******************************************************************************** Trades report report produced on 08/05/2023 21:37 from 07/05/2023 21:37 to 08/05/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2723 BITCOIN caleb_strategy_v1 [20230500] 2023-05-08 15:00:10 [-1] 27895.0000 2718 CAC caleb_strategy_v1 [20230500] 2023-05-08 08:00:02 [-1] 7412.0000 2719 DAX caleb_strategy_v1 [20230600] 2023-05-08 08:00:03 [-1] 16042.0000 2724 DOW caleb_strategy_v1 [20230600] 2023-05-08 15:00:11 [-1] 33693.0000 2727 GBP caleb_strategy_v1 [20230600] 2023-05-08 15:01:02 [-1] 1.2666 2720 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-08 14:00:02 [1] 2033.8000 2721 PLAT caleb_strategy_v1 [20230700] 2023-05-08 14:00:04 [-1] 1079.7000 2747 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:55 [1] 1763.0000 2748 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:57 [1] 1763.1000 2749 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:00 [1] 1763.2000 2750 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:01 [1] 1763.5000 2751 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:03 [1] 1763.7000 2752 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:05 [1] 1763.9000 2753 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:07 [1] 1763.8000 2754 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:10 [1] 1763.8000 2758 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:18 [1] 1763.8000 2756 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:14 [1] 1763.6000 2757 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:17 [1] 1763.9000 2746 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:53 [1] 1762.8000 2759 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:20 [1] 1764.1000 2760 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:22 [1] 1764.0000 2761 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:25 [1] 1763.9000 2762 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:27 [1] 1763.8000 2763 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:28 [1] 1763.5000 2755 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:12 [1] 1763.9000 2745 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:51 [1] 1762.9000 2741 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:40 [1] 1762.1000 2743 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:45 [1] 1762.2000 2726 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:00:38 [1] 1763.4000 2729 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:02:12 [1] 1762.1000 2731 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:16 [1] 1762.4000 2744 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:49 [1] 1762.6000 2734 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:24 [1] 1762.6000 2735 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:25 [1] 1762.6000 2733 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:21 [1] 1762.4000 2737 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:31 [1] 1762.1000 2738 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:34 [1] 1762.0000 2739 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:35 [1] 1762.1000 2740 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:38 [1] 1762.0000 2764 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:31 [1] 1763.5000 2742 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:42 [1] 1762.1000 2736 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:03:30 [1] 1762.3000 2765 RUSSELL caleb_strategy_v1 [20230600] 2023-05-08 15:04:34 [1] 1763.5000 2722 SP400 caleb_strategy_v1 [20230600] 2023-05-08 15:00:02 [-1] 2464.6000 2725 VIX caleb_strategy_v1 [20230700] 2023-05-08 15:00:37 [1] 22.9000 2732 VIX caleb_strategy_v1 [20230700] 2023-05-08 15:03:20 [1] 22.9000 2730 VIX caleb_strategy_v1 [20230700] 2023-05-08 15:03:16 [1] 22.9500 2728 VIX caleb_strategy_v1 [20230700] 2023-05-08 15:02:11 [1] 22.9500 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2718 CAC caleb_strategy_v1 2023-05-05 2023-05-08 08:00:02.191 2023-05-08 08:00:02 288002 NaN 2719 DAX caleb_strategy_v1 2023-05-05 2023-05-08 08:00:03.468 2023-05-08 08:00:03 288003 NaN 2720 GOLD_micro caleb_strategy_v1 2023-05-05 2023-05-08 14:00:01.764 2023-05-08 14:00:02 309602 0.236 2721 PLAT caleb_strategy_v1 2023-05-05 2023-05-08 14:00:02.681 2023-05-08 14:00:04 309603 1.319 2722 SP400 caleb_strategy_v1 2023-05-05 2023-05-08 15:00:01.896 2023-05-08 15:00:02 313202 0.104 2723 BITCOIN caleb_strategy_v1 2023-05-05 2023-05-08 15:00:03.051 2023-05-08 15:00:10 313203 6.949 2724 DOW caleb_strategy_v1 2023-05-05 2023-05-08 15:00:10.892 2023-05-08 15:00:11 313211 0.108 2727 GBP caleb_strategy_v1 2023-05-05 2023-05-08 15:00:39.657 2023-05-08 15:01:02 313240 22.343 2728 VIX caleb_strategy_v1 2023-05-05 2023-05-08 15:02:06.314 2023-05-08 15:02:11 313326 4.686 2730 VIX caleb_strategy_v1 2023-05-05 2023-05-08 15:02:14.053 2023-05-08 15:03:16 313334 61.947 2732 VIX caleb_strategy_v1 2023-05-05 2023-05-08 15:03:18.642 2023-05-08 15:03:20 313399 1.358 2725 VIX caleb_strategy_v1 2023-05-05 2023-05-08 15:00:12.204 2023-05-08 15:00:37 313212 24.796 2726 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:00:37.795 2023-05-08 15:00:38 313238 0.205 2729 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:02:12.216 2023-05-08 15:02:12 313332 NaN 2731 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:16.629 2023-05-08 15:03:16 313397 NaN 2733 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:21.337 2023-05-08 15:03:21 313401 NaN 2734 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:23.740 2023-05-08 15:03:24 313404 0.26 2735 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:25.791 2023-05-08 15:03:25 313406 NaN 2736 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:28.134 2023-05-08 15:03:30 313408 1.866 2737 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:31.651 2023-05-08 15:03:31 313412 NaN 2738 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:33.516 2023-05-08 15:03:34 313414 0.484 2739 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:35.754 2023-05-08 15:03:35 313416 NaN 2740 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:37.821 2023-05-08 15:03:38 313418 0.179 2741 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:40.077 2023-05-08 15:03:40 313420 NaN 2742 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:42.669 2023-05-08 15:03:42 313423 NaN 2743 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:44.602 2023-05-08 15:03:45 313425 0.398 2744 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:47.396 2023-05-08 15:03:49 313427 1.604 2745 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:50.709 2023-05-08 15:03:51 313431 0.291 2746 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:53.189 2023-05-08 15:03:53 313433 NaN 2747 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:54.974 2023-05-08 15:03:55 313435 0.026 2748 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:56.945 2023-05-08 15:03:57 313437 0.055 2749 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:03:59.230 2023-05-08 15:04:00 313439 0.77 2750 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:01.897 2023-05-08 15:04:01 313442 NaN 2751 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:03.605 2023-05-08 15:04:03 313444 NaN 2752 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:05.412 2023-05-08 15:04:05 313445 NaN 2753 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:07.653 2023-05-08 15:04:07 313448 NaN 2754 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:10.044 2023-05-08 15:04:10 313450 NaN 2755 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:12.174 2023-05-08 15:04:12 313452 NaN 2756 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:14.565 2023-05-08 15:04:14 313455 NaN 2757 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:16.857 2023-05-08 15:04:17 313457 0.143 2758 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:18.634 2023-05-08 15:04:18 313459 NaN 2759 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:20.497 2023-05-08 15:04:20 313460 NaN 2760 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:22.565 2023-05-08 15:04:22 313463 NaN 2761 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:24.305 2023-05-08 15:04:25 313464 0.695 2762 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:26.933 2023-05-08 15:04:27 313467 0.067 2763 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:28.789 2023-05-08 15:04:28 313469 NaN 2764 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:30.943 2023-05-08 15:04:31 313471 0.057 2765 RUSSELL caleb_strategy_v1 2023-05-05 2023-05-08 15:04:33.880 2023-05-08 15:04:34 313474 0.12 ================================================================================================================================================================================================================================= 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 2718 CAC caleb_strategy_v1 [-1] 7432 None 7413.25 7413 7413.5 NaN 7412 -18.75 -0.25 -1 NaN NaN -1.25 2719 DAX caleb_strategy_v1 [-1] 16082 None 16044.5 16043 16046 16046 16042 -37.5 -1.5 -1 -4 NaN -2.5 2720 GOLD_micro caleb_strategy_v1 [1] 2023.9 None 2033.85 2033.9 2033.8 2033.8 2033.8 -9.95 -0.05 0.1 2.27374e-13 NaN 0.05 2721 PLAT caleb_strategy_v1 [-1] 1067.5 None 1080 1079.8 1080.2 1080.2 1079.7 12.5 -0.2 -0.1 -0.5 NaN -0.3 2722 SP400 caleb_strategy_v1 [-1] 2473.6 None 2465.15 2464.6 2465.7 2465.7 2464.6 -8.45 -0.55 -0 -1.1 NaN -0.55 2723 BITCOIN caleb_strategy_v1 [-1] 29565 None 27905 27900 27910 27910 27895 -1660 -5 -5 -15 NaN -10 2724 DOW caleb_strategy_v1 [-1] 33793 None 33694.5 33694 33695 33695 33693 -98.5 -0.5 -1 -2 NaN -1.5 2727 GBP caleb_strategy_v1 [-1] 1.2649 None 1.26655 1.2665 1.2666 1.2666 1.2666 0.00165 -5e-05 0.0001 -2.22045e-16 NaN 5e-05 2728 VIX caleb_strategy_v1 [1] 22.75 None 22.875 22.9 22.85 22.85 22.95 -0.125 -0.025 -0.05 -0.1 NaN -0.075 2730 VIX caleb_strategy_v1 [1] 22.75 None 22.9 22.95 22.85 22.85 22.95 -0.15 -0.05 0 -0.1 NaN -0.05 2732 VIX caleb_strategy_v1 [1] 22.75 None 22.925 22.95 22.9 22.9 22.9 -0.175 -0.025 0.05 3.55271e-15 NaN 0.025 2725 VIX caleb_strategy_v1 [1] 22.75 None 22.925 22.95 22.9 22.9 22.9 -0.175 -0.025 0.05 3.55271e-15 NaN 0.025 2726 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.85 1762.9 1762.8 1762.8 1763.4 5.95 -0.05 -0.5 -0.6 NaN -0.55 2729 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1761.95 1762 1761.9 1761.9 1762.1 6.85 -0.05 -0.1 -0.2 NaN -0.15 2731 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.45 1762.5 1762.4 1762.4 1762.4 6.35 -0.05 0.1 0 NaN 0.05 2733 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.45 1762.5 1762.4 1762.4 1762.4 6.35 -0.05 0.1 0 NaN 0.05 2734 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.6 1762.7 1762.5 1762.5 1762.6 6.2 -0.1 0.1 -0.1 NaN 0 2735 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.6 1762.7 1762.5 1762.5 1762.6 6.2 -0.1 0.1 -0.1 NaN 0 2736 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.35 1762.4 1762.3 1762.3 1762.3 6.45 -0.05 0.1 2.27374e-13 NaN 0.05 2737 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1761.75 1761.8 1761.7 1761.7 1762.1 7.05 -0.05 -0.3 -0.4 NaN -0.35 2738 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1761.85 1761.9 1761.8 1761.8 1762 6.95 -0.05 -0.1 -0.2 NaN -0.15 2739 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.15 1762.2 1762.1 1762.1 1762.1 6.65 -0.05 0.1 2.27374e-13 NaN 0.05 2740 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1761.9 1762 1761.8 1761.8 1762 6.9 -0.1 0 -0.2 NaN -0.1 2741 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1761.95 1762 1761.9 1761.9 1762.1 6.85 -0.05 -0.1 -0.2 NaN -0.15 2742 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762 1762.1 1761.9 1761.9 1762.1 6.8 -0.1 0 -0.2 NaN -0.1 2743 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.3 1762.4 1762.2 1762.2 1762.2 6.5 -0.1 0.2 0 NaN 0.1 2744 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.5 1762.6 1762.4 1762.4 1762.6 6.3 -0.1 0 -0.2 NaN -0.1 2745 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.65 1762.7 1762.6 1762.6 1762.9 6.15 -0.05 -0.2 -0.3 NaN -0.25 2746 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.7 1762.8 1762.6 1762.6 1762.8 6.1 -0.1 0 -0.2 NaN -0.1 2747 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1762.8 1762.9 1762.7 1762.7 1763 6 -0.1 -0.1 -0.3 NaN -0.2 2748 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.15 1763.2 1763.1 1763.1 1763.1 5.65 -0.05 0.1 2.27374e-13 NaN 0.05 2749 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.15 1763.2 1763.1 1763.1 1763.2 5.65 -0.05 0 -0.1 NaN -0.05 2750 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.15 1763.2 1763.1 NaN 1763.5 5.65 -0.05 -0.3 NaN NaN -0.35 2751 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.55 1763.6 1763.5 1763.5 1763.7 5.25 -0.05 -0.1 -0.2 NaN -0.15 2752 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.8 1763.9 1763.7 1763.7 1763.9 5 -0.1 0 -0.2 NaN -0.1 2753 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.7 1763.8 1763.6 1763.6 1763.8 5.1 -0.1 0 -0.2 NaN -0.1 2754 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.85 1763.9 1763.8 1763.8 1763.8 4.95 -0.05 0.1 2.27374e-13 NaN 0.05 2755 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.8 1763.9 1763.7 1763.7 1763.9 5 -0.1 0 -0.2 NaN -0.1 2756 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.7 1763.8 1763.6 1763.6 1763.6 5.1 -0.1 0.2 2.27374e-13 NaN 0.1 2757 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.75 1763.8 1763.7 1763.7 1763.9 5.05 -0.05 -0.1 -0.2 NaN -0.15 2758 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.75 1763.8 1763.7 1763.7 1763.8 5.05 -0.05 0 -0.1 NaN -0.05 2759 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.95 1764 1763.9 NaN 1764.1 4.85 -0.05 -0.1 NaN NaN -0.15 2760 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1764.05 1764.1 1764 1764 1764 4.75 -0.05 0.1 0 NaN 0.05 2761 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.95 1764 1763.9 1763.9 1763.9 4.85 -0.05 0.1 0 NaN 0.05 2762 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.85 1763.9 1763.8 1763.8 1763.8 4.95 -0.05 0.1 2.27374e-13 NaN 0.05 2763 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.6 1763.7 1763.5 1763.5 1763.5 5.2 -0.1 0.2 0 NaN 0.1 2764 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.35 1763.4 1763.3 1763.3 1763.5 5.45 -0.05 -0.1 -0.2 NaN -0.15 2765 RUSSELL caleb_strategy_v1 [1] 1768.8 None 1763.5 1763.6 1763.4 1763.4 1763.5 5.3 -0.1 0.1 -0.1 NaN 0 ================================================================================================================================================================ 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 2718 CAC caleb_strategy_v1 [-1] 1015.44 -184.648 -2.46198 -9.8479 NaN NaN -12.3099 2719 DAX caleb_strategy_v1 [-1] 2207.52 -169.874 -6.79495 -4.52997 -18.1199 NaN -11.3249 2720 GOLD_micro caleb_strategy_v1 [1] 305.63 -325.558 -1.63597 3.27194 7.43952e-12 NaN 1.63597 2721 PLAT caleb_strategy_v1 [-1] 293.719 425.576 -6.80922 -3.40461 -17.0231 NaN -10.2138 2722 SP400 caleb_strategy_v1 [-1] 490.111 -172.41 -11.2219 -0 -22.4439 NaN -11.2219 2723 BITCOIN caleb_strategy_v1 [-1] 18393.2 -902.505 -2.71839 -2.71839 -8.15517 NaN -5.43678 2724 DOW caleb_strategy_v1 [-1] 4775.53 -206.26 -1.04701 -2.09401 -4.18802 NaN -3.14102 2727 GBP caleb_strategy_v1 [-1] 0.102712 160.643 -4.86796 9.73593 -2.16181e-11 NaN 4.86796 2728 VIX caleb_strategy_v1 [1] 10.5444 -118.547 -23.7093 -47.4187 -94.8374 NaN -71.128 2730 VIX caleb_strategy_v1 [1] 10.5444 -142.256 -47.4187 0 -94.8374 NaN -47.4187 2732 VIX caleb_strategy_v1 [1] 10.5444 -165.965 -23.7093 47.4187 3.3693e-12 NaN 23.7093 2725 VIX caleb_strategy_v1 [1] 10.5444 -165.965 -23.7093 47.4187 3.3693e-12 NaN 23.7093 2726 RUSSELL caleb_strategy_v1 [1] 391.702 151.901 -1.27648 -12.7648 -15.3178 NaN -14.0413 2729 RUSSELL caleb_strategy_v1 [1] 391.702 174.878 -1.27648 -2.55296 -5.10593 NaN -3.82944 2731 RUSSELL caleb_strategy_v1 [1] 391.702 162.113 -1.27648 2.55296 0 NaN 1.27648 2733 RUSSELL caleb_strategy_v1 [1] 391.702 162.113 -1.27648 2.55296 0 NaN 1.27648 2734 RUSSELL caleb_strategy_v1 [1] 391.702 158.284 -2.55296 2.55296 -2.55296 NaN 0 2735 RUSSELL caleb_strategy_v1 [1] 391.702 158.284 -2.55296 2.55296 -2.55296 NaN 0 2736 RUSSELL caleb_strategy_v1 [1] 391.702 164.666 -1.27648 2.55296 5.80476e-12 NaN 1.27648 2737 RUSSELL caleb_strategy_v1 [1] 391.702 179.984 -1.27648 -7.65889 -10.2119 NaN -8.93537 2738 RUSSELL caleb_strategy_v1 [1] 391.702 177.431 -1.27648 -2.55296 -5.10593 NaN -3.82944 2739 RUSSELL caleb_strategy_v1 [1] 391.702 169.772 -1.27648 2.55296 5.80476e-12 NaN 1.27648 2740 RUSSELL caleb_strategy_v1 [1] 391.702 176.154 -2.55296 0 -5.10593 NaN -2.55296 2741 RUSSELL caleb_strategy_v1 [1] 391.702 174.878 -1.27648 -2.55296 -5.10593 NaN -3.82944 2742 RUSSELL caleb_strategy_v1 [1] 391.702 173.601 -2.55296 0 -5.10593 NaN -2.55296 2743 RUSSELL caleb_strategy_v1 [1] 391.702 165.943 -2.55296 5.10593 0 NaN 2.55296 2744 RUSSELL caleb_strategy_v1 [1] 391.702 160.837 -2.55296 0 -5.10593 NaN -2.55296 2745 RUSSELL caleb_strategy_v1 [1] 391.702 157.007 -1.27648 -5.10593 -7.65889 NaN -6.38241 2746 RUSSELL caleb_strategy_v1 [1] 391.702 155.731 -2.55296 0 -5.10593 NaN -2.55296 2747 RUSSELL caleb_strategy_v1 [1] 391.702 153.178 -2.55296 -2.55296 -7.65889 NaN -5.10593 2748 RUSSELL caleb_strategy_v1 [1] 391.702 144.242 -1.27648 2.55296 5.80476e-12 NaN 1.27648 2749 RUSSELL caleb_strategy_v1 [1] 391.702 144.242 -1.27648 0 -2.55296 NaN -1.27648 2750 RUSSELL caleb_strategy_v1 [1] 391.702 144.242 -1.27648 -7.65889 NaN NaN -8.93537 2751 RUSSELL caleb_strategy_v1 [1] 391.702 134.031 -1.27648 -2.55296 -5.10593 NaN -3.82944 2752 RUSSELL caleb_strategy_v1 [1] 391.702 127.648 -2.55296 0 -5.10593 NaN -2.55296 2753 RUSSELL caleb_strategy_v1 [1] 391.702 130.201 -2.55296 0 -5.10593 NaN -2.55296 2754 RUSSELL caleb_strategy_v1 [1] 391.702 126.372 -1.27648 2.55296 5.80476e-12 NaN 1.27648 2755 RUSSELL caleb_strategy_v1 [1] 391.702 127.648 -2.55296 0 -5.10593 NaN -2.55296 2756 RUSSELL caleb_strategy_v1 [1] 391.702 130.201 -2.55296 5.10593 5.80476e-12 NaN 2.55296 2757 RUSSELL caleb_strategy_v1 [1] 391.702 128.925 -1.27648 -2.55296 -5.10593 NaN -3.82944 2758 RUSSELL caleb_strategy_v1 [1] 391.702 128.925 -1.27648 0 -2.55296 NaN -1.27648 2759 RUSSELL caleb_strategy_v1 [1] 391.702 123.819 -1.27648 -2.55296 NaN NaN -3.82944 2760 RUSSELL caleb_strategy_v1 [1] 391.702 121.266 -1.27648 2.55296 0 NaN 1.27648 2761 RUSSELL caleb_strategy_v1 [1] 391.702 123.819 -1.27648 2.55296 0 NaN 1.27648 2762 RUSSELL caleb_strategy_v1 [1] 391.702 126.372 -1.27648 2.55296 5.80476e-12 NaN 1.27648 2763 RUSSELL caleb_strategy_v1 [1] 391.702 132.754 -2.55296 5.10593 0 NaN 2.55296 2764 RUSSELL caleb_strategy_v1 [1] 391.702 139.136 -1.27648 -2.55296 -5.10593 NaN -3.82944 2765 RUSSELL caleb_strategy_v1 [1] 391.702 135.307 -2.55296 2.55296 -2.55296 NaN 0 =========================================================================================================================================================================== 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 2718 CAC caleb_strategy_v1 [-1] 11.039 -206.981 -2.75975 -11.039 NaN NaN -13.7988 2719 DAX caleb_strategy_v1 [-1] 1.1039 -41.3963 -1.65585 -1.1039 -4.4156 NaN -2.75975 2720 GOLD_micro caleb_strategy_v1 [1] 10 -99.5 -0.5 1 2.27374e-12 NaN 0.5 2721 PLAT caleb_strategy_v1 [-1] 50 625 -10 -5 -25 NaN -15 2722 SP400 caleb_strategy_v1 [-1] 100 -845 -55 -0 -110 NaN -55 2723 BITCOIN caleb_strategy_v1 [-1] 0.1 -166 -0.5 -0.5 -1.5 NaN -1 2724 DOW caleb_strategy_v1 [-1] 0.5 -49.25 -0.25 -0.5 -1 NaN -0.75 2727 GBP caleb_strategy_v1 [-1] 62500 103.125 -3.125 6.25 -1.38778e-11 NaN 3.125 2728 VIX caleb_strategy_v1 [1] 1000 -125 -25 -50 -100 NaN -75 2730 VIX caleb_strategy_v1 [1] 1000 -150 -50 0 -100 NaN -50 2732 VIX caleb_strategy_v1 [1] 1000 -175 -25 50 3.55271e-12 NaN 25 2725 VIX caleb_strategy_v1 [1] 1000 -175 -25 50 3.55271e-12 NaN 25 2726 RUSSELL caleb_strategy_v1 [1] 5 29.75 -0.25 -2.5 -3 NaN -2.75 2729 RUSSELL caleb_strategy_v1 [1] 5 34.25 -0.25 -0.5 -1 NaN -0.75 2731 RUSSELL caleb_strategy_v1 [1] 5 31.75 -0.25 0.5 0 NaN 0.25 2733 RUSSELL caleb_strategy_v1 [1] 5 31.75 -0.25 0.5 0 NaN 0.25 2734 RUSSELL caleb_strategy_v1 [1] 5 31 -0.5 0.5 -0.5 NaN 0 2735 RUSSELL caleb_strategy_v1 [1] 5 31 -0.5 0.5 -0.5 NaN 0 2736 RUSSELL caleb_strategy_v1 [1] 5 32.25 -0.25 0.5 1.13687e-12 NaN 0.25 2737 RUSSELL caleb_strategy_v1 [1] 5 35.25 -0.25 -1.5 -2 NaN -1.75 2738 RUSSELL caleb_strategy_v1 [1] 5 34.75 -0.25 -0.5 -1 NaN -0.75 2739 RUSSELL caleb_strategy_v1 [1] 5 33.25 -0.25 0.5 1.13687e-12 NaN 0.25 2740 RUSSELL caleb_strategy_v1 [1] 5 34.5 -0.5 0 -1 NaN -0.5 2741 RUSSELL caleb_strategy_v1 [1] 5 34.25 -0.25 -0.5 -1 NaN -0.75 2742 RUSSELL caleb_strategy_v1 [1] 5 34 -0.5 0 -1 NaN -0.5 2743 RUSSELL caleb_strategy_v1 [1] 5 32.5 -0.5 1 0 NaN 0.5 2744 RUSSELL caleb_strategy_v1 [1] 5 31.5 -0.5 0 -1 NaN -0.5 2745 RUSSELL caleb_strategy_v1 [1] 5 30.75 -0.25 -1 -1.5 NaN -1.25 2746 RUSSELL caleb_strategy_v1 [1] 5 30.5 -0.5 0 -1 NaN -0.5 2747 RUSSELL caleb_strategy_v1 [1] 5 30 -0.5 -0.5 -1.5 NaN -1 2748 RUSSELL caleb_strategy_v1 [1] 5 28.25 -0.25 0.5 1.13687e-12 NaN 0.25 2749 RUSSELL caleb_strategy_v1 [1] 5 28.25 -0.25 0 -0.5 NaN -0.25 2750 RUSSELL caleb_strategy_v1 [1] 5 28.25 -0.25 -1.5 NaN NaN -1.75 2751 RUSSELL caleb_strategy_v1 [1] 5 26.25 -0.25 -0.5 -1 NaN -0.75 2752 RUSSELL caleb_strategy_v1 [1] 5 25 -0.5 0 -1 NaN -0.5 2753 RUSSELL caleb_strategy_v1 [1] 5 25.5 -0.5 0 -1 NaN -0.5 2754 RUSSELL caleb_strategy_v1 [1] 5 24.75 -0.25 0.5 1.13687e-12 NaN 0.25 2755 RUSSELL caleb_strategy_v1 [1] 5 25 -0.5 0 -1 NaN -0.5 2756 RUSSELL caleb_strategy_v1 [1] 5 25.5 -0.5 1 1.13687e-12 NaN 0.5 2757 RUSSELL caleb_strategy_v1 [1] 5 25.25 -0.25 -0.5 -1 NaN -0.75 2758 RUSSELL caleb_strategy_v1 [1] 5 25.25 -0.25 0 -0.5 NaN -0.25 2759 RUSSELL caleb_strategy_v1 [1] 5 24.25 -0.25 -0.5 NaN NaN -0.75 2760 RUSSELL caleb_strategy_v1 [1] 5 23.75 -0.25 0.5 0 NaN 0.25 2761 RUSSELL caleb_strategy_v1 [1] 5 24.25 -0.25 0.5 0 NaN 0.25 2762 RUSSELL caleb_strategy_v1 [1] 5 24.75 -0.25 0.5 1.13687e-12 NaN 0.25 2763 RUSSELL caleb_strategy_v1 [1] 5 26 -0.5 1 0 NaN 0.5 2764 RUSSELL caleb_strategy_v1 [1] 5 27.25 -0.25 -0.5 -1 NaN -0.75 2765 RUSSELL caleb_strategy_v1 [1] 5 26.5 -0.5 0.5 -0.5 NaN 0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -166.00000 CAC -206.98125 DAX -41.39625 DOW -49.25000 GBP 103.12500 GOLD_micro -99.50000 PLAT 625.00000 RUSSELL 1047.00000 SP400 -845.00000 VIX -625.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -258.0025 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -0.50000 CAC -2.75975 DAX -1.65585 DOW -0.25000 GBP -3.12500 GOLD_micro -0.50000 PLAT -10.00000 RUSSELL -12.50000 SP400 -55.00000 VIX -125.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -211.2906 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -0.5000 CAC -11.0390 DAX -1.1039 DOW -0.5000 GBP 6.2500 GOLD_micro 1.0000 PLAT -5.0000 RUSSELL -1.5000 SP400 -0.0000 VIX 50.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 37.6071 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -1.500000e+00 CAC 0.000000e+00 DAX -4.415600e+00 DOW -1.000000e+00 GBP -1.387779e-11 GOLD_micro 2.273737e-12 PLAT -2.500000e+01 RUSSELL -2.350000e+01 SP400 -1.100000e+02 VIX -2.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -365.4156 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 0 CAC 0 DAX 0 DOW 0 GBP 0 GOLD_micro 0 PLAT 0 RUSSELL 0 SP400 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 BITCOIN -1.00000 CAC -13.79875 DAX -2.75975 DOW -0.75000 GBP 3.12500 GOLD_micro 0.50000 PLAT -15.00000 RUSSELL -14.00000 SP400 -55.00000 VIX -75.00000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -173.6835 ******************************************************************************** END OF REPORT ********************************************************************************