******************************************************************************** Trades report report produced on 01/12/2022 21:35 from 30/11/2022 21:35 to 01/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 403 BOBL caleb_strategy_v1 [20230300] 2022-12-01 10:39:40 [-1] 119.520000 404 BTP caleb_strategy_v1 [20230300] 2022-12-01 10:39:56 [-1] 117.140000 406 BUND caleb_strategy_v1 [20230300] 2022-12-01 10:40:37 [-1] 141.480000 405 BUND caleb_strategy_v1 [20230300] 2022-12-01 10:40:16 [-1] 141.470000 402 BUXL caleb_strategy_v1 [20230300] 2022-12-01 08:00:06 [1] 159.020000 400 CAC caleb_strategy_v1 [20221200] 2022-12-01 08:00:03 [1] 6779.500000 436 CORN caleb_strategy_v1 [20231200] 2022-12-01 15:31:16 [-1] 605.250000 401 DAX caleb_strategy_v1 [20221200] 2022-12-01 08:00:04 [1] 14544.000000 416 DOW caleb_strategy_v1 [20221200] 2022-12-01 15:00:28 [1] 34520.000000 412 DOW caleb_strategy_v1 [20221200] 2022-12-01 15:00:16 [1] 34537.000000 408 GAS_US caleb_strategy_v1 [20230200] 2022-12-01 14:00:15 [1] 6.983000 434 LEANHOG caleb_strategy_v1 [20230200] 2022-12-01 15:31:02 [1] 85.850000 423 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:37 [1] 1899.600000 414 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:00:19 [1] 1900.300000 410 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:00:12 [1] 1900.300000 432 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:58 [1] 1901.000000 431 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:56 [1] 1901.100000 430 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:55 [1] 1900.800000 429 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:53 [1] 1900.600000 428 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:51 [1] 1900.500000 427 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:49 [1] 1899.800000 426 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:47 [1] 1899.400000 425 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:45 [1] 1899.000000 420 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:19 [1] 1898.000000 422 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:31 [1] 1899.300000 421 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:25 [1] 1898.500000 419 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:15 [1] 1898.300000 417 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:13 [1] 1897.900000 424 RUSSELL caleb_strategy_v1 [20221200] 2022-12-01 15:03:44 [1] 1899.300000 433 SOYBEAN caleb_strategy_v1 [20231100] 2022-12-01 15:30:11 [-1] 1389.750000 409 SP400 caleb_strategy_v1 [20221200] 2022-12-01 15:00:07 [-1] 2592.900000 407 SUGAR11 caleb_strategy_v1 [20230300] 2022-12-01 14:00:04 [1] 0.194500 413 US5 caleb_strategy_v1 [20230300] 2022-12-01 15:00:17 [1] 108.953125 415 VIX caleb_strategy_v1 [20230200] 2022-12-01 15:00:28 [-1] 25.350000 411 VIX caleb_strategy_v1 [20230200] 2022-12-01 15:00:15 [-1] 25.350000 418 VIX caleb_strategy_v1 [20230200] 2022-12-01 15:03:13 [-1] 25.300000 435 WHEAT caleb_strategy_v1 [20231200] 2022-12-01 15:31:16 [-1] 823.000000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 400 CAC caleb_strategy_v1 2022-11-29 2022-12-01 08:00:02.331 2022-12-01 08:00:03 201602 0.669 401 DAX caleb_strategy_v1 2022-11-29 2022-12-01 08:00:04.324 2022-12-01 08:00:04 201604 NaN 402 BUXL caleb_strategy_v1 2022-11-29 2022-12-01 08:00:06.255 2022-12-01 08:00:06 201606 NaN 403 BOBL caleb_strategy_v1 2022-11-29 2022-12-01 10:39:38.786 2022-12-01 10:39:40 211179 1.214 404 BTP caleb_strategy_v1 2022-11-29 2022-12-01 10:39:54.960 2022-12-01 10:39:56 211195 1.04 405 BUND caleb_strategy_v1 2022-11-29 2022-12-01 10:40:09.972 2022-12-01 10:40:16 211210 6.028 406 BUND caleb_strategy_v1 2022-11-29 2022-12-01 10:40:18.284 2022-12-01 10:40:37 211218 18.716 407 SUGAR11 caleb_strategy_v1 2022-11-29 2022-12-01 14:00:01.549 2022-12-01 14:00:04 223202 2.451 408 GAS_US caleb_strategy_v1 2022-11-29 2022-12-01 14:00:05.604 2022-12-01 14:00:15 223206 9.396 409 SP400 caleb_strategy_v1 2022-11-29 2022-12-01 15:00:00.609 2022-12-01 15:00:07 226801 6.391 413 US5 caleb_strategy_v1 2022-11-29 2022-12-01 15:00:16.845 2022-12-01 15:00:17 226817 0.155 416 DOW caleb_strategy_v1 2022-11-29 2022-12-01 15:00:28.591 2022-12-01 15:00:28 226829 NaN 412 DOW caleb_strategy_v1 2022-11-29 2022-12-01 15:00:15.883 2022-12-01 15:00:16 226816 0.117 418 VIX caleb_strategy_v1 2022-11-29 2022-12-01 15:03:13.562 2022-12-01 15:03:13 226994 NaN 411 VIX caleb_strategy_v1 2022-11-29 2022-12-01 15:00:13.839 2022-12-01 15:00:15 226814 1.161 415 VIX caleb_strategy_v1 2022-11-29 2022-12-01 15:00:20.571 2022-12-01 15:00:28 226821 7.429 417 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:12.984 2022-12-01 15:03:13 226993 0.016 419 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:15.297 2022-12-01 15:03:15 226995 NaN 420 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:19.090 2022-12-01 15:03:19 226999 NaN 421 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:25.083 2022-12-01 15:03:25 227005 NaN 422 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:31.017 2022-12-01 15:03:31 227011 NaN 423 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:37.200 2022-12-01 15:03:37 227017 NaN 424 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:43.122 2022-12-01 15:03:44 227023 0.878 425 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:45.620 2022-12-01 15:03:45 227026 NaN 426 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:47.327 2022-12-01 15:03:47 227027 NaN 427 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:49.033 2022-12-01 15:03:49 227029 NaN 428 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:51.112 2022-12-01 15:03:51 227031 NaN 429 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:52.836 2022-12-01 15:03:53 227033 0.164 430 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:54.932 2022-12-01 15:03:55 227035 0.068 431 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:56.339 2022-12-01 15:03:56 227036 NaN 432 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:03:57.990 2022-12-01 15:03:58 227038 0.01 410 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:00:07.995 2022-12-01 15:00:12 226808 4.005 414 RUSSELL caleb_strategy_v1 2022-11-29 2022-12-01 15:00:18.585 2022-12-01 15:00:19 226819 0.415 433 SOYBEAN caleb_strategy_v1 2022-11-29 2022-12-01 15:30:00.798 2022-12-01 15:30:11 228601 10.202 434 LEANHOG caleb_strategy_v1 2022-11-29 2022-12-01 15:30:11.830 2022-12-01 15:31:02 228612 50.17 435 WHEAT caleb_strategy_v1 2022-11-29 2022-12-01 15:31:03.014 2022-12-01 15:31:16 228663 12.986 436 CORN caleb_strategy_v1 2022-11-29 2022-12-01 15:31:16.820 2022-12-01 15:31:16 228677 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 order_id 400 CAC caleb_strategy_v1 [1] 6695.5 None 6778.5 6779 6778 6778 6779.5 -83 -0.5 -0.5 -1.5 NaN -1 401 DAX caleb_strategy_v1 [1] 14426 None 14543 14544 14542 14542 14544 -117 -1 0 -2 NaN -1 402 BUXL caleb_strategy_v1 [1] 156.88 None 158.97 159 158.94 158.94 159.02 -2.09 -0.03 -0.02 -0.08 NaN -0.05 403 BOBL caleb_strategy_v1 [-1] 118.93 None 119.535 119.53 119.54 119.54 119.52 0.605 -0.005 -0.01 -0.02 NaN -0.015 404 BTP caleb_strategy_v1 [-1] 116.25 None 117.15 117.14 117.16 117.16 117.14 0.9 -0.01 -0 -0.02 NaN -0.01 405 BUND caleb_strategy_v1 [-1] 140.3 None 141.485 141.48 141.49 141.49 141.47 1.185 -0.005 -0.01 -0.02 NaN -0.015 406 BUND caleb_strategy_v1 [-1] 140.3 None 141.475 141.47 141.48 141.48 141.48 1.175 -0.005 0.01 -0 NaN 0.005 407 SUGAR11 caleb_strategy_v1 [1] 0.195 None 0.19455 0.1946 0.1945 0.1945 0.1945 0.00045 -5e-05 0.0001 0 NaN 5e-05 408 GAS_US caleb_strategy_v1 [1] 7.12 None 6.986 6.989 6.983 6.983 6.983 0.134 -0.003 0.006 8.88178e-16 NaN 0.003 409 SP400 caleb_strategy_v1 [-1] 2519.2 None 2595.45 2592.9 2598 2598 2592.9 76.25 -2.55 -0 -5.1 NaN -2.55 413 US5 caleb_strategy_v1 [1] 108.062 None 108.957 108.961 108.953 108.953 108.953 -0.894531 -0.00390625 0.0078125 0 NaN 0.00390625 416 DOW caleb_strategy_v1 [1] 33843 None 34533.5 34537 34530 34530 34520 -690.5 -3.5 17 10 NaN 13.5 412 DOW caleb_strategy_v1 [1] 33843 None 34540.5 34544 34537 34537 34537 -697.5 -3.5 7 0 NaN 3.5 418 VIX caleb_strategy_v1 [-1] 26.2 None 25.375 25.35 25.4 25.4 25.3 -0.825 -0.025 -0.05 -0.1 NaN -0.075 411 VIX caleb_strategy_v1 [-1] 26.2 None 25.325 25.3 25.35 25.35 25.35 -0.875 -0.025 0.05 -0 NaN 0.025 415 VIX caleb_strategy_v1 [-1] 26.2 None 25.325 25.3 25.35 25.35 25.35 -0.875 -0.025 0.05 -0 NaN 0.025 417 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1897.95 1898 1897.9 NaN 1897.9 -60.65 -0.05 0.1 NaN NaN 0.05 419 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1898.2 1898.3 1898.1 1898.1 1898.3 -60.9 -0.1 0 -0.2 NaN -0.1 420 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1897.85 1897.9 1897.8 1897.8 1898 -60.55 -0.05 -0.1 -0.2 NaN -0.15 421 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1898.45 1898.5 1898.4 1898.4 1898.5 -61.15 -0.05 0 -0.1 NaN -0.05 422 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1899.05 1899.1 1899 1899 1899.3 -61.75 -0.05 -0.2 -0.3 NaN -0.25 423 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1899.5 1899.6 1899.4 1899.4 1899.6 -62.2 -0.1 0 -0.2 NaN -0.1 424 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1899 1899.1 1898.9 1898.9 1899.3 -61.7 -0.1 -0.2 -0.4 NaN -0.3 425 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1898.9 1899 1898.8 1898.8 1899 -61.6 -0.1 0 -0.2 NaN -0.1 426 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1899.1 1899.2 1899 1899 1899.4 -61.8 -0.1 -0.2 -0.4 NaN -0.3 427 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1899.55 1899.6 1899.5 1899.5 1899.8 -62.25 -0.05 -0.2 -0.3 NaN -0.25 428 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1900.2 1900.3 1900.1 1900.1 1900.5 -62.9 -0.1 -0.2 -0.4 NaN -0.3 429 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1900.4 1900.5 1900.3 1900.3 1900.6 -63.1 -0.1 -0.1 -0.3 NaN -0.2 430 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1900.9 1901 1900.8 1900.8 1900.8 -63.6 -0.1 0.2 2.27374e-13 NaN 0.1 431 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1900.9 1901 1900.8 1900.8 1901.1 -63.6 -0.1 -0.1 -0.3 NaN -0.2 432 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1901.05 1901.1 1901 1901 1901 -63.75 -0.05 0.1 0 NaN 0.05 410 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1899.85 1900.6 1899.1 1899.1 1900.3 -62.55 -0.75 0.3 -1.2 NaN -0.45 414 RUSSELL caleb_strategy_v1 [1] 1837.3 None 1900.1 1900.3 1899.9 1899.9 1900.3 -62.8 -0.2 0 -0.4 NaN -0.2 433 SOYBEAN caleb_strategy_v1 [-1] 1395.25 None 1390.12 1389.75 1390.5 1390.5 1389.75 -5.125 -0.375 -0 -0.75 NaN -0.375 434 LEANHOG caleb_strategy_v1 [1] 84.125 None 85.875 85.9 85.85 85.85 85.85 -1.75 -0.025 0.05 1.42109e-14 NaN 0.025 435 WHEAT caleb_strategy_v1 [-1] 814.5 None 823.25 823 823.5 823.5 823 8.75 -0.25 -0 -0.5 NaN -0.25 436 CORN caleb_strategy_v1 [-1] 610.75 None 605.375 605.25 605.5 NaN 605.25 -5.375 -0.125 -0 NaN 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 400 CAC caleb_strategy_v1 [1] 988.876 -839.337 -5.05625 -5.05625 -15.1687 NaN -10.1125 401 DAX caleb_strategy_v1 [1] 2284.96 -512.044 -4.37644 0 -8.75288 NaN -4.37644 402 BUXL caleb_strategy_v1 [1] 36.9523 -565.594 -8.11857 -5.41238 -21.6495 NaN -13.531 403 BOBL caleb_strategy_v1 [-1] 6.99376 865.057 -7.14923 -14.2985 -28.5969 NaN -21.4477 404 BTP caleb_strategy_v1 [-1] 17.5507 512.8 -5.69778 -0 -11.3956 NaN -5.69778 405 BUND caleb_strategy_v1 [-1] 14.8673 797.051 -3.36308 -6.72617 -13.4523 NaN -10.0893 406 BUND caleb_strategy_v1 [-1] 14.8673 790.325 -3.36308 6.72617 -0 NaN 3.36308 407 SUGAR11 caleb_strategy_v1 [1] 0.0383356 117.384 -13.0427 26.0854 0 NaN 13.0427 408 GAS_US caleb_strategy_v1 [1] 3.9635 338.085 -7.56906 15.1381 2.24089e-12 NaN 7.56906 409 SP400 caleb_strategy_v1 [-1] 642.683 1186.43 -39.6774 -0 -79.3549 NaN -39.6774 413 US5 caleb_strategy_v1 [1] 6.1577 -1452.7 -6.34368 12.6874 0 NaN 6.34368 416 DOW caleb_strategy_v1 [1] 6310.92 -1094.14 -5.54594 26.9374 15.8456 NaN 21.3915 412 DOW caleb_strategy_v1 [1] 6310.92 -1105.23 -5.54594 11.0919 0 NaN 5.54594 418 VIX caleb_strategy_v1 [-1] 8.45509 -975.743 -29.568 -59.1359 -118.272 NaN -88.7039 411 VIX caleb_strategy_v1 [-1] 8.45509 -1034.88 -29.568 59.1359 -0 NaN 29.568 415 VIX caleb_strategy_v1 [-1] 8.45509 -1034.88 -29.568 59.1359 -0 NaN 29.568 417 RUSSELL caleb_strategy_v1 [1] 533.889 -1136 -0.936524 1.87305 NaN NaN 0.936524 419 RUSSELL caleb_strategy_v1 [1] 533.889 -1140.69 -1.87305 0 -3.7461 NaN -1.87305 420 RUSSELL caleb_strategy_v1 [1] 533.889 -1134.13 -0.936524 -1.87305 -3.7461 NaN -2.80957 421 RUSSELL caleb_strategy_v1 [1] 533.889 -1145.37 -0.936524 0 -1.87305 NaN -0.936524 422 RUSSELL caleb_strategy_v1 [1] 533.889 -1156.61 -0.936524 -3.7461 -5.61914 NaN -4.68262 423 RUSSELL caleb_strategy_v1 [1] 533.889 -1165.04 -1.87305 0 -3.7461 NaN -1.87305 424 RUSSELL caleb_strategy_v1 [1] 533.889 -1155.67 -1.87305 -3.7461 -7.49219 NaN -5.61914 425 RUSSELL caleb_strategy_v1 [1] 533.889 -1153.8 -1.87305 0 -3.7461 NaN -1.87305 426 RUSSELL caleb_strategy_v1 [1] 533.889 -1157.54 -1.87305 -3.7461 -7.49219 NaN -5.61914 427 RUSSELL caleb_strategy_v1 [1] 533.889 -1165.97 -0.936524 -3.7461 -5.61914 NaN -4.68262 428 RUSSELL caleb_strategy_v1 [1] 533.889 -1178.15 -1.87305 -3.7461 -7.49219 NaN -5.61914 429 RUSSELL caleb_strategy_v1 [1] 533.889 -1181.89 -1.87305 -1.87305 -5.61914 NaN -3.7461 430 RUSSELL caleb_strategy_v1 [1] 533.889 -1191.26 -1.87305 3.7461 4.25882e-12 NaN 1.87305 431 RUSSELL caleb_strategy_v1 [1] 533.889 -1191.26 -1.87305 -1.87305 -5.61914 NaN -3.7461 432 RUSSELL caleb_strategy_v1 [1] 533.889 -1194.07 -0.936524 1.87305 0 NaN 0.936524 410 RUSSELL caleb_strategy_v1 [1] 533.889 -1171.59 -14.0479 5.61914 -22.4766 NaN -8.42872 414 RUSSELL caleb_strategy_v1 [1] 533.889 -1176.27 -3.7461 0 -7.49219 NaN -3.7461 433 SOYBEAN caleb_strategy_v1 [-1] 235.288 -217.818 -15.9379 -0 -31.8758 NaN -15.9379 434 LEANHOG caleb_strategy_v1 [1] 23.5536 -742.985 -10.6141 21.2282 6.0334e-12 NaN 10.6141 435 WHEAT caleb_strategy_v1 [-1] 224.017 390.596 -11.1599 -0 -22.3198 NaN -11.1599 436 CORN caleb_strategy_v1 [-1] 90.2246 -595.735 -13.8543 -0 NaN NaN -13.8543 =========================================================================================================================================================================== 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 400 CAC caleb_strategy_v1 [1] 10.5147 -872.724 -5.25737 -5.25737 -15.7721 NaN -10.5147 401 DAX caleb_strategy_v1 [1] 1.05147 -123.023 -1.05147 0 -2.10295 NaN -1.05147 402 BUXL caleb_strategy_v1 [1] 1051.47 -2197.58 -31.5443 -21.0295 -84.118 NaN -52.5738 403 BOBL caleb_strategy_v1 [-1] 1051.47 636.142 -5.25737 -10.5148 -21.0295 NaN -15.7721 404 BTP caleb_strategy_v1 [-1] 1051.47 946.328 -10.5148 -0 -21.0295 NaN -10.5148 405 BUND caleb_strategy_v1 [-1] 1051.47 1246 -5.25738 -10.5147 -21.0295 NaN -15.7721 406 BUND caleb_strategy_v1 [-1] 1051.47 1235.48 -5.25737 10.5147 -0 NaN 5.25737 407 SUGAR11 caleb_strategy_v1 [1] 112000 50.4 -5.6 11.2 0 NaN 5.6 408 GAS_US caleb_strategy_v1 [1] 10000 1340 -30 60 8.88178e-12 NaN 30 409 SP400 caleb_strategy_v1 [-1] 100 7625 -255 -0 -510 NaN -255 413 US5 caleb_strategy_v1 [1] 1000 -894.531 -3.90625 7.8125 0 NaN 3.90625 416 DOW caleb_strategy_v1 [1] 0.5 -345.25 -1.75 8.5 5 NaN 6.75 412 DOW caleb_strategy_v1 [1] 0.5 -348.75 -1.75 3.5 0 NaN 1.75 418 VIX caleb_strategy_v1 [-1] 1000 -825 -25 -50 -100 NaN -75 411 VIX caleb_strategy_v1 [-1] 1000 -875 -25 50 -0 NaN 25 415 VIX caleb_strategy_v1 [-1] 1000 -875 -25 50 -0 NaN 25 417 RUSSELL caleb_strategy_v1 [1] 5 -303.25 -0.25 0.5 NaN NaN 0.25 419 RUSSELL caleb_strategy_v1 [1] 5 -304.5 -0.5 0 -1 NaN -0.5 420 RUSSELL caleb_strategy_v1 [1] 5 -302.75 -0.25 -0.5 -1 NaN -0.75 421 RUSSELL caleb_strategy_v1 [1] 5 -305.75 -0.25 0 -0.5 NaN -0.25 422 RUSSELL caleb_strategy_v1 [1] 5 -308.75 -0.25 -1 -1.5 NaN -1.25 423 RUSSELL caleb_strategy_v1 [1] 5 -311 -0.5 0 -1 NaN -0.5 424 RUSSELL caleb_strategy_v1 [1] 5 -308.5 -0.5 -1 -2 NaN -1.5 425 RUSSELL caleb_strategy_v1 [1] 5 -308 -0.5 0 -1 NaN -0.5 426 RUSSELL caleb_strategy_v1 [1] 5 -309 -0.5 -1 -2 NaN -1.5 427 RUSSELL caleb_strategy_v1 [1] 5 -311.25 -0.25 -1 -1.5 NaN -1.25 428 RUSSELL caleb_strategy_v1 [1] 5 -314.5 -0.5 -1 -2 NaN -1.5 429 RUSSELL caleb_strategy_v1 [1] 5 -315.5 -0.5 -0.5 -1.5 NaN -1 430 RUSSELL caleb_strategy_v1 [1] 5 -318 -0.5 1 1.13687e-12 NaN 0.5 431 RUSSELL caleb_strategy_v1 [1] 5 -318 -0.5 -0.5 -1.5 NaN -1 432 RUSSELL caleb_strategy_v1 [1] 5 -318.75 -0.25 0.5 0 NaN 0.25 410 RUSSELL caleb_strategy_v1 [1] 5 -312.75 -3.75 1.5 -6 NaN -2.25 414 RUSSELL caleb_strategy_v1 [1] 5 -314 -1 0 -2 NaN -1 433 SOYBEAN caleb_strategy_v1 [-1] 50 -256.25 -18.75 -0 -37.5 NaN -18.75 434 LEANHOG caleb_strategy_v1 [1] 400 -700 -10 20 5.68434e-12 NaN 10 435 WHEAT caleb_strategy_v1 [-1] 50 437.5 -12.5 -0 -25 NaN -12.5 436 CORN caleb_strategy_v1 [-1] 50 -268.75 -6.25 -0 NaN NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL 636.142375 BTP 946.327500 BUND 2481.481000 BUXL -2197.582750 CAC -872.724250 CORN -268.750000 DAX -123.022575 DOW -694.000000 GAS_US 1340.000000 LEANHOG -700.000000 RUSSELL -5284.250000 SOYBEAN -256.250000 SP400 7625.000000 SUGAR11 50.400000 US5 -894.531250 VIX -2575.000000 WHEAT 437.500000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -349.25995 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.257375 BTP -10.514750 BUND -10.514750 BUXL -31.544250 CAC -5.257375 CORN -6.250000 DAX -1.051475 DOW -3.500000 GAS_US -30.000000 LEANHOG -10.000000 RUSSELL -10.750000 SOYBEAN -18.750000 SP400 -255.000000 SUGAR11 -5.600000 US5 -3.906250 VIX -75.000000 WHEAT -12.500000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -495.396225 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL -10.514750 BTP -0.000000 BUND 0.000000 BUXL -21.029500 CAC -5.257375 CORN -0.000000 DAX 0.000000 DOW 12.000000 GAS_US 60.000000 LEANHOG 20.000000 RUSSELL -3.000000 SOYBEAN -0.000000 SP400 -0.000000 SUGAR11 11.200000 US5 7.812500 VIX 50.000000 WHEAT -0.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 121.210875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL -2.102950e+01 BTP -2.102950e+01 BUND -2.102950e+01 BUXL -8.411800e+01 CAC -1.577212e+01 CORN 0.000000e+00 DAX -2.102950e+00 DOW 5.000000e+00 GAS_US 8.881784e-12 LEANHOG 5.684342e-12 RUSSELL -2.450000e+01 SOYBEAN -3.750000e+01 SP400 -5.100000e+02 SUGAR11 0.000000e+00 US5 0.000000e+00 VIX -1.000000e+02 WHEAT -2.500000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -857.081575 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 BTP 0 BUND 0 BUXL 0 CAC 0 CORN 0 DAX 0 DOW 0 GAS_US 0 LEANHOG 0 RUSSELL 0 SOYBEAN 0 SP400 0 SUGAR11 0 US5 0 VIX 0 WHEAT 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 BOBL -15.772125 BTP -10.514750 BUND -10.514750 BUXL -52.573750 CAC -10.514750 CORN -6.250000 DAX -1.051475 DOW 8.500000 GAS_US 30.000000 LEANHOG 10.000000 RUSSELL -13.750000 SOYBEAN -18.750000 SP400 -255.000000 SUGAR11 5.600000 US5 3.906250 VIX -25.000000 WHEAT -12.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -374.18535 ******************************************************************************** END OF REPORT ********************************************************************************