******************************************************************************** Trades report report produced on 04/05/2023 21:37 from 03/05/2023 21:37 to 04/05/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2617 BITCOIN caleb_strategy_v1 [20230500] 2023-05-04 15:00:43 [-1] 28880.000000 2614 BITCOIN caleb_strategy_v1 [20230500] 2023-05-04 15:00:20 [-1] 28880.000000 2603 CAC caleb_strategy_v1 [20230500] 2023-05-04 08:00:04 [-1] 7356.000000 2604 CAC caleb_strategy_v1 [20230500] 2023-05-04 08:00:06 [-1] 7356.500000 2602 DAX caleb_strategy_v1 [20230600] 2023-05-04 08:00:03 [-1] 15891.000000 2613 DOW caleb_strategy_v1 [20230600] 2023-05-04 15:00:13 [-1] 33232.000000 2612 EUR caleb_strategy_v1 [20230600] 2023-05-04 15:00:12 [-1] 1.105150 2605 GASOIL caleb_strategy_v1 [20230600] 2023-05-04 09:00:06 [-1] 646.750000 2608 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-04 14:00:08 [1] 2045.300000 2609 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-04 14:00:10 [1] 2045.200000 2607 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-04 14:00:04 [1] 2045.000000 2606 HEATOIL caleb_strategy_v1 [20230800] 2023-05-04 14:00:03 [-1] 2.245600 2648 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:36 [1] 1723.400000 2647 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:33 [1] 1723.400000 2646 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:31 [1] 1723.600000 2645 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:29 [1] 1723.800000 2641 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:21 [1] 1724.000000 2643 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:25 [1] 1723.300000 2642 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:23 [1] 1723.500000 2649 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:38 [1] 1723.300000 2640 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:19 [1] 1723.800000 2644 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:27 [1] 1723.600000 2650 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:40 [1] 1723.800000 2656 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:54 [1] 1722.500000 2652 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:45 [1] 1723.900000 2653 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:47 [1] 1723.600000 2654 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:49 [1] 1723.500000 2655 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:52 [1] 1723.000000 2639 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:16 [1] 1723.500000 2657 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:56 [1] 1722.600000 2658 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:58 [1] 1722.600000 2659 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:03:00 [1] 1722.700000 2660 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:03:03 [1] 1723.100000 2661 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:03:05 [1] 1723.100000 2651 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:42 [1] 1724.000000 2638 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:14 [1] 1723.100000 2632 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:56 [1] 1721.300000 2636 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:10 [1] 1722.600000 2615 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:00:22 [1] 1723.700000 2618 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:00:44 [1] 1723.300000 2620 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:31 [1] 1722.100000 2621 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:33 [1] 1722.200000 2622 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:35 [1] 1722.100000 2623 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:37 [1] 1721.700000 2637 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:12 [1] 1722.600000 2625 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:41 [1] 1721.600000 2626 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:43 [1] 1721.900000 2624 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:39 [1] 1722.200000 2628 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:47 [1] 1722.000000 2629 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:49 [1] 1721.800000 2630 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:51 [1] 1721.800000 2631 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:53 [1] 1721.800000 2662 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:03:07 [1] 1723.600000 2633 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:58 [1] 1721.300000 2634 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:01 [1] 1721.600000 2635 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:02:07 [1] 1722.800000 2627 RUSSELL caleb_strategy_v1 [20230600] 2023-05-04 15:01:45 [1] 1721.900000 2611 US5 caleb_strategy_v1 [20230600] 2023-05-04 15:00:10 [1] 110.726563 2619 VIX caleb_strategy_v1 [20230700] 2023-05-04 15:01:30 [1] 23.700000 2610 VIX caleb_strategy_v1 [20230700] 2023-05-04 15:00:06 [1] 23.750000 2616 VIX caleb_strategy_v1 [20230700] 2023-05-04 15:00:42 [1] 23.700000 2663 WHEAT caleb_strategy_v1 [20231200] 2023-05-04 15:30:01 [-1] 664.500000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2602 DAX caleb_strategy_v1 2023-05-03 2023-05-04 08:00:02.891 2023-05-04 08:00:03 115203 0.109 2603 CAC caleb_strategy_v1 2023-05-03 2023-05-04 08:00:04.215 2023-05-04 08:00:04 115204 NaN 2604 CAC caleb_strategy_v1 2023-05-03 2023-05-04 08:00:06.421 2023-05-04 08:00:06 115206 NaN 2605 GASOIL caleb_strategy_v1 2023-05-03 2023-05-04 09:00:01.863 2023-05-04 09:00:06 118802 4.137 2606 HEATOIL caleb_strategy_v1 2023-05-03 2023-05-04 14:00:02.091 2023-05-04 14:00:03 136802 0.909 2608 GOLD_micro caleb_strategy_v1 2023-05-03 2023-05-04 14:00:06.537 2023-05-04 14:00:08 136807 1.463 2609 GOLD_micro caleb_strategy_v1 2023-05-03 2023-05-04 14:00:10.061 2023-05-04 14:00:10 136810 NaN 2607 GOLD_micro caleb_strategy_v1 2023-05-03 2023-05-04 14:00:03.754 2023-05-04 14:00:04 136804 0.246 2611 US5 caleb_strategy_v1 2023-05-03 2023-05-04 15:00:07.720 2023-05-04 15:00:10 140408 2.28 2612 EUR caleb_strategy_v1 2023-05-03 2023-05-04 15:00:10.929 2023-05-04 15:00:12 140411 1.071 2613 DOW caleb_strategy_v1 2023-05-03 2023-05-04 15:00:13.083 2023-05-04 15:00:13 140413 NaN 2617 BITCOIN caleb_strategy_v1 2023-05-03 2023-05-04 15:00:43.244 2023-05-04 15:00:43 140443 NaN 2614 BITCOIN caleb_strategy_v1 2023-05-03 2023-05-04 15:00:13.938 2023-05-04 15:00:20 140414 6.062 2616 VIX caleb_strategy_v1 2023-05-03 2023-05-04 15:00:23.836 2023-05-04 15:00:42 140424 18.164 2610 VIX caleb_strategy_v1 2023-05-03 2023-05-04 15:00:01.751 2023-05-04 15:00:06 140402 4.249 2619 VIX caleb_strategy_v1 2023-05-03 2023-05-04 15:01:20.686 2023-05-04 15:01:30 140481 9.314 2615 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:00:21.001 2023-05-04 15:00:22 140421 0.999 2618 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:00:43.717 2023-05-04 15:00:44 140444 0.283 2620 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:31.254 2023-05-04 15:01:31 140491 NaN 2621 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:33.101 2023-05-04 15:01:33 140493 NaN 2622 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:35.293 2023-05-04 15:01:35 140495 NaN 2623 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:37.207 2023-05-04 15:01:37 140497 NaN 2624 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:39.006 2023-05-04 15:01:39 140499 NaN 2625 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:41.401 2023-05-04 15:01:41 140501 NaN 2626 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:43.209 2023-05-04 15:01:43 140503 NaN 2627 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:45.294 2023-05-04 15:01:45 140505 NaN 2628 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:47.262 2023-05-04 15:01:47 140507 NaN 2629 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:49.638 2023-05-04 15:01:49 140510 NaN 2630 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:51.490 2023-05-04 15:01:51 140511 NaN 2631 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:53.561 2023-05-04 15:01:53 140514 NaN 2632 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:55.912 2023-05-04 15:01:56 140516 0.088 2633 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:01:58.245 2023-05-04 15:01:58 140518 NaN 2634 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:01.322 2023-05-04 15:02:01 140521 NaN 2635 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:07.317 2023-05-04 15:02:07 140527 NaN 2636 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:09.801 2023-05-04 15:02:10 140530 0.199 2637 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:11.986 2023-05-04 15:02:12 140532 0.014 2638 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:14.133 2023-05-04 15:02:14 140534 NaN 2639 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:16.098 2023-05-04 15:02:16 140536 NaN 2640 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:18.714 2023-05-04 15:02:19 140539 0.286 2641 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:20.927 2023-05-04 15:02:21 140541 0.073 2642 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:23.038 2023-05-04 15:02:23 140543 NaN 2643 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:24.857 2023-05-04 15:02:25 140545 0.143 2644 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:26.991 2023-05-04 15:02:27 140547 0.009 2645 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:29.453 2023-05-04 15:02:29 140549 NaN 2646 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:31.733 2023-05-04 15:02:31 140552 NaN 2647 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:33.663 2023-05-04 15:02:33 140554 NaN 2648 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:35.850 2023-05-04 15:02:36 140556 0.15 2649 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:37.942 2023-05-04 15:02:38 140558 0.058 2650 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:39.924 2023-05-04 15:02:40 140560 0.076 2651 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:42.347 2023-05-04 15:02:42 140562 NaN 2652 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:44.734 2023-05-04 15:02:45 140565 0.266 2653 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:47.405 2023-05-04 15:02:47 140567 NaN 2654 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:49.268 2023-05-04 15:02:49 140569 NaN 2655 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:51.273 2023-05-04 15:02:52 140571 0.727 2656 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:54.006 2023-05-04 15:02:54 140574 NaN 2657 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:56.085 2023-05-04 15:02:56 140576 NaN 2658 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:02:58.240 2023-05-04 15:02:58 140578 NaN 2659 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:03:00.271 2023-05-04 15:03:00 140580 NaN 2660 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:03:03.065 2023-05-04 15:03:03 140583 NaN 2661 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:03:05.305 2023-05-04 15:03:05 140585 NaN 2662 RUSSELL caleb_strategy_v1 2023-05-03 2023-05-04 15:03:07.514 2023-05-04 15:03:07 140588 NaN 2663 WHEAT caleb_strategy_v1 2023-05-03 2023-05-04 15:30:01.215 2023-05-04 15:30:01 142201 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 2602 DAX caleb_strategy_v1 [-1] 15948 None 15894 15893 15895 NaN 15891 -54 -1 -2 NaN NaN -3 2603 CAC caleb_strategy_v1 [-1] 7404.5 None 7357.5 7357 7358 7358 7356 -47 -0.5 -1 -2 NaN -1.5 2604 CAC caleb_strategy_v1 [-1] 7404.5 None 7356.25 7356 7356.5 7356.5 7356.5 -48.25 -0.25 0.5 -0 NaN 0.25 2605 GASOIL caleb_strategy_v1 [-1] 641.25 None 647.125 647 647.25 647.25 646.75 5.875 -0.125 -0.25 -0.5 NaN -0.375 2606 HEATOIL caleb_strategy_v1 [-1] 2.2393 None 2.24575 2.2451 2.2464 2.2464 2.2456 0.00645 -0.00065 0.0005 -0.0008 NaN -0.00015 2608 GOLD_micro caleb_strategy_v1 [1] 2028.8 None 2045.15 2045.2 2045.1 2045.1 2045.3 -16.35 -0.05 -0.1 -0.2 NaN -0.15 2609 GOLD_micro caleb_strategy_v1 [1] 2028.8 None 2045.15 2045.2 2045.1 2045.1 2045.2 -16.35 -0.05 0 -0.1 NaN -0.05 2607 GOLD_micro caleb_strategy_v1 [1] 2028.8 None 2044.8 2044.9 2044.7 2044.7 2045 -16 -0.1 -0.1 -0.3 NaN -0.2 2611 US5 caleb_strategy_v1 [1] 110.438 None 110.723 110.727 110.719 110.719 110.727 -0.285156 -0.00390625 -5e-07 -0.007813 NaN -0.00390675 2612 EUR caleb_strategy_v1 [-1] 1.1078 None 1.10513 1.1051 1.10515 1.10515 1.10515 -0.002675 -2.5e-05 5e-05 -0 NaN 2.5e-05 2613 DOW caleb_strategy_v1 [-1] 33710 None 33232.5 33232 33233 33233 33232 -477.5 -0.5 -0 -1 NaN -0.5 2617 BITCOIN caleb_strategy_v1 [-1] 28545 None 28885 28880 28890 NaN 28880 340 -5 -0 NaN NaN -5 2614 BITCOIN caleb_strategy_v1 [-1] 28545 None 28880 28875 28885 28885 28880 335 -5 5 -5 NaN 0 2616 VIX caleb_strategy_v1 [1] 23.1 None 23.725 23.75 23.7 23.7 23.7 -0.625 -0.025 0.05 3.55271e-15 NaN 0.025 2610 VIX caleb_strategy_v1 [1] 23.1 None 23.775 23.8 23.75 23.75 23.75 -0.675 -0.025 0.05 0 NaN 0.025 2619 VIX caleb_strategy_v1 [1] 23.1 None 23.725 23.75 23.7 23.7 23.7 -0.625 -0.025 0.05 3.55271e-15 NaN 0.025 2615 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.45 1723.5 1723.4 1723.4 1723.7 31.85 -0.05 -0.2 -0.3 NaN -0.25 2618 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.4 1723.5 1723.3 1723.3 1723.3 31.9 -0.1 0.2 2.27374e-13 NaN 0.1 2620 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.1 1722.2 1722 1722 1722.1 33.2 -0.1 0.1 -0.1 NaN 0 2621 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.65 1721.7 1721.6 1721.6 1722.2 33.65 -0.05 -0.5 -0.6 NaN -0.55 2622 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.1 1722.2 1722 1722 1722.1 33.2 -0.1 0.1 -0.1 NaN 0 2623 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.95 1722 1721.9 1721.9 1721.7 33.35 -0.05 0.3 0.2 NaN 0.25 2624 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722 1722.1 1721.9 1721.9 1722.2 33.3 -0.1 -0.1 -0.3 NaN -0.2 2625 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.7 1721.8 1721.6 1721.6 1721.6 33.6 -0.1 0.2 2.27374e-13 NaN 0.1 2626 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.7 1721.8 1721.6 1721.6 1721.9 33.6 -0.1 -0.1 -0.3 NaN -0.2 2627 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.7 1721.8 1721.6 1721.6 1721.9 33.6 -0.1 -0.1 -0.3 NaN -0.2 2628 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.1 1722.2 1722 1722 1722 33.2 -0.1 0.2 0 NaN 0.1 2629 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.85 1721.9 1721.8 1721.8 1721.8 33.45 -0.05 0.1 2.27374e-13 NaN 0.05 2630 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.7 1721.8 1721.6 1721.6 1721.8 33.6 -0.1 0 -0.2 NaN -0.1 2631 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.85 1721.9 1721.8 1721.8 1721.8 33.45 -0.05 0.1 2.27374e-13 NaN 0.05 2632 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.4 1721.5 1721.3 1721.3 1721.3 33.9 -0.1 0.2 2.27374e-13 NaN 0.1 2633 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.25 1721.3 1721.2 1721.2 1721.3 34.05 -0.05 0 -0.1 NaN -0.05 2634 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1721.7 1721.8 1721.6 1721.6 1721.6 33.6 -0.1 0.2 2.27374e-13 NaN 0.1 2635 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.85 1722.9 1722.8 1722.8 1722.8 32.45 -0.05 0.1 2.27374e-13 NaN 0.05 2636 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.7 1722.8 1722.6 1722.6 1722.6 32.6 -0.1 0.2 2.27374e-13 NaN 0.1 2637 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.25 1722.3 1722.2 1722.2 1722.6 33.05 -0.05 -0.3 -0.4 NaN -0.35 2638 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.3 1723.4 1723.2 1723.2 1723.1 32 -0.1 0.3 0.1 NaN 0.2 2639 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.25 1723.3 1723.2 1723.2 1723.5 32.05 -0.05 -0.2 -0.3 NaN -0.25 2640 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.8 1723.9 1723.7 1723.7 1723.8 31.5 -0.1 0.1 -0.1 NaN 2.27374e-13 2641 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1724.05 1724.1 1724 1724 1724 31.25 -0.05 0.1 0 NaN 0.05 2642 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.8 1723.9 1723.7 1723.7 1723.5 31.5 -0.1 0.4 0.2 NaN 0.3 2643 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.35 1723.4 1723.3 1723.3 1723.3 31.95 -0.05 0.1 2.27374e-13 NaN 0.05 2644 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.5 1723.6 1723.4 1723.4 1723.6 31.8 -0.1 0 -0.2 NaN -0.1 2645 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.2 1723.3 1723.1 1723.1 1723.8 32.1 -0.1 -0.5 -0.7 NaN -0.6 2646 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.65 1723.7 1723.6 1723.6 1723.6 31.65 -0.05 0.1 2.27374e-13 NaN 0.05 2647 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.25 1723.3 1723.2 1723.2 1723.4 32.05 -0.05 -0.1 -0.2 NaN -0.15 2648 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723 1723.1 1722.9 1722.9 1723.4 32.3 -0.1 -0.3 -0.5 NaN -0.4 2649 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.3 1723.4 1723.2 1723.2 1723.3 32 -0.1 0.1 -0.1 NaN 2.27374e-13 2650 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.75 1723.8 1723.7 1723.7 1723.8 31.55 -0.05 0 -0.1 NaN -0.05 2651 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.8 1723.9 1723.7 1723.7 1724 31.5 -0.1 -0.1 -0.3 NaN -0.2 2652 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.75 1723.8 1723.7 1723.7 1723.9 31.55 -0.05 -0.1 -0.2 NaN -0.15 2653 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.35 1723.4 1723.3 1723.3 1723.6 31.95 -0.05 -0.2 -0.3 NaN -0.25 2654 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.3 1723.4 1723.2 1723.2 1723.5 32 -0.1 -0.1 -0.3 NaN -0.2 2655 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.9 1723 1722.8 1722.8 1723 32.4 -0.1 0 -0.2 NaN -0.1 2656 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.4 1722.5 1722.3 1722.3 1722.5 32.9 -0.1 0 -0.2 NaN -0.1 2657 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.5 1722.6 1722.4 1722.4 1722.6 32.8 -0.1 0 -0.2 NaN -0.1 2658 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.55 1722.6 1722.5 1722.5 1722.6 32.75 -0.05 0 -0.1 NaN -0.05 2659 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.8 1722.9 1722.7 1722.7 1722.7 32.5 -0.1 0.2 0 NaN 0.1 2660 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.65 1722.7 1722.6 1722.6 1723.1 32.65 -0.05 -0.4 -0.5 NaN -0.45 2661 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1722.9 1723 1722.8 1722.8 1723.1 32.4 -0.1 -0.1 -0.3 NaN -0.2 2662 RUSSELL caleb_strategy_v1 [1] 1755.3 None 1723.4 1723.5 1723.3 1723.3 1723.6 31.9 -0.1 -0.1 -0.3 NaN -0.2 2663 WHEAT caleb_strategy_v1 [-1] 668.5 None 664.75 664.5 665 665 664.5 -3.75 -0.25 -0 -0.5 NaN -0.25 ================================================================================================================================================================ 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 2602 DAX caleb_strategy_v1 [-1] 2175.87 -248.177 -4.59586 -9.19173 NaN NaN -13.7876 2603 CAC caleb_strategy_v1 [-1] 998.4 -470.753 -5.00801 -10.016 -20.032 NaN -15.024 2604 CAC caleb_strategy_v1 [-1] 998.4 -483.273 -2.50401 5.00801 -0 NaN 2.50401 2605 GASOIL caleb_strategy_v1 [-1] 273.331 214.94 -4.5732 -9.1464 -18.2928 NaN -13.7196 2606 HEATOIL caleb_strategy_v1 [-1] 0.840998 76.6946 -7.72891 5.94532 -9.51251 NaN -1.7836 2608 GOLD_micro caleb_strategy_v1 [1] 294.371 -555.421 -1.69854 -3.39707 -6.79414 NaN -5.09561 2609 GOLD_micro caleb_strategy_v1 [1] 294.371 -555.421 -1.69854 0 -3.39707 NaN -1.69854 2607 GOLD_micro caleb_strategy_v1 [1] 294.371 -543.531 -3.39707 -3.39707 -10.1912 NaN -6.79414 2611 US5 caleb_strategy_v1 [1] 7.25055 -393.289 -5.38752 -0.000689603 -10.7757 NaN -5.38821 2612 EUR caleb_strategy_v1 [-1] 0.0842174 -317.63 -2.96851 5.93701 -0 NaN 2.96851 2613 DOW caleb_strategy_v1 [-1] 4524.72 -1055.31 -1.10504 -0 -2.21008 NaN -1.10504 2617 BITCOIN caleb_strategy_v1 [-1] 17209.4 197.566 -2.90539 -0 NaN NaN -2.90539 2614 BITCOIN caleb_strategy_v1 [-1] 17209.4 194.661 -2.90539 2.90539 -2.90539 NaN 0 2616 VIX caleb_strategy_v1 [1] 9.89612 -631.561 -25.2624 50.5249 3.59001e-12 NaN 25.2624 2610 VIX caleb_strategy_v1 [1] 9.89612 -682.086 -25.2624 50.5249 0 NaN 25.2624 2619 VIX caleb_strategy_v1 [1] 9.89612 -631.561 -25.2624 50.5249 3.59001e-12 NaN 25.2624 2615 RUSSELL caleb_strategy_v1 [1] 372.854 854.221 -1.34101 -5.36403 -8.04604 NaN -6.70503 2618 RUSSELL caleb_strategy_v1 [1] 372.854 855.562 -2.68201 5.36403 6.09819e-12 NaN 2.68201 2620 RUSSELL caleb_strategy_v1 [1] 372.854 890.428 -2.68201 2.68201 -2.68201 NaN 0 2621 RUSSELL caleb_strategy_v1 [1] 372.854 902.497 -1.34101 -13.4101 -16.0921 NaN -14.7511 2622 RUSSELL caleb_strategy_v1 [1] 372.854 890.428 -2.68201 2.68201 -2.68201 NaN 0 2623 RUSSELL caleb_strategy_v1 [1] 372.854 894.451 -1.34101 8.04604 5.36403 NaN 6.70503 2624 RUSSELL caleb_strategy_v1 [1] 372.854 893.11 -2.68201 -2.68201 -8.04604 NaN -5.36403 2625 RUSSELL caleb_strategy_v1 [1] 372.854 901.156 -2.68201 5.36403 6.09819e-12 NaN 2.68201 2626 RUSSELL caleb_strategy_v1 [1] 372.854 901.156 -2.68201 -2.68201 -8.04604 NaN -5.36403 2627 RUSSELL caleb_strategy_v1 [1] 372.854 901.156 -2.68201 -2.68201 -8.04604 NaN -5.36403 2628 RUSSELL caleb_strategy_v1 [1] 372.854 890.428 -2.68201 5.36403 0 NaN 2.68201 2629 RUSSELL caleb_strategy_v1 [1] 372.854 897.133 -1.34101 2.68201 6.09819e-12 NaN 1.34101 2630 RUSSELL caleb_strategy_v1 [1] 372.854 901.156 -2.68201 0 -5.36403 NaN -2.68201 2631 RUSSELL caleb_strategy_v1 [1] 372.854 897.133 -1.34101 2.68201 6.09819e-12 NaN 1.34101 2632 RUSSELL caleb_strategy_v1 [1] 372.854 909.203 -2.68201 5.36403 6.09819e-12 NaN 2.68201 2633 RUSSELL caleb_strategy_v1 [1] 372.854 913.226 -1.34101 0 -2.68201 NaN -1.34101 2634 RUSSELL caleb_strategy_v1 [1] 372.854 901.156 -2.68201 5.36403 6.09819e-12 NaN 2.68201 2635 RUSSELL caleb_strategy_v1 [1] 372.854 870.313 -1.34101 2.68201 6.09819e-12 NaN 1.34101 2636 RUSSELL caleb_strategy_v1 [1] 372.854 874.336 -2.68201 5.36403 6.09819e-12 NaN 2.68201 2637 RUSSELL caleb_strategy_v1 [1] 372.854 886.405 -1.34101 -8.04604 -10.7281 NaN -9.38705 2638 RUSSELL caleb_strategy_v1 [1] 372.854 858.244 -2.68201 8.04604 2.68201 NaN 5.36403 2639 RUSSELL caleb_strategy_v1 [1] 372.854 859.585 -1.34101 -5.36403 -8.04604 NaN -6.70503 2640 RUSSELL caleb_strategy_v1 [1] 372.854 844.834 -2.68201 2.68201 -2.68201 NaN 6.09819e-12 2641 RUSSELL caleb_strategy_v1 [1] 372.854 838.129 -1.34101 2.68201 0 NaN 1.34101 2642 RUSSELL caleb_strategy_v1 [1] 372.854 844.834 -2.68201 10.7281 5.36403 NaN 8.04604 2643 RUSSELL caleb_strategy_v1 [1] 372.854 856.903 -1.34101 2.68201 6.09819e-12 NaN 1.34101 2644 RUSSELL caleb_strategy_v1 [1] 372.854 852.88 -2.68201 0 -5.36403 NaN -2.68201 2645 RUSSELL caleb_strategy_v1 [1] 372.854 860.926 -2.68201 -13.4101 -18.7741 NaN -16.0921 2646 RUSSELL caleb_strategy_v1 [1] 372.854 848.857 -1.34101 2.68201 6.09819e-12 NaN 1.34101 2647 RUSSELL caleb_strategy_v1 [1] 372.854 859.585 -1.34101 -2.68201 -5.36403 NaN -4.02302 2648 RUSSELL caleb_strategy_v1 [1] 372.854 866.29 -2.68201 -8.04604 -13.4101 NaN -10.7281 2649 RUSSELL caleb_strategy_v1 [1] 372.854 858.244 -2.68201 2.68201 -2.68201 NaN 6.09819e-12 2650 RUSSELL caleb_strategy_v1 [1] 372.854 846.175 -1.34101 0 -2.68201 NaN -1.34101 2651 RUSSELL caleb_strategy_v1 [1] 372.854 844.834 -2.68201 -2.68201 -8.04604 NaN -5.36403 2652 RUSSELL caleb_strategy_v1 [1] 372.854 846.175 -1.34101 -2.68201 -5.36403 NaN -4.02302 2653 RUSSELL caleb_strategy_v1 [1] 372.854 856.903 -1.34101 -5.36403 -8.04604 NaN -6.70503 2654 RUSSELL caleb_strategy_v1 [1] 372.854 858.244 -2.68201 -2.68201 -8.04604 NaN -5.36403 2655 RUSSELL caleb_strategy_v1 [1] 372.854 868.972 -2.68201 0 -5.36403 NaN -2.68201 2656 RUSSELL caleb_strategy_v1 [1] 372.854 882.382 -2.68201 0 -5.36403 NaN -2.68201 2657 RUSSELL caleb_strategy_v1 [1] 372.854 879.7 -2.68201 0 -5.36403 NaN -2.68201 2658 RUSSELL caleb_strategy_v1 [1] 372.854 878.359 -1.34101 0 -2.68201 NaN -1.34101 2659 RUSSELL caleb_strategy_v1 [1] 372.854 871.654 -2.68201 5.36403 0 NaN 2.68201 2660 RUSSELL caleb_strategy_v1 [1] 372.854 875.677 -1.34101 -10.7281 -13.4101 NaN -12.0691 2661 RUSSELL caleb_strategy_v1 [1] 372.854 868.972 -2.68201 -2.68201 -8.04604 NaN -5.36403 2662 RUSSELL caleb_strategy_v1 [1] 372.854 855.562 -2.68201 -2.68201 -8.04604 NaN -5.36403 2663 WHEAT caleb_strategy_v1 [-1] 216.357 -173.324 -11.555 -0 -23.1099 NaN -11.555 =========================================================================================================================================================================== 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 2602 DAX caleb_strategy_v1 [-1] 1.1083 -59.8482 -1.1083 -2.2166 NaN NaN -3.3249 2603 CAC caleb_strategy_v1 [-1] 11.083 -520.901 -5.5415 -11.083 -22.166 NaN -16.6245 2604 CAC caleb_strategy_v1 [-1] 11.083 -534.755 -2.77075 5.5415 -0 NaN 2.77075 2605 GASOIL caleb_strategy_v1 [-1] 100 587.5 -12.5 -25 -50 NaN -37.5 2606 HEATOIL caleb_strategy_v1 [-1] 42000 270.9 -27.3 21 -33.6 NaN -6.3 2608 GOLD_micro caleb_strategy_v1 [1] 10 -163.5 -0.5 -1 -2 NaN -1.5 2609 GOLD_micro caleb_strategy_v1 [1] 10 -163.5 -0.5 0 -1 NaN -0.5 2607 GOLD_micro caleb_strategy_v1 [1] 10 -160 -1 -1 -3 NaN -2 2611 US5 caleb_strategy_v1 [1] 1000 -285.156 -3.90625 -0.0005 -7.813 NaN -3.90675 2612 EUR caleb_strategy_v1 [-1] 125000 -334.375 -3.125 6.25 -0 NaN 3.125 2613 DOW caleb_strategy_v1 [-1] 0.5 -238.75 -0.25 -0 -0.5 NaN -0.25 2617 BITCOIN caleb_strategy_v1 [-1] 0.1 34 -0.5 -0 NaN NaN -0.5 2614 BITCOIN caleb_strategy_v1 [-1] 0.1 33.5 -0.5 0.5 -0.5 NaN 0 2616 VIX caleb_strategy_v1 [1] 1000 -625 -25 50 3.55271e-12 NaN 25 2610 VIX caleb_strategy_v1 [1] 1000 -675 -25 50 0 NaN 25 2619 VIX caleb_strategy_v1 [1] 1000 -625 -25 50 3.55271e-12 NaN 25 2615 RUSSELL caleb_strategy_v1 [1] 5 159.25 -0.25 -1 -1.5 NaN -1.25 2618 RUSSELL caleb_strategy_v1 [1] 5 159.5 -0.5 1 1.13687e-12 NaN 0.5 2620 RUSSELL caleb_strategy_v1 [1] 5 166 -0.5 0.5 -0.5 NaN 0 2621 RUSSELL caleb_strategy_v1 [1] 5 168.25 -0.25 -2.5 -3 NaN -2.75 2622 RUSSELL caleb_strategy_v1 [1] 5 166 -0.5 0.5 -0.5 NaN 0 2623 RUSSELL caleb_strategy_v1 [1] 5 166.75 -0.25 1.5 1 NaN 1.25 2624 RUSSELL caleb_strategy_v1 [1] 5 166.5 -0.5 -0.5 -1.5 NaN -1 2625 RUSSELL caleb_strategy_v1 [1] 5 168 -0.5 1 1.13687e-12 NaN 0.5 2626 RUSSELL caleb_strategy_v1 [1] 5 168 -0.5 -0.5 -1.5 NaN -1 2627 RUSSELL caleb_strategy_v1 [1] 5 168 -0.5 -0.5 -1.5 NaN -1 2628 RUSSELL caleb_strategy_v1 [1] 5 166 -0.5 1 0 NaN 0.5 2629 RUSSELL caleb_strategy_v1 [1] 5 167.25 -0.25 0.5 1.13687e-12 NaN 0.25 2630 RUSSELL caleb_strategy_v1 [1] 5 168 -0.5 0 -1 NaN -0.5 2631 RUSSELL caleb_strategy_v1 [1] 5 167.25 -0.25 0.5 1.13687e-12 NaN 0.25 2632 RUSSELL caleb_strategy_v1 [1] 5 169.5 -0.5 1 1.13687e-12 NaN 0.5 2633 RUSSELL caleb_strategy_v1 [1] 5 170.25 -0.25 0 -0.5 NaN -0.25 2634 RUSSELL caleb_strategy_v1 [1] 5 168 -0.5 1 1.13687e-12 NaN 0.5 2635 RUSSELL caleb_strategy_v1 [1] 5 162.25 -0.25 0.5 1.13687e-12 NaN 0.25 2636 RUSSELL caleb_strategy_v1 [1] 5 163 -0.5 1 1.13687e-12 NaN 0.5 2637 RUSSELL caleb_strategy_v1 [1] 5 165.25 -0.25 -1.5 -2 NaN -1.75 2638 RUSSELL caleb_strategy_v1 [1] 5 160 -0.5 1.5 0.5 NaN 1 2639 RUSSELL caleb_strategy_v1 [1] 5 160.25 -0.25 -1 -1.5 NaN -1.25 2640 RUSSELL caleb_strategy_v1 [1] 5 157.5 -0.5 0.5 -0.5 NaN 1.13687e-12 2641 RUSSELL caleb_strategy_v1 [1] 5 156.25 -0.25 0.5 0 NaN 0.25 2642 RUSSELL caleb_strategy_v1 [1] 5 157.5 -0.5 2 1 NaN 1.5 2643 RUSSELL caleb_strategy_v1 [1] 5 159.75 -0.25 0.5 1.13687e-12 NaN 0.25 2644 RUSSELL caleb_strategy_v1 [1] 5 159 -0.5 0 -1 NaN -0.5 2645 RUSSELL caleb_strategy_v1 [1] 5 160.5 -0.5 -2.5 -3.5 NaN -3 2646 RUSSELL caleb_strategy_v1 [1] 5 158.25 -0.25 0.5 1.13687e-12 NaN 0.25 2647 RUSSELL caleb_strategy_v1 [1] 5 160.25 -0.25 -0.5 -1 NaN -0.75 2648 RUSSELL caleb_strategy_v1 [1] 5 161.5 -0.5 -1.5 -2.5 NaN -2 2649 RUSSELL caleb_strategy_v1 [1] 5 160 -0.5 0.5 -0.5 NaN 1.13687e-12 2650 RUSSELL caleb_strategy_v1 [1] 5 157.75 -0.25 0 -0.5 NaN -0.25 2651 RUSSELL caleb_strategy_v1 [1] 5 157.5 -0.5 -0.5 -1.5 NaN -1 2652 RUSSELL caleb_strategy_v1 [1] 5 157.75 -0.25 -0.5 -1 NaN -0.75 2653 RUSSELL caleb_strategy_v1 [1] 5 159.75 -0.25 -1 -1.5 NaN -1.25 2654 RUSSELL caleb_strategy_v1 [1] 5 160 -0.5 -0.5 -1.5 NaN -1 2655 RUSSELL caleb_strategy_v1 [1] 5 162 -0.5 0 -1 NaN -0.5 2656 RUSSELL caleb_strategy_v1 [1] 5 164.5 -0.5 0 -1 NaN -0.5 2657 RUSSELL caleb_strategy_v1 [1] 5 164 -0.5 0 -1 NaN -0.5 2658 RUSSELL caleb_strategy_v1 [1] 5 163.75 -0.25 0 -0.5 NaN -0.25 2659 RUSSELL caleb_strategy_v1 [1] 5 162.5 -0.5 1 0 NaN 0.5 2660 RUSSELL caleb_strategy_v1 [1] 5 163.25 -0.25 -2 -2.5 NaN -2.25 2661 RUSSELL caleb_strategy_v1 [1] 5 162 -0.5 -0.5 -1.5 NaN -1 2662 RUSSELL caleb_strategy_v1 [1] 5 159.5 -0.5 -0.5 -1.5 NaN -1 2663 WHEAT caleb_strategy_v1 [-1] 50 -187.5 -12.5 -0 -25 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 67.50000 CAC -1055.65575 DAX -59.84820 DOW -238.75000 EUR -334.37500 GASOIL 587.50000 GOLD_micro -487.00000 HEATOIL 270.90000 RUSSELL 7328.00000 US5 -285.15625 VIX -1925.00000 WHEAT -187.50000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 3680.6148 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -1.00000 CAC -8.31225 DAX -1.10830 DOW -0.25000 EUR -3.12500 GASOIL -12.50000 GOLD_micro -2.00000 HEATOIL -27.30000 RUSSELL -18.00000 US5 -3.90625 VIX -75.00000 WHEAT -12.50000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -165.0018 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 0.5000 CAC -5.5415 DAX -2.2166 DOW -0.0000 EUR 6.2500 GASOIL -25.0000 GOLD_micro -2.0000 HEATOIL 21.0000 RUSSELL -0.5000 US5 -0.0005 VIX 150.0000 WHEAT -0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 142.4914 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -5.000000e-01 CAC -2.216600e+01 DAX 0.000000e+00 DOW -5.000000e-01 EUR -0.000000e+00 GASOIL -5.000000e+01 GOLD_micro -6.000000e+00 HEATOIL -3.360000e+01 RUSSELL -3.650000e+01 US5 -7.813000e+00 VIX 7.105427e-12 WHEAT -2.500000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -182.079 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 0 CAC 0 DAX 0 DOW 0 EUR 0 GASOIL 0 GOLD_micro 0 HEATOIL 0 RUSSELL 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 BITCOIN -0.50000 CAC -13.85375 DAX -3.32490 DOW -0.25000 EUR 3.12500 GASOIL -37.50000 GOLD_micro -4.00000 HEATOIL -6.30000 RUSSELL -18.50000 US5 -3.90675 VIX 75.00000 WHEAT -12.50000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -22.5104 ******************************************************************************** END OF REPORT ********************************************************************************