******************************************************************************** Trades report report produced on 30/01/2023 21:35 from 29/01/2023 21:35 to 30/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1039 CAC caleb_strategy_v1 [20230200] 2023-01-30 08:00:04 [-1] 7076.000000 1042 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-30 14:00:04 [-1] 75.670000 1043 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-30 14:00:05 [-1] 75.650000 1073 FEEDCOW caleb_strategy_v1 [20230500] 2023-01-30 15:30:04 [-1] 192.500000 1049 GBP caleb_strategy_v1 [20230300] 2023-01-30 15:00:41 [1] 1.238700 1041 HEATOIL caleb_strategy_v1 [20230500] 2023-01-30 14:00:02 [-1] 2.915800 1045 JPY caleb_strategy_v1 [20230300] 2023-01-30 15:00:02 [-1] 0.007719 1074 LEANHOG caleb_strategy_v1 [20230400] 2023-01-30 15:30:06 [-1] 86.975000 1040 ROBUSTA caleb_strategy_v1 [20230500] 2023-01-30 10:00:23 [1] 2001.000000 1062 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:38 [-1] 1911.100000 1063 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:40 [-1] 1911.200000 1064 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:42 [-1] 1911.400000 1065 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:44 [-1] 1911.500000 1066 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:49 [-1] 1912.100000 1070 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:02:05 [-1] 1912.500000 1068 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:02:01 [-1] 1912.400000 1069 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:02:03 [-1] 1912.400000 1061 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:36 [-1] 1910.800000 1071 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:02:07 [-1] 1912.500000 1067 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:55 [-1] 1911.800000 1060 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:34 [-1] 1910.800000 1057 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:28 [-1] 1910.700000 1058 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:30 [-1] 1911.000000 1056 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:26 [-1] 1911.000000 1054 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:21 [-1] 1910.600000 1052 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:13 [-1] 1910.900000 1047 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:00:05 [-1] 1910.100000 1059 RUSSELL caleb_strategy_v1 [20230300] 2023-01-30 15:01:32 [-1] 1911.200000 1072 SOYOIL caleb_strategy_v1 [20230500] 2023-01-30 15:30:02 [-1] 61.500000 1075 SOYOIL caleb_strategy_v1 [20230500] 2023-01-30 15:30:08 [-1] 61.500000 1055 SP400 caleb_strategy_v1 [20230300] 2023-01-30 15:01:25 [1] 2625.600000 1046 SP400 caleb_strategy_v1 [20230300] 2023-01-30 15:00:04 [1] 2624.100000 1053 SP400 caleb_strategy_v1 [20230300] 2023-01-30 15:01:21 [1] 2625.300000 1051 SP400 caleb_strategy_v1 [20230300] 2023-01-30 15:01:13 [1] 2625.500000 1044 SP500 caleb_strategy_v1 [20230300] 2023-01-30 15:00:01 [-1] 4070.250000 1050 SP500 caleb_strategy_v1 [20230300] 2023-01-30 15:01:09 [-1] 4071.500000 1048 US5 caleb_strategy_v1 [20230300] 2023-01-30 15:00:39 [-1] 109.109375 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1039 CAC caleb_strategy_v1 2023-01-27 2023-01-30 08:00:02.936 2023-01-30 08:00:04 288003 1.064 1040 ROBUSTA caleb_strategy_v1 2023-01-27 2023-01-30 10:00:01.117 2023-01-30 10:00:23 295201 21.883 1041 HEATOIL caleb_strategy_v1 2023-01-27 2023-01-30 14:00:00.988 2023-01-30 14:00:02 309601 1.012 1042 CRUDE_W caleb_strategy_v1 2023-01-27 2023-01-30 14:00:02.857 2023-01-30 14:00:04 309603 1.143 1043 CRUDE_W caleb_strategy_v1 2023-01-27 2023-01-30 14:00:05.598 2023-01-30 14:00:05 309606 NaN 1045 JPY caleb_strategy_v1 2023-01-27 2023-01-30 15:00:02.440 2023-01-30 15:00:02 313202 NaN 1048 US5 caleb_strategy_v1 2023-01-27 2023-01-30 15:00:06.365 2023-01-30 15:00:39 313206 32.635 1049 GBP caleb_strategy_v1 2023-01-27 2023-01-30 15:00:40.419 2023-01-30 15:00:41 313240 0.581 1050 SP500 caleb_strategy_v1 2023-01-27 2023-01-30 15:01:09.351 2023-01-30 15:01:09 313269 NaN 1044 SP500 caleb_strategy_v1 2023-01-27 2023-01-30 15:00:01.120 2023-01-30 15:00:01 313201 NaN 1051 SP400 caleb_strategy_v1 2023-01-27 2023-01-30 15:01:12.778 2023-01-30 15:01:13 313273 0.222 1053 SP400 caleb_strategy_v1 2023-01-27 2023-01-30 15:01:15.144 2023-01-30 15:01:21 313275 5.856 1046 SP400 caleb_strategy_v1 2023-01-27 2023-01-30 15:00:03.426 2023-01-30 15:00:04 313203 0.574 1055 SP400 caleb_strategy_v1 2023-01-27 2023-01-30 15:01:23.196 2023-01-30 15:01:25 313283 1.804 1047 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:00:05.288 2023-01-30 15:00:05 313205 NaN 1052 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:13.568 2023-01-30 15:01:13 313274 NaN 1054 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:21.461 2023-01-30 15:01:21 313281 NaN 1056 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:25.699 2023-01-30 15:01:26 313286 0.301 1057 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:27.955 2023-01-30 15:01:28 313288 0.045 1058 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:30.513 2023-01-30 15:01:30 313291 NaN 1059 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:32.166 2023-01-30 15:01:32 313292 NaN 1060 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:33.933 2023-01-30 15:01:34 313294 0.067 1061 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:36.619 2023-01-30 15:01:36 313297 NaN 1062 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:38.257 2023-01-30 15:01:38 313298 NaN 1063 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:40.049 2023-01-30 15:01:40 313300 NaN 1064 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:41.892 2023-01-30 15:01:42 313302 0.108 1065 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:43.737 2023-01-30 15:01:44 313304 0.263 1066 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:48.868 2023-01-30 15:01:49 313309 0.132 1067 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:01:54.851 2023-01-30 15:01:55 313315 0.149 1068 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:02:00.881 2023-01-30 15:02:01 313321 0.119 1069 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:02:03.286 2023-01-30 15:02:03 313323 NaN 1070 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:02:05.499 2023-01-30 15:02:05 313325 NaN 1071 RUSSELL caleb_strategy_v1 2023-01-27 2023-01-30 15:02:07.197 2023-01-30 15:02:07 313327 NaN 1073 FEEDCOW caleb_strategy_v1 2023-01-27 2023-01-30 15:30:03.650 2023-01-30 15:30:04 315004 0.35 1074 LEANHOG caleb_strategy_v1 2023-01-27 2023-01-30 15:30:05.761 2023-01-30 15:30:06 315006 0.239 1072 SOYOIL caleb_strategy_v1 2023-01-27 2023-01-30 15:30:01.440 2023-01-30 15:30:02 315001 0.56 1075 SOYOIL caleb_strategy_v1 2023-01-27 2023-01-30 15:30:08.010 2023-01-30 15:30:08 315008 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 1039 CAC caleb_strategy_v1 [-1] 7120 None 7076 7075.5 7076.5 7076.5 7076 -44 -0.5 0.5 -0.5 NaN 0 1040 ROBUSTA caleb_strategy_v1 [1] 2001 None 2000 2001 1999 1999 2001 1 -1 0 -2 NaN -1 1041 HEATOIL caleb_strategy_v1 [-1] 2.9627 None 2.91625 2.9154 2.9171 2.9171 2.9158 -0.04645 -0.00085 0.0004 -0.0013 NaN -0.00045 1042 CRUDE_W caleb_strategy_v1 [-1] 76.88 None 75.73 75.72 75.74 75.74 75.67 -1.15 -0.01 -0.05 -0.07 NaN -0.06 1043 CRUDE_W caleb_strategy_v1 [-1] 76.88 None 75.67 75.66 75.68 75.68 75.65 -1.21 -0.01 -0.01 -0.03 NaN -0.02 1045 JPY caleb_strategy_v1 [-1] 0.007744 None 0.00771875 0.0077185 0.007719 NaN 0.007719 -2.525e-05 -2.5e-07 5e-07 NaN NaN 2.5e-07 1048 US5 caleb_strategy_v1 [-1] 109.312 None 109.105 109.102 109.109 109.109 109.109 -0.207031 -0.00390625 0.0078125 -0 NaN 0.00390625 1049 GBP caleb_strategy_v1 [1] 1.2408 None 1.23875 1.2388 1.2387 1.2387 1.2387 0.00205 -5e-05 0.0001 2.22045e-16 NaN 5e-05 1050 SP500 caleb_strategy_v1 [-1] 4102.75 None 4071.38 4071.25 4071.5 4071.5 4071.5 -31.375 -0.125 0.25 -0 NaN 0.125 1044 SP500 caleb_strategy_v1 [-1] 4102.75 None 4070.12 4070 4070.25 4070.25 4070.25 -32.625 -0.125 0.25 -0 NaN 0.125 1051 SP400 caleb_strategy_v1 [1] 2635.6 None 2625.7 2625.9 2625.5 2625.5 2625.5 9.9 -0.2 0.4 0 NaN 0.2 1053 SP400 caleb_strategy_v1 [1] 2635.6 None 2625.5 2625.7 2625.3 2625.3 2625.3 10.1 -0.2 0.4 0 NaN 0.2 1046 SP400 caleb_strategy_v1 [1] 2635.6 None 2623.8 2623.9 2623.7 2623.7 2624.1 11.8 -0.1 -0.2 -0.4 NaN -0.3 1055 SP400 caleb_strategy_v1 [1] 2635.6 None 2625.15 2625.4 2624.9 2624.9 2625.6 10.45 -0.25 -0.2 -0.7 NaN -0.45 1047 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1910 1909.9 1910.1 1910.1 1910.1 -15.1 -0.1 0.2 -2.27374e-13 NaN 0.1 1052 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1910.9 1910.8 1911 NaN 1910.9 -14.2 -0.1 0.1 NaN NaN 0 1054 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1910.55 1910.5 1910.6 1910.6 1910.6 -14.55 -0.05 0.1 -2.27374e-13 NaN 0.05 1056 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1910.95 1910.9 1911 1911 1911 -14.15 -0.05 0.1 -0 NaN 0.05 1057 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1910.85 1910.8 1910.9 1910.9 1910.7 -14.25 -0.05 -0.1 -0.2 NaN -0.15 1058 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1910.9 1910.8 1911 1911 1911 -14.2 -0.1 0.2 -0 NaN 0.1 1059 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1911.2 1911.1 1911.3 NaN 1911.2 -13.9 -0.1 0.1 NaN NaN 2.27374e-13 1060 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1911.05 1911 1911.1 1911.1 1910.8 -14.05 -0.05 -0.2 -0.3 NaN -0.25 1061 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1910.9 1910.8 1911 1911 1910.8 -14.2 -0.1 -0 -0.2 NaN -0.1 1062 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1911.05 1911 1911.1 1911.1 1911.1 -14.05 -0.05 0.1 -2.27374e-13 NaN 0.05 1063 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1911.15 1911.1 1911.2 1911.2 1911.2 -13.95 -0.05 0.1 -0 NaN 0.05 1064 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1911.3 1911.2 1911.4 1911.4 1911.4 -13.8 -0.1 0.2 -0 NaN 0.1 1065 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1911.55 1911.5 1911.6 1911.6 1911.5 -13.55 -0.05 -0 -0.1 NaN -0.05 1066 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1912.2 1912.1 1912.3 1912.3 1912.1 -12.9 -0.1 -0 -0.2 NaN -0.1 1067 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1912.05 1912 1912.1 1912.1 1911.8 -13.05 -0.05 -0.2 -0.3 NaN -0.25 1068 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1912.45 1912.4 1912.5 1912.5 1912.4 -12.65 -0.05 -0 -0.1 NaN -0.05 1069 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1912.55 1912.5 1912.6 1912.6 1912.4 -12.55 -0.05 -0.1 -0.2 NaN -0.15 1070 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1912.4 1912.3 1912.5 1912.5 1912.5 -12.7 -0.1 0.2 -0 NaN 0.1 1071 RUSSELL caleb_strategy_v1 [-1] 1925.1 None 1912.65 1912.6 1912.7 1912.7 1912.5 -12.45 -0.05 -0.1 -0.2 NaN -0.15 1073 FEEDCOW caleb_strategy_v1 [-1] 191.85 None 192.55 192.5 192.6 192.6 192.5 0.7 -0.05 -0 -0.1 NaN -0.05 1074 LEANHOG caleb_strategy_v1 [-1] 86.575 None 87 86.975 87.025 87.025 86.975 0.425 -0.025 -0 -0.05 NaN -0.025 1072 SOYOIL caleb_strategy_v1 [-1] 60.96 None 61.52 61.51 61.53 61.53 61.5 0.56 -0.01 -0.01 -0.03 NaN -0.02 1075 SOYOIL caleb_strategy_v1 [-1] 60.96 None 62 62 62 62 61.5 1.04 -0 -0.5 -0.5 NaN -0.5 ================================================================================================================================================================ Slippage (normalised by annual vol, BP of annual SR) ================================================================================================================================================================ instrument_code strategy_name trade last_annual_vol delay_vol bid_ask_vol execution_vol versus_limit_vol versus_parent_limit_vol total_trading_vol order_id 1039 CAC caleb_strategy_v1 [-1] 1023.14 -430.049 -4.88693 4.88693 -4.88693 NaN 0 1040 ROBUSTA caleb_strategy_v1 [1] 428.581 23.3328 -23.3328 0 -46.6656 NaN -23.3328 1041 HEATOIL caleb_strategy_v1 [-1] 1.10564 -420.117 -7.68783 3.6178 -11.7579 NaN -4.07003 1042 CRUDE_W caleb_strategy_v1 [-1] 22.0389 -521.805 -4.53744 -22.6872 -31.7621 NaN -27.2246 1043 CRUDE_W caleb_strategy_v1 [-1] 22.0389 -549.03 -4.53744 -4.53744 -13.6123 NaN -9.07487 1045 JPY caleb_strategy_v1 [-1] 0.00099733 -253.176 -2.50669 5.01339 NaN NaN 2.50669 1048 US5 caleb_strategy_v1 [-1] 5.63632 -367.316 -6.93049 13.861 -0 NaN 6.93049 1049 GBP caleb_strategy_v1 [1] 0.116119 176.544 -4.30594 8.61188 1.91222e-11 NaN 4.30594 1050 SP500 caleb_strategy_v1 [-1] 741.621 -423.06 -1.6855 3.37099 -0 NaN 1.6855 1044 SP500 caleb_strategy_v1 [-1] 741.621 -439.914 -1.6855 3.37099 -0 NaN 1.6855 1051 SP400 caleb_strategy_v1 [1] 504.292 196.315 -3.96595 7.93191 0 NaN 3.96595 1053 SP400 caleb_strategy_v1 [1] 504.292 200.281 -3.96595 7.93191 0 NaN 3.96595 1046 SP400 caleb_strategy_v1 [1] 504.292 233.991 -1.98298 -3.96595 -7.93191 NaN -5.94893 1055 SP400 caleb_strategy_v1 [1] 504.292 207.221 -4.95744 -3.96595 -13.8808 NaN -8.92339 1047 RUSSELL caleb_strategy_v1 [-1] 415.217 -363.665 -2.40838 4.81676 -5.47602e-12 NaN 2.40838 1052 RUSSELL caleb_strategy_v1 [-1] 415.217 -341.99 -2.40838 2.40838 NaN NaN 0 1054 RUSSELL caleb_strategy_v1 [-1] 415.217 -350.419 -1.20419 2.40838 -5.47602e-12 NaN 1.20419 1056 RUSSELL caleb_strategy_v1 [-1] 415.217 -340.786 -1.20419 2.40838 -0 NaN 1.20419 1057 RUSSELL caleb_strategy_v1 [-1] 415.217 -343.194 -1.20419 -2.40838 -4.81676 NaN -3.61257 1058 RUSSELL caleb_strategy_v1 [-1] 415.217 -341.99 -2.40838 4.81676 -0 NaN 2.40838 1059 RUSSELL caleb_strategy_v1 [-1] 415.217 -334.765 -2.40838 2.40838 NaN NaN 5.47602e-12 1060 RUSSELL caleb_strategy_v1 [-1] 415.217 -338.377 -1.20419 -4.81676 -7.22514 NaN -6.02095 1061 RUSSELL caleb_strategy_v1 [-1] 415.217 -341.99 -2.40838 -0 -4.81676 NaN -2.40838 1062 RUSSELL caleb_strategy_v1 [-1] 415.217 -338.377 -1.20419 2.40838 -5.47602e-12 NaN 1.20419 1063 RUSSELL caleb_strategy_v1 [-1] 415.217 -335.969 -1.20419 2.40838 -0 NaN 1.20419 1064 RUSSELL caleb_strategy_v1 [-1] 415.217 -332.356 -2.40838 4.81676 -0 NaN 2.40838 1065 RUSSELL caleb_strategy_v1 [-1] 415.217 -326.336 -1.20419 -0 -2.40838 NaN -1.20419 1066 RUSSELL caleb_strategy_v1 [-1] 415.217 -310.681 -2.40838 -0 -4.81676 NaN -2.40838 1067 RUSSELL caleb_strategy_v1 [-1] 415.217 -314.294 -1.20419 -4.81676 -7.22514 NaN -6.02095 1068 RUSSELL caleb_strategy_v1 [-1] 415.217 -304.66 -1.20419 -0 -2.40838 NaN -1.20419 1069 RUSSELL caleb_strategy_v1 [-1] 415.217 -302.252 -1.20419 -2.40838 -4.81676 NaN -3.61257 1070 RUSSELL caleb_strategy_v1 [-1] 415.217 -305.864 -2.40838 4.81676 -0 NaN 2.40838 1071 RUSSELL caleb_strategy_v1 [-1] 415.217 -299.843 -1.20419 -2.40838 -4.81676 NaN -3.61257 1073 FEEDCOW caleb_strategy_v1 [-1] 19.7271 354.842 -25.3459 -0 -50.6918 NaN -25.3459 1074 LEANHOG caleb_strategy_v1 [-1] 21.9552 193.576 -11.3868 -0 -22.7737 NaN -11.3868 1072 SOYOIL caleb_strategy_v1 [-1] 15.9367 351.391 -6.27484 -6.27484 -18.8245 NaN -12.5497 1075 SOYOIL caleb_strategy_v1 [-1] 15.9367 652.584 -0 -313.742 -313.742 NaN -313.742 =========================================================================================================================================================================== 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 1039 CAC caleb_strategy_v1 [-1] 10.8483 -477.327 -5.42417 5.42417 -5.42417 NaN 0 1040 ROBUSTA caleb_strategy_v1 [1] 10 10 -10 0 -20 NaN -10 1041 HEATOIL caleb_strategy_v1 [-1] 42000 -1950.9 -35.7 16.8 -54.6 NaN -18.9 1042 CRUDE_W caleb_strategy_v1 [-1] 1000 -1150 -10 -50 -70 NaN -60 1043 CRUDE_W caleb_strategy_v1 [-1] 1000 -1210 -10 -10 -30 NaN -20 1045 JPY caleb_strategy_v1 [-1] 1.25e+07 -315.625 -3.125 6.25 NaN NaN 3.125 1048 US5 caleb_strategy_v1 [-1] 1000 -207.031 -3.90625 7.8125 -0 NaN 3.90625 1049 GBP caleb_strategy_v1 [1] 62500 128.125 -3.125 6.25 1.38778e-11 NaN 3.125 1050 SP500 caleb_strategy_v1 [-1] 50 -1568.75 -6.25 12.5 -0 NaN 6.25 1044 SP500 caleb_strategy_v1 [-1] 50 -1631.25 -6.25 12.5 -0 NaN 6.25 1051 SP400 caleb_strategy_v1 [1] 100 990 -20 40 0 NaN 20 1053 SP400 caleb_strategy_v1 [1] 100 1010 -20 40 0 NaN 20 1046 SP400 caleb_strategy_v1 [1] 100 1180 -10 -20 -40 NaN -30 1055 SP400 caleb_strategy_v1 [1] 100 1045 -25 -20 -70 NaN -45 1047 RUSSELL caleb_strategy_v1 [-1] 5 -75.5 -0.5 1 -1.13687e-12 NaN 0.5 1052 RUSSELL caleb_strategy_v1 [-1] 5 -71 -0.5 0.5 NaN NaN 0 1054 RUSSELL caleb_strategy_v1 [-1] 5 -72.75 -0.25 0.5 -1.13687e-12 NaN 0.25 1056 RUSSELL caleb_strategy_v1 [-1] 5 -70.75 -0.25 0.5 -0 NaN 0.25 1057 RUSSELL caleb_strategy_v1 [-1] 5 -71.25 -0.25 -0.5 -1 NaN -0.75 1058 RUSSELL caleb_strategy_v1 [-1] 5 -71 -0.5 1 -0 NaN 0.5 1059 RUSSELL caleb_strategy_v1 [-1] 5 -69.5 -0.5 0.5 NaN NaN 1.13687e-12 1060 RUSSELL caleb_strategy_v1 [-1] 5 -70.25 -0.25 -1 -1.5 NaN -1.25 1061 RUSSELL caleb_strategy_v1 [-1] 5 -71 -0.5 -0 -1 NaN -0.5 1062 RUSSELL caleb_strategy_v1 [-1] 5 -70.25 -0.25 0.5 -1.13687e-12 NaN 0.25 1063 RUSSELL caleb_strategy_v1 [-1] 5 -69.75 -0.25 0.5 -0 NaN 0.25 1064 RUSSELL caleb_strategy_v1 [-1] 5 -69 -0.5 1 -0 NaN 0.5 1065 RUSSELL caleb_strategy_v1 [-1] 5 -67.75 -0.25 -0 -0.5 NaN -0.25 1066 RUSSELL caleb_strategy_v1 [-1] 5 -64.5 -0.5 -0 -1 NaN -0.5 1067 RUSSELL caleb_strategy_v1 [-1] 5 -65.25 -0.25 -1 -1.5 NaN -1.25 1068 RUSSELL caleb_strategy_v1 [-1] 5 -63.25 -0.25 -0 -0.5 NaN -0.25 1069 RUSSELL caleb_strategy_v1 [-1] 5 -62.75 -0.25 -0.5 -1 NaN -0.75 1070 RUSSELL caleb_strategy_v1 [-1] 5 -63.5 -0.5 1 -0 NaN 0.5 1071 RUSSELL caleb_strategy_v1 [-1] 5 -62.25 -0.25 -0.5 -1 NaN -0.75 1073 FEEDCOW caleb_strategy_v1 [-1] 500 350 -25 -0 -50 NaN -25 1074 LEANHOG caleb_strategy_v1 [-1] 400 170 -10 -0 -20 NaN -10 1072 SOYOIL caleb_strategy_v1 [-1] 600 336 -6 -6 -18 NaN -12 1075 SOYOIL caleb_strategy_v1 [-1] 600 624 -0 -300 -300 NaN -300 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 CAC -477.32740 CRUDE_W -2360.00000 FEEDCOW 350.00000 GBP 128.12500 HEATOIL -1950.90000 JPY -315.62500 LEANHOG 170.00000 ROBUSTA 10.00000 RUSSELL -1301.25000 SOYOIL 960.00000 SP400 4225.00000 SP500 -3200.00000 US5 -207.03125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -3969.00865 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 CAC -5.424175 CRUDE_W -20.000000 FEEDCOW -25.000000 GBP -3.125000 HEATOIL -35.700000 JPY -3.125000 LEANHOG -10.000000 ROBUSTA -10.000000 RUSSELL -6.750000 SOYOIL -6.000000 SP400 -75.000000 SP500 -12.500000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -216.530425 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 CAC 5.424175 CRUDE_W -60.000000 FEEDCOW -0.000000 GBP 6.250000 HEATOIL 16.800000 JPY 6.250000 LEANHOG -0.000000 ROBUSTA 0.000000 RUSSELL 3.500000 SOYOIL -306.000000 SP400 40.000000 SP500 25.000000 US5 7.812500 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -254.963325 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 CAC -5.424175e+00 CRUDE_W -1.000000e+02 FEEDCOW -5.000000e+01 GBP 1.387779e-11 HEATOIL -5.460000e+01 JPY 0.000000e+00 LEANHOG -2.000000e+01 ROBUSTA -2.000000e+01 RUSSELL -9.000000e+00 SOYOIL -3.180000e+02 SP400 -1.100000e+02 SP500 -0.000000e+00 US5 -0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -687.024175 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 CAC 0 CRUDE_W 0 FEEDCOW 0 GBP 0 HEATOIL 0 JPY 0 LEANHOG 0 ROBUSTA 0 RUSSELL 0 SOYOIL 0 SP400 0 SP500 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 CAC 0.00000 CRUDE_W -80.00000 FEEDCOW -25.00000 GBP 3.12500 HEATOIL -18.90000 JPY 3.12500 LEANHOG -10.00000 ROBUSTA -10.00000 RUSSELL -3.25000 SOYOIL -312.00000 SP400 -35.00000 SP500 12.50000 US5 3.90625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -471.49375 ******************************************************************************** END OF REPORT ********************************************************************************