******************************************************************************** Trades report produced on 14/11/2025 21:39 from 13/11/2025 21:39 to 14/11/2025 21:39 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19702 DAX caleb_strategy_v3 [20251200] 2025-11-14 08:11:30.000 [1] 23988.000000 19701 DAX caleb_strategy_v3 [20251200] 2025-11-14 19:45:29.066 [0] NaN 19700 DAX caleb_strategy_v3 [20251200] 2025-11-14 08:01:07.000 [1] 24065.000000 19710 GBP caleb_strategy_v3 [20251200] 2025-11-14 19:45:29.222 [0] NaN 19717 GBP caleb_strategy_v3 [20251200] 2025-11-14 15:46:49.000 [-1] 1.313200 19705 GBP caleb_strategy_v3 [20251200] 2025-11-14 19:45:29.143 [0] NaN 19703 GOLD_micro caleb_strategy_v3 [20260200] 2025-11-14 14:00:57.000 [-1] 4082.700000 19714 LEANHOG caleb_strategy_v3 [20260200] 2025-11-14 15:40:14.000 [1] 79.975000 19712 LIVECOW caleb_strategy_v3 [20260200] 2025-11-14 15:35:00.000 [-1] 219.575000 19713 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-11-14 15:35:00.000 [-1] 25006.250000 19707 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-11-14 15:10:38.000 [-1] 24958.000000 19719 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-11-14 15:46:50.000 [-1] 25156.250000 19699 NIKKEI caleb_strategy_v3 [20251200] 2025-11-14 03:01:15.000 [1] 50435.000000 19706 RUSSELL caleb_strategy_v3 [20251200] 2025-11-14 15:10:37.000 [-1] 2381.800000 19718 RUSSELL caleb_strategy_v3 [20251200] 2025-11-14 15:46:50.000 [-1] 2394.900000 19711 RUSSELL caleb_strategy_v3 [20251200] 2025-11-14 19:45:29.301 [0] NaN 19704 SP500_micro caleb_strategy_v3 [20251200] 2025-11-14 15:00:01.000 [-1] 6725.000000 19708 US5 caleb_strategy_v3 [20251200] 2025-11-14 15:14:14.000 [-1] 109.296875 19725 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:50:57.000 [1, -1] -0.610000 19716 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:40:18.000 [1, -1] -0.570000 19720 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:46:52.000 [1, -1] -0.610000 19721 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:46:57.000 [1, -1] -0.610000 19722 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:47:57.000 [1, -1] -0.620000 19709 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:14:39.000 [1, -1] -0.510000 19738 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:22:20.000 [1, -1] -0.650000 19737 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:19:30.000 [1, -1] -0.630000 19724 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:50:29.000 [1, -1] -0.610000 19736 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:19:09.000 [1, -1] -0.630000 19734 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:13:05.000 [1, -1] -0.610000 19733 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:07:06.000 [1, -1] -0.600000 19732 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:07:01.000 [1, -1] -0.600000 19731 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:01:02.000 [1, -1] -0.610000 19730 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:00:44.000 [1, -1] -0.610000 19729 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:59:02.000 [1, -1] -0.610000 19723 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:49:17.000 [1, -1] -0.610000 19727 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:52:58.000 [1, -1] -0.610000 19726 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:52:29.000 [1, -1] -0.610000 19735 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 16:13:10.000 [1, -1] -0.620000 19728 VIX _ROLL_PSEUDO_STRATEGY [20260100, 20260200] 2025-11-14 15:58:57.000 [1, -1] -0.610000 19715 WHEAT caleb_strategy_v3 [20261200] 2025-11-14 15:40:16.000 [1] 604.750000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19699 NIKKEI caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 03:01:15.066000 2025-11-14 03:01:15 97275.066 NaN 19703 GOLD_micro caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 14:00:57.846000 2025-11-14 14:00:57 136857.846 NaN 19704 SP500_micro caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:00:01.522000 2025-11-14 15:00:01 140401.522 NaN 19708 US5 caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:10:39.430000 2025-11-14 15:14:14 141039.43 214.57 19712 LIVECOW caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:35:00.134000 2025-11-14 15:35:00 142500.134 NaN 19714 LEANHOG caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:35:01.738000 2025-11-14 15:40:14 142501.738 312.262 19715 WHEAT caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:40:15.402000 2025-11-14 15:40:16 142815.402 0.598 19713 NASDAQ_micro caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:35:00.593000 2025-11-14 15:35:00 142500.593 NaN 19707 NASDAQ_micro caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:10:38.223000 2025-11-14 15:10:38 141038.223 NaN 19719 NASDAQ_micro caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:46:50.645000 2025-11-14 15:46:50 143210.645 NaN 19716 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:40:17.237000 2025-11-14 15:40:18 70817.237 0.763 19720 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:46:51.321000 2025-11-14 15:46:52 71211.321 0.679 19721 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:46:56.472000 2025-11-14 15:46:57 71216.472 0.528 19722 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:47:56.550000 2025-11-14 15:47:57 71276.55 0.45 19723 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:48:56.630000 2025-11-14 15:49:17 71336.63 20.37 19724 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:49:56.642000 2025-11-14 15:50:29 71396.642 32.358 19725 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:50:56.712000 2025-11-14 15:50:57 71456.712 0.288 19726 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:51:57.193000 2025-11-14 15:52:29 71517.193 31.807 19727 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:52:57.045000 2025-11-14 15:52:58 71577.045 0.955 19728 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:53:57.304000 2025-11-14 15:58:57 71637.304 299.696 19729 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:59:01.374000 2025-11-14 15:59:02 71941.374 0.626 19730 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:00:01.346000 2025-11-14 16:00:44 72001.346 42.654 19731 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:01:01.481000 2025-11-14 16:01:02 72061.481 0.519 19732 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:02:01.548000 2025-11-14 16:07:01 72121.548 299.452 19733 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:07:05.704000 2025-11-14 16:07:06 72425.704 0.296 19734 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:08:05.778000 2025-11-14 16:13:05 72485.778 299.222 19735 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:13:09.916000 2025-11-14 16:13:10 72789.916 0.084 19736 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:14:09.934000 2025-11-14 16:19:09 72849.934 299.066 19737 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:19:29.333000 2025-11-14 16:19:30 73169.333 0.667 19738 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 16:20:29.485000 2025-11-14 16:22:20 73229.485 110.515 19709 VIX _ROLL_PSEUDO_STRATEGY 2025-11-13 20:00:00 2025-11-14 15:14:16.867000 2025-11-14 15:14:39 69256.867 22.133 19700 DAX caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 08:00:27.586000 2025-11-14 08:01:07 115227.586 39.414 19701 DAX caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 08:01:27.237000 2025-11-14 19:45:29.066000 115287.237 42241.829 19702 DAX caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 08:11:30.656000 2025-11-14 08:11:30 115890.656 NaN 19705 GBP caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:00:02.934000 2025-11-14 19:45:29.143000 140402.934 17126.209 19717 GBP caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:40:21.917000 2025-11-14 15:46:49 142821.917 387.083 19710 GBP caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:14:58.469000 2025-11-14 19:45:29.222000 141298.469 16230.753 19706 RUSSELL caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:10:04.130000 2025-11-14 15:10:37 141004.13 32.87 19718 RUSSELL caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:46:50.186000 2025-11-14 15:46:50 143210.186 NaN 19711 RUSSELL caleb_strategy_v3 2025-11-13 00:00:00 2025-11-14 15:24:58.929000 2025-11-14 19:45:29.301000 141898.929 15630.372 =========================================================================================================================================================================================================================================== 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 19699 NIKKEI caleb_strategy_v3 [1] 50140.0 None 50437.5 50440.0 50435.0 50435.0 50435.0 -297.5 -2.5 5.0 0.0 NaN 2.5 19703 GOLD_micro caleb_strategy_v3 [-1] 4204.8 None 4081.25 4081.0 4081.5 4081.5 4082.7 -123.55 -0.25 1.7 1.2 NaN 1.45 19704 SP500_micro caleb_strategy_v3 [-1] 6757.0 None 6716.625 6716.5 6716.75 6716.75 6725.0 -40.375 -0.125 8.5 8.25 NaN 8.375 19708 US5 caleb_strategy_v3 [-1] 109.242188 None 109.292969 109.289062 109.296875 109.296875 109.296875 0.050781 -0.003906 0.007812 -0.0 NaN 0.003906 19712 LIVECOW caleb_strategy_v3 [-1] 218.625 None 218.9875 218.95 219.025 219.025 219.575 0.3625 -0.0375 0.625 0.55 NaN 0.5875 19714 LEANHOG caleb_strategy_v3 [1] 78.925 None 79.5875 79.6 79.575 79.575 79.975 -0.6625 -0.0125 -0.375 -0.4 NaN -0.3875 19715 WHEAT caleb_strategy_v3 [1] 604.5 None 605.0 605.25 604.75 604.75 604.75 -0.5 -0.25 0.5 0.0 NaN 0.25 19713 NASDAQ_micro caleb_strategy_v3 [-1] 25054.25 None 24934.875 24934.5 24935.25 24935.25 25006.25 -119.375 -0.375 71.75 71.0 NaN 71.375 19707 NASDAQ_micro caleb_strategy_v3 [-1] 25054.25 None 24934.875 24934.5 24935.25 24935.25 24958.0 -119.375 -0.375 23.5 22.75 NaN 23.125 19719 NASDAQ_micro caleb_strategy_v3 [-1] 25054.25 None 24934.875 24934.5 24935.25 24935.25 25156.25 -119.375 -0.375 221.75 221.0 NaN 221.375 19716 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.225 -0.45 0.0 0.0 -0.57 -0.275 0.225 0.12 0.57 NaN 0.345 19720 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.61 0.1 -0.05 0.06 -0.04 NaN 0.01 19721 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.25 -0.5 0.0 0.0 -0.61 -0.25 0.25 0.11 0.61 NaN 0.36 19722 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.62 0.05 -0.05 0.12 0.02 NaN 0.07 19723 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.61 0.05 -0.05 0.11 0.01 NaN 0.06 19724 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.61 0.1 -0.05 0.06 -0.04 NaN 0.01 19725 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.25 -0.5 0.0 0.0 -0.61 -0.25 0.25 0.11 0.61 NaN 0.36 19726 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.61 0.1 -0.05 0.06 -0.04 NaN 0.01 19727 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.25 -0.5 0.0 0.0 -0.61 -0.25 0.25 0.11 0.61 NaN 0.36 19728 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.61 0.1 -0.05 0.06 -0.04 NaN 0.01 19729 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.275 -0.55 0.0 0.0 -0.61 -0.225 0.275 0.06 0.61 NaN 0.335 19730 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.625 -0.55 -0.7 -0.7 -0.61 0.125 -0.075 0.06 -0.09 NaN -0.015 19731 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.275 -0.55 0.0 0.0 -0.61 -0.225 0.275 0.06 0.61 NaN 0.335 19732 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.6 0.1 -0.05 0.05 -0.05 NaN -0.0 19733 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.275 -0.55 0.0 0.0 -0.6 -0.225 0.275 0.05 0.6 NaN 0.325 19734 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.61 0.1 -0.05 0.06 -0.04 NaN 0.01 19735 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.275 -0.55 0.0 0.0 -0.62 -0.225 0.275 0.07 0.62 NaN 0.345 19736 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.63 0.1 -0.05 0.08 -0.02 NaN 0.03 19737 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.3 -0.6 0.0 0.0 -0.63 -0.2 0.3 0.03 0.63 NaN 0.33 19738 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.6 -0.55 -0.65 -0.65 -0.65 0.1 -0.05 0.1 0.0 NaN 0.05 19709 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.51 0.05 -0.05 0.01 -0.09 NaN -0.04 19700 DAX caleb_strategy_v3 [1] 24032.0 None 24066.5 24068.0 24065.0 24065.0 24065.0 -34.5 -1.5 3.0 0.0 NaN 1.5 19701 DAX caleb_strategy_v3 [1] 24032.0 None 12034.0 24068.0 0.0 0.0 NaN 11998.0 -12034.0 NaN NaN NaN NaN 19702 DAX caleb_strategy_v3 [1] 24032.0 None 24068.5 24070.0 24067.0 24067.0 23988.0 -36.5 -1.5 82.0 79.0 NaN 80.5 19705 GBP caleb_strategy_v3 [-1] 1.319 None 1.31665 1.3166 1.3167 1.3167 NaN -0.00235 -0.00005 NaN NaN NaN NaN 19717 GBP caleb_strategy_v3 [-1] 1.319 None 1.31485 1.3148 1.3149 1.3149 1.3132 -0.00415 -0.00005 -0.0016 -0.0017 NaN -0.00165 19710 GBP caleb_strategy_v3 [-1] 1.319 None 0.6579 1.3158 0.0 0.0 NaN -0.6611 0.6579 NaN NaN NaN NaN 19706 RUSSELL caleb_strategy_v3 [-1] 2388.3 None 2385.2 2385.1 2385.3 2385.3 2381.8 -3.1 -0.1 -3.3 -3.5 NaN -3.4 19718 RUSSELL caleb_strategy_v3 [-1] 2388.3 None 2378.25 2378.2 2378.3 2378.3 2394.9 -10.05 -0.05 16.7 16.6 NaN 16.65 19711 RUSSELL caleb_strategy_v3 [-1] 2388.3 None 1190.9 2381.8 0.0 0.0 NaN -1197.4 1190.9 NaN NaN NaN NaN ========================================================================================================================================================================== 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 19699 NIKKEI caleb_strategy_v3 [1] 11279.787298 -263.746108 -2.216354 4.432708 0.0 NaN 2.216354 19703 GOLD_micro caleb_strategy_v3 [-1] 924.26119 -1336.74335 -2.704863 18.393069 12.983343 NaN 15.688206 19704 SP500_micro caleb_strategy_v3 [-1] 914.334122 -441.578183 -1.367115 92.963828 90.229598 NaN 91.596713 19708 US5 caleb_strategy_v3 [-1] 3.320117 152.950162 -11.765397 23.530794 -0.0 NaN 11.765397 19712 LIVECOW caleb_strategy_v3 [-1] 51.986947 69.729041 -7.213349 120.222485 105.795787 NaN 113.009136 19714 LEANHOG caleb_strategy_v3 [1] 18.755104 -353.23718 -6.664852 -199.945574 -213.275278 NaN -206.610426 19715 WHEAT caleb_strategy_v3 [1] 110.812206 -45.121383 -22.560692 45.121383 0.0 NaN 22.560692 19713 NASDAQ_micro caleb_strategy_v3 [-1] 4504.536098 -265.010641 -0.832494 159.283883 157.618894 NaN 158.451389 19707 NASDAQ_micro caleb_strategy_v3 [-1] 4504.536098 -265.010641 -0.832494 52.169634 50.504646 NaN 51.33714 19719 NASDAQ_micro caleb_strategy_v3 [-1] 4504.536098 -265.010641 -0.832494 492.281547 490.616559 NaN 491.449053 19716 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -369.010735 301.917874 161.022866 764.858614 NaN 462.94074 19720 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 80.511433 -53.674289 NaN 13.418572 19721 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -335.464305 335.464305 147.604294 818.532903 NaN 483.068599 19722 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 67.092861 -67.092861 161.022866 26.837144 NaN 93.930005 19723 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 67.092861 -67.092861 147.604294 13.418572 NaN 80.511433 19724 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 80.511433 -53.674289 NaN 13.418572 19725 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -335.464305 335.464305 147.604294 818.532903 NaN 483.068599 19726 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 80.511433 -53.674289 NaN 13.418572 19727 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -335.464305 335.464305 147.604294 818.532903 NaN 483.068599 19728 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 80.511433 -53.674289 NaN 13.418572 19729 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -301.917874 369.010735 80.511433 818.532903 NaN 449.522168 19730 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 167.732152 -100.639291 80.511433 -120.76715 NaN -20.127858 19731 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -301.917874 369.010735 80.511433 818.532903 NaN 449.522168 19732 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 67.092861 -67.092861 NaN -0.0 19733 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -301.917874 369.010735 67.092861 805.114331 NaN 436.103596 19734 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 80.511433 -53.674289 NaN 13.418572 19735 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -301.917874 369.010735 93.930005 831.951475 NaN 462.94074 19736 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 107.348577 -26.837144 NaN 40.255717 19737 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 -268.371444 402.557165 40.255717 845.370048 NaN 442.812882 19738 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 134.185722 -67.092861 134.185722 0.0 NaN 67.092861 19709 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 7.452358 67.092861 -67.092861 13.418572 -120.76715 NaN -53.674289 19700 DAX caleb_strategy_v3 [1] 3393.798188 -101.656015 -4.419827 8.839653 0.0 NaN 4.419827 19701 DAX caleb_strategy_v3 [1] 3393.798188 35352.720857 -35458.796699 NaN NaN NaN NaN 19702 DAX caleb_strategy_v3 [1] 3393.798188 -107.549117 -4.419827 241.617195 232.777542 NaN 237.197369 19705 GBP caleb_strategy_v3 [-1] 0.081136 -289.637304 -6.162496 NaN NaN NaN NaN 19717 GBP caleb_strategy_v3 [-1] 0.081136 -511.487153 -6.162496 -197.199866 -209.524858 NaN -203.362362 19710 GBP caleb_strategy_v3 [-1] 0.081136 -81480.51974 81086.120008 NaN NaN NaN NaN 19706 RUSSELL caleb_strategy_v3 [-1] 513.631003 -60.354612 -1.946923 -64.248458 -68.142304 NaN -66.195381 19718 RUSSELL caleb_strategy_v3 [-1] 513.631003 -195.665759 -0.973461 325.136137 323.189214 NaN 324.162675 19711 RUSSELL caleb_strategy_v3 [-1] 513.631003 -23312.455712 23185.905719 NaN NaN NaN NaN ================================================================================================================================================================================= 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 19699 NIKKEI caleb_strategy_v3 [1] 0.646983 -192.477525 -1.617458 3.234916 0.0 NaN 1.617458 19703 GOLD_micro caleb_strategy_v3 [-1] 10.0 -1235.5 -2.5 17.0 12.0 NaN 14.5 19704 SP500_micro caleb_strategy_v3 [-1] 5.0 -201.875 -0.625 42.5 41.25 NaN 41.875 19708 US5 caleb_strategy_v3 [-1] 1000.0 50.78125 -3.90625 7.8125 -0.0 NaN 3.90625 19712 LIVECOW caleb_strategy_v3 [-1] 400.0 145.0 -15.0 250.0 220.0 NaN 235.0 19714 LEANHOG caleb_strategy_v3 [1] 400.0 -265.0 -5.0 -150.0 -160.0 NaN -155.0 19715 WHEAT caleb_strategy_v3 [1] 50.0 -25.0 -12.5 25.0 0.0 NaN 12.5 19713 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -238.75 -0.75 143.5 142.0 NaN 142.75 19707 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -238.75 -0.75 47.0 45.5 NaN 46.25 19719 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -238.75 -0.75 443.5 442.0 NaN 442.75 19716 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -275.0 225.0 120.0 570.0 NaN 345.0 19720 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 60.0 -40.0 NaN 10.0 19721 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -250.0 250.0 110.0 610.0 NaN 360.0 19722 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 120.0 20.0 NaN 70.0 19723 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 110.0 10.0 NaN 60.0 19724 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 60.0 -40.0 NaN 10.0 19725 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -250.0 250.0 110.0 610.0 NaN 360.0 19726 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 60.0 -40.0 NaN 10.0 19727 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -250.0 250.0 110.0 610.0 NaN 360.0 19728 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 60.0 -40.0 NaN 10.0 19729 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -225.0 275.0 60.0 610.0 NaN 335.0 19730 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 125.0 -75.0 60.0 -90.0 NaN -15.0 19731 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -225.0 275.0 60.0 610.0 NaN 335.0 19732 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 50.0 -50.0 NaN -0.0 19733 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -225.0 275.0 50.0 600.0 NaN 325.0 19734 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 60.0 -40.0 NaN 10.0 19735 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -225.0 275.0 70.0 620.0 NaN 345.0 19736 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 80.0 -20.0 NaN 30.0 19737 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -200.0 300.0 30.0 630.0 NaN 330.0 19738 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 100.0 -50.0 100.0 0.0 NaN 50.0 19709 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 10.0 -90.0 NaN -40.0 19700 DAX caleb_strategy_v3 [1] 1.16389 -40.154205 -1.745835 3.49167 0.0 NaN 1.745835 19701 DAX caleb_strategy_v3 [1] 1.16389 13964.35222 -14006.25226 NaN NaN NaN NaN 19702 DAX caleb_strategy_v3 [1] 1.16389 -42.481985 -1.745835 95.43898 91.94731 NaN 93.693145 19705 GBP caleb_strategy_v3 [-1] 62500.0 -146.875 -3.125 NaN NaN NaN NaN 19717 GBP caleb_strategy_v3 [-1] 62500.0 -259.375 -3.125 -100.0 -106.25 NaN -103.125 19710 GBP caleb_strategy_v3 [-1] 62500.0 -41318.75 41118.75 NaN NaN NaN NaN 19706 RUSSELL caleb_strategy_v3 [-1] 5.0 -15.5 -0.5 -16.5 -17.5 NaN -17.0 19718 RUSSELL caleb_strategy_v3 [-1] 5.0 -50.25 -0.25 83.5 83.0 NaN 83.25 19711 RUSSELL caleb_strategy_v3 [-1] 5.0 -5987.0 5954.5 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1050.0 caleb_strategy_v3 DAX 13881.71603 GBP -41725.0 GOLD_micro -1235.5 LEANHOG -265.0 LIVECOW 145.0 NASDAQ_micro -716.25 NIKKEI -192.477525 RUSSELL -6052.75 SP500_micro -201.875 US5 50.78125 WHEAT -25.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1050.0 caleb_strategy_v3 -36336.355245 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 1750.0 caleb_strategy_v3 DAX -14009.74393 GBP 41112.5 GOLD_micro -2.5 LEANHOG -5.0 LIVECOW -15.0 NASDAQ_micro -2.25 NIKKEI -1.617458 RUSSELL 5953.75 SP500_micro -0.625 US5 -3.90625 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 1750.0 caleb_strategy_v3 33013.107362 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 1550.0 caleb_strategy_v3 DAX 98.93065 GBP -100.0 GOLD_micro 17.0 LEANHOG -150.0 LIVECOW 250.0 NASDAQ_micro 634.0 NIKKEI 3.234916 RUSSELL 67.0 SP500_micro 42.5 US5 7.8125 WHEAT 25.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1550.0 caleb_strategy_v3 895.478066 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 5050.0 caleb_strategy_v3 DAX 91.94731 GBP -106.25 GOLD_micro 12.0 LEANHOG -160.0 LIVECOW 220.0 NASDAQ_micro 629.5 NIKKEI 0.0 RUSSELL 65.5 SP500_micro 41.25 US5 -0.0 WHEAT 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 5050.0 caleb_strategy_v3 793.94731 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 DAX 0 GBP 0 GOLD_micro 0 LEANHOG 0 LIVECOW 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 0 SP500_micro 0 US5 0 WHEAT 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 3300.0 caleb_strategy_v3 DAX 95.43898 GBP -103.125 GOLD_micro 14.5 LEANHOG -155.0 LIVECOW 235.0 NASDAQ_micro 631.75 NIKKEI 1.617458 RUSSELL 66.25 SP500_micro 41.875 US5 3.90625 WHEAT 12.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 3300.0 caleb_strategy_v3 844.712688 ******************************************************************************** END OF REPORT ********************************************************************************