5.0 -10.0 0.0 0.0 -9.5 4.0 -5.0 0.5 -9.5 NaN -4.5 18750 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] -9.0 None -9.5 -11.0 -8.0 -8.0 -9.5 -0.5 -1.5 1.5 -1.5 NaN 0.0 18756 SILVER-mini caleb_strategy_v3 [1] 42.975 None 42.81875 42.85 42.7875 42.7875 42.8625 0.15625 -0.03125 -0.0125 -0.075 NaN -0.04375 18757 COPPER caleb_strategy_v3 [1] 4.655 None 4.6655 4.666 4.665 4.665 4.6685 -0.0105 -0.0005 -0.0025 -0.0035 NaN -0.003 18765 SP500_micro caleb_strategy_v3 [1] 6602.75 None 6614.625 6614.75 6614.5 6614.5 6617.25 -11.875 -0.125 -2.5 -2.75 NaN -2.625 18766 MXP caleb_strategy_v3 [1] 0.0537 None 0.053845 0.05385 0.05384 0.05384 0.05382 -0.000145 -0.000005 0.00003 0.00002 NaN 0.000025 18773 LEANHOG caleb_strategy_v3 [1] 88.575 None 88.85 88.875 88.825 88.825 88.95 -0.275 -0.025 -0.075 -0.125 NaN -0.1 18774 SOYMEAL caleb_strategy_v3 [-1] 291.4 None 290.25 290.2 290.3 290.3 290.2 -1.15 -0.05 -0.0 -0.1 NaN -0.05 18784 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.25 -0.5 0.0 0.0 -0.57 -0.3 0.25 0.07 0.57 NaN 0.32 18785 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.57 -0.0 -0.05 0.07 -0.03 NaN 0.02 18786 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.25 -0.5 0.0 0.0 -0.57 -0.3 0.25 0.07 0.57 NaN 0.32 18787 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.57 -0.0 -0.05 0.07 -0.03 NaN 0.02 18788 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.25 -0.5 0.0 0.0 -0.57 -0.3 0.25 0.07 0.57 NaN 0.32 18789 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.56 -0.0 -0.05 0.06 -0.04 NaN 0.01 18790 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.25 -0.5 0.0 0.0 -0.56 -0.3 0.25 0.06 0.56 NaN 0.31 18767 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.56 -0.0 -0.05 0.06 -0.04 NaN 0.01 18769 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.25 -0.5 0.0 0.0 -0.57 -0.3 0.25 0.07 0.57 NaN 0.32 18771 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.57 -0.0 -0.05 0.07 -0.03 NaN 0.02 18775 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.25 -0.5 0.0 0.0 -0.57 -0.3 0.25 0.07 0.57 NaN 0.32 18777 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.6 -0.55 -0.65 -0.65 -0.56 0.05 -0.05 0.01 -0.09 NaN -0.04 18779 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.275 -0.55 0.0 0.0 -0.56 -0.275 0.275 0.01 0.56 NaN 0.285 18781 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.6 -0.55 -0.65 -0.65 -0.57 0.05 -0.05 0.02 -0.08 NaN -0.03 18782 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.25 -0.5 0.0 0.0 -0.57 -0.3 0.25 0.07 0.57 NaN 0.32 18783 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.55 None -0.55 -0.5 -0.6 -0.6 -0.57 -0.0 -0.05 0.07 -0.03 NaN 0.02 18792 VIX caleb_strategy_v3 [-1] 19.75 None 19.725 19.7 19.75 19.75 19.75 -0.025 -0.025 0.05 -0.0 NaN 0.025 18791 VIX caleb_strategy_v3 [-1] 19.75 None 19.725 19.7 19.75 19.75 19.75 -0.025 -0.025 0.05 -0.0 NaN 0.025 18764 DOW caleb_strategy_v3 [-1] 46295.0 None 46265.0 46264.0 46266.0 46266.0 46276.0 -30.0 -1.0 12.0 10.0 NaN 11.0 18768 DOW caleb_strategy_v3 [-1] 46295.0 None 46265.0 46264.0 46266.0 46266.0 46220.0 -30.0 -1.0 -44.0 -46.0 NaN -45.0 18770 DOW caleb_strategy_v3 [-1] 46295.0 None 23108.0 46216.0 0.0 0.0 NaN -23187.0 23108.0 NaN NaN NaN NaN 18772 DOW caleb_strategy_v3 [-1] 46295.0 None 46216.0 46215.0 46217.0 46217.0 46293.0 -79.0 -1.0 78.0 76.0 NaN 77.0 18776 DOW caleb_strategy_v3 [-1] 46295.0 None 46216.0 46215.0 46217.0 46217.0 46260.0 -79.0 -1.0 45.0 43.0 NaN 44.0 18778 DOW caleb_strategy_v3 [-1] 46295.0 None 46216.0 46215.0 46217.0 46217.0 46333.0 -79.0 -1.0 118.0 116.0 NaN 117.0 18780 DOW caleb_strategy_v3 [-1] 46295.0 None 46216.0 46215.0 46217.0 46217.0 46343.0 -79.0 -1.0 128.0 126.0 NaN 127.0 18753 OAT caleb_strategy_v3 [1] 121.68 None 121.575 121.58 121.57 121.57 121.66 0.105 -0.005 -0.08 -0.09 NaN -0.085 18749 OAT caleb_strategy_v3 [1] 121.68 None 121.515 121.52 121.51 121.51 NaN 0.165 -0.005 NaN NaN NaN NaN 18751 OAT caleb_strategy_v3 [1] 121.68 None 60.75 121.5 0.0 0.0 NaN 60.93 -60.75 NaN NaN NaN NaN 18760 GAS_US_mini caleb_strategy_v3 [-1] 3.2 None 1.5925 3.185 0.0 0.0 NaN -1.6075 1.5925 NaN NaN NaN NaN 18762 GAS_US_mini caleb_strategy_v3 [-1] 3.2 None 3.1925 3.19 3.195 3.195 3.21 -0.0075 -0.0025 0.02 0.015 NaN 0.0175 18758 GAS_US_mini caleb_strategy_v3 [-1] 3.2 None 3.19 3.185 3.195 3.195 3.185 -0.01 -0.005 -0.0 -0.01 NaN -0.005 18761 GOLD_micro caleb_strategy_v3 [-1] 3687.0 None 1842.9 3685.8 0.0 0.0 NaN -1844.1 1842.9 NaN NaN NaN NaN 18763 GOLD_micro caleb_strategy_v3 [-1] 3687.0 None 3686.8 3686.7 3686.9 3686.9 3690.4 -0.2 -0.1 3.7 3.5 NaN 3.6 18759 GOLD_micro caleb_strategy_v3 [-1] 3687.0 None 3685.8 3685.7 3685.9 3685.9 3685.9 -1.2 -0.1 0.2 -0.0 NaN 0.1 ========================================================================================================================================================================== 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 18752 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 682.285952 58.626445 -73.283057 7.328306 -139.237807 NaN -65.954751 18754 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 682.285952 51.29814 -80.611362 21.984917 -139.237807 NaN -58.626445 18755 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 682.285952 58.626445 -73.283057 7.328306 -139.237807 NaN -65.954751 18750 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 682.285952 -7.328306 -21.984917 21.984917 -21.984917 NaN 0.0 18756 SILVER-mini caleb_strategy_v3 [1] 8.009655 195.077066 -39.015413 -15.606165 -93.636992 NaN -54.621579 18757 COPPER caleb_strategy_v3 [1] 1.684452 -62.33482 -2.968325 -14.841624 -20.778273 NaN -17.809949 18765 SP500_micro caleb_strategy_v3 [1] 652.484703 -181.996604 -1.915754 -38.315074 -42.146582 NaN -40.230828 18766 MXP caleb_strategy_v3 [1] 0.004148 -349.559965 -12.053792 72.322751 48.215168 NaN 60.26896 18773 LEANHOG caleb_strategy_v3 [1] 14.937874 -184.095811 -16.735983 -50.207948 -83.679914 NaN -66.943931 18774 SOYMEAL caleb_strategy_v3 [-1] 46.933893 -245.025487 -10.653282 -0.0 -21.306564 NaN -10.653282 18784 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -483.264915 402.720763 112.761814 918.203339 NaN 515.482576 18785 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -0.0 -80.544153 112.761814 -48.326492 NaN 32.217661 18786 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -483.264915 402.720763 112.761814 918.203339 NaN 515.482576 18787 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -0.0 -80.544153 112.761814 -48.326492 NaN 32.217661 18788 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -483.264915 402.720763 112.761814 918.203339 NaN 515.482576 18789 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -0.0 -80.544153 96.652983 -64.435322 NaN 16.108831 18790 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -483.264915 402.720763 96.652983 902.094509 NaN 499.373746 18767 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -0.0 -80.544153 96.652983 -64.435322 NaN 16.108831 18769 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -483.264915 402.720763 112.761814 918.203339 NaN 515.482576 18771 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -0.0 -80.544153 112.761814 -48.326492 NaN 32.217661 18775 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -483.264915 402.720763 112.761814 918.203339 NaN 515.482576 18777 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 80.544153 -80.544153 16.108831 -144.979475 NaN -64.435322 18779 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -442.992839 442.992839 16.108831 902.094509 NaN 459.10167 18781 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 80.544153 -80.544153 32.217661 -128.870644 NaN -48.326492 18782 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -483.264915 402.720763 112.761814 918.203339 NaN 515.482576 18783 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.207775 -0.0 -80.544153 112.761814 -48.326492 NaN 32.217661 18792 VIX caleb_strategy_v3 [-1] 6.207775 -40.272076 -40.272076 80.544153 -0.0 NaN 40.272076 18791 VIX caleb_strategy_v3 [-1] 6.207775 -40.272076 -40.272076 80.544153 -0.0 NaN 40.272076 18764 DOW caleb_strategy_v3 [-1] 5090.339431 -58.935166 -1.964506 23.574066 19.645055 NaN 21.609561 18768 DOW caleb_strategy_v3 [-1] 5090.339431 -58.935166 -1.964506 -86.438244 -90.367255 NaN -88.402749 18770 DOW caleb_strategy_v3 [-1] 5090.339431 -45550.989895 45395.793958 NaN NaN NaN NaN 18772 DOW caleb_strategy_v3 [-1] 5090.339431 -155.195937 -1.964506 153.231432 149.302421 NaN 151.266926 18776 DOW caleb_strategy_v3 [-1] 5090.339431 -155.195937 -1.964506 88.402749 84.473738 NaN 86.438244 18778 DOW caleb_strategy_v3 [-1] 5090.339431 -155.195937 -1.964506 231.811653 227.882642 NaN 229.847148 18780 DOW caleb_strategy_v3 [-1] 5090.339431 -155.195937 -1.964506 251.456709 247.527698 NaN 249.492203 18753 OAT caleb_strategy_v3 [1] 6.607533 158.909532 -7.567121 -121.073929 -136.20817 NaN -128.64105 18749 OAT caleb_strategy_v3 [1] 6.607533 249.714979 -7.567121 NaN NaN NaN NaN 18751 OAT caleb_strategy_v3 [1] 6.607533 92212.931342 -91940.515002 NaN NaN NaN NaN 18760 GAS_US_mini caleb_strategy_v3 [-1] 1.365664 -11770.828627 11660.991968 NaN NaN NaN NaN 18762 GAS_US_mini caleb_strategy_v3 [-1] 1.365664 -54.91833 -18.30611 146.448879 109.836659 NaN 128.142769 18758 GAS_US_mini caleb_strategy_v3 [-1] 1.365664 -73.224439 -36.61222 -0.0 -73.224439 NaN -36.61222 18761 GOLD_micro caleb_strategy_v3 [-1] 431.112724 -42775.355423 42747.520476 NaN NaN NaN NaN 18763 GOLD_micro caleb_strategy_v3 [-1] 431.112724 -4.639158 -2.319579 85.824421 81.185263 NaN 83.504842 18759 GOLD_micro caleb_strategy_v3 [-1] 431.112724 -27.834947 -2.319579 4.639158 -0.0 NaN 2.319579 ================================================================================================================================================================================= 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 18752 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 11.72785 46.9114 -58.63925 5.863925 -111.414575 NaN -52.775325 18754 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 11.72785 41.047475 -64.503175 17.591775 -111.414575 NaN -46.9114 18755 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 11.72785 46.9114 -58.63925 5.863925 -111.414575 NaN -52.775325 18750 EUROSTX _ROLL_PSEUDO_STRATEGY [-1, 1] 11.72785 -5.863925 -17.591775 17.591775 -17.591775 NaN 0.0 18756 SILVER-mini caleb_strategy_v3 [1] 2500.0 390.625 -78.125 -31.25 -187.5 NaN -109.375 18757 COPPER caleb_strategy_v3 [1] 25000.0 -262.5 -12.5 -62.5 -87.5 NaN -75.0 18765 SP500_micro caleb_strategy_v3 [1] 5.0 -59.375 -0.625 -12.5 -13.75 NaN -13.125 18766 MXP caleb_strategy_v3 [1] 500000.0 -72.5 -2.5 15.0 10.0 NaN 12.5 18773 LEANHOG caleb_strategy_v3 [1] 400.0 -110.0 -10.0 -30.0 -50.0 NaN -40.0 18774 SOYMEAL caleb_strategy_v3 [-1] 100.0 -115.0 -5.0 -0.0 -10.0 NaN -5.0 18784 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -300.0 250.0 70.0 570.0 NaN 320.0 18785 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 70.0 -30.0 NaN 20.0 18786 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -300.0 250.0 70.0 570.0 NaN 320.0 18787 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 70.0 -30.0 NaN 20.0 18788 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -300.0 250.0 70.0 570.0 NaN 320.0 18789 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 60.0 -40.0 NaN 10.0 18790 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -300.0 250.0 60.0 560.0 NaN 310.0 18767 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 60.0 -40.0 NaN 10.0 18769 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -300.0 250.0 70.0 570.0 NaN 320.0 18771 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 70.0 -30.0 NaN 20.0 18775 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -300.0 250.0 70.0 570.0 NaN 320.0 18777 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 -90.0 NaN -40.0 18779 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -275.0 275.0 10.0 560.0 NaN 285.0 18781 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 20.0 -80.0 NaN -30.0 18782 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -300.0 250.0 70.0 570.0 NaN 320.0 18783 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -0.0 -50.0 70.0 -30.0 NaN 20.0 18792 VIX caleb_strategy_v3 [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 18791 VIX caleb_strategy_v3 [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 18764 DOW caleb_strategy_v3 [-1] 0.5 -15.0 -0.5 6.0 5.0 NaN 5.5 18768 DOW caleb_strategy_v3 [-1] 0.5 -15.0 -0.5 -22.0 -23.0 NaN -22.5 18770 DOW caleb_strategy_v3 [-1] 0.5 -11593.5 11554.0 NaN NaN NaN NaN 18772 DOW caleb_strategy_v3 [-1] 0.5 -39.5 -0.5 39.0 38.0 NaN 38.5 18776 DOW caleb_strategy_v3 [-1] 0.5 -39.5 -0.5 22.5 21.5 NaN 22.0 18778 DOW caleb_strategy_v3 [-1] 0.5 -39.5 -0.5 59.0 58.0 NaN 58.5 18780 DOW caleb_strategy_v3 [-1] 0.5 -39.5 -0.5 64.0 63.0 NaN 63.5 18753 OAT caleb_strategy_v3 [1] 1172.785 123.142425 -5.863925 -93.8228 -105.55065 NaN -99.686725 18749 OAT caleb_strategy_v3 [1] 1172.785 193.509525 -5.863925 NaN NaN NaN NaN 18751 OAT caleb_strategy_v3 [1] 1172.785 71457.79005 -71246.68875 NaN NaN NaN NaN 18760 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -4018.75 3981.25 NaN NaN NaN NaN 18762 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -18.75 -6.25 50.0 37.5 NaN 43.75 18758 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -25.0 -12.5 -0.0 -25.0 NaN -12.5 18761 GOLD_micro caleb_strategy_v3 [-1] 10.0 -18441.0 18429.0 NaN NaN NaN NaN 18763 GOLD_micro caleb_strategy_v3 [-1] 10.0 -2.0 -1.0 37.0 35.0 NaN 36.0 18759 GOLD_micro caleb_strategy_v3 [-1] 10.0 -12.0 -1.0 2.0 -0.0 NaN 1.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX 129.00635 VIX -2275.0 caleb_strategy_v3 COPPER -262.5 DOW -11781.5 GAS_US_mini -4062.5 GOLD_micro -18455.0 LEANHOG -110.0 MXP -72.5 OAT 71774.442 SILVER-mini 390.625 SOYMEAL -115.0 SP500_micro -59.375 VIX -50.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -2145.99365 caleb_strategy_v3 37196.692 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX -199.37345 VIX 1625.0 caleb_strategy_v3 COPPER -12.5 DOW 11551.0 GAS_US_mini 3962.5 GOLD_micro 18427.0 LEANHOG -10.0 MXP -2.5 OAT -71258.4166 SILVER-mini -78.125 SOYMEAL -5.0 SP500_micro -0.625 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 1425.62655 caleb_strategy_v3 -37476.6666 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX 46.9114 VIX 920.0 caleb_strategy_v3 COPPER -62.5 DOW 168.5 GAS_US_mini 50.0 GOLD_micro 39.0 LEANHOG -30.0 MXP 15.0 OAT -93.8228 SILVER-mini -31.25 SOYMEAL -0.0 SP500_micro -12.5 VIX 100.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 966.9114 caleb_strategy_v3 142.4272 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX -351.8355 VIX 4170.0 caleb_strategy_v3 COPPER -87.5 DOW 162.5 GAS_US_mini 12.5 GOLD_micro 35.0 LEANHOG -50.0 MXP 10.0 OAT -105.55065 SILVER-mini -187.5 SOYMEAL -10.0 SP500_micro -13.75 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 3818.1645 caleb_strategy_v3 -234.30065 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EUROSTX 0 VIX 0 caleb_strategy_v3 COPPER 0 DOW 0 GAS_US_mini 0 GOLD_micro 0 LEANHOG 0 MXP 0 OAT 0 SILVER-mini 0 SOYMEAL 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 EUROSTX -152.46205 VIX 2545.0 caleb_strategy_v3 COPPER -75.0 DOW 165.5 GAS_US_mini 31.25 GOLD_micro 37.0 LEANHOG -40.0 MXP 12.5 OAT -99.686725 SILVER-mini -109.375 SOYMEAL -5.0 SP500_micro -13.125 VIX 50.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 2392.53795 caleb_strategy_v3 -45.936725 ******************************************************************************** END OF REPORT ********************************************************************************