******************************************************************************** Trades report report produced on 17/03/2023 21:36 from 16/03/2023 21:36 to 17/03/2023 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1874 BTP caleb_strategy_v1 [20230600] 2023-03-17 08:00:03 [-1] 115.040000 1875 CAC caleb_strategy_v1 [20230400] 2023-03-17 08:00:04 [-1] 7083.500000 1881 COCOA caleb_strategy_v1 [20230500] 2023-03-17 14:00:05 [1] 2736.000000 1879 CRUDE_W caleb_strategy_v1 [20231200] 2023-03-17 14:00:03 [-1] 66.220000 1876 DAX caleb_strategy_v1 [20230600] 2023-03-17 08:00:05 [-1] 15198.000000 1877 DAX caleb_strategy_v1 [20230600] 2023-03-17 08:00:07 [-1] 15200.000000 1887 EUR caleb_strategy_v1 [20230600] 2023-03-17 15:00:04 [-1] 1.069150 1895 GBP caleb_strategy_v1 [20230600] 2023-03-17 15:00:15 [1] 1.217800 1888 GBP caleb_strategy_v1 [20230600] 2023-03-17 15:00:06 [1] 1.217800 1899 GBP caleb_strategy_v1 [20230600] 2023-03-17 15:00:19 [1] 1.217800 1878 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-17 14:00:01 [1] 1958.500000 1892 NASDAQ caleb_strategy_v1 [20230600] 2023-03-17 15:00:11 [1] 12640.250000 1884 NASDAQ caleb_strategy_v1 [20230600] 2023-03-17 15:00:01 [1] 12640.750000 1882 PLAT caleb_strategy_v1 [20230400] 2023-03-17 14:00:08 [1] 987.900000 1923 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:43 [1] 1740.400000 1924 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:46 [1] 1740.500000 1925 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:48 [1] 1740.500000 1894 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:00:13 [1] 1745.500000 1922 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:42 [1] 1740.700000 1898 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:00:18 [1] 1744.900000 1911 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:07 [1] 1741.600000 1905 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:01:36 [1] 1742.900000 1908 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:01:52 [1] 1740.900000 1921 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:40 [1] 1740.600000 1913 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:15 [1] 1741.000000 1915 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:29 [1] 1740.700000 1917 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:32 [1] 1741.000000 1902 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:01:25 [1] 1742.200000 1920 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:38 [1] 1740.300000 1919 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:02:36 [1] 1740.600000 1886 RUSSELL caleb_strategy_v1 [20230600] 2023-03-17 15:00:03 [1] 1744.200000 1906 SP400 caleb_strategy_v1 [20230600] 2023-03-17 15:01:37 [-1] 2390.800000 1889 SP400 caleb_strategy_v1 [20230600] 2023-03-17 15:00:08 [-1] 2393.200000 1896 SP400 caleb_strategy_v1 [20230600] 2023-03-17 15:00:15 [-1] 2394.200000 1909 SP400 caleb_strategy_v1 [20230600] 2023-03-17 15:02:01 [-1] 2389.600000 1900 SP400 caleb_strategy_v1 [20230600] 2023-03-17 15:00:20 [-1] 2393.500000 1903 SP400 caleb_strategy_v1 [20230600] 2023-03-17 15:01:34 [-1] 2391.000000 1891 SP500 caleb_strategy_v1 [20230600] 2023-03-17 15:00:10 [1] 3949.000000 1883 SP500 caleb_strategy_v1 [20230600] 2023-03-17 15:00:00 [1] 3948.500000 1880 SUGAR11 caleb_strategy_v1 [20230500] 2023-03-17 14:00:04 [1] 20.640000 1893 US5 caleb_strategy_v1 [20230600] 2023-03-17 15:00:12 [1] 109.984375 1885 US5 caleb_strategy_v1 [20230600] 2023-03-17 15:00:02 [1] 109.968750 1910 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:02:06 [1] 25.150000 1897 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:00:17 [1] 25.150000 1901 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:00:22 [1] 25.150000 1904 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:01:34 [1] 25.150000 1918 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:02:35 [1] 25.300000 1916 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:02:31 [1] 25.250000 1914 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:02:28 [1] 25.300000 1912 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:02:13 [1] 25.200000 1907 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:01:50 [1] 25.200000 1890 VIX caleb_strategy_v1 [20230600] 2023-03-17 15:00:09 [1] 25.150000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1874 BTP caleb_strategy_v1 2023-03-16 2023-03-17 08:00:02.206 2023-03-17 08:00:03 115202 0.794 1875 CAC caleb_strategy_v1 2023-03-16 2023-03-17 08:00:04.261 2023-03-17 08:00:04 115204 NaN 1876 DAX caleb_strategy_v1 2023-03-16 2023-03-17 08:00:05.142 2023-03-17 08:00:05 115205 NaN 1877 DAX caleb_strategy_v1 2023-03-16 2023-03-17 08:00:06.685 2023-03-17 08:00:07 115207 0.315 1878 GOLD_micro caleb_strategy_v1 2023-03-16 2023-03-17 14:00:01.004 2023-03-17 14:00:01 136801 NaN 1879 CRUDE_W caleb_strategy_v1 2023-03-16 2023-03-17 14:00:01.740 2023-03-17 14:00:03 136802 1.26 1880 SUGAR11 caleb_strategy_v1 2023-03-16 2023-03-17 14:00:04.512 2023-03-17 14:00:04 136805 NaN 1881 COCOA caleb_strategy_v1 2023-03-16 2023-03-17 14:00:05.379 2023-03-17 14:00:05 136805 NaN 1882 PLAT caleb_strategy_v1 2023-03-16 2023-03-17 14:00:06.185 2023-03-17 14:00:08 136806 1.815 1887 EUR caleb_strategy_v1 2023-03-16 2023-03-17 15:00:04.241 2023-03-17 15:00:04 140404 NaN 1891 SP500 caleb_strategy_v1 2023-03-16 2023-03-17 15:00:10.449 2023-03-17 15:00:10 140410 NaN 1883 SP500 caleb_strategy_v1 2023-03-16 2023-03-17 15:00:00.901 2023-03-17 15:00:00 140401 NaN 1892 NASDAQ caleb_strategy_v1 2023-03-16 2023-03-17 15:00:11.044 2023-03-17 15:00:11 140411 NaN 1884 NASDAQ caleb_strategy_v1 2023-03-16 2023-03-17 15:00:01.575 2023-03-17 15:00:01 140402 NaN 1893 US5 caleb_strategy_v1 2023-03-16 2023-03-17 15:00:11.684 2023-03-17 15:00:12 140412 0.316 1885 US5 caleb_strategy_v1 2023-03-16 2023-03-17 15:00:02.352 2023-03-17 15:00:02 140402 NaN 1888 GBP caleb_strategy_v1 2023-03-16 2023-03-17 15:00:05.208 2023-03-17 15:00:06 140405 0.792 1899 GBP caleb_strategy_v1 2023-03-16 2023-03-17 15:00:19.191 2023-03-17 15:00:19 140419 NaN 1895 GBP caleb_strategy_v1 2023-03-16 2023-03-17 15:00:13.743 2023-03-17 15:00:15 140414 1.257 1889 SP400 caleb_strategy_v1 2023-03-16 2023-03-17 15:00:06.539 2023-03-17 15:00:08 140407 1.461 1896 SP400 caleb_strategy_v1 2023-03-16 2023-03-17 15:00:15.343 2023-03-17 15:00:15 140415 NaN 1900 SP400 caleb_strategy_v1 2023-03-16 2023-03-17 15:00:19.587 2023-03-17 15:00:20 140420 0.413 1903 SP400 caleb_strategy_v1 2023-03-16 2023-03-17 15:01:26.176 2023-03-17 15:01:34 140486 7.824 1906 SP400 caleb_strategy_v1 2023-03-16 2023-03-17 15:01:36.764 2023-03-17 15:01:37 140497 0.236 1909 SP400 caleb_strategy_v1 2023-03-16 2023-03-17 15:01:52.450 2023-03-17 15:02:01 140512 8.55 1890 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:00:09.301 2023-03-17 15:00:09 140409 NaN 1897 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:00:15.691 2023-03-17 15:00:17 140416 1.309 1901 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:00:20.533 2023-03-17 15:00:22 140421 1.467 1904 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:01:34.413 2023-03-17 15:01:34 140494 NaN 1907 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:01:37.804 2023-03-17 15:01:50 140498 12.196 1910 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:02:01.802 2023-03-17 15:02:06 140522 4.198 1912 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:02:07.936 2023-03-17 15:02:13 140528 5.064 1914 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:02:15.391 2023-03-17 15:02:28 140535 12.609 1916 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:02:29.650 2023-03-17 15:02:31 140550 1.35 1918 VIX caleb_strategy_v1 2023-03-16 2023-03-17 15:02:33.215 2023-03-17 15:02:35 140553 1.785 1920 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:38.142 2023-03-17 15:02:38 140558 NaN 1921 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:39.501 2023-03-17 15:02:40 140560 0.499 1922 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:41.442 2023-03-17 15:02:42 140561 0.558 1923 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:43.202 2023-03-17 15:02:43 140563 NaN 1924 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:44.529 2023-03-17 15:02:46 140565 1.471 1925 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:47.562 2023-03-17 15:02:48 140568 0.438 1894 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:00:13.258 2023-03-17 15:00:13 140413 NaN 1898 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:00:18.678 2023-03-17 15:00:18 140419 NaN 1902 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:01:24.769 2023-03-17 15:01:25 140485 0.231 1905 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:01:35.603 2023-03-17 15:01:36 140496 0.397 1908 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:01:51.994 2023-03-17 15:01:52 140512 0.006 1911 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:07.434 2023-03-17 15:02:07 140527 NaN 1913 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:14.628 2023-03-17 15:02:15 140535 0.372 1915 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:29.262 2023-03-17 15:02:29 140549 NaN 1917 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:32.674 2023-03-17 15:02:32 140553 NaN 1886 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:00:03.237 2023-03-17 15:00:03 140403 NaN 1919 RUSSELL caleb_strategy_v1 2023-03-16 2023-03-17 15:02:36.574 2023-03-17 15:02:36 140557 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 1874 BTP caleb_strategy_v1 [-1] 114.7 None 115.12 115.11 115.13 115.13 115.04 0.42 -0.01 -0.07 -0.09 NaN -0.08 1875 CAC caleb_strategy_v1 [-1] 7089.5 None 7081.25 7081 7081.5 7081.5 7083.5 -8.25 -0.25 2.5 2 NaN 2.25 1876 DAX caleb_strategy_v1 [-1] 15195 None 15197 15196 15198 15198 15198 2 -1 2 -0 NaN 1 1877 DAX caleb_strategy_v1 [-1] 15195 None 15199 15198 15200 15200 15200 4 -1 2 -0 NaN 1 1878 GOLD_micro caleb_strategy_v1 [1] 1923.5 None 1957.7 1958 1957.4 1957.4 1958.5 -34.2 -0.3 -0.5 -1.1 NaN -0.8 1879 CRUDE_W caleb_strategy_v1 [-1] 67.31 None 66.2 66.18 66.22 66.22 66.22 -1.11 -0.02 0.04 -0 NaN 0.02 1880 SUGAR11 caleb_strategy_v1 [1] 20.74 None 20.635 20.64 20.63 20.63 20.64 0.105 -0.005 0 -0.01 NaN -0.005 1881 COCOA caleb_strategy_v1 [1] 2674 None 2735.5 2736 2735 2735 2736 -61.5 -0.5 0 -1 NaN -0.5 1882 PLAT caleb_strategy_v1 [1] 980.1 None 988.25 988.6 987.9 987.9 987.9 -8.15 -0.35 0.7 1.13687e-13 NaN 0.35 1887 EUR caleb_strategy_v1 [-1] 1.0671 None 1.0692 1.06915 1.06925 1.06925 1.06915 0.0021 -5e-05 -0 -0.0001 NaN -5e-05 1891 SP500 caleb_strategy_v1 [1] 3994.75 None 3949.12 3949.25 3949 3949 3949 45.625 -0.125 0.25 0 NaN 0.125 1883 SP500 caleb_strategy_v1 [1] 3994.75 None 3948.62 3948.75 3948.5 3948.5 3948.5 46.125 -0.125 0.25 0 NaN 0.125 1892 NASDAQ caleb_strategy_v1 [1] 12704.8 None 12640.6 12641 12640.2 12640.2 12640.2 64.125 -0.375 0.75 0 NaN 0.375 1884 NASDAQ caleb_strategy_v1 [1] 12704.8 None 12639.1 12639.5 12638.8 12638.8 12640.8 65.625 -0.375 -1.25 -2 NaN -1.625 1893 US5 caleb_strategy_v1 [1] 109.016 None 109.988 109.992 109.984 109.984 109.984 -0.972656 -0.00390625 0.0078125 0 NaN 0.00390625 1885 US5 caleb_strategy_v1 [1] 109.016 None 109.973 109.977 109.969 109.969 109.969 -0.957031 -0.00390625 0.0078125 0 NaN 0.00390625 1888 GBP caleb_strategy_v1 [1] 1.2141 None 1.21765 1.2177 1.2176 1.2176 1.2178 -0.00355 -5e-05 -0.0001 -0.0002 NaN -0.00015 1899 GBP caleb_strategy_v1 [1] 1.2141 None 1.2178 1.2178 1.2178 1.2178 1.2178 -0.0037 0 0 0 NaN 0 1895 GBP caleb_strategy_v1 [1] 1.2141 None 1.21775 1.2178 1.2177 1.2177 1.2178 -0.00365 -5e-05 0 -0.0001 NaN -5e-05 1889 SP400 caleb_strategy_v1 [-1] 2447.5 None 2393.45 2393.1 2393.8 2393.8 2393.2 -54.05 -0.35 0.1 -0.6 NaN -0.25 1896 SP400 caleb_strategy_v1 [-1] 2447.5 None 2393.45 2393.2 2393.7 NaN 2394.2 -54.05 -0.25 1 NaN NaN 0.75 1900 SP400 caleb_strategy_v1 [-1] 2447.5 None 2393.9 2393.6 2394.2 2394.2 2393.5 -53.6 -0.3 -0.1 -0.7 NaN -0.4 1903 SP400 caleb_strategy_v1 [-1] 2447.5 None 2390.65 2390.3 2391 2391 2391 -56.85 -0.35 0.7 -0 NaN 0.35 1906 SP400 caleb_strategy_v1 [-1] 2447.5 None 2391.5 2391.2 2391.8 2391.8 2390.8 -56 -0.3 -0.4 -1 NaN -0.7 1909 SP400 caleb_strategy_v1 [-1] 2447.5 None 2389.35 2389.1 2389.6 2389.6 2389.6 -58.15 -0.25 0.5 -0 NaN 0.25 1890 VIX caleb_strategy_v1 [1] 24.05 None 25.125 25.15 25.1 NaN 25.15 -1.075 -0.025 0 NaN NaN -0.025 1897 VIX caleb_strategy_v1 [1] 24.05 None 25.125 25.15 25.1 25.1 25.15 -1.075 -0.025 0 -0.05 NaN -0.025 1901 VIX caleb_strategy_v1 [1] 24.05 None 25.125 25.15 25.1 25.1 25.15 -1.075 -0.025 0 -0.05 NaN -0.025 1904 VIX caleb_strategy_v1 [1] 24.05 None 25.125 25.15 25.1 NaN 25.15 -1.075 -0.025 0 NaN NaN -0.025 1907 VIX caleb_strategy_v1 [1] 24.05 None 25.175 25.2 25.15 25.15 25.2 -1.125 -0.025 0 -0.05 NaN -0.025 1910 VIX caleb_strategy_v1 [1] 24.05 None 25.175 25.2 25.15 25.15 25.15 -1.125 -0.025 0.05 3.55271e-15 NaN 0.025 1912 VIX caleb_strategy_v1 [1] 24.05 None 25.175 25.2 25.15 25.15 25.2 -1.125 -0.025 0 -0.05 NaN -0.025 1914 VIX caleb_strategy_v1 [1] 24.05 None 25.225 25.25 25.2 25.2 25.3 -1.175 -0.025 -0.05 -0.1 NaN -0.075 1916 VIX caleb_strategy_v1 [1] 24.05 None 25.275 25.3 25.25 25.25 25.25 -1.225 -0.025 0.05 0 NaN 0.025 1918 VIX caleb_strategy_v1 [1] 24.05 None 25.225 25.25 25.2 25.2 25.3 -1.175 -0.025 -0.05 -0.1 NaN -0.075 1920 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.4 1740.5 1740.3 1740.3 1740.3 47.6 -0.1 0.2 2.27374e-13 NaN 0.1 1921 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.65 1740.7 1740.6 1740.6 1740.6 47.35 -0.05 0.1 2.27374e-13 NaN 0.05 1922 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.6 1740.7 1740.5 1740.5 1740.7 47.4 -0.1 0 -0.2 NaN -0.1 1923 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.55 1740.6 1740.5 1740.5 1740.4 47.45 -0.05 0.2 0.1 NaN 0.15 1924 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.55 1740.6 1740.5 1740.5 1740.5 47.45 -0.05 0.1 0 NaN 0.05 1925 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.4 1740.5 1740.3 1740.3 1740.5 47.6 -0.1 0 -0.2 NaN -0.1 1894 RUSSELL caleb_strategy_v1 [1] 1788 None 1745.55 1745.6 1745.5 1745.5 1745.5 42.45 -0.05 0.1 0 NaN 0.05 1898 RUSSELL caleb_strategy_v1 [1] 1788 None 1744.7 1744.8 1744.6 1744.6 1744.9 43.3 -0.1 -0.1 -0.3 NaN -0.2 1902 RUSSELL caleb_strategy_v1 [1] 1788 None 1742 1742.1 1741.9 1741.9 1742.2 46 -0.1 -0.1 -0.3 NaN -0.2 1905 RUSSELL caleb_strategy_v1 [1] 1788 None 1742.9 1743 1742.8 1742.8 1742.9 45.1 -0.1 0.1 -0.1 NaN 0 1908 RUSSELL caleb_strategy_v1 [1] 1788 None 1742.85 1742.9 1742.8 NaN 1740.9 45.15 -0.05 2 NaN NaN 1.95 1911 RUSSELL caleb_strategy_v1 [1] 1788 None 1741.5 1741.6 1741.4 1741.4 1741.6 46.5 -0.1 0 -0.2 NaN -0.1 1913 RUSSELL caleb_strategy_v1 [1] 1788 None 1741.1 1741.2 1741 1741 1741 46.9 -0.1 0.2 0 NaN 0.1 1915 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.75 1740.8 1740.7 1740.7 1740.7 47.25 -0.05 0.1 0 NaN 0.05 1917 RUSSELL caleb_strategy_v1 [1] 1788 None 1741.05 1741.1 1741 1741 1741 46.95 -0.05 0.1 0 NaN 0.05 1886 RUSSELL caleb_strategy_v1 [1] 1788 None 1744.3 1744.4 1744.2 1744.2 1744.2 43.7 -0.1 0.2 0 NaN 0.1 1919 RUSSELL caleb_strategy_v1 [1] 1788 None 1740.45 1740.5 1740.4 1740.4 1740.6 47.55 -0.05 -0.1 -0.2 NaN -0.15 ================================================================================================================================================================ 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 1874 BTP caleb_strategy_v1 [-1] 14.9635 280.683 -6.68293 -46.7805 -60.1463 NaN -53.4634 1875 CAC caleb_strategy_v1 [-1] 1492.1 -55.2912 -1.67549 16.7549 13.4039 NaN 15.0794 1876 DAX caleb_strategy_v1 [-1] 3111.72 6.42731 -3.21366 6.42731 -0 NaN 3.21366 1877 DAX caleb_strategy_v1 [-1] 3111.72 12.8546 -3.21366 6.42731 -0 NaN 3.21366 1878 GOLD_micro caleb_strategy_v1 [1] 336.054 -1017.69 -8.92714 -14.8786 -32.7329 NaN -23.8057 1879 CRUDE_W caleb_strategy_v1 [-1] 24.072 -461.117 -8.30842 16.6168 -0 NaN 8.30842 1880 SUGAR11 caleb_strategy_v1 [1] 4.696 223.595 -10.6474 0 -21.2947 NaN -10.6474 1881 COCOA caleb_strategy_v1 [1] 588.155 -1045.64 -8.50116 0 -17.0023 NaN -8.50116 1882 PLAT caleb_strategy_v1 [1] 326.496 -249.62 -10.7199 21.4397 3.48202e-12 NaN 10.7199 1887 EUR caleb_strategy_v1 [-1] 0.0972058 216.037 -5.14373 -0 -10.2875 NaN -5.14373 1891 SP500 caleb_strategy_v1 [1] 721.777 632.12 -1.73184 3.46367 0 NaN 1.73184 1883 SP500 caleb_strategy_v1 [1] 721.777 639.047 -1.73184 3.46367 0 NaN 1.73184 1892 NASDAQ caleb_strategy_v1 [1] 2849.08 225.073 -1.31622 2.63243 0 NaN 1.31622 1884 NASDAQ caleb_strategy_v1 [1] 2849.08 230.338 -1.31622 -4.38738 -7.01982 NaN -5.7036 1893 US5 caleb_strategy_v1 [1] 9.02907 -1077.25 -4.3263 8.6526 0 NaN 4.3263 1885 US5 caleb_strategy_v1 [1] 9.02907 -1059.94 -4.3263 8.6526 0 NaN 4.3263 1888 GBP caleb_strategy_v1 [1] 0.13167 -269.614 -3.79738 -7.59475 -15.1895 NaN -11.3921 1899 GBP caleb_strategy_v1 [1] 0.13167 -281.006 0 0 0 NaN 0 1895 GBP caleb_strategy_v1 [1] 0.13167 -277.208 -3.79738 0 -7.59475 NaN -3.79738 1889 SP400 caleb_strategy_v1 [-1] 565.242 -956.227 -6.19204 1.76915 -10.6149 NaN -4.42288 1896 SP400 caleb_strategy_v1 [-1] 565.242 -956.227 -4.42288 17.6915 NaN NaN 13.2687 1900 SP400 caleb_strategy_v1 [-1] 565.242 -948.266 -5.30746 -1.76915 -12.3841 NaN -7.07661 1903 SP400 caleb_strategy_v1 [-1] 565.242 -1005.76 -6.19204 12.3841 -0 NaN 6.19204 1906 SP400 caleb_strategy_v1 [-1] 565.242 -990.726 -5.30746 -7.07661 -17.6915 NaN -12.3841 1909 SP400 caleb_strategy_v1 [-1] 565.242 -1028.76 -4.42288 8.84577 -0 NaN 4.42288 1890 VIX caleb_strategy_v1 [1] 15.0423 -714.651 -16.6198 0 NaN NaN -16.6198 1897 VIX caleb_strategy_v1 [1] 15.0423 -714.651 -16.6198 0 -33.2396 NaN -16.6198 1901 VIX caleb_strategy_v1 [1] 15.0423 -714.651 -16.6198 0 -33.2396 NaN -16.6198 1904 VIX caleb_strategy_v1 [1] 15.0423 -714.651 -16.6198 0 NaN NaN -16.6198 1907 VIX caleb_strategy_v1 [1] 15.0423 -747.891 -16.6198 0 -33.2396 NaN -16.6198 1910 VIX caleb_strategy_v1 [1] 15.0423 -747.891 -16.6198 33.2396 2.36181e-12 NaN 16.6198 1912 VIX caleb_strategy_v1 [1] 15.0423 -747.891 -16.6198 0 -33.2396 NaN -16.6198 1914 VIX caleb_strategy_v1 [1] 15.0423 -781.13 -16.6198 -33.2396 -66.4792 NaN -49.8594 1916 VIX caleb_strategy_v1 [1] 15.0423 -814.37 -16.6198 33.2396 0 NaN 16.6198 1918 VIX caleb_strategy_v1 [1] 15.0423 -781.13 -16.6198 -33.2396 -66.4792 NaN -49.8594 1920 RUSSELL caleb_strategy_v1 [1] 453.841 1048.82 -2.20341 4.40683 5.00998e-12 NaN 2.20341 1921 RUSSELL caleb_strategy_v1 [1] 453.841 1043.32 -1.10171 2.20341 5.00998e-12 NaN 1.10171 1922 RUSSELL caleb_strategy_v1 [1] 453.841 1044.42 -2.20341 0 -4.40683 NaN -2.20341 1923 RUSSELL caleb_strategy_v1 [1] 453.841 1045.52 -1.10171 4.40683 2.20341 NaN 3.30512 1924 RUSSELL caleb_strategy_v1 [1] 453.841 1045.52 -1.10171 2.20341 0 NaN 1.10171 1925 RUSSELL caleb_strategy_v1 [1] 453.841 1048.82 -2.20341 0 -4.40683 NaN -2.20341 1894 RUSSELL caleb_strategy_v1 [1] 453.841 935.349 -1.10171 2.20341 0 NaN 1.10171 1898 RUSSELL caleb_strategy_v1 [1] 453.841 954.078 -2.20341 -2.20341 -6.61024 NaN -4.40683 1902 RUSSELL caleb_strategy_v1 [1] 453.841 1013.57 -2.20341 -2.20341 -6.61024 NaN -4.40683 1905 RUSSELL caleb_strategy_v1 [1] 453.841 993.739 -2.20341 2.20341 -2.20341 NaN 0 1908 RUSSELL caleb_strategy_v1 [1] 453.841 994.841 -1.10171 44.0683 NaN NaN 42.9665 1911 RUSSELL caleb_strategy_v1 [1] 453.841 1024.59 -2.20341 0 -4.40683 NaN -2.20341 1913 RUSSELL caleb_strategy_v1 [1] 453.841 1033.4 -2.20341 4.40683 0 NaN 2.20341 1915 RUSSELL caleb_strategy_v1 [1] 453.841 1041.11 -1.10171 2.20341 0 NaN 1.10171 1917 RUSSELL caleb_strategy_v1 [1] 453.841 1034.5 -1.10171 2.20341 0 NaN 1.10171 1886 RUSSELL caleb_strategy_v1 [1] 453.841 962.891 -2.20341 4.40683 0 NaN 2.20341 1919 RUSSELL caleb_strategy_v1 [1] 453.841 1047.72 -1.10171 -2.20341 -4.40683 NaN -3.30512 =========================================================================================================================================================================== 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 1874 BTP caleb_strategy_v1 [-1] 1066.48 447.922 -10.6648 -74.6536 -95.9832 NaN -85.3184 1875 CAC caleb_strategy_v1 [-1] 10.6648 -87.9846 -2.6662 26.662 21.3296 NaN 23.9958 1876 DAX caleb_strategy_v1 [-1] 1.06648 2.13296 -1.06648 2.13296 -0 NaN 1.06648 1877 DAX caleb_strategy_v1 [-1] 1.06648 4.26592 -1.06648 2.13296 -0 NaN 1.06648 1878 GOLD_micro caleb_strategy_v1 [1] 10 -342 -3 -5 -11 NaN -8 1879 CRUDE_W caleb_strategy_v1 [-1] 1000 -1110 -20 40 -0 NaN 20 1880 SUGAR11 caleb_strategy_v1 [1] 1120 117.6 -5.6 0 -11.2 NaN -5.6 1881 COCOA caleb_strategy_v1 [1] 10 -615 -5 0 -10 NaN -5 1882 PLAT caleb_strategy_v1 [1] 50 -407.5 -17.5 35 5.68434e-12 NaN 17.5 1887 EUR caleb_strategy_v1 [-1] 125000 262.5 -6.25 -0 -12.5 NaN -6.25 1891 SP500 caleb_strategy_v1 [1] 50 2281.25 -6.25 12.5 0 NaN 6.25 1883 SP500 caleb_strategy_v1 [1] 50 2306.25 -6.25 12.5 0 NaN 6.25 1892 NASDAQ caleb_strategy_v1 [1] 20 1282.5 -7.5 15 0 NaN 7.5 1884 NASDAQ caleb_strategy_v1 [1] 20 1312.5 -7.5 -25 -40 NaN -32.5 1893 US5 caleb_strategy_v1 [1] 1000 -972.656 -3.90625 7.8125 0 NaN 3.90625 1885 US5 caleb_strategy_v1 [1] 1000 -957.031 -3.90625 7.8125 0 NaN 3.90625 1888 GBP caleb_strategy_v1 [1] 62500 -221.875 -3.125 -6.25 -12.5 NaN -9.375 1899 GBP caleb_strategy_v1 [1] 62500 -231.25 0 0 0 NaN 0 1895 GBP caleb_strategy_v1 [1] 62500 -228.125 -3.125 0 -6.25 NaN -3.125 1889 SP400 caleb_strategy_v1 [-1] 100 -5405 -35 10 -60 NaN -25 1896 SP400 caleb_strategy_v1 [-1] 100 -5405 -25 100 NaN NaN 75 1900 SP400 caleb_strategy_v1 [-1] 100 -5360 -30 -10 -70 NaN -40 1903 SP400 caleb_strategy_v1 [-1] 100 -5685 -35 70 -0 NaN 35 1906 SP400 caleb_strategy_v1 [-1] 100 -5600 -30 -40 -100 NaN -70 1909 SP400 caleb_strategy_v1 [-1] 100 -5815 -25 50 -0 NaN 25 1890 VIX caleb_strategy_v1 [1] 1000 -1075 -25 0 NaN NaN -25 1897 VIX caleb_strategy_v1 [1] 1000 -1075 -25 0 -50 NaN -25 1901 VIX caleb_strategy_v1 [1] 1000 -1075 -25 0 -50 NaN -25 1904 VIX caleb_strategy_v1 [1] 1000 -1075 -25 0 NaN NaN -25 1907 VIX caleb_strategy_v1 [1] 1000 -1125 -25 0 -50 NaN -25 1910 VIX caleb_strategy_v1 [1] 1000 -1125 -25 50 3.55271e-12 NaN 25 1912 VIX caleb_strategy_v1 [1] 1000 -1125 -25 0 -50 NaN -25 1914 VIX caleb_strategy_v1 [1] 1000 -1175 -25 -50 -100 NaN -75 1916 VIX caleb_strategy_v1 [1] 1000 -1225 -25 50 0 NaN 25 1918 VIX caleb_strategy_v1 [1] 1000 -1175 -25 -50 -100 NaN -75 1920 RUSSELL caleb_strategy_v1 [1] 5 238 -0.5 1 1.13687e-12 NaN 0.5 1921 RUSSELL caleb_strategy_v1 [1] 5 236.75 -0.25 0.5 1.13687e-12 NaN 0.25 1922 RUSSELL caleb_strategy_v1 [1] 5 237 -0.5 0 -1 NaN -0.5 1923 RUSSELL caleb_strategy_v1 [1] 5 237.25 -0.25 1 0.5 NaN 0.75 1924 RUSSELL caleb_strategy_v1 [1] 5 237.25 -0.25 0.5 0 NaN 0.25 1925 RUSSELL caleb_strategy_v1 [1] 5 238 -0.5 0 -1 NaN -0.5 1894 RUSSELL caleb_strategy_v1 [1] 5 212.25 -0.25 0.5 0 NaN 0.25 1898 RUSSELL caleb_strategy_v1 [1] 5 216.5 -0.5 -0.5 -1.5 NaN -1 1902 RUSSELL caleb_strategy_v1 [1] 5 230 -0.5 -0.5 -1.5 NaN -1 1905 RUSSELL caleb_strategy_v1 [1] 5 225.5 -0.5 0.5 -0.5 NaN 0 1908 RUSSELL caleb_strategy_v1 [1] 5 225.75 -0.25 10 NaN NaN 9.75 1911 RUSSELL caleb_strategy_v1 [1] 5 232.5 -0.5 0 -1 NaN -0.5 1913 RUSSELL caleb_strategy_v1 [1] 5 234.5 -0.5 1 0 NaN 0.5 1915 RUSSELL caleb_strategy_v1 [1] 5 236.25 -0.25 0.5 0 NaN 0.25 1917 RUSSELL caleb_strategy_v1 [1] 5 234.75 -0.25 0.5 0 NaN 0.25 1886 RUSSELL caleb_strategy_v1 [1] 5 218.5 -0.5 1 0 NaN 0.5 1919 RUSSELL caleb_strategy_v1 [1] 5 237.75 -0.25 -0.5 -1 NaN -0.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP 447.92160 CAC -87.98460 COCOA -615.00000 CRUDE_W -1110.00000 DAX 6.39888 EUR 262.50000 GBP -681.25000 GOLD_micro -342.00000 NASDAQ 2595.00000 PLAT -407.50000 RUSSELL 3928.50000 SP400 -33270.00000 SP500 4587.50000 SUGAR11 117.60000 US5 -1929.68750 VIX -11250.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -37748.00162 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -10.66480 CAC -2.66620 COCOA -5.00000 CRUDE_W -20.00000 DAX -2.13296 EUR -6.25000 GBP -6.25000 GOLD_micro -3.00000 NASDAQ -15.00000 PLAT -17.50000 RUSSELL -6.50000 SP400 -180.00000 SP500 -12.50000 SUGAR11 -5.60000 US5 -7.81250 VIX -250.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -550.87646 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP -74.65360 CAC 26.66200 COCOA 0.00000 CRUDE_W 40.00000 DAX 4.26592 EUR -0.00000 GBP -6.25000 GOLD_micro -5.00000 NASDAQ -10.00000 PLAT 35.00000 RUSSELL 15.50000 SP400 180.00000 SP500 25.00000 SUGAR11 0.00000 US5 15.62500 VIX 0.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 246.14932 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP -9.598320e+01 CAC 2.132960e+01 COCOA -1.000000e+01 CRUDE_W -0.000000e+00 DAX -0.000000e+00 EUR -1.250000e+01 GBP -1.875000e+01 GOLD_micro -1.100000e+01 NASDAQ -4.000000e+01 PLAT 5.684342e-12 RUSSELL -7.000000e+00 SP400 -2.300000e+02 SP500 0.000000e+00 SUGAR11 -1.120000e+01 US5 0.000000e+00 VIX -4.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -815.1036 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 CAC 0 COCOA 0 CRUDE_W 0 DAX 0 EUR 0 GBP 0 GOLD_micro 0 NASDAQ 0 PLAT 0 RUSSELL 0 SP400 0 SP500 0 SUGAR11 0 US5 0 VIX 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 BTP -8.531840e+01 CAC 2.399580e+01 COCOA -5.000000e+00 CRUDE_W 2.000000e+01 DAX 2.132960e+00 EUR -6.250000e+00 GBP -1.250000e+01 GOLD_micro -8.000000e+00 NASDAQ -2.500000e+01 PLAT 1.750000e+01 RUSSELL 9.000000e+00 SP400 4.547474e-11 SP500 1.250000e+01 SUGAR11 -5.600000e+00 US5 7.812500e+00 VIX -2.500000e+02 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -304.72714 ******************************************************************************** END OF REPORT ********************************************************************************