******************************************************************************** Trades report report produced on 05/05/2023 21:37 from 04/05/2023 21:37 to 05/05/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2664 BUND caleb_strategy_v1 [20230600] 2023-05-05 08:00:04 [1] 136.570000 2665 CAC caleb_strategy_v1 [20230600] 2023-05-05 08:00:07 [1] 7312.000000 2667 CRUDE_W caleb_strategy_v1 [20231200] 2023-05-05 14:00:03 [1] 68.400000 2669 GBP caleb_strategy_v1 [20230600] 2023-05-05 15:00:04 [1] 1.261100 2666 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-05 14:00:01 [1] 2019.400000 2668 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-05 14:00:05 [1] 2019.600000 2710 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:26 [-1] 1755.900000 2711 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:28 [-1] 1756.200000 2712 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:30 [-1] 1756.300000 2713 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:34 [-1] 1756.300000 2714 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:36 [-1] 1756.200000 2715 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:39 [-1] 1755.900000 2716 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:42 [-1] 1756.400000 2717 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:44 [-1] 1756.400000 2670 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:00:05 [-1] 1756.100000 2673 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:01:09 [-1] 1757.300000 2677 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:09 [-1] 1754.300000 2676 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:06 [-1] 1754.000000 2709 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:23 [-1] 1755.700000 2678 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:11 [-1] 1754.100000 2679 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:13 [-1] 1755.100000 2680 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:15 [-1] 1754.700000 2681 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:17 [-1] 1754.700000 2682 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:21 [-1] 1754.200000 2683 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:23 [-1] 1753.900000 2684 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:25 [-1] 1754.000000 2685 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:28 [-1] 1753.700000 2675 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:04 [-1] 1753.700000 2708 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:20 [-1] 1755.500000 2705 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:13 [-1] 1753.700000 2706 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:15 [-1] 1754.500000 2688 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:33 [-1] 1753.300000 2689 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:36 [-1] 1752.800000 2690 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:37 [-1] 1752.800000 2691 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:39 [-1] 1752.900000 2692 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:42 [-1] 1753.300000 2693 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:44 [-1] 1753.400000 2694 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:47 [-1] 1754.500000 2707 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:18 [-1] 1754.900000 2696 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:52 [-1] 1754.500000 2695 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:50 [-1] 1754.100000 2698 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:56 [-1] 1754.800000 2699 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:59 [-1] 1755.000000 2700 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:02 [-1] 1754.600000 2701 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:04 [-1] 1754.000000 2702 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:06 [-1] 1753.800000 2703 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:09 [-1] 1753.700000 2704 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:04:11 [-1] 1753.800000 2686 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:29 [-1] 1753.400000 2697 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:54 [-1] 1754.300000 2687 RUSSELL caleb_strategy_v1 [20230600] 2023-05-05 15:03:31 [-1] 1753.400000 2672 US5 caleb_strategy_v1 [20230600] 2023-05-05 15:00:20 [1] 110.335938 2671 VIX caleb_strategy_v1 [20230700] 2023-05-05 15:00:18 [-1] 23.300000 2674 VIX caleb_strategy_v1 [20230700] 2023-05-05 15:03:02 [-1] 23.350000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2664 BUND caleb_strategy_v1 2023-05-04 2023-05-05 08:00:03.345 2023-05-05 08:00:04 115203 0.655 2665 CAC caleb_strategy_v1 2023-05-04 2023-05-05 08:00:05.096 2023-05-05 08:00:07 115205 1.904 2667 CRUDE_W caleb_strategy_v1 2023-05-04 2023-05-05 14:00:02.373 2023-05-05 14:00:03 136802 0.627 2666 GOLD_micro caleb_strategy_v1 2023-05-04 2023-05-05 14:00:01.592 2023-05-05 14:00:01 136802 NaN 2668 GOLD_micro caleb_strategy_v1 2023-05-04 2023-05-05 14:00:05.060 2023-05-05 14:00:05 136805 NaN 2669 GBP caleb_strategy_v1 2023-05-04 2023-05-05 15:00:01.024 2023-05-05 15:00:04 140401 2.976 2672 US5 caleb_strategy_v1 2023-05-04 2023-05-05 15:00:19.117 2023-05-05 15:00:20 140419 0.883 2674 VIX caleb_strategy_v1 2023-05-04 2023-05-05 15:01:09.402 2023-05-05 15:03:02 140469 112.598 2671 VIX caleb_strategy_v1 2023-05-04 2023-05-05 15:00:06.393 2023-05-05 15:00:18 140406 11.607 2688 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:33.751 2023-05-05 15:03:33 140614 NaN 2689 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:35.660 2023-05-05 15:03:36 140616 0.34 2690 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:37.752 2023-05-05 15:03:37 140618 NaN 2691 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:39.530 2023-05-05 15:03:39 140620 NaN 2692 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:41.509 2023-05-05 15:03:42 140622 0.491 2693 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:44.453 2023-05-05 15:03:44 140624 NaN 2694 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:47.165 2023-05-05 15:03:47 140627 NaN 2695 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:49.853 2023-05-05 15:03:50 140630 0.147 2696 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:52.162 2023-05-05 15:03:52 140632 NaN 2697 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:53.895 2023-05-05 15:03:54 140634 0.105 2698 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:56.513 2023-05-05 15:03:56 140637 NaN 2699 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:59.053 2023-05-05 15:03:59 140639 NaN 2700 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:01.759 2023-05-05 15:04:02 140642 0.241 2701 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:03.952 2023-05-05 15:04:04 140644 0.048 2702 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:06.615 2023-05-05 15:04:06 140647 NaN 2703 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:08.723 2023-05-05 15:04:09 140649 0.277 2704 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:10.925 2023-05-05 15:04:11 140651 0.075 2705 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:13.486 2023-05-05 15:04:13 140653 NaN 2706 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:15.434 2023-05-05 15:04:15 140655 NaN 2707 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:17.908 2023-05-05 15:04:18 140658 0.092 2708 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:20.289 2023-05-05 15:04:20 140660 NaN 2709 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:22.601 2023-05-05 15:04:23 140663 0.399 2710 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:25.230 2023-05-05 15:04:26 140665 0.77 2711 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:27.938 2023-05-05 15:04:28 140668 0.062 2712 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:30.209 2023-05-05 15:04:30 140670 NaN 2713 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:32.333 2023-05-05 15:04:34 140672 1.667 2714 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:36.098 2023-05-05 15:04:36 140676 NaN 2715 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:39.474 2023-05-05 15:04:39 140679 NaN 2716 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:41.425 2023-05-05 15:04:42 140681 0.575 2717 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:04:44.095 2023-05-05 15:04:44 140684 NaN 2670 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:00:05.149 2023-05-05 15:00:05 140405 NaN 2673 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:01:08.879 2023-05-05 15:01:09 140469 0.121 2675 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:04.329 2023-05-05 15:03:04 140584 NaN 2676 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:06.709 2023-05-05 15:03:06 140587 NaN 2677 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:08.812 2023-05-05 15:03:09 140589 0.188 2678 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:10.885 2023-05-05 15:03:11 140591 0.115 2679 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:12.818 2023-05-05 15:03:13 140593 0.182 2680 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:15.238 2023-05-05 15:03:15 140595 NaN 2681 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:17.007 2023-05-05 15:03:17 140597 NaN 2682 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:19.589 2023-05-05 15:03:21 140600 1.411 2683 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:22.730 2023-05-05 15:03:23 140603 0.27 2684 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:25.440 2023-05-05 15:03:25 140605 NaN 2685 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:27.670 2023-05-05 15:03:28 140608 0.33 2686 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:29.821 2023-05-05 15:03:29 140610 NaN 2687 RUSSELL caleb_strategy_v1 2023-05-04 2023-05-05 15:03:31.844 2023-05-05 15:03:31 140612 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 2664 BUND caleb_strategy_v1 [1] 136.81 None 136.575 136.58 136.57 136.57 136.57 0.235 -0.005 0.01 0 NaN 0.005 2665 CAC caleb_strategy_v1 [1] 7285 None 7314 7316 7312 7312 7312 -29 -2 4 0 NaN 2 2667 CRUDE_W caleb_strategy_v1 [1] 66.96 None 68.42 68.43 68.41 68.41 68.4 -1.46 -0.01 0.03 0.01 NaN 0.02 2666 GOLD_micro caleb_strategy_v1 [1] 2055.6 None 2019.4 2019.5 2019.3 2019.3 2019.4 36.2 -0.1 0.1 -0.1 NaN 0 2668 GOLD_micro caleb_strategy_v1 [1] 2055.6 None 2019.35 2019.4 2019.3 NaN 2019.6 36.25 -0.05 -0.2 NaN NaN -0.25 2669 GBP caleb_strategy_v1 [1] 1.2593 None 1.26095 1.261 1.2609 1.2609 1.2611 -0.00165 -5e-05 -0.0001 -0.0002 NaN -0.00015 2672 US5 caleb_strategy_v1 [1] 110.914 None 110.34 110.344 110.336 110.336 110.336 0.574219 -0.00390625 0.007812 -5e-07 NaN 0.00390575 2674 VIX caleb_strategy_v1 [-1] 24.1 None 23.325 23.3 23.35 23.35 23.35 -0.775 -0.025 0.05 -0 NaN 0.025 2671 VIX caleb_strategy_v1 [-1] 24.1 None 23.275 23.25 23.3 23.3 23.3 -0.825 -0.025 0.05 -0 NaN 0.025 2688 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.35 1753.3 1753.4 1753.4 1753.3 29.45 -0.05 -0 -0.1 NaN -0.05 2689 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1752.85 1752.8 1752.9 1752.9 1752.8 28.95 -0.05 -0 -0.1 NaN -0.05 2690 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1752.85 1752.8 1752.9 NaN 1752.8 28.95 -0.05 -0 NaN NaN -0.05 2691 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1752.95 1752.9 1753 NaN 1752.9 29.05 -0.05 -0 NaN NaN -0.05 2692 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.3 1753.2 1753.4 1753.4 1753.3 29.4 -0.1 0.1 -0.1 NaN -2.27374e-13 2693 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.35 1753.3 1753.4 1753.4 1753.4 29.45 -0.05 0.1 -0 NaN 0.05 2694 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.45 1754.4 1754.5 1754.5 1754.5 30.55 -0.05 0.1 -0 NaN 0.05 2695 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.5 1754.4 1754.6 1754.6 1754.1 30.6 -0.1 -0.3 -0.5 NaN -0.4 2696 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.4 1754.3 1754.5 1754.5 1754.5 30.5 -0.1 0.2 -0 NaN 0.1 2697 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.4 1754.3 1754.5 1754.5 1754.3 30.5 -0.1 -0 -0.2 NaN -0.1 2698 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.75 1754.7 1754.8 1754.8 1754.8 30.85 -0.05 0.1 -2.27374e-13 NaN 0.05 2699 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.9 1754.8 1755 1755 1755 31 -0.1 0.2 -0 NaN 0.1 2700 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.85 1754.8 1754.9 1754.9 1754.6 30.95 -0.05 -0.2 -0.3 NaN -0.25 2701 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.3 1754.2 1754.4 1754.4 1754 30.4 -0.1 -0.2 -0.4 NaN -0.3 2702 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.9 1753.8 1754 1754 1753.8 30 -0.1 -0 -0.2 NaN -0.1 2703 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.9 1753.8 1754 1754 1753.7 30 -0.1 -0.1 -0.3 NaN -0.2 2704 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.7 1753.6 1753.8 1753.8 1753.8 29.8 -0.1 0.2 -2.27374e-13 NaN 0.1 2705 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.8 1753.7 1753.9 1753.9 1753.7 29.9 -0.1 -0 -0.2 NaN -0.1 2706 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.65 1754.6 1754.7 1754.7 1754.5 30.75 -0.05 -0.1 -0.2 NaN -0.15 2707 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.8 1754.7 1754.9 1754.9 1754.9 30.9 -0.1 0.2 -0 NaN 0.1 2708 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1755.4 1755.3 1755.5 1755.5 1755.5 31.5 -0.1 0.2 -0 NaN 0.1 2709 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1755.65 1755.6 1755.7 1755.7 1755.7 31.75 -0.05 0.1 -0 NaN 0.05 2710 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1755.85 1755.8 1755.9 1755.9 1755.9 31.95 -0.05 0.1 -0 NaN 0.05 2711 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1756.3 1756.2 1756.4 1756.4 1756.2 32.4 -0.1 -0 -0.2 NaN -0.1 2712 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1756.4 1756.3 1756.5 1756.5 1756.3 32.5 -0.1 -0 -0.2 NaN -0.1 2713 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1756.2 1756.1 1756.3 1756.3 1756.3 32.3 -0.1 0.2 -2.27374e-13 NaN 0.1 2714 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1756.3 1756.2 1756.4 1756.4 1756.2 32.4 -0.1 -0 -0.2 NaN -0.1 2715 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1756.1 1756 1756.2 1756.2 1755.9 32.2 -0.1 -0.1 -0.3 NaN -0.2 2716 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1756.35 1756.3 1756.4 1756.4 1756.4 32.45 -0.05 0.1 -0 NaN 0.05 2717 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1756.55 1756.5 1756.6 1756.6 1756.4 32.65 -0.05 -0.1 -0.2 NaN -0.15 2670 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1755.85 1755.8 1755.9 1755.9 1756.1 31.95 -0.05 0.3 0.2 NaN 0.25 2673 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1757.4 1757.3 1757.5 1757.5 1757.3 33.5 -0.1 -0 -0.2 NaN -0.1 2675 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.9 1753.8 1754 1754 1753.7 30 -0.1 -0.1 -0.3 NaN -0.2 2676 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.1 1754 1754.2 1754.2 1754 30.2 -0.1 -0 -0.2 NaN -0.1 2677 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.3 1754.2 1754.4 1754.4 1754.3 30.4 -0.1 0.1 -0.1 NaN -2.27374e-13 2678 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.3 1754.2 1754.4 1754.4 1754.1 30.4 -0.1 -0.1 -0.3 NaN -0.2 2679 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1755.05 1755 1755.1 1755.1 1755.1 31.15 -0.05 0.1 -2.27374e-13 NaN 0.05 2680 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1755 1754.9 1755.1 1755.1 1754.7 31.1 -0.1 -0.2 -0.4 NaN -0.3 2681 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.6 1754.5 1754.7 1754.7 1754.7 30.7 -0.1 0.2 -0 NaN 0.1 2682 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.65 1754.6 1754.7 1754.7 1754.2 30.75 -0.05 -0.4 -0.5 NaN -0.45 2683 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754 1753.9 1754.1 1754.1 1753.9 30.1 -0.1 -0 -0.2 NaN -0.1 2684 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1754.05 1754 1754.1 1754.1 1754 30.15 -0.05 -0 -0.1 NaN -0.05 2685 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.65 1753.6 1753.7 1753.7 1753.7 29.75 -0.05 0.1 -0 NaN 0.05 2686 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.5 1753.4 1753.6 1753.6 1753.4 29.6 -0.1 -0 -0.2 NaN -0.1 2687 RUSSELL caleb_strategy_v1 [-1] 1723.9 None 1753.3 1753.2 1753.4 1753.4 1753.4 29.4 -0.1 0.2 -0 NaN 0.1 ================================================================================================================================================================ 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 2664 BUND caleb_strategy_v1 [1] 14.1262 166.358 -3.53952 7.07905 0 NaN 3.53952 2665 CAC caleb_strategy_v1 [1] 1066.47 -271.924 -18.7534 37.5068 0 NaN 18.7534 2667 CRUDE_W caleb_strategy_v1 [1] 27.0886 -538.972 -3.69159 11.0748 3.69159 NaN 7.38318 2666 GOLD_micro caleb_strategy_v1 [1] 313.396 1155.09 -3.19085 3.19085 -3.19085 NaN 0 2668 GOLD_micro caleb_strategy_v1 [1] 313.396 1156.68 -1.59542 -6.3817 NaN NaN -7.97712 2669 GBP caleb_strategy_v1 [1] 0.104558 -157.807 -4.78203 -9.56405 -19.1281 NaN -14.3461 2672 US5 caleb_strategy_v1 [1] 7.27916 788.853 -5.36635 10.732 -0.000686892 NaN 5.36566 2674 VIX caleb_strategy_v1 [-1] 10.8137 -716.686 -23.1189 46.2378 -0 NaN 23.1189 2671 VIX caleb_strategy_v1 [-1] 10.8137 -762.924 -23.1189 46.2378 -0 NaN 23.1189 2688 RUSSELL caleb_strategy_v1 [-1] 401.636 733.251 -1.24491 -0 -2.48982 NaN -1.24491 2689 RUSSELL caleb_strategy_v1 [-1] 401.636 720.802 -1.24491 -0 -2.48982 NaN -1.24491 2690 RUSSELL caleb_strategy_v1 [-1] 401.636 720.802 -1.24491 -0 NaN NaN -1.24491 2691 RUSSELL caleb_strategy_v1 [-1] 401.636 723.292 -1.24491 -0 NaN NaN -1.24491 2692 RUSSELL caleb_strategy_v1 [-1] 401.636 732.007 -2.48982 2.48982 -2.48982 NaN -5.66119e-12 2693 RUSSELL caleb_strategy_v1 [-1] 401.636 733.251 -1.24491 2.48982 -0 NaN 1.24491 2694 RUSSELL caleb_strategy_v1 [-1] 401.636 760.639 -1.24491 2.48982 -0 NaN 1.24491 2695 RUSSELL caleb_strategy_v1 [-1] 401.636 761.884 -2.48982 -7.46945 -12.4491 NaN -9.95927 2696 RUSSELL caleb_strategy_v1 [-1] 401.636 759.395 -2.48982 4.97964 -0 NaN 2.48982 2697 RUSSELL caleb_strategy_v1 [-1] 401.636 759.395 -2.48982 -0 -4.97964 NaN -2.48982 2698 RUSSELL caleb_strategy_v1 [-1] 401.636 768.109 -1.24491 2.48982 -5.66119e-12 NaN 1.24491 2699 RUSSELL caleb_strategy_v1 [-1] 401.636 771.844 -2.48982 4.97964 -0 NaN 2.48982 2700 RUSSELL caleb_strategy_v1 [-1] 401.636 770.599 -1.24491 -4.97964 -7.46945 NaN -6.22455 2701 RUSSELL caleb_strategy_v1 [-1] 401.636 756.905 -2.48982 -4.97964 -9.95927 NaN -7.46945 2702 RUSSELL caleb_strategy_v1 [-1] 401.636 746.945 -2.48982 -0 -4.97964 NaN -2.48982 2703 RUSSELL caleb_strategy_v1 [-1] 401.636 746.945 -2.48982 -2.48982 -7.46945 NaN -4.97964 2704 RUSSELL caleb_strategy_v1 [-1] 401.636 741.966 -2.48982 4.97964 -5.66119e-12 NaN 2.48982 2705 RUSSELL caleb_strategy_v1 [-1] 401.636 744.456 -2.48982 -0 -4.97964 NaN -2.48982 2706 RUSSELL caleb_strategy_v1 [-1] 401.636 765.619 -1.24491 -2.48982 -4.97964 NaN -3.73473 2707 RUSSELL caleb_strategy_v1 [-1] 401.636 769.354 -2.48982 4.97964 -0 NaN 2.48982 2708 RUSSELL caleb_strategy_v1 [-1] 401.636 784.293 -2.48982 4.97964 -0 NaN 2.48982 2709 RUSSELL caleb_strategy_v1 [-1] 401.636 790.517 -1.24491 2.48982 -0 NaN 1.24491 2710 RUSSELL caleb_strategy_v1 [-1] 401.636 795.497 -1.24491 2.48982 -0 NaN 1.24491 2711 RUSSELL caleb_strategy_v1 [-1] 401.636 806.701 -2.48982 -0 -4.97964 NaN -2.48982 2712 RUSSELL caleb_strategy_v1 [-1] 401.636 809.191 -2.48982 -0 -4.97964 NaN -2.48982 2713 RUSSELL caleb_strategy_v1 [-1] 401.636 804.211 -2.48982 4.97964 -5.66119e-12 NaN 2.48982 2714 RUSSELL caleb_strategy_v1 [-1] 401.636 806.701 -2.48982 -0 -4.97964 NaN -2.48982 2715 RUSSELL caleb_strategy_v1 [-1] 401.636 801.721 -2.48982 -2.48982 -7.46945 NaN -4.97964 2716 RUSSELL caleb_strategy_v1 [-1] 401.636 807.946 -1.24491 2.48982 -0 NaN 1.24491 2717 RUSSELL caleb_strategy_v1 [-1] 401.636 812.926 -1.24491 -2.48982 -4.97964 NaN -3.73473 2670 RUSSELL caleb_strategy_v1 [-1] 401.636 795.497 -1.24491 7.46945 4.97964 NaN 6.22455 2673 RUSSELL caleb_strategy_v1 [-1] 401.636 834.089 -2.48982 -0 -4.97964 NaN -2.48982 2675 RUSSELL caleb_strategy_v1 [-1] 401.636 746.945 -2.48982 -2.48982 -7.46945 NaN -4.97964 2676 RUSSELL caleb_strategy_v1 [-1] 401.636 751.925 -2.48982 -0 -4.97964 NaN -2.48982 2677 RUSSELL caleb_strategy_v1 [-1] 401.636 756.905 -2.48982 2.48982 -2.48982 NaN -5.66119e-12 2678 RUSSELL caleb_strategy_v1 [-1] 401.636 756.905 -2.48982 -2.48982 -7.46945 NaN -4.97964 2679 RUSSELL caleb_strategy_v1 [-1] 401.636 775.578 -1.24491 2.48982 -5.66119e-12 NaN 1.24491 2680 RUSSELL caleb_strategy_v1 [-1] 401.636 774.333 -2.48982 -4.97964 -9.95927 NaN -7.46945 2681 RUSSELL caleb_strategy_v1 [-1] 401.636 764.374 -2.48982 4.97964 -0 NaN 2.48982 2682 RUSSELL caleb_strategy_v1 [-1] 401.636 765.619 -1.24491 -9.95927 -12.4491 NaN -11.2042 2683 RUSSELL caleb_strategy_v1 [-1] 401.636 749.435 -2.48982 -0 -4.97964 NaN -2.48982 2684 RUSSELL caleb_strategy_v1 [-1] 401.636 750.68 -1.24491 -0 -2.48982 NaN -1.24491 2685 RUSSELL caleb_strategy_v1 [-1] 401.636 740.721 -1.24491 2.48982 -0 NaN 1.24491 2686 RUSSELL caleb_strategy_v1 [-1] 401.636 736.986 -2.48982 -0 -4.97964 NaN -2.48982 2687 RUSSELL caleb_strategy_v1 [-1] 401.636 732.007 -2.48982 4.97964 -0 NaN 2.48982 =========================================================================================================================================================================== 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 2664 BUND caleb_strategy_v1 [1] 1103.65 259.358 -5.51825 11.0365 0 NaN 5.51825 2665 CAC caleb_strategy_v1 [1] 11.0365 -320.058 -22.073 44.146 0 NaN 22.073 2667 CRUDE_W caleb_strategy_v1 [1] 1000 -1460 -10 30 10 NaN 20 2666 GOLD_micro caleb_strategy_v1 [1] 10 362 -1 1 -1 NaN 0 2668 GOLD_micro caleb_strategy_v1 [1] 10 362.5 -0.5 -2 NaN NaN -2.5 2669 GBP caleb_strategy_v1 [1] 62500 -103.125 -3.125 -6.25 -12.5 NaN -9.375 2672 US5 caleb_strategy_v1 [1] 1000 574.219 -3.90625 7.812 -0.0005 NaN 3.90575 2674 VIX caleb_strategy_v1 [-1] 1000 -775 -25 50 -0 NaN 25 2671 VIX caleb_strategy_v1 [-1] 1000 -825 -25 50 -0 NaN 25 2688 RUSSELL caleb_strategy_v1 [-1] 5 147.25 -0.25 -0 -0.5 NaN -0.25 2689 RUSSELL caleb_strategy_v1 [-1] 5 144.75 -0.25 -0 -0.5 NaN -0.25 2690 RUSSELL caleb_strategy_v1 [-1] 5 144.75 -0.25 -0 NaN NaN -0.25 2691 RUSSELL caleb_strategy_v1 [-1] 5 145.25 -0.25 -0 NaN NaN -0.25 2692 RUSSELL caleb_strategy_v1 [-1] 5 147 -0.5 0.5 -0.5 NaN -1.13687e-12 2693 RUSSELL caleb_strategy_v1 [-1] 5 147.25 -0.25 0.5 -0 NaN 0.25 2694 RUSSELL caleb_strategy_v1 [-1] 5 152.75 -0.25 0.5 -0 NaN 0.25 2695 RUSSELL caleb_strategy_v1 [-1] 5 153 -0.5 -1.5 -2.5 NaN -2 2696 RUSSELL caleb_strategy_v1 [-1] 5 152.5 -0.5 1 -0 NaN 0.5 2697 RUSSELL caleb_strategy_v1 [-1] 5 152.5 -0.5 -0 -1 NaN -0.5 2698 RUSSELL caleb_strategy_v1 [-1] 5 154.25 -0.25 0.5 -1.13687e-12 NaN 0.25 2699 RUSSELL caleb_strategy_v1 [-1] 5 155 -0.5 1 -0 NaN 0.5 2700 RUSSELL caleb_strategy_v1 [-1] 5 154.75 -0.25 -1 -1.5 NaN -1.25 2701 RUSSELL caleb_strategy_v1 [-1] 5 152 -0.5 -1 -2 NaN -1.5 2702 RUSSELL caleb_strategy_v1 [-1] 5 150 -0.5 -0 -1 NaN -0.5 2703 RUSSELL caleb_strategy_v1 [-1] 5 150 -0.5 -0.5 -1.5 NaN -1 2704 RUSSELL caleb_strategy_v1 [-1] 5 149 -0.5 1 -1.13687e-12 NaN 0.5 2705 RUSSELL caleb_strategy_v1 [-1] 5 149.5 -0.5 -0 -1 NaN -0.5 2706 RUSSELL caleb_strategy_v1 [-1] 5 153.75 -0.25 -0.5 -1 NaN -0.75 2707 RUSSELL caleb_strategy_v1 [-1] 5 154.5 -0.5 1 -0 NaN 0.5 2708 RUSSELL caleb_strategy_v1 [-1] 5 157.5 -0.5 1 -0 NaN 0.5 2709 RUSSELL caleb_strategy_v1 [-1] 5 158.75 -0.25 0.5 -0 NaN 0.25 2710 RUSSELL caleb_strategy_v1 [-1] 5 159.75 -0.25 0.5 -0 NaN 0.25 2711 RUSSELL caleb_strategy_v1 [-1] 5 162 -0.5 -0 -1 NaN -0.5 2712 RUSSELL caleb_strategy_v1 [-1] 5 162.5 -0.5 -0 -1 NaN -0.5 2713 RUSSELL caleb_strategy_v1 [-1] 5 161.5 -0.5 1 -1.13687e-12 NaN 0.5 2714 RUSSELL caleb_strategy_v1 [-1] 5 162 -0.5 -0 -1 NaN -0.5 2715 RUSSELL caleb_strategy_v1 [-1] 5 161 -0.5 -0.5 -1.5 NaN -1 2716 RUSSELL caleb_strategy_v1 [-1] 5 162.25 -0.25 0.5 -0 NaN 0.25 2717 RUSSELL caleb_strategy_v1 [-1] 5 163.25 -0.25 -0.5 -1 NaN -0.75 2670 RUSSELL caleb_strategy_v1 [-1] 5 159.75 -0.25 1.5 1 NaN 1.25 2673 RUSSELL caleb_strategy_v1 [-1] 5 167.5 -0.5 -0 -1 NaN -0.5 2675 RUSSELL caleb_strategy_v1 [-1] 5 150 -0.5 -0.5 -1.5 NaN -1 2676 RUSSELL caleb_strategy_v1 [-1] 5 151 -0.5 -0 -1 NaN -0.5 2677 RUSSELL caleb_strategy_v1 [-1] 5 152 -0.5 0.5 -0.5 NaN -1.13687e-12 2678 RUSSELL caleb_strategy_v1 [-1] 5 152 -0.5 -0.5 -1.5 NaN -1 2679 RUSSELL caleb_strategy_v1 [-1] 5 155.75 -0.25 0.5 -1.13687e-12 NaN 0.25 2680 RUSSELL caleb_strategy_v1 [-1] 5 155.5 -0.5 -1 -2 NaN -1.5 2681 RUSSELL caleb_strategy_v1 [-1] 5 153.5 -0.5 1 -0 NaN 0.5 2682 RUSSELL caleb_strategy_v1 [-1] 5 153.75 -0.25 -2 -2.5 NaN -2.25 2683 RUSSELL caleb_strategy_v1 [-1] 5 150.5 -0.5 -0 -1 NaN -0.5 2684 RUSSELL caleb_strategy_v1 [-1] 5 150.75 -0.25 -0 -0.5 NaN -0.25 2685 RUSSELL caleb_strategy_v1 [-1] 5 148.75 -0.25 0.5 -0 NaN 0.25 2686 RUSSELL caleb_strategy_v1 [-1] 5 148 -0.5 -0 -1 NaN -0.5 2687 RUSSELL caleb_strategy_v1 [-1] 5 147 -0.5 1 -0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 259.35775 CAC -320.05850 CRUDE_W -1460.00000 GBP -103.12500 GOLD_micro 724.50000 RUSSELL 6916.00000 US5 574.21875 VIX -1600.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 4990.893 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.51825 CAC -22.07300 CRUDE_W -10.00000 GBP -3.12500 GOLD_micro -1.50000 RUSSELL -18.00000 US5 -3.90625 VIX -50.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -114.1225 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 11.0365 CAC 44.1460 CRUDE_W 30.0000 GBP -6.2500 GOLD_micro -1.0000 RUSSELL 5.0000 US5 7.8120 VIX 100.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 190.7445 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0.0000 CAC 0.0000 CRUDE_W 10.0000 GBP -12.5000 GOLD_micro -1.0000 RUSSELL -30.0000 US5 -0.0005 VIX -0.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -33.5005 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CAC 0 CRUDE_W 0 GBP 0 GOLD_micro 0 RUSSELL 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 BUND 5.51825 CAC 22.07300 CRUDE_W 20.00000 GBP -9.37500 GOLD_micro -2.50000 RUSSELL -13.00000 US5 3.90575 VIX 50.00000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 76.622 ******************************************************************************** END OF REPORT ********************************************************************************