******************************************************************************** Trades report report produced on 13/03/2023 21:35 from 12/03/2023 21:35 to 13/03/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1701 BUND caleb_strategy_v1 [20230600] 2023-03-13 08:00:03 [1] 133.81000 1719 CHF caleb_strategy_v1 [20230600] 2023-03-13 15:00:08 [1] 1.11095 1705 COCOA caleb_strategy_v1 [20230500] 2023-03-13 14:00:11 [-1] 2656.00000 1709 COCOA caleb_strategy_v1 [20230500] 2023-03-13 14:00:20 [-1] 2655.00000 1706 CRUDE_W caleb_strategy_v1 [20231200] 2023-03-13 14:00:13 [1] 72.70000 1704 DAX caleb_strategy_v1 [20230300] 2023-03-13 08:00:08 [-1] 15453.00000 1702 DAX caleb_strategy_v1 [20230300] 2023-03-13 08:00:05 [-1] 15455.00000 1703 DAX caleb_strategy_v1 [20230300] 2023-03-13 08:00:06 [-1] 15452.00000 1736 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:01:54 [1] 32332.00000 1738 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:02 [1] 32340.00000 1740 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:05 [1] 32338.00000 1742 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:07 [1] 32346.00000 1746 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:12 [1] 32352.00000 1716 DOW caleb_strategy_v1 [20230300] 2023-03-13 15:00:04 [1] 32109.00000 1750 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:16 [1] 32354.00000 1748 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:14 [1] 32350.00000 1734 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:01:43 [1] 32327.00000 1752 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:18 [1] 32342.00000 1754 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:21 [1] 32360.00000 1723 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:00:15 [1] 32330.00000 1727 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:00:21 [1] 32320.00000 1717 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:00:04 [1] 32325.00000 1732 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:01:32 [1] 32345.00000 1744 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:02:09 [1] 32349.00000 1730 DOW caleb_strategy_v1 [20230600] 2023-03-13 15:00:24 [1] 32313.00000 1758 FEEDCOW caleb_strategy_v1 [20230800] 2023-03-13 15:30:49 [1] 215.15000 1715 GBP caleb_strategy_v1 [20230600] 2023-03-13 15:00:03 [-1] 1.21810 1712 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-13 14:00:32 [1] 1902.80000 1707 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-13 14:00:14 [1] 1901.60000 1710 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-13 14:00:21 [1] 1902.60000 1759 LEANHOG caleb_strategy_v1 [20230600] 2023-03-13 15:30:49 [1] 102.20000 1714 NASDAQ caleb_strategy_v1 [20230300] 2023-03-13 15:00:02 [-1] 11946.00000 1751 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:17 [-1] 1774.00000 1741 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:05 [-1] 1773.50000 1753 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:19 [-1] 1773.90000 1755 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:21 [-1] 1774.70000 1724 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:00:16 [-1] 1772.00000 1749 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:14 [-1] 1774.10000 1747 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:12 [-1] 1773.90000 1745 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:10 [-1] 1773.70000 1743 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:08 [-1] 1773.60000 1757 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:24 [-1] 1774.50000 1718 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:00:05 [-1] 1772.00000 1739 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:03 [-1] 1773.00000 1756 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:23 [-1] 1774.40000 1735 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:01:48 [-1] 1772.90000 1733 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:01:37 [-1] 1771.80000 1731 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:00:25 [-1] 1770.90000 1728 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:00:22 [-1] 1771.00000 1737 RUSSELL caleb_strategy_v1 [20230600] 2023-03-13 15:02:00 [-1] 1772.40000 1720 SP500 caleb_strategy_v1 [20230600] 2023-03-13 15:00:09 [-1] 3909.00000 1725 SP500 caleb_strategy_v1 [20230600] 2023-03-13 15:00:17 [-1] 3910.25000 1708 SUGAR11 caleb_strategy_v1 [20230500] 2023-03-13 14:00:15 [1] 20.96000 1711 SUGAR11 caleb_strategy_v1 [20230500] 2023-03-13 14:00:22 [1] 20.96000 1721 US10U caleb_strategy_v1 [20230600] 2023-03-13 15:00:12 [1] 121.81250 1713 US30 caleb_strategy_v1 [20230600] 2023-03-13 15:00:01 [1] 144.46875 1722 US30 caleb_strategy_v1 [20230600] 2023-03-13 15:00:14 [1] 144.46875 1729 US30 caleb_strategy_v1 [20230600] 2023-03-13 15:00:24 [1] 144.40625 1726 US30 caleb_strategy_v1 [20230600] 2023-03-13 15:00:20 [1] 144.37500 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1701 BUND caleb_strategy_v1 2023-03-10 2023-03-13 08:00:02.675 2023-03-13 08:00:03 288003 0.325 1704 DAX caleb_strategy_v1 2023-03-10 2023-03-13 08:00:08.034 2023-03-13 08:00:08 288008 NaN 1702 DAX caleb_strategy_v1 2023-03-10 2023-03-13 08:00:04.344 2023-03-13 08:00:05 288004 0.656 1703 DAX caleb_strategy_v1 2023-03-10 2023-03-13 08:00:06.474 2023-03-13 08:00:06 288006 NaN 1706 CRUDE_W caleb_strategy_v1 2023-03-10 2023-03-13 14:00:12.301 2023-03-13 14:00:13 309612 0.699 1705 COCOA caleb_strategy_v1 2023-03-10 2023-03-13 14:00:01.260 2023-03-13 14:00:11 309601 9.74 1709 COCOA caleb_strategy_v1 2023-03-10 2023-03-13 14:00:16.825 2023-03-13 14:00:20 309617 3.175 1708 SUGAR11 caleb_strategy_v1 2023-03-10 2023-03-13 14:00:15.287 2023-03-13 14:00:15 309615 NaN 1711 SUGAR11 caleb_strategy_v1 2023-03-10 2023-03-13 14:00:22.366 2023-03-13 14:00:22 309622 NaN 1712 GOLD_micro caleb_strategy_v1 2023-03-10 2023-03-13 14:00:32.114 2023-03-13 14:00:32 309632 NaN 1707 GOLD_micro caleb_strategy_v1 2023-03-10 2023-03-13 14:00:14.391 2023-03-13 14:00:14 309614 NaN 1710 GOLD_micro caleb_strategy_v1 2023-03-10 2023-03-13 14:00:21.286 2023-03-13 14:00:21 309621 NaN 1714 NASDAQ caleb_strategy_v1 2023-03-10 2023-03-13 15:00:02.224 2023-03-13 15:00:02 313202 NaN 1715 GBP caleb_strategy_v1 2023-03-10 2023-03-13 15:00:03.020 2023-03-13 15:00:03 313203 NaN 1719 CHF caleb_strategy_v1 2023-03-10 2023-03-13 15:00:06.516 2023-03-13 15:00:08 313207 1.484 1721 US10U caleb_strategy_v1 2023-03-10 2023-03-13 15:00:10.341 2023-03-13 15:00:12 313210 1.659 1720 SP500 caleb_strategy_v1 2023-03-10 2023-03-13 15:00:09.044 2023-03-13 15:00:09 313209 NaN 1725 SP500 caleb_strategy_v1 2023-03-10 2023-03-13 15:00:16.443 2023-03-13 15:00:17 313216 0.557 1713 US30 caleb_strategy_v1 2023-03-10 2023-03-13 15:00:01.330 2023-03-13 15:00:01 313201 NaN 1722 US30 caleb_strategy_v1 2023-03-10 2023-03-13 15:00:13.337 2023-03-13 15:00:14 313213 0.663 1729 US30 caleb_strategy_v1 2023-03-10 2023-03-13 15:00:23.426 2023-03-13 15:00:24 313223 0.574 1726 US30 caleb_strategy_v1 2023-03-10 2023-03-13 15:00:18.619 2023-03-13 15:00:20 313219 1.381 1730 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:00:24.509 2023-03-13 15:00:24 313225 NaN 1732 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:01:31.788 2023-03-13 15:01:32 313292 0.212 1734 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:01:42.687 2023-03-13 15:01:43 313303 0.313 1736 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:01:54.739 2023-03-13 15:01:54 313315 NaN 1738 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:02.300 2023-03-13 15:02:02 313322 NaN 1740 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:05.154 2023-03-13 15:02:05 313325 NaN 1742 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:07.173 2023-03-13 15:02:07 313327 NaN 1744 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:09.535 2023-03-13 15:02:09 313330 NaN 1746 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:11.984 2023-03-13 15:02:12 313332 0.016 1716 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:00:03.696 2023-03-13 15:00:04 313204 0.304 1717 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:00:04.672 2023-03-13 15:00:04 313205 NaN 1748 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:13.925 2023-03-13 15:02:14 313334 0.075 1750 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:16.018 2023-03-13 15:02:16 313336 NaN 1752 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:18.571 2023-03-13 15:02:18 313339 NaN 1754 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:02:20.935 2023-03-13 15:02:21 313341 0.065 1723 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:00:14.733 2023-03-13 15:00:15 313215 0.267 1727 DOW caleb_strategy_v1 2023-03-10 2023-03-13 15:00:20.958 2023-03-13 15:00:21 313221 0.042 1728 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:00:21.632 2023-03-13 15:00:22 313222 0.368 1731 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:00:24.920 2023-03-13 15:00:25 313225 0.08 1756 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:22.847 2023-03-13 15:02:23 313343 0.153 1733 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:01:36.806 2023-03-13 15:01:37 313297 0.194 1735 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:01:48.763 2023-03-13 15:01:48 313309 NaN 1737 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:00.724 2023-03-13 15:02:00 313321 NaN 1739 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:03.317 2023-03-13 15:02:03 313323 NaN 1741 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:05.711 2023-03-13 15:02:05 313326 NaN 1743 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:08.006 2023-03-13 15:02:08 313328 NaN 1745 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:10.208 2023-03-13 15:02:10 313330 NaN 1747 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:12.649 2023-03-13 15:02:12 313333 NaN 1749 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:14.651 2023-03-13 15:02:14 313335 NaN 1718 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:00:05.324 2023-03-13 15:00:05 313205 NaN 1751 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:16.926 2023-03-13 15:02:17 313337 0.074 1753 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:19.095 2023-03-13 15:02:19 313339 NaN 1755 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:21.618 2023-03-13 15:02:21 313342 NaN 1724 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:00:15.869 2023-03-13 15:00:16 313216 0.131 1757 RUSSELL caleb_strategy_v1 2023-03-10 2023-03-13 15:02:24.412 2023-03-13 15:02:24 313344 NaN 1758 FEEDCOW caleb_strategy_v1 2023-03-10 2023-03-13 15:30:01.059 2023-03-13 15:30:49 315001 47.941 1759 LEANHOG caleb_strategy_v1 2023-03-10 2023-03-13 15:30:49.627 2023-03-13 15:30:49 315050 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 1701 BUND caleb_strategy_v1 [1] 133.79 None 133.785 133.79 133.78 133.78 133.81 0.005 -0.005 -0.02 -0.03 NaN -0.025 1704 DAX caleb_strategy_v1 [-1] 15321 None 15453 15452 15454 NaN 15453 132 -1 1 NaN NaN 0 1702 DAX caleb_strategy_v1 [-1] 15321 None 15458 15457 15459 15459 15455 137 -1 -2 -4 NaN -3 1703 DAX caleb_strategy_v1 [-1] 15321 None 15454 15453 15455 15455 15452 133 -1 -1 -3 NaN -2 1706 CRUDE_W caleb_strategy_v1 [1] 74.4 None 72.68 72.69 72.67 72.67 72.7 1.72 -0.01 -0.01 -0.03 NaN -0.02 1705 COCOA caleb_strategy_v1 [-1] 2698 None 2657.5 2657 2658 2658 2656 -40.5 -0.5 -1 -2 NaN -1.5 1709 COCOA caleb_strategy_v1 [-1] 2698 None 2656.5 2656 2657 2657 2655 -41.5 -0.5 -1 -2 NaN -1.5 1708 SUGAR11 caleb_strategy_v1 [1] 21.14 None 20.955 20.96 20.95 20.95 20.96 0.185 -0.005 0 -0.01 NaN -0.005 1711 SUGAR11 caleb_strategy_v1 [1] 21.14 None 20.955 20.96 20.95 20.95 20.96 0.185 -0.005 0 -0.01 NaN -0.005 1712 GOLD_micro caleb_strategy_v1 [1] 1870 None 1902.75 1902.8 1902.7 1902.7 1902.8 -32.75 -0.05 0 -0.1 NaN -0.05 1707 GOLD_micro caleb_strategy_v1 [1] 1870 None 1901.4 1901.5 1901.3 1901.3 1901.6 -31.4 -0.1 -0.1 -0.3 NaN -0.2 1710 GOLD_micro caleb_strategy_v1 [1] 1870 None 1901.55 1901.6 1901.5 1901.5 1902.6 -31.55 -0.05 -1 -1.1 NaN -1.05 1714 NASDAQ caleb_strategy_v1 [-1] 11882.2 None 11947.4 11946.5 11948.2 11948.2 11946 65.125 -0.875 -0.5 -2.25 NaN -1.375 1715 GBP caleb_strategy_v1 [-1] 1.2064 None 1.2182 1.2181 1.2183 1.2183 1.2181 0.0118 -0.0001 -0 -0.0002 NaN -0.0001 1719 CHF caleb_strategy_v1 [1] 1.0974 None 1.11103 1.1111 1.11095 1.11095 1.11095 -0.013625 -7.5e-05 0.00015 0 NaN 7.5e-05 1721 US10U caleb_strategy_v1 [1] 119.281 None 121.82 121.828 121.812 121.812 121.812 -2.53906 -0.0078125 0.015625 0 NaN 0.0078125 1720 SP500 caleb_strategy_v1 [-1] 3910.5 None 3909.5 3909.25 3909.75 3909.75 3909 -1 -0.25 -0.25 -0.75 NaN -0.5 1725 SP500 caleb_strategy_v1 [-1] 3910.5 None 3910.38 3910.25 3910.5 3910.5 3910.25 -0.125 -0.125 -0 -0.25 NaN -0.125 1713 US30 caleb_strategy_v1 [1] 140.812 None 144.484 144.5 144.469 144.469 144.469 -3.67188 -0.015625 0.03125 0 NaN 0.015625 1722 US30 caleb_strategy_v1 [1] 140.812 None 144.453 144.469 144.438 144.438 144.469 -3.64062 -0.015625 0 -0.03125 NaN -0.015625 1729 US30 caleb_strategy_v1 [1] 140.812 None 144.359 144.375 144.344 144.344 144.406 -3.54688 -0.015625 -0.03125 -0.0625 NaN -0.046875 1726 US30 caleb_strategy_v1 [1] 140.812 None 144.391 144.406 144.375 144.375 144.375 -3.57812 -0.015625 0.03125 0 NaN 0.015625 1730 DOW caleb_strategy_v1 [1] 32208 None 32319.5 32320 32319 NaN 32313 -111.5 -0.5 7 NaN NaN 6.5 1732 DOW caleb_strategy_v1 [1] 32208 None 32346 32347 32345 32345 32345 -138 -1 2 0 NaN 1 1734 DOW caleb_strategy_v1 [1] 32208 None 32323 32324 32322 32322 32327 -115 -1 -3 -5 NaN -4 1736 DOW caleb_strategy_v1 [1] 32208 None 32331 32332 32330 32330 32332 -123 -1 0 -2 NaN -1 1738 DOW caleb_strategy_v1 [1] 32208 None 32336 32337 32335 32335 32340 -128 -1 -3 -5 NaN -4 1740 DOW caleb_strategy_v1 [1] 32208 None 32339 32340 32338 32338 32338 -131 -1 2 0 NaN 1 1742 DOW caleb_strategy_v1 [1] 32208 None 32345 32346 32344 32344 32346 -137 -1 0 -2 NaN -1 1744 DOW caleb_strategy_v1 [1] 32208 None 32347 32348 32346 32346 32349 -139 -1 -1 -3 NaN -2 1746 DOW caleb_strategy_v1 [1] 32208 None 32349 32350 32348 32348 32352 -141 -1 -2 -4 NaN -3 1716 DOW caleb_strategy_v1 [1] 31960 None 32110 32111 32109 32109 32109 -150 -1 2 0 NaN 1 1717 DOW caleb_strategy_v1 [1] 32208 None 32326 32327 32325 32325 32325 -118 -1 2 0 NaN 1 1748 DOW caleb_strategy_v1 [1] 32208 None 32344.5 32345 32344 32344 32350 -136.5 -0.5 -5 -6 NaN -5.5 1750 DOW caleb_strategy_v1 [1] 32208 None 32355 32356 32354 32354 32354 -147 -1 2 0 NaN 1 1752 DOW caleb_strategy_v1 [1] 32208 None 32344 32345 32343 32343 32342 -136 -1 3 1 NaN 2 1754 DOW caleb_strategy_v1 [1] 32208 None 32361 32362 32360 32360 32360 -153 -1 2 0 NaN 1 1723 DOW caleb_strategy_v1 [1] 32208 None 32331 32332 32330 32330 32330 -123 -1 2 0 NaN 1 1727 DOW caleb_strategy_v1 [1] 32208 None 32321.5 32323 32320 32320 32320 -113.5 -1.5 3 0 NaN 1.5 1728 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1771.25 1771.1 1771.4 1771.4 1771 -22.05 -0.15 -0.1 -0.4 NaN -0.25 1731 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1770.8 1770.7 1770.9 1770.9 1770.9 -22.5 -0.1 0.2 -0 NaN 0.1 1756 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1774.6 1774.5 1774.7 1774.7 1774.4 -18.7 -0.1 -0.1 -0.3 NaN -0.2 1733 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1772.2 1772.1 1772.3 1772.3 1771.8 -21.1 -0.1 -0.3 -0.5 NaN -0.4 1735 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1772.8 1772.7 1772.9 1772.9 1772.9 -20.5 -0.1 0.2 -0 NaN 0.1 1737 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1772.45 1772.3 1772.6 1772.6 1772.4 -20.85 -0.15 0.1 -0.2 NaN -0.05 1739 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1773.35 1773.3 1773.4 1773.4 1773 -19.95 -0.05 -0.3 -0.4 NaN -0.35 1741 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1773.4 1773.3 1773.5 1773.5 1773.5 -19.9 -0.1 0.2 -0 NaN 0.1 1743 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1773.8 1773.7 1773.9 1773.9 1773.6 -19.5 -0.1 -0.1 -0.3 NaN -0.2 1745 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1773.6 1773.5 1773.7 1773.7 1773.7 -19.7 -0.1 0.2 -0 NaN 0.1 1747 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1773.75 1773.7 1773.8 NaN 1773.9 -19.55 -0.05 0.2 NaN NaN 0.15 1749 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1774 1773.9 1774.1 1774.1 1774.1 -19.3 -0.1 0.2 -2.27374e-13 NaN 0.1 1718 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1771.85 1771.7 1772 1772 1772 -21.45 -0.15 0.3 -0 NaN 0.15 1751 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1774.15 1774 1774.3 1774.3 1774 -19.15 -0.15 -0 -0.3 NaN -0.15 1753 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1774.1 1774 1774.2 1774.2 1773.9 -19.2 -0.1 -0.1 -0.3 NaN -0.2 1755 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1774.6 1774.5 1774.7 1774.7 1774.7 -18.7 -0.1 0.2 -0 NaN 0.1 1724 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1772.15 1772 1772.3 1772.3 1772 -21.15 -0.15 -0 -0.3 NaN -0.15 1757 RUSSELL caleb_strategy_v1 [-1] 1793.3 None 1774.4 1774.3 1774.5 1774.5 1774.5 -18.9 -0.1 0.2 -0 NaN 0.1 1758 FEEDCOW caleb_strategy_v1 [1] 216.625 None 215.113 215.15 215.075 215.075 215.15 1.5125 -0.0375 0 -0.075 NaN -0.0375 1759 LEANHOG caleb_strategy_v1 [1] 102.55 None 102.175 102.2 102.15 102.15 102.2 0.375 -0.025 0 -0.05 NaN -0.025 ================================================================================================================================================================ 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 1701 BUND caleb_strategy_v1 [1] 13.159 3.79967 -3.79967 -15.1987 -22.798 NaN -18.9983 1704 DAX caleb_strategy_v1 [-1] 2292.27 575.848 -4.36248 4.36248 NaN NaN 0 1702 DAX caleb_strategy_v1 [-1] 2292.27 597.66 -4.36248 -8.72497 -17.4499 NaN -13.0875 1703 DAX caleb_strategy_v1 [-1] 2292.27 580.21 -4.36248 -4.36248 -13.0875 NaN -8.72497 1706 CRUDE_W caleb_strategy_v1 [1] 22.9266 750.22 -4.36175 -4.36175 -13.0852 NaN -8.72349 1705 COCOA caleb_strategy_v1 [-1] 536.472 -754.932 -9.32015 -18.6403 -37.2806 NaN -27.9605 1709 COCOA caleb_strategy_v1 [-1] 536.472 -773.573 -9.32015 -18.6403 -37.2806 NaN -27.9605 1708 SUGAR11 caleb_strategy_v1 [1] 4.92598 375.56 -10.1503 0 -20.3005 NaN -10.1503 1711 SUGAR11 caleb_strategy_v1 [1] 4.92598 375.56 -10.1503 0 -20.3005 NaN -10.1503 1712 GOLD_micro caleb_strategy_v1 [1] 311.163 -1052.5 -1.60687 0 -3.21375 NaN -1.60687 1707 GOLD_micro caleb_strategy_v1 [1] 311.163 -1009.12 -3.21375 -3.21375 -9.64124 NaN -6.4275 1710 GOLD_micro caleb_strategy_v1 [1] 311.163 -1013.94 -1.60687 -32.1375 -35.3512 NaN -33.7444 1714 NASDAQ caleb_strategy_v1 [-1] 2725.52 238.946 -3.2104 -1.83451 -8.25532 NaN -5.04492 1715 GBP caleb_strategy_v1 [-1] 0.135798 868.936 -7.36386 -0 -14.7277 NaN -7.36386 1719 CHF caleb_strategy_v1 [1] 0.106968 -1273.75 -7.01145 14.0229 0 NaN 7.01145 1721 US10U caleb_strategy_v1 [1] 12.0074 -2114.58 -6.5064 13.0128 0 NaN 6.5064 1720 SP500 caleb_strategy_v1 [-1] 675.511 -14.8036 -3.7009 -3.7009 -11.1027 NaN -7.4018 1725 SP500 caleb_strategy_v1 [-1] 675.511 -1.85045 -1.85045 -0 -3.7009 NaN -1.85045 1713 US30 caleb_strategy_v1 [1] 25.2872 -1452.07 -6.17902 12.358 0 NaN 6.17902 1722 US30 caleb_strategy_v1 [1] 25.2872 -1439.71 -6.17902 0 -12.358 NaN -6.17902 1729 US30 caleb_strategy_v1 [1] 25.2872 -1402.64 -6.17902 -12.358 -24.7161 NaN -18.537 1726 US30 caleb_strategy_v1 [1] 25.2872 -1414.99 -6.17902 12.358 0 NaN 6.17902 1730 DOW caleb_strategy_v1 [1] 4819.77 -231.339 -1.03739 14.5235 NaN NaN 13.4861 1732 DOW caleb_strategy_v1 [1] 4819.77 -286.321 -2.07479 4.14958 0 NaN 2.07479 1734 DOW caleb_strategy_v1 [1] 4819.77 -238.601 -2.07479 -6.22437 -10.3739 NaN -8.29916 1736 DOW caleb_strategy_v1 [1] 4819.77 -255.199 -2.07479 0 -4.14958 NaN -2.07479 1738 DOW caleb_strategy_v1 [1] 4819.77 -265.573 -2.07479 -6.22437 -10.3739 NaN -8.29916 1740 DOW caleb_strategy_v1 [1] 4819.77 -271.797 -2.07479 4.14958 0 NaN 2.07479 1742 DOW caleb_strategy_v1 [1] 4819.77 -284.246 -2.07479 0 -4.14958 NaN -2.07479 1744 DOW caleb_strategy_v1 [1] 4819.77 -288.396 -2.07479 -2.07479 -6.22437 NaN -4.14958 1746 DOW caleb_strategy_v1 [1] 4819.77 -292.545 -2.07479 -4.14958 -8.29916 NaN -6.22437 1716 DOW caleb_strategy_v1 [1] 4819.77 -311.218 -2.07479 4.14958 0 NaN 2.07479 1717 DOW caleb_strategy_v1 [1] 4819.77 -244.825 -2.07479 4.14958 0 NaN 2.07479 1748 DOW caleb_strategy_v1 [1] 4819.77 -283.209 -1.03739 -10.3739 -12.4487 NaN -11.4113 1750 DOW caleb_strategy_v1 [1] 4819.77 -304.994 -2.07479 4.14958 0 NaN 2.07479 1752 DOW caleb_strategy_v1 [1] 4819.77 -282.171 -2.07479 6.22437 2.07479 NaN 4.14958 1754 DOW caleb_strategy_v1 [1] 4819.77 -317.443 -2.07479 4.14958 0 NaN 2.07479 1723 DOW caleb_strategy_v1 [1] 4819.77 -255.199 -2.07479 4.14958 0 NaN 2.07479 1727 DOW caleb_strategy_v1 [1] 4819.77 -235.489 -3.11218 6.22437 0 NaN 3.11218 1728 RUSSELL caleb_strategy_v1 [-1] 428.749 -514.287 -3.49855 -2.33237 -9.32946 NaN -5.83091 1731 RUSSELL caleb_strategy_v1 [-1] 428.749 -524.782 -2.33237 4.66473 -0 NaN 2.33237 1756 RUSSELL caleb_strategy_v1 [-1] 428.749 -436.152 -2.33237 -2.33237 -6.9971 NaN -4.66473 1733 RUSSELL caleb_strategy_v1 [-1] 428.749 -492.129 -2.33237 -6.9971 -11.6618 NaN -9.32946 1735 RUSSELL caleb_strategy_v1 [-1] 428.749 -478.135 -2.33237 4.66473 -0 NaN 2.33237 1737 RUSSELL caleb_strategy_v1 [-1] 428.749 -486.298 -3.49855 2.33237 -4.66473 NaN -1.16618 1739 RUSSELL caleb_strategy_v1 [-1] 428.749 -465.307 -1.16618 -6.9971 -9.32946 NaN -8.16328 1741 RUSSELL caleb_strategy_v1 [-1] 428.749 -464.141 -2.33237 4.66473 -0 NaN 2.33237 1743 RUSSELL caleb_strategy_v1 [-1] 428.749 -454.811 -2.33237 -2.33237 -6.9971 NaN -4.66473 1745 RUSSELL caleb_strategy_v1 [-1] 428.749 -459.476 -2.33237 4.66473 -0 NaN 2.33237 1747 RUSSELL caleb_strategy_v1 [-1] 428.749 -455.977 -1.16618 4.66473 NaN NaN 3.49855 1749 RUSSELL caleb_strategy_v1 [-1] 428.749 -450.147 -2.33237 4.66473 -5.30319e-12 NaN 2.33237 1718 RUSSELL caleb_strategy_v1 [-1] 428.749 -500.292 -3.49855 6.9971 -0 NaN 3.49855 1751 RUSSELL caleb_strategy_v1 [-1] 428.749 -446.648 -3.49855 -0 -6.9971 NaN -3.49855 1753 RUSSELL caleb_strategy_v1 [-1] 428.749 -447.814 -2.33237 -2.33237 -6.9971 NaN -4.66473 1755 RUSSELL caleb_strategy_v1 [-1] 428.749 -436.152 -2.33237 4.66473 -0 NaN 2.33237 1724 RUSSELL caleb_strategy_v1 [-1] 428.749 -493.295 -3.49855 -0 -6.9971 NaN -3.49855 1757 RUSSELL caleb_strategy_v1 [-1] 428.749 -440.817 -2.33237 4.66473 -0 NaN 2.33237 1758 FEEDCOW caleb_strategy_v1 [1] 20.6009 734.19 -18.2031 0 -36.4061 NaN -18.2031 1759 LEANHOG caleb_strategy_v1 [1] 20.7063 181.105 -12.0736 0 -24.1473 NaN -12.0736 =========================================================================================================================================================================== 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 1701 BUND caleb_strategy_v1 [1] 1071.88 5.3594 -5.3594 -21.4376 -32.1564 NaN -26.797 1704 DAX caleb_strategy_v1 [-1] 1.07188 141.488 -1.07188 1.07188 NaN NaN 0 1702 DAX caleb_strategy_v1 [-1] 1.07188 146.848 -1.07188 -2.14376 -4.28752 NaN -3.21564 1703 DAX caleb_strategy_v1 [-1] 1.07188 142.56 -1.07188 -1.07188 -3.21564 NaN -2.14376 1706 CRUDE_W caleb_strategy_v1 [1] 1000 1720 -10 -10 -30 NaN -20 1705 COCOA caleb_strategy_v1 [-1] 10 -405 -5 -10 -20 NaN -15 1709 COCOA caleb_strategy_v1 [-1] 10 -415 -5 -10 -20 NaN -15 1708 SUGAR11 caleb_strategy_v1 [1] 1120 207.2 -5.6 0 -11.2 NaN -5.6 1711 SUGAR11 caleb_strategy_v1 [1] 1120 207.2 -5.6 0 -11.2 NaN -5.6 1712 GOLD_micro caleb_strategy_v1 [1] 10 -327.5 -0.5 0 -1 NaN -0.5 1707 GOLD_micro caleb_strategy_v1 [1] 10 -314 -1 -1 -3 NaN -2 1710 GOLD_micro caleb_strategy_v1 [1] 10 -315.5 -0.5 -10 -11 NaN -10.5 1714 NASDAQ caleb_strategy_v1 [-1] 20 1302.5 -17.5 -10 -45 NaN -27.5 1715 GBP caleb_strategy_v1 [-1] 62500 737.5 -6.25 -0 -12.5 NaN -6.25 1719 CHF caleb_strategy_v1 [1] 125000 -1703.13 -9.375 18.75 0 NaN 9.375 1721 US10U caleb_strategy_v1 [1] 1000 -2539.06 -7.8125 15.625 0 NaN 7.8125 1720 SP500 caleb_strategy_v1 [-1] 50 -50 -12.5 -12.5 -37.5 NaN -25 1725 SP500 caleb_strategy_v1 [-1] 50 -6.25 -6.25 -0 -12.5 NaN -6.25 1713 US30 caleb_strategy_v1 [1] 1000 -3671.88 -15.625 31.25 0 NaN 15.625 1722 US30 caleb_strategy_v1 [1] 1000 -3640.62 -15.625 0 -31.25 NaN -15.625 1729 US30 caleb_strategy_v1 [1] 1000 -3546.88 -15.625 -31.25 -62.5 NaN -46.875 1726 US30 caleb_strategy_v1 [1] 1000 -3578.12 -15.625 31.25 0 NaN 15.625 1730 DOW caleb_strategy_v1 [1] 0.5 -55.75 -0.25 3.5 NaN NaN 3.25 1732 DOW caleb_strategy_v1 [1] 0.5 -69 -0.5 1 0 NaN 0.5 1734 DOW caleb_strategy_v1 [1] 0.5 -57.5 -0.5 -1.5 -2.5 NaN -2 1736 DOW caleb_strategy_v1 [1] 0.5 -61.5 -0.5 0 -1 NaN -0.5 1738 DOW caleb_strategy_v1 [1] 0.5 -64 -0.5 -1.5 -2.5 NaN -2 1740 DOW caleb_strategy_v1 [1] 0.5 -65.5 -0.5 1 0 NaN 0.5 1742 DOW caleb_strategy_v1 [1] 0.5 -68.5 -0.5 0 -1 NaN -0.5 1744 DOW caleb_strategy_v1 [1] 0.5 -69.5 -0.5 -0.5 -1.5 NaN -1 1746 DOW caleb_strategy_v1 [1] 0.5 -70.5 -0.5 -1 -2 NaN -1.5 1716 DOW caleb_strategy_v1 [1] 0.5 -75 -0.5 1 0 NaN 0.5 1717 DOW caleb_strategy_v1 [1] 0.5 -59 -0.5 1 0 NaN 0.5 1748 DOW caleb_strategy_v1 [1] 0.5 -68.25 -0.25 -2.5 -3 NaN -2.75 1750 DOW caleb_strategy_v1 [1] 0.5 -73.5 -0.5 1 0 NaN 0.5 1752 DOW caleb_strategy_v1 [1] 0.5 -68 -0.5 1.5 0.5 NaN 1 1754 DOW caleb_strategy_v1 [1] 0.5 -76.5 -0.5 1 0 NaN 0.5 1723 DOW caleb_strategy_v1 [1] 0.5 -61.5 -0.5 1 0 NaN 0.5 1727 DOW caleb_strategy_v1 [1] 0.5 -56.75 -0.75 1.5 0 NaN 0.75 1728 RUSSELL caleb_strategy_v1 [-1] 5 -110.25 -0.75 -0.5 -2 NaN -1.25 1731 RUSSELL caleb_strategy_v1 [-1] 5 -112.5 -0.5 1 -0 NaN 0.5 1756 RUSSELL caleb_strategy_v1 [-1] 5 -93.5 -0.5 -0.5 -1.5 NaN -1 1733 RUSSELL caleb_strategy_v1 [-1] 5 -105.5 -0.5 -1.5 -2.5 NaN -2 1735 RUSSELL caleb_strategy_v1 [-1] 5 -102.5 -0.5 1 -0 NaN 0.5 1737 RUSSELL caleb_strategy_v1 [-1] 5 -104.25 -0.75 0.5 -1 NaN -0.25 1739 RUSSELL caleb_strategy_v1 [-1] 5 -99.75 -0.25 -1.5 -2 NaN -1.75 1741 RUSSELL caleb_strategy_v1 [-1] 5 -99.5 -0.5 1 -0 NaN 0.5 1743 RUSSELL caleb_strategy_v1 [-1] 5 -97.5 -0.5 -0.5 -1.5 NaN -1 1745 RUSSELL caleb_strategy_v1 [-1] 5 -98.5 -0.5 1 -0 NaN 0.5 1747 RUSSELL caleb_strategy_v1 [-1] 5 -97.75 -0.25 1 NaN NaN 0.75 1749 RUSSELL caleb_strategy_v1 [-1] 5 -96.5 -0.5 1 -1.13687e-12 NaN 0.5 1718 RUSSELL caleb_strategy_v1 [-1] 5 -107.25 -0.75 1.5 -0 NaN 0.75 1751 RUSSELL caleb_strategy_v1 [-1] 5 -95.75 -0.75 -0 -1.5 NaN -0.75 1753 RUSSELL caleb_strategy_v1 [-1] 5 -96 -0.5 -0.5 -1.5 NaN -1 1755 RUSSELL caleb_strategy_v1 [-1] 5 -93.5 -0.5 1 -0 NaN 0.5 1724 RUSSELL caleb_strategy_v1 [-1] 5 -105.75 -0.75 -0 -1.5 NaN -0.75 1757 RUSSELL caleb_strategy_v1 [-1] 5 -94.5 -0.5 1 -0 NaN 0.5 1758 FEEDCOW caleb_strategy_v1 [1] 500 756.25 -18.75 0 -37.5 NaN -18.75 1759 LEANHOG caleb_strategy_v1 [1] 400 150 -10 0 -20 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 5.35940 CHF -1703.12500 COCOA -820.00000 CRUDE_W 1720.00000 DAX 430.89576 DOW -1120.25000 FEEDCOW 756.25000 GBP 737.50000 GOLD_micro -957.00000 LEANHOG 150.00000 NASDAQ 1302.50000 RUSSELL -1810.75000 SP500 -56.25000 SUGAR11 414.40000 US10U -2539.06250 US30 -14437.50000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -17927.03234 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.35940 CHF -9.37500 COCOA -10.00000 CRUDE_W -10.00000 DAX -3.21564 DOW -8.25000 FEEDCOW -18.75000 GBP -6.25000 GOLD_micro -2.00000 LEANHOG -10.00000 NASDAQ -17.50000 RUSSELL -9.75000 SP500 -18.75000 SUGAR11 -11.20000 US10U -7.81250 US30 -62.50000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -210.71254 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND -21.43760 CHF 18.75000 COCOA -20.00000 CRUDE_W -10.00000 DAX -2.14376 DOW 6.50000 FEEDCOW 0.00000 GBP -0.00000 GOLD_micro -11.00000 LEANHOG 0.00000 NASDAQ -10.00000 RUSSELL 5.00000 SP500 -12.50000 SUGAR11 0.00000 US10U 15.62500 US30 31.25000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -9.95636 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -32.15640 CHF 0.00000 COCOA -40.00000 CRUDE_W -30.00000 DAX -7.50316 DOW -13.00000 FEEDCOW -37.50000 GBP -12.50000 GOLD_micro -15.00000 LEANHOG -20.00000 NASDAQ -45.00000 RUSSELL -15.00000 SP500 -50.00000 SUGAR11 -22.40000 US10U 0.00000 US30 -93.75000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -433.80956 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CHF 0 COCOA 0 CRUDE_W 0 DAX 0 DOW 0 FEEDCOW 0 GBP 0 GOLD_micro 0 LEANHOG 0 NASDAQ 0 RUSSELL 0 SP500 0 SUGAR11 0 US10U 0 US30 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 -26.7970 CHF 9.3750 COCOA -30.0000 CRUDE_W -20.0000 DAX -5.3594 DOW -1.7500 FEEDCOW -18.7500 GBP -6.2500 GOLD_micro -13.0000 LEANHOG -10.0000 NASDAQ -27.5000 RUSSELL -4.7500 SP500 -31.2500 SUGAR11 -11.2000 US10U 7.8125 US30 -31.2500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -220.6689 ******************************************************************************** END OF REPORT ********************************************************************************