******************************************************************************** Trades report report produced on 25/11/2022 21:35 from 24/11/2022 21:35 to 25/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 316 BUND caleb_strategy_v1 [20221200] 2022-11-25 08:00:02 [-1] 141.490000 318 CAC caleb_strategy_v1 [20221200] 2022-11-25 08:00:05 [-1] 6704.000000 319 CAC caleb_strategy_v1 [20221200] 2022-11-25 08:00:07 [-1] 6703.500000 329 CAD caleb_strategy_v1 [20221200] 2022-11-25 15:00:51 [1] 0.747900 322 COPPER caleb_strategy_v1 [20221200] 2022-11-25 14:00:05 [-1] 3.638000 353 CORN caleb_strategy_v1 [20231200] 2022-11-25 15:30:26 [1] 611.750000 320 CRUDE_W caleb_strategy_v1 [20231200] 2022-11-25 14:00:02 [-1] 75.740000 317 DAX caleb_strategy_v1 [20221200] 2022-11-25 08:00:03 [1] 14564.000000 326 DOW caleb_strategy_v1 [20221200] 2022-11-25 15:00:46 [-1] 34336.000000 331 DOW caleb_strategy_v1 [20221200] 2022-11-25 15:00:54 [-1] 34337.000000 334 DOW caleb_strategy_v1 [20221200] 2022-11-25 15:00:59 [-1] 34337.000000 321 GAS_US caleb_strategy_v1 [20230200] 2022-11-25 14:00:03 [-1] 7.309000 330 GBP caleb_strategy_v1 [20221200] 2022-11-25 15:00:52 [1] 1.209100 352 LEANHOG caleb_strategy_v1 [20230200] 2022-11-25 15:30:10 [-1] 89.875000 313 NIKKEI caleb_strategy_v1 [20221200] 2022-11-25 03:01:50 [1] 28260.000000 315 NIKKEI caleb_strategy_v1 [20221200] 2022-11-25 03:04:45 [1] 28260.000000 314 NIKKEI caleb_strategy_v1 [20221200] 2022-11-25 03:04:35 [1] 28255.000000 340 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:12 [-1] 1870.500000 351 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:35 [-1] 1870.300000 350 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:33 [-1] 1870.300000 349 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:31 [-1] 1870.200000 348 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:28 [-1] 1870.100000 347 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:26 [-1] 1870.500000 346 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:25 [-1] 1870.100000 345 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:23 [-1] 1870.100000 344 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:20 [-1] 1870.200000 343 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:18 [-1] 1870.400000 342 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:16 [-1] 1870.400000 328 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:00:49 [-1] 1870.400000 339 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:10 [-1] 1870.400000 338 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:07 [-1] 1870.500000 337 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:06 [-1] 1870.300000 336 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:04 [-1] 1870.100000 335 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:02 [-1] 1870.500000 333 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:00:56 [-1] 1870.500000 341 RUSSELL caleb_strategy_v1 [20221200] 2022-11-25 15:01:14 [-1] 1870.500000 327 SP400 caleb_strategy_v1 [20221200] 2022-11-25 15:00:48 [1] 2559.800000 332 SP400 caleb_strategy_v1 [20221200] 2022-11-25 15:00:55 [1] 2559.900000 324 US20 caleb_strategy_v1 [20230300] 2022-11-25 15:00:24 [-1] 127.156250 323 US30 caleb_strategy_v1 [20230300] 2022-11-25 15:00:02 [1] 137.250000 325 US5 caleb_strategy_v1 [20221200] 2022-11-25 15:00:45 [1] 107.742188 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 313 NIKKEI caleb_strategy_v1 2022-11-23 2022-11-25 03:00:17.242 2022-11-25 03:01:50 183617 92.758 314 NIKKEI caleb_strategy_v1 2022-11-23 2022-11-25 03:04:12.103 2022-11-25 03:04:35 183852 22.897 315 NIKKEI caleb_strategy_v1 2022-11-23 2022-11-25 03:04:36.923 2022-11-25 03:04:45 183877 8.077 316 BUND caleb_strategy_v1 2022-11-23 2022-11-25 08:00:02.146 2022-11-25 08:00:02 201602 NaN 317 DAX caleb_strategy_v1 2022-11-23 2022-11-25 08:00:03.374 2022-11-25 08:00:03 201603 NaN 318 CAC caleb_strategy_v1 2022-11-23 2022-11-25 08:00:04.802 2022-11-25 08:00:05 201605 0.198 319 CAC caleb_strategy_v1 2022-11-23 2022-11-25 08:00:06.608 2022-11-25 08:00:07 201607 0.392 320 CRUDE_W caleb_strategy_v1 2022-11-22 2022-11-25 14:00:01.499 2022-11-25 14:00:02 309601 0.501 321 GAS_US caleb_strategy_v1 2022-11-23 2022-11-25 14:00:03.478 2022-11-25 14:00:03 223203 NaN 322 COPPER caleb_strategy_v1 2022-11-23 2022-11-25 14:00:04.442 2022-11-25 14:00:05 223204 0.558 323 US30 caleb_strategy_v1 2022-11-23 2022-11-25 15:00:00.514 2022-11-25 15:00:02 226801 1.486 324 US20 caleb_strategy_v1 2022-11-23 2022-11-25 15:00:03.832 2022-11-25 15:00:24 226804 20.168 325 US5 caleb_strategy_v1 2022-11-23 2022-11-25 15:00:25.137 2022-11-25 15:00:45 226825 19.863 329 CAD caleb_strategy_v1 2022-11-23 2022-11-25 15:00:50.354 2022-11-25 15:00:51 226850 0.646 330 GBP caleb_strategy_v1 2022-11-23 2022-11-25 15:00:52.066 2022-11-25 15:00:52 226852 NaN 332 SP400 caleb_strategy_v1 2022-11-23 2022-11-25 15:00:55.270 2022-11-25 15:00:55 226855 NaN 327 SP400 caleb_strategy_v1 2022-11-23 2022-11-25 15:00:46.993 2022-11-25 15:00:48 226847 1.007 334 DOW caleb_strategy_v1 2022-11-23 2022-11-25 15:00:57.640 2022-11-25 15:00:59 226858 1.36 331 DOW caleb_strategy_v1 2022-11-23 2022-11-25 15:00:54.143 2022-11-25 15:00:54 226854 NaN 326 DOW caleb_strategy_v1 2022-11-23 2022-11-25 15:00:46.045 2022-11-25 15:00:46 226846 NaN 328 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:00:48.846 2022-11-25 15:00:49 226849 0.154 333 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:00:56.005 2022-11-25 15:00:56 226856 NaN 335 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:00:59.919 2022-11-25 15:01:02 226860 2.081 336 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:04.148 2022-11-25 15:01:04 226864 NaN 337 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:05.797 2022-11-25 15:01:06 226866 0.203 338 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:07.540 2022-11-25 15:01:07 226868 NaN 339 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:09.440 2022-11-25 15:01:10 226869 0.56 340 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:12.318 2022-11-25 15:01:12 226872 NaN 341 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:13.888 2022-11-25 15:01:14 226874 0.112 342 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:16.349 2022-11-25 15:01:16 226876 NaN 343 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:18.497 2022-11-25 15:01:18 226878 NaN 344 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:19.904 2022-11-25 15:01:20 226880 0.096 345 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:22.526 2022-11-25 15:01:23 226883 0.474 346 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:24.938 2022-11-25 15:01:25 226885 0.062 347 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:26.667 2022-11-25 15:01:26 226887 NaN 348 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:28.244 2022-11-25 15:01:28 226888 NaN 349 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:30.132 2022-11-25 15:01:31 226890 0.868 350 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:32.638 2022-11-25 15:01:33 226893 0.362 351 RUSSELL caleb_strategy_v1 2022-11-23 2022-11-25 15:01:35.252 2022-11-25 15:01:35 226895 NaN 352 LEANHOG caleb_strategy_v1 2022-11-23 2022-11-25 15:30:00.714 2022-11-25 15:30:10 228601 9.286 353 CORN caleb_strategy_v1 2022-11-23 2022-11-25 15:30:11.526 2022-11-25 15:30:26 228612 14.474 ======================================================================================================================================================================================================================================= 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 order_id 313 NIKKEI caleb_strategy_v1 [1] 28365 None 28262.5 28265 28260 28260 28260 102.5 -2.5 5 0 NaN 2.5 314 NIKKEI caleb_strategy_v1 [1] 28365 None 28257.5 28260 28255 28255 28255 107.5 -2.5 5 0 NaN 2.5 315 NIKKEI caleb_strategy_v1 [1] 28365 None 28252.5 28255 28250 28250 28260 112.5 -2.5 -5 -10 NaN -7.5 316 BUND caleb_strategy_v1 [-1] 141.13 None 141.485 141.48 141.49 141.49 141.49 0.355 -0.005 0.01 -0 NaN 0.005 317 DAX caleb_strategy_v1 [1] 14437 None 14564 14565 14563 14563 14564 -127 -1 1 -1 NaN 0 318 CAC caleb_strategy_v1 [-1] 6676 None 6703.25 6702.5 6704 6704 6704 27.25 -0.75 1.5 -0 NaN 0.75 319 CAC caleb_strategy_v1 [-1] 6676 None 6703.5 6703 6704 6704 6703.5 27.5 -0.5 0.5 -0.5 NaN 0 320 CRUDE_W caleb_strategy_v1 [-1] 76.42 None 75.765 75.75 75.78 75.78 75.74 -0.655 -0.015 -0.01 -0.04 NaN -0.025 321 GAS_US caleb_strategy_v1 [-1] 7.473 None 7.3035 7.301 7.306 7.306 7.309 -0.1695 -0.0025 0.008 0.003 NaN 0.0055 322 COPPER caleb_strategy_v1 [-1] 3.648 None 3.6385 3.638 3.639 3.639 3.638 -0.0095 -0.0005 -0 -0.001 NaN -0.0005 323 US30 caleb_strategy_v1 [1] 137.875 None 137.266 137.281 137.25 137.25 137.25 0.609375 -0.015625 0.03125 0 NaN 0.015625 324 US20 caleb_strategy_v1 [-1] 127.469 None 127.141 127.125 127.156 127.156 127.156 -0.328125 -0.015625 0.03125 -0 NaN 0.015625 325 US5 caleb_strategy_v1 [1] 107.828 None 107.746 107.75 107.742 107.742 107.742 0.0820312 -0.00390625 0.007812 -5e-07 NaN 0.00390575 329 CAD caleb_strategy_v1 [1] 0.74865 None 0.747825 0.74785 0.7478 0.7478 0.7479 0.000825 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 330 GBP caleb_strategy_v1 [1] 1.2074 None 1.20905 1.2091 1.209 1.209 1.2091 -0.00165 -5e-05 0 -0.0001 NaN -5e-05 332 SP400 caleb_strategy_v1 [1] 2552.8 None 2559.6 2559.8 2559.4 2559.4 2559.9 -6.8 -0.2 -0.1 -0.5 NaN -0.3 327 SP400 caleb_strategy_v1 [1] 2552.8 None 2559.5 2559.7 2559.3 2559.3 2559.8 -6.7 -0.2 -0.1 -0.5 NaN -0.3 334 DOW caleb_strategy_v1 [-1] 34192 None 34338 34337 34339 34339 34337 146 -1 -0 -2 NaN -1 331 DOW caleb_strategy_v1 [-1] 34192 None 34337.5 34336 34339 34339 34337 145.5 -1.5 1 -2 NaN -0.5 326 DOW caleb_strategy_v1 [-1] 34192 None 34335.5 34335 34336 34336 34336 143.5 -0.5 1 -0 NaN 0.5 328 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.35 1870.3 1870.4 1870.4 1870.4 4.75 -0.05 0.1 -0 NaN 0.05 333 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.45 1870.4 1870.5 1870.5 1870.5 4.85 -0.05 0.1 -0 NaN 0.05 335 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.55 1870.5 1870.6 1870.6 1870.5 4.95 -0.05 -0 -0.1 NaN -0.05 336 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.45 1870.4 1870.5 1870.5 1870.1 4.85 -0.05 -0.3 -0.4 NaN -0.35 337 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.25 1870.2 1870.3 1870.3 1870.3 4.65 -0.05 0.1 -2.27374e-13 NaN 0.05 338 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.65 1870.6 1870.7 1870.7 1870.5 5.05 -0.05 -0.1 -0.2 NaN -0.15 339 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.3 1870.2 1870.4 1870.4 1870.4 4.7 -0.1 0.2 -0 NaN 0.1 340 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.45 1870.4 1870.5 NaN 1870.5 4.85 -0.05 0.1 NaN NaN 0.05 341 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.6 1870.5 1870.7 1870.7 1870.5 5 -0.1 -0 -0.2 NaN -0.1 342 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.35 1870.3 1870.4 1870.4 1870.4 4.75 -0.05 0.1 -0 NaN 0.05 343 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.3 1870.2 1870.4 1870.4 1870.4 4.7 -0.1 0.2 -0 NaN 0.1 344 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.25 1870.2 1870.3 1870.3 1870.2 4.65 -0.05 -0 -0.1 NaN -0.05 345 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.2 1870.1 1870.3 1870.3 1870.1 4.6 -0.1 -0 -0.2 NaN -0.1 346 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.05 1870 1870.1 1870.1 1870.1 4.45 -0.05 0.1 -2.27374e-13 NaN 0.05 347 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.45 1870.4 1870.5 1870.5 1870.5 4.85 -0.05 0.1 -0 NaN 0.05 348 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.25 1870.2 1870.3 1870.3 1870.1 4.65 -0.05 -0.1 -0.2 NaN -0.15 349 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.25 1870.2 1870.3 1870.3 1870.2 4.65 -0.05 -0 -0.1 NaN -0.05 350 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.45 1870.4 1870.5 1870.5 1870.3 4.85 -0.05 -0.1 -0.2 NaN -0.15 351 RUSSELL caleb_strategy_v1 [-1] 1865.6 None 1870.25 1870.2 1870.3 1870.3 1870.3 4.65 -0.05 0.1 -2.27374e-13 NaN 0.05 352 LEANHOG caleb_strategy_v1 [-1] 89.075 None 89.85 89.825 89.875 89.875 89.875 0.775 -0.025 0.05 -0 NaN 0.025 353 CORN caleb_strategy_v1 [1] 605.75 None 611.875 612 611.75 611.75 611.75 -6.125 -0.125 0.25 0 NaN 0.125 ================================================================================================================================================================ 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 order_id 313 NIKKEI caleb_strategy_v1 [1] 4450.69 230.302 -5.61711 11.2342 0 NaN 5.61711 314 NIKKEI caleb_strategy_v1 [1] 4450.69 241.536 -5.61711 11.2342 0 NaN 5.61711 315 NIKKEI caleb_strategy_v1 [1] 4450.69 252.77 -5.61711 -11.2342 -22.4685 NaN -16.8513 316 BUND caleb_strategy_v1 [-1] 14.8375 239.259 -3.36985 6.73969 -0 NaN 3.36985 317 DAX caleb_strategy_v1 [1] 2352.93 -539.752 -4.25002 4.25002 -4.25002 NaN 0 318 CAC caleb_strategy_v1 [-1] 1025.05 265.84 -7.31671 14.6334 -0 NaN 7.31671 319 CAC caleb_strategy_v1 [-1] 1025.05 268.279 -4.87781 4.87781 -4.87781 NaN 0 320 CRUDE_W caleb_strategy_v1 [-1] 25.1667 -260.265 -5.96026 -3.97351 -15.894 NaN -9.93377 321 GAS_US caleb_strategy_v1 [-1] 4.16875 -406.597 -5.997 19.1904 7.1964 NaN 13.1934 322 COPPER caleb_strategy_v1 [-1] 1.23706 -76.7953 -4.04186 -0 -8.08371 NaN -4.04186 323 US30 caleb_strategy_v1 [1] 27.351 222.798 -5.71276 11.4255 0 NaN 5.71276 324 US20 caleb_strategy_v1 [-1] 18.2475 -179.82 -8.56283 17.1257 -0 NaN 8.56283 325 US5 caleb_strategy_v1 [1] 5.99024 136.941 -6.52102 13.0412 -0.00083469 NaN 6.52018 329 CAD caleb_strategy_v1 [1] 0.0673756 122.448 -3.71054 -7.42109 -14.8422 NaN -11.1316 330 GBP caleb_strategy_v1 [1] 0.180419 -91.4538 -2.77133 0 -5.54266 NaN -2.77133 332 SP400 caleb_strategy_v1 [1] 631.15 -107.74 -3.16882 -1.58441 -7.92204 NaN -4.75323 327 SP400 caleb_strategy_v1 [1] 631.15 -106.155 -3.16882 -1.58441 -7.92204 NaN -4.75323 334 DOW caleb_strategy_v1 [-1] 6117.33 238.666 -1.6347 -0 -3.2694 NaN -1.6347 331 DOW caleb_strategy_v1 [-1] 6117.33 237.849 -2.45205 1.6347 -3.2694 NaN -0.81735 326 DOW caleb_strategy_v1 [-1] 6117.33 234.58 -0.81735 1.6347 -0 NaN 0.81735 328 RUSSELL caleb_strategy_v1 [-1] 525.793 90.3398 -0.950945 1.90189 -0 NaN 0.950945 333 RUSSELL caleb_strategy_v1 [-1] 525.793 92.2416 -0.950945 1.90189 -0 NaN 0.950945 335 RUSSELL caleb_strategy_v1 [-1] 525.793 94.1435 -0.950945 -0 -1.90189 NaN -0.950945 336 RUSSELL caleb_strategy_v1 [-1] 525.793 92.2416 -0.950945 -5.70567 -7.60756 NaN -6.65661 337 RUSSELL caleb_strategy_v1 [-1] 525.793 88.4379 -0.950945 1.90189 -4.3244e-12 NaN 0.950945 338 RUSSELL caleb_strategy_v1 [-1] 525.793 96.0454 -0.950945 -1.90189 -3.80378 NaN -2.85283 339 RUSSELL caleb_strategy_v1 [-1] 525.793 89.3888 -1.90189 3.80378 -0 NaN 1.90189 340 RUSSELL caleb_strategy_v1 [-1] 525.793 92.2416 -0.950945 1.90189 NaN NaN 0.950945 341 RUSSELL caleb_strategy_v1 [-1] 525.793 95.0945 -1.90189 -0 -3.80378 NaN -1.90189 342 RUSSELL caleb_strategy_v1 [-1] 525.793 90.3398 -0.950945 1.90189 -0 NaN 0.950945 343 RUSSELL caleb_strategy_v1 [-1] 525.793 89.3888 -1.90189 3.80378 -0 NaN 1.90189 344 RUSSELL caleb_strategy_v1 [-1] 525.793 88.4379 -0.950945 -0 -1.90189 NaN -0.950945 345 RUSSELL caleb_strategy_v1 [-1] 525.793 87.4869 -1.90189 -0 -3.80378 NaN -1.90189 346 RUSSELL caleb_strategy_v1 [-1] 525.793 84.6341 -0.950945 1.90189 -4.3244e-12 NaN 0.950945 347 RUSSELL caleb_strategy_v1 [-1] 525.793 92.2416 -0.950945 1.90189 -0 NaN 0.950945 348 RUSSELL caleb_strategy_v1 [-1] 525.793 88.4379 -0.950945 -1.90189 -3.80378 NaN -2.85283 349 RUSSELL caleb_strategy_v1 [-1] 525.793 88.4379 -0.950945 -0 -1.90189 NaN -0.950945 350 RUSSELL caleb_strategy_v1 [-1] 525.793 92.2416 -0.950945 -1.90189 -3.80378 NaN -2.85283 351 RUSSELL caleb_strategy_v1 [-1] 525.793 88.4379 -0.950945 1.90189 -4.3244e-12 NaN 0.950945 352 LEANHOG caleb_strategy_v1 [-1] 20.843 371.827 -11.9944 23.9889 -0 NaN 11.9944 353 CORN caleb_strategy_v1 [1] 92.0448 -665.437 -13.5803 27.1607 0 NaN 13.5803 =========================================================================================================================================================================== 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 order_id 313 NIKKEI caleb_strategy_v1 [1] 0.719127 73.7105 -1.79782 3.59563 0 NaN 1.79782 314 NIKKEI caleb_strategy_v1 [1] 0.719127 77.3062 -1.79782 3.59563 0 NaN 1.79782 315 NIKKEI caleb_strategy_v1 [1] 0.719127 80.9018 -1.79782 -3.59563 -7.19127 NaN -5.39345 316 BUND caleb_strategy_v1 [-1] 1041.11 369.594 -5.20555 10.4111 -0 NaN 5.20555 317 DAX caleb_strategy_v1 [1] 1.04111 -132.221 -1.04111 1.04111 -1.04111 NaN 0 318 CAC caleb_strategy_v1 [-1] 10.4111 283.702 -7.80832 15.6166 -0 NaN 7.80832 319 CAC caleb_strategy_v1 [-1] 10.4111 286.305 -5.20555 5.20555 -5.20555 NaN 0 320 CRUDE_W caleb_strategy_v1 [-1] 1000 -655 -15 -10 -40 NaN -25 321 GAS_US caleb_strategy_v1 [-1] 10000 -1695 -25 80 30 NaN 55 322 COPPER caleb_strategy_v1 [-1] 25000 -237.5 -12.5 -0 -25 NaN -12.5 323 US30 caleb_strategy_v1 [1] 1000 609.375 -15.625 31.25 0 NaN 15.625 324 US20 caleb_strategy_v1 [-1] 1000 -328.125 -15.625 31.25 -0 NaN 15.625 325 US5 caleb_strategy_v1 [1] 1000 82.0312 -3.90625 7.812 -0.0005 NaN 3.90575 329 CAD caleb_strategy_v1 [1] 100000 82.5 -2.5 -5 -10 NaN -7.5 330 GBP caleb_strategy_v1 [1] 62500 -103.125 -3.125 0 -6.25 NaN -3.125 332 SP400 caleb_strategy_v1 [1] 100 -680 -20 -10 -50 NaN -30 327 SP400 caleb_strategy_v1 [1] 100 -670 -20 -10 -50 NaN -30 334 DOW caleb_strategy_v1 [-1] 0.5 73 -0.5 -0 -1 NaN -0.5 331 DOW caleb_strategy_v1 [-1] 0.5 72.75 -0.75 0.5 -1 NaN -0.25 326 DOW caleb_strategy_v1 [-1] 0.5 71.75 -0.25 0.5 -0 NaN 0.25 328 RUSSELL caleb_strategy_v1 [-1] 5 23.75 -0.25 0.5 -0 NaN 0.25 333 RUSSELL caleb_strategy_v1 [-1] 5 24.25 -0.25 0.5 -0 NaN 0.25 335 RUSSELL caleb_strategy_v1 [-1] 5 24.75 -0.25 -0 -0.5 NaN -0.25 336 RUSSELL caleb_strategy_v1 [-1] 5 24.25 -0.25 -1.5 -2 NaN -1.75 337 RUSSELL caleb_strategy_v1 [-1] 5 23.25 -0.25 0.5 -1.13687e-12 NaN 0.25 338 RUSSELL caleb_strategy_v1 [-1] 5 25.25 -0.25 -0.5 -1 NaN -0.75 339 RUSSELL caleb_strategy_v1 [-1] 5 23.5 -0.5 1 -0 NaN 0.5 340 RUSSELL caleb_strategy_v1 [-1] 5 24.25 -0.25 0.5 NaN NaN 0.25 341 RUSSELL caleb_strategy_v1 [-1] 5 25 -0.5 -0 -1 NaN -0.5 342 RUSSELL caleb_strategy_v1 [-1] 5 23.75 -0.25 0.5 -0 NaN 0.25 343 RUSSELL caleb_strategy_v1 [-1] 5 23.5 -0.5 1 -0 NaN 0.5 344 RUSSELL caleb_strategy_v1 [-1] 5 23.25 -0.25 -0 -0.5 NaN -0.25 345 RUSSELL caleb_strategy_v1 [-1] 5 23 -0.5 -0 -1 NaN -0.5 346 RUSSELL caleb_strategy_v1 [-1] 5 22.25 -0.25 0.5 -1.13687e-12 NaN 0.25 347 RUSSELL caleb_strategy_v1 [-1] 5 24.25 -0.25 0.5 -0 NaN 0.25 348 RUSSELL caleb_strategy_v1 [-1] 5 23.25 -0.25 -0.5 -1 NaN -0.75 349 RUSSELL caleb_strategy_v1 [-1] 5 23.25 -0.25 -0 -0.5 NaN -0.25 350 RUSSELL caleb_strategy_v1 [-1] 5 24.25 -0.25 -0.5 -1 NaN -0.75 351 RUSSELL caleb_strategy_v1 [-1] 5 23.25 -0.25 0.5 -1.13687e-12 NaN 0.25 352 LEANHOG caleb_strategy_v1 [-1] 400 310 -10 20 -0 NaN 10 353 CORN caleb_strategy_v1 [1] 50 -306.25 -6.25 12.5 0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 369.594050 CAC 570.007725 CAD 82.500000 COPPER -237.500000 CORN -306.250000 CRUDE_W -655.000000 DAX -132.220970 DOW 217.500000 GAS_US -1695.000000 GBP -103.125000 LEANHOG 310.000000 NIKKEI 231.918451 RUSSELL 452.250000 SP400 -1350.000000 US20 -328.125000 US30 609.375000 US5 82.031250 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1882.044494 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.205550 CAC -13.013875 CAD -2.500000 COPPER -12.500000 CORN -6.250000 CRUDE_W -15.000000 DAX -1.041110 DOW -1.500000 GAS_US -25.000000 GBP -3.125000 LEANHOG -10.000000 NIKKEI -5.393452 RUSSELL -5.750000 SP400 -40.000000 US20 -15.625000 US30 -15.625000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -181.435237 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 10.411100 CAC 20.822200 CAD -5.000000 COPPER -0.000000 CORN 12.500000 CRUDE_W -10.000000 DAX 1.041110 DOW 1.000000 GAS_US 80.000000 GBP 0.000000 LEANHOG 20.000000 NIKKEI 3.595635 RUSSELL 3.000000 SP400 -20.000000 US20 31.250000 US30 31.250000 US5 7.812000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 187.682045 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -0.00000 CAC -5.20555 CAD -10.00000 COPPER -25.00000 CORN 0.00000 CRUDE_W -40.00000 DAX -1.04111 DOW -2.00000 GAS_US 30.00000 GBP -6.25000 LEANHOG -0.00000 NIKKEI -7.19127 RUSSELL -8.50000 SP400 -100.00000 US20 -0.00000 US30 0.00000 US5 -0.00050 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -175.18843 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CAC 0 CAD 0 COPPER 0 CORN 0 CRUDE_W 0 DAX 0 DOW 0 GAS_US 0 GBP 0 LEANHOG 0 NIKKEI 0 RUSSELL 0 SP400 0 US20 0 US30 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v1 BUND 5.205550 CAC 7.808325 CAD -7.500000 COPPER -12.500000 CORN 6.250000 CRUDE_W -25.000000 DAX 0.000000 DOW -0.500000 GAS_US 55.000000 GBP -3.125000 LEANHOG 10.000000 NIKKEI -1.797817 RUSSELL -2.750000 SP400 -60.000000 US20 15.625000 US30 15.625000 US5 3.905750 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 6.246808 ******************************************************************************** END OF REPORT ********************************************************************************