******************************************************************************** Trades report produced on 28/06/2023 21:38 from 27/06/2023 21:38 to 28/06/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3390 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:03:14 [1] 30605.0000 3388 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:03:07 [1] 30590.0000 3344 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:00:30 [1] 30565.0000 3347 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:01:08 [1] 30575.0000 3350 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:01:14 [1] 30575.0000 3353 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:01:21 [1] 30585.0000 3356 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:01:27 [1] 30615.0000 3359 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:01:57 [1] 30630.0000 3362 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:01 [1] 30660.0000 3365 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:04 [1] 30630.0000 3368 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:09 [1] 30660.0000 3370 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:11 [1] 30630.0000 3372 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:16 [1] 30630.0000 3376 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:30 [1] 30660.0000 3378 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:35 [1] 30625.0000 3374 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:19 [1] 30630.0000 3382 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:39 [1] 30630.0000 3386 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:03:03 [1] 30600.0000 3380 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:37 [1] 30630.0000 3384 BITCOIN caleb_strategy_v3 [20230700] 2023-06-28 15:02:42 [1] 30630.0000 3340 EUROSTX caleb_strategy_v3 [20230900] 2023-06-28 14:15:15 [1] 4365.0000 3339 EUROSTX caleb_strategy_v3 [20230900] 2023-06-28 14:13:45 [1] 4364.0000 3338 EUROSTX caleb_strategy_v3 [20230900] 2023-06-28 14:11:43 [1] 4365.0000 3336 EUROSTX caleb_strategy_v3 [20230900] 2023-06-28 14:10:11 [1] 4365.0000 3332 EUROSTX caleb_strategy_v3 [20230900] 2023-06-28 14:04:19 [1] 4367.0000 3331 EUROSTX caleb_strategy_v1 [20230900] 2023-06-28 08:00:03 [-1] 4352.0000 3333 GASOIL caleb_strategy_v3 [20230800] 2023-06-28 14:04:20 [1] 687.7500 3337 GASOIL caleb_strategy_v3 [20230800] 2023-06-28 14:10:13 [1] 686.0000 3335 GASOLINE caleb_strategy_v3 [20230900] 2023-06-28 14:04:25 [1] 2.3684 3334 HEATOIL caleb_strategy_v3 [20230900] 2023-06-28 14:04:22 [1] 2.3687 3389 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:03:10 [1] 15069.7500 3387 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:03:05 [1] 15073.0000 3381 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:39 [1] 15090.7500 3385 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:45 [1] 15089.7500 3383 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:41 [1] 15090.7500 3379 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:37 [1] 15091.0000 3367 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:08 [1] 15084.2500 3375 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:20 [1] 15088.5000 3373 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:18 [1] 15086.5000 3371 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:13 [1] 15083.0000 3369 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:11 [1] 15081.2500 3364 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:04 [1] 15084.7500 3361 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:01:59 [1] 15084.7500 3358 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:01:37 [1] 15084.2500 3355 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:01:25 [1] 15090.7500 3352 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:01:17 [1] 15089.2500 3349 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:01:10 [1] 15092.2500 3346 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:00:33 [1] 15093.5000 3342 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:00:04 [1] 15084.2500 3377 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-06-28 15:02:32 [1] 15089.7500 3329 NIKKEI caleb_strategy_v1 [20230900] 2023-06-28 03:01:08 [1] 32690.0000 3330 NIKKEI caleb_strategy_v1 [20230900] 2023-06-28 03:01:10 [1] 32680.0000 3328 NIKKEI caleb_strategy_v1 [20230900] 2023-06-28 03:00:40 [1] 32695.0000 3345 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:00:32 [-1] 2592.7000 3341 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:00:03 [-1] 2591.4000 3366 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:02:07 [-1] 2591.7000 3363 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:02:03 [-1] 2591.7000 3360 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:01:59 [-1] 2591.8000 3351 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:01:16 [-1] 2590.7000 3354 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:01:24 [-1] 2591.3000 3348 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:01:10 [-1] 2591.2000 3357 SP400 caleb_strategy_v3 [20230900] 2023-06-28 15:01:36 [-1] 2591.3000 3343 VIX caleb_strategy_v3 [20230900] 2023-06-28 15:00:29 [1] 17.9500 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3328 NIKKEI caleb_strategy_v1 2023-06-27 2023-06-28 03:00:17.041 2023-06-28 03:00:40 97217 22.959 3329 NIKKEI caleb_strategy_v1 2023-06-27 2023-06-28 03:00:54.822 2023-06-28 03:01:08 97254.8 13.178 3330 NIKKEI caleb_strategy_v1 2023-06-27 2023-06-28 03:01:10.522 2023-06-28 03:01:10 97270.5 NaN 3331 EUROSTX caleb_strategy_v1 2023-06-27 2023-06-28 08:00:02.655 2023-06-28 08:00:03 115203 0.345 3334 HEATOIL caleb_strategy_v3 2023-06-27 2023-06-28 14:04:21.910 2023-06-28 14:04:22 137062 0.09 3335 GASOLINE caleb_strategy_v3 2023-06-27 2023-06-28 14:04:23.811 2023-06-28 14:04:25 137064 1.189 3337 GASOIL caleb_strategy_v3 2023-06-27 2023-06-28 14:10:12.259 2023-06-28 14:10:13 137412 0.741 3333 GASOIL caleb_strategy_v3 2023-06-27 2023-06-28 14:04:20.243 2023-06-28 14:04:20 137060 NaN 3332 EUROSTX caleb_strategy_v3 2023-06-27 2023-06-28 14:04:18.974 2023-06-28 14:04:19 137059 0.026 3336 EUROSTX caleb_strategy_v3 2023-06-27 2023-06-28 14:09:39.056 2023-06-28 14:10:11 137379 31.944 3338 EUROSTX caleb_strategy_v3 2023-06-27 2023-06-28 14:10:15.176 2023-06-28 14:11:43 137415 87.824 3339 EUROSTX caleb_strategy_v3 2023-06-27 2023-06-28 14:11:45.232 2023-06-28 14:13:45 137505 119.768 3340 EUROSTX caleb_strategy_v3 2023-06-27 2023-06-28 14:13:47.175 2023-06-28 14:15:15 137627 87.825 3343 VIX caleb_strategy_v3 2023-06-27 2023-06-28 15:00:05.362 2023-06-28 15:00:29 140405 23.638 3360 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:01:59.093 2023-06-28 15:01:59 140519 NaN 3363 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:02:03.475 2023-06-28 15:02:03 140523 NaN 3366 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:02:06.394 2023-06-28 15:02:07 140526 0.606 3341 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:00:01.678 2023-06-28 15:00:03 140402 1.322 3345 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:00:32.041 2023-06-28 15:00:32 140432 NaN 3348 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:01:09.981 2023-06-28 15:01:10 140470 0.019 3351 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:01:16.456 2023-06-28 15:01:16 140476 NaN 3354 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:01:23.022 2023-06-28 15:01:24 140483 0.978 3357 SP400 caleb_strategy_v3 2023-06-27 2023-06-28 15:01:29.313 2023-06-28 15:01:36 140489 6.687 3342 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:00:04.514 2023-06-28 15:00:04 140405 NaN 3346 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:00:32.929 2023-06-28 15:00:33 140433 0.071 3349 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:01:10.581 2023-06-28 15:01:10 140471 NaN 3352 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:01:17.080 2023-06-28 15:01:17 140477 NaN 3355 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:01:25.368 2023-06-28 15:01:25 140485 NaN 3358 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:01:37.286 2023-06-28 15:01:37 140497 NaN 3361 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:01:59.588 2023-06-28 15:01:59 140520 NaN 3364 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:04.052 2023-06-28 15:02:04 140524 NaN 3367 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:08.333 2023-06-28 15:02:08 140528 NaN 3369 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:11.210 2023-06-28 15:02:11 140531 NaN 3371 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:13.723 2023-06-28 15:02:13 140534 NaN 3373 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:18.606 2023-06-28 15:02:18 140539 NaN 3375 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:20.827 2023-06-28 15:02:20 140541 NaN 3377 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:32.287 2023-06-28 15:02:32 140552 NaN 3379 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:37.148 2023-06-28 15:02:37 140557 NaN 3381 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:39.379 2023-06-28 15:02:39 140559 NaN 3383 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:41.543 2023-06-28 15:02:41 140562 NaN 3385 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:02:45.091 2023-06-28 15:02:45 140565 NaN 3387 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:03:05.289 2023-06-28 15:03:05 140585 NaN 3389 NASDAQ_micro caleb_strategy_v3 2023-06-27 2023-06-28 15:03:10.468 2023-06-28 15:03:10 140590 NaN 3344 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:00:29.731 2023-06-28 15:00:30 140430 0.269 3347 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:00:33.454 2023-06-28 15:01:08 140433 34.546 3350 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:01:11.011 2023-06-28 15:01:14 140471 2.989 3353 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:01:17.511 2023-06-28 15:01:21 140478 3.489 3356 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:01:25.769 2023-06-28 15:01:27 140486 1.231 3359 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:01:37.801 2023-06-28 15:01:57 140498 19.199 3362 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:01:59.983 2023-06-28 15:02:01 140520 1.017 3365 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:04.541 2023-06-28 15:02:04 140525 NaN 3368 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:08.648 2023-06-28 15:02:09 140529 0.352 3370 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:11.612 2023-06-28 15:02:11 140532 NaN 3372 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:14.141 2023-06-28 15:02:16 140534 1.859 3374 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:18.972 2023-06-28 15:02:19 140539 0.028 3376 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:21.141 2023-06-28 15:02:30 140541 8.859 3378 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:32.783 2023-06-28 15:02:35 140553 2.217 3380 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:37.481 2023-06-28 15:02:37 140557 NaN 3382 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:39.781 2023-06-28 15:02:39 140560 NaN 3384 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:41.956 2023-06-28 15:02:42 140562 0.044 3386 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:02:45.556 2023-06-28 15:03:03 140566 17.444 3388 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:03:05.780 2023-06-28 15:03:07 140586 1.22 3390 BITCOIN caleb_strategy_v3 2023-06-27 2023-06-28 15:03:11.057 2023-06-28 15:03:14 140591 2.943 ================================================================================================================================================================================================================================ 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 3328 NIKKEI caleb_strategy_v1 [1] 32820 None 32687.5 32690 32685 32685 32695 132.5 -2.5 -5 -10 NaN -7.5 3329 NIKKEI caleb_strategy_v1 [1] 32820 None 32692.5 32695 32690 32690 32690 127.5 -2.5 5 0 NaN 2.5 3330 NIKKEI caleb_strategy_v1 [1] 32820 None 32682.5 32685 32680 32680 32680 137.5 -2.5 5 0 NaN 2.5 3331 EUROSTX caleb_strategy_v1 [-1] 4355 None 4351.5 4351 4352 4352 4352 -3.5 -0.5 1 -0 NaN 0.5 3334 HEATOIL caleb_strategy_v3 [1] 2.3639 None 2.3683 2.3687 2.3679 2.3679 2.3687 -0.0044 -0.0004 0 -0.0008 NaN -0.0004 3335 GASOLINE caleb_strategy_v3 [1] 2.3392 None 2.3681 2.3684 2.3678 2.3678 2.3684 -0.0289 -0.0003 0 -0.0006 NaN -0.0003 3337 GASOIL caleb_strategy_v3 [1] 686.75 None 685.75 686 685.5 685.5 686 1 -0.25 0 -0.5 NaN -0.25 3333 GASOIL caleb_strategy_v3 [1] 686.75 None 687.375 687.5 687.25 687.25 687.75 -0.625 -0.125 -0.25 -0.5 NaN -0.375 3332 EUROSTX caleb_strategy_v3 [1] 4355 None 4351.5 4352 4351 4351 4367 3.5 -0.5 -15 -16 NaN -15.5 3336 EUROSTX caleb_strategy_v3 [1] 4355 None 4365.5 4366 4365 4365 4365 -10.5 -0.5 1 0 NaN 0.5 3338 EUROSTX caleb_strategy_v3 [1] 4355 None 4365.5 4366 4365 4365 4365 -10.5 -0.5 1 0 NaN 0.5 3339 EUROSTX caleb_strategy_v3 [1] 4355 None 4364.5 4365 4364 4364 4364 -9.5 -0.5 1 0 NaN 0.5 3340 EUROSTX caleb_strategy_v3 [1] 4355 None 4363.5 4364 4363 4363 4365 -8.5 -0.5 -1 -2 NaN -1.5 3343 VIX caleb_strategy_v3 [1] 18.05 None 17.975 18 17.95 17.95 17.95 0.075 -0.025 0.05 0 NaN 0.025 3360 SP400 caleb_strategy_v3 [-1] 2596.2 None 2591.45 2591.2 2591.7 2591.7 2591.8 -4.75 -0.25 0.6 0.1 NaN 0.35 3363 SP400 caleb_strategy_v3 [-1] 2596.2 None 2592.1 2591.8 2592.4 2592.4 2591.7 -4.1 -0.3 -0.1 -0.7 NaN -0.4 3366 SP400 caleb_strategy_v3 [-1] 2596.2 None 2591.95 2591.7 2592.2 2592.2 2591.7 -4.25 -0.25 -0 -0.5 NaN -0.25 3341 SP400 caleb_strategy_v3 [-1] 2596.2 None 2591.75 2591.5 2592 2592 2591.4 -4.45 -0.25 -0.1 -0.6 NaN -0.35 3345 SP400 caleb_strategy_v3 [-1] 2596.2 None 2591.65 2591.4 2591.9 2591.9 2592.7 -4.55 -0.25 1.3 0.8 NaN 1.05 3348 SP400 caleb_strategy_v3 [-1] 2596.2 None 2593 2592.7 2593.3 2593.3 2591.2 -3.2 -0.3 -1.5 -2.1 NaN -1.8 3351 SP400 caleb_strategy_v3 [-1] 2596.2 None 2591.45 2591.2 2591.7 2591.7 2590.7 -4.75 -0.25 -0.5 -1 NaN -0.75 3354 SP400 caleb_strategy_v3 [-1] 2596.2 None 2591 2590.7 2591.3 2591.3 2591.3 -5.2 -0.3 0.6 -0 NaN 0.3 3357 SP400 caleb_strategy_v3 [-1] 2596.2 None 2591.6 2591.3 2591.9 2591.9 2591.3 -4.6 -0.3 -0 -0.6 NaN -0.3 3342 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15083.8 15084 15083.5 15083.5 15084.2 34.5 -0.25 -0.25 -0.75 NaN -0.5 3346 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15084.4 15084.5 15084.2 15084.2 15093.5 33.875 -0.125 -9 -9.25 NaN -9.125 3349 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15093.2 15093.5 15093 15093 15092.2 25 -0.25 1.25 0.75 NaN 1 3352 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15092.1 15092.2 15092 15092 15089.2 26.125 -0.125 3 2.75 NaN 2.875 3355 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15089 15089.2 15088.8 15088.8 15090.8 29.25 -0.25 -1.5 -2 NaN -1.75 3358 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15090.5 15090.8 15090.2 15090.2 15084.2 27.75 -0.25 6.5 6 NaN 6.25 3361 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15083.9 15084 15083.8 15083.8 15084.8 34.375 -0.125 -0.75 -1 NaN -0.875 3364 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15084.6 15084.8 15084.5 15084.5 15084.8 33.625 -0.125 0 -0.25 NaN -0.125 3367 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15084.5 15084.8 15084.2 15084.2 15084.2 33.75 -0.25 0.5 0 NaN 0.25 3369 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15082.9 15083 15082.8 15082.8 15081.2 35.375 -0.125 1.75 1.5 NaN 1.625 3371 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15081.2 15081.5 15081 15081 15083 37 -0.25 -1.5 -2 NaN -1.75 3373 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15082.8 15083 15082.5 15082.5 15086.5 35.5 -0.25 -3.5 -4 NaN -3.75 3375 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15086.1 15086.2 15086 NaN 15088.5 32.125 -0.125 -2.25 NaN NaN -2.375 3377 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15089.4 15089.5 15089.2 15089.2 15089.8 28.875 -0.125 -0.25 -0.5 NaN -0.375 3379 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15091.2 15091.5 15091 15091 15091 27 -0.25 0.5 0 NaN 0.25 3381 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15090.9 15091 15090.8 15090.8 15090.8 27.375 -0.125 0.25 0 NaN 0.125 3383 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15091 15091.2 15090.8 15090.8 15090.8 27.25 -0.25 0.5 0 NaN 0.25 3385 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15089.5 15089.8 15089.2 15089.2 15089.8 28.75 -0.25 0 -0.5 NaN -0.25 3387 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15074.6 15074.8 15074.5 15074.5 15073 43.625 -0.125 1.75 1.5 NaN 1.625 3389 NASDAQ_micro caleb_strategy_v3 [1] 15118.2 None 15070.4 15070.5 15070.2 15070.2 15069.8 47.875 -0.125 0.75 0.5 NaN 0.625 3344 BITCOIN caleb_strategy_v3 [1] 31025 None 30547.5 30565 30530 30530 30565 477.5 -17.5 0 -35 NaN -17.5 3347 BITCOIN caleb_strategy_v3 [1] 31025 None 30550 30565 30535 30535 30575 475 -15 -10 -40 NaN -25 3350 BITCOIN caleb_strategy_v3 [1] 31025 None 30557.5 30575 30540 30540 30575 467.5 -17.5 0 -35 NaN -17.5 3353 BITCOIN caleb_strategy_v3 [1] 31025 None 30560 30575 30545 30545 30585 465 -15 -10 -40 NaN -25 3356 BITCOIN caleb_strategy_v3 [1] 31025 None 30562.5 30585 30540 NaN 30615 462.5 -22.5 -30 NaN NaN -52.5 3359 BITCOIN caleb_strategy_v3 [1] 31025 None 30610 30625 30595 30595 30630 415 -15 -5 -35 NaN -20 3362 BITCOIN caleb_strategy_v3 [1] 31025 None 30615 30630 30600 NaN 30660 410 -15 -30 NaN NaN -45 3365 BITCOIN caleb_strategy_v3 [1] 31025 None 30615 30630 30600 30600 30630 410 -15 0 -30 NaN -15 3368 BITCOIN caleb_strategy_v3 [1] 31025 None 30615 30630 30600 NaN 30660 410 -15 -30 NaN NaN -45 3370 BITCOIN caleb_strategy_v3 [1] 31025 None 30617.5 30630 30605 30605 30630 407.5 -12.5 0 -25 NaN -12.5 3372 BITCOIN caleb_strategy_v3 [1] 31025 None 30615 30630 30600 30600 30630 410 -15 0 -30 NaN -15 3374 BITCOIN caleb_strategy_v3 [1] 31025 None 30617.5 30630 30605 NaN 30630 407.5 -12.5 0 NaN NaN -12.5 3376 BITCOIN caleb_strategy_v3 [1] 31025 None 30617.5 30630 30605 NaN 30660 407.5 -12.5 -30 NaN NaN -42.5 3378 BITCOIN caleb_strategy_v3 [1] 31025 None 30607.5 30625 30590 30590 30625 417.5 -17.5 0 -35 NaN -17.5 3380 BITCOIN caleb_strategy_v3 [1] 31025 None 30612.5 30630 30595 NaN 30630 412.5 -17.5 0 NaN NaN -17.5 3382 BITCOIN caleb_strategy_v3 [1] 31025 None 30612.5 30630 30595 NaN 30630 412.5 -17.5 0 NaN NaN -17.5 3384 BITCOIN caleb_strategy_v3 [1] 31025 None 30612.5 30630 30595 30595 30630 412.5 -17.5 0 -35 NaN -17.5 3386 BITCOIN caleb_strategy_v3 [1] 31025 None 30615 30630 30600 30600 30600 410 -15 30 0 NaN 15 3388 BITCOIN caleb_strategy_v3 [1] 31025 None 30580 30605 30555 30555 30590 445 -25 15 -35 NaN -10 3390 BITCOIN caleb_strategy_v3 [1] 31025 None 30575 30590 30560 30560 30605 450 -15 -15 -45 NaN -30 ================================================================================================================================================================ 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 3328 NIKKEI caleb_strategy_v1 [1] 5428.72 244.072 -4.60513 -9.21027 -18.4205 NaN -13.8154 3329 NIKKEI caleb_strategy_v1 [1] 5428.72 234.862 -4.60513 9.21027 0 NaN 4.60513 3330 NIKKEI caleb_strategy_v1 [1] 5428.72 253.282 -4.60513 9.21027 0 NaN 4.60513 3331 EUROSTX caleb_strategy_v1 [-1] 604.06 -57.9413 -8.27732 16.5546 -0 NaN 8.27732 3334 HEATOIL caleb_strategy_v3 [1] 0.85879 -51.2349 -4.65771 0 -9.31543 NaN -4.65771 3335 GASOLINE caleb_strategy_v3 [1] 0.763253 -378.643 -3.93055 0 -7.86109 NaN -3.93055 3337 GASOIL caleb_strategy_v3 [1] 273.375 36.5797 -9.14494 0 -18.2899 NaN -9.14494 3333 GASOIL caleb_strategy_v3 [1] 273.375 -22.8623 -4.57247 -9.14494 -18.2899 NaN -13.7174 3332 EUROSTX caleb_strategy_v3 [1] 604.06 57.9413 -8.27732 -248.32 -264.874 NaN -256.597 3336 EUROSTX caleb_strategy_v3 [1] 604.06 -173.824 -8.27732 16.5546 0 NaN 8.27732 3338 EUROSTX caleb_strategy_v3 [1] 604.06 -173.824 -8.27732 16.5546 0 NaN 8.27732 3339 EUROSTX caleb_strategy_v3 [1] 604.06 -157.269 -8.27732 16.5546 0 NaN 8.27732 3340 EUROSTX caleb_strategy_v3 [1] 604.06 -140.714 -8.27732 -16.5546 -33.1093 NaN -24.832 3343 VIX caleb_strategy_v3 [1] 7.51917 99.7451 -33.2484 66.4967 0 NaN 33.2484 3360 SP400 caleb_strategy_v3 [-1] 467.809 -101.537 -5.34407 12.8258 2.13763 NaN 7.48169 3363 SP400 caleb_strategy_v3 [-1] 467.809 -87.6427 -6.41288 -2.13763 -14.9634 NaN -8.55051 3366 SP400 caleb_strategy_v3 [-1] 467.809 -90.8491 -5.34407 -0 -10.6881 NaN -5.34407 3341 SP400 caleb_strategy_v3 [-1] 467.809 -95.1244 -5.34407 -2.13763 -12.8258 NaN -7.48169 3345 SP400 caleb_strategy_v3 [-1] 467.809 -97.262 -5.34407 27.7891 17.101 NaN 22.4451 3348 SP400 caleb_strategy_v3 [-1] 467.809 -68.404 -6.41288 -32.0644 -44.8902 NaN -38.4773 3351 SP400 caleb_strategy_v3 [-1] 467.809 -101.537 -5.34407 -10.6881 -21.3763 NaN -16.0322 3354 SP400 caleb_strategy_v3 [-1] 467.809 -111.157 -6.41288 12.8258 -0 NaN 6.41288 3357 SP400 caleb_strategy_v3 [-1] 467.809 -98.3308 -6.41288 -0 -12.8258 NaN -6.41288 3342 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 123.199 -0.892744 -0.892744 -2.67823 NaN -1.78549 3346 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 120.967 -0.446372 -32.1388 -33.0315 NaN -32.5852 3349 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 89.2744 -0.892744 4.46372 2.67823 NaN 3.57098 3352 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 93.2918 -0.446372 10.7129 9.82019 NaN 10.2666 3355 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 104.451 -0.892744 -5.35646 -7.14195 NaN -6.24921 3358 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 99.0946 -0.892744 23.2113 21.4259 NaN 22.3186 3361 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 122.752 -0.446372 -2.67823 -3.57098 NaN -3.1246 3364 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 120.074 -0.446372 0 -0.892744 NaN -0.446372 3367 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 120.52 -0.892744 1.78549 0 NaN 0.892744 3369 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 126.323 -0.446372 6.24921 5.35646 NaN 5.80284 3371 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 132.126 -0.892744 -5.35646 -7.14195 NaN -6.24921 3373 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 126.77 -0.892744 -12.4984 -14.2839 NaN -13.3912 3375 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 114.718 -0.446372 -8.0347 NaN NaN -8.48107 3377 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 103.112 -0.446372 -0.892744 -1.78549 NaN -1.33912 3379 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 96.4164 -0.892744 1.78549 0 NaN 0.892744 3381 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 97.7555 -0.446372 0.892744 0 NaN 0.446372 3383 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 97.3091 -0.892744 1.78549 0 NaN 0.892744 3385 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 102.666 -0.892744 0 -1.78549 NaN -0.892744 3387 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 155.784 -0.446372 6.24921 5.35646 NaN 5.80284 3389 NASDAQ_micro caleb_strategy_v3 [1] 2800.35 170.961 -0.446372 2.67823 1.78549 NaN 2.23186 3344 BITCOIN caleb_strategy_v3 [1] 15832.4 301.596 -11.0533 0 -22.1065 NaN -11.0533 3347 BITCOIN caleb_strategy_v3 [1] 15832.4 300.017 -9.47423 -6.31615 -25.2646 NaN -15.7904 3350 BITCOIN caleb_strategy_v3 [1] 15832.4 295.28 -11.0533 0 -22.1065 NaN -11.0533 3353 BITCOIN caleb_strategy_v3 [1] 15832.4 293.701 -9.47423 -6.31615 -25.2646 NaN -15.7904 3356 BITCOIN caleb_strategy_v3 [1] 15832.4 292.122 -14.2113 -18.9485 NaN NaN -33.1598 3359 BITCOIN caleb_strategy_v3 [1] 15832.4 262.12 -9.47423 -3.15808 -22.1065 NaN -12.6323 3362 BITCOIN caleb_strategy_v3 [1] 15832.4 258.962 -9.47423 -18.9485 NaN NaN -28.4227 3365 BITCOIN caleb_strategy_v3 [1] 15832.4 258.962 -9.47423 0 -18.9485 NaN -9.47423 3368 BITCOIN caleb_strategy_v3 [1] 15832.4 258.962 -9.47423 -18.9485 NaN NaN -28.4227 3370 BITCOIN caleb_strategy_v3 [1] 15832.4 257.383 -7.89519 0 -15.7904 NaN -7.89519 3372 BITCOIN caleb_strategy_v3 [1] 15832.4 258.962 -9.47423 0 -18.9485 NaN -9.47423 3374 BITCOIN caleb_strategy_v3 [1] 15832.4 257.383 -7.89519 0 NaN NaN -7.89519 3376 BITCOIN caleb_strategy_v3 [1] 15832.4 257.383 -7.89519 -18.9485 NaN NaN -26.8437 3378 BITCOIN caleb_strategy_v3 [1] 15832.4 263.699 -11.0533 0 -22.1065 NaN -11.0533 3380 BITCOIN caleb_strategy_v3 [1] 15832.4 260.541 -11.0533 0 NaN NaN -11.0533 3382 BITCOIN caleb_strategy_v3 [1] 15832.4 260.541 -11.0533 0 NaN NaN -11.0533 3384 BITCOIN caleb_strategy_v3 [1] 15832.4 260.541 -11.0533 0 -22.1065 NaN -11.0533 3386 BITCOIN caleb_strategy_v3 [1] 15832.4 258.962 -9.47423 18.9485 0 NaN 9.47423 3388 BITCOIN caleb_strategy_v3 [1] 15832.4 281.069 -15.7904 9.47423 -22.1065 NaN -6.31615 3390 BITCOIN caleb_strategy_v3 [1] 15832.4 284.227 -9.47423 -9.47423 -28.4227 NaN -18.9485 =========================================================================================================================================================================== 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 3328 NIKKEI caleb_strategy_v1 [1] 0.694746 92.0538 -1.73686 -3.47373 -6.94746 NaN -5.21059 3329 NIKKEI caleb_strategy_v1 [1] 0.694746 88.5801 -1.73686 3.47373 0 NaN 1.73686 3330 NIKKEI caleb_strategy_v1 [1] 0.694746 95.5276 -1.73686 3.47373 0 NaN 1.73686 3331 EUROSTX caleb_strategy_v1 [-1] 10.9535 -38.3372 -5.47675 10.9535 -0 NaN 5.47675 3334 HEATOIL caleb_strategy_v3 [1] 42000 -184.8 -16.8 0 -33.6 NaN -16.8 3335 GASOLINE caleb_strategy_v3 [1] 42000 -1213.8 -12.6 0 -25.2 NaN -12.6 3337 GASOIL caleb_strategy_v3 [1] 100 100 -25 0 -50 NaN -25 3333 GASOIL caleb_strategy_v3 [1] 100 -62.5 -12.5 -25 -50 NaN -37.5 3332 EUROSTX caleb_strategy_v3 [1] 10.9535 38.3372 -5.47675 -164.303 -175.256 NaN -169.779 3336 EUROSTX caleb_strategy_v3 [1] 10.9535 -115.012 -5.47675 10.9535 0 NaN 5.47675 3338 EUROSTX caleb_strategy_v3 [1] 10.9535 -115.012 -5.47675 10.9535 0 NaN 5.47675 3339 EUROSTX caleb_strategy_v3 [1] 10.9535 -104.058 -5.47675 10.9535 0 NaN 5.47675 3340 EUROSTX caleb_strategy_v3 [1] 10.9535 -93.1047 -5.47675 -10.9535 -21.907 NaN -16.4303 3343 VIX caleb_strategy_v3 [1] 1000 75 -25 50 0 NaN 25 3360 SP400 caleb_strategy_v3 [-1] 100 -475 -25 60 10 NaN 35 3363 SP400 caleb_strategy_v3 [-1] 100 -410 -30 -10 -70 NaN -40 3366 SP400 caleb_strategy_v3 [-1] 100 -425 -25 -0 -50 NaN -25 3341 SP400 caleb_strategy_v3 [-1] 100 -445 -25 -10 -60 NaN -35 3345 SP400 caleb_strategy_v3 [-1] 100 -455 -25 130 80 NaN 105 3348 SP400 caleb_strategy_v3 [-1] 100 -320 -30 -150 -210 NaN -180 3351 SP400 caleb_strategy_v3 [-1] 100 -475 -25 -50 -100 NaN -75 3354 SP400 caleb_strategy_v3 [-1] 100 -520 -30 60 -0 NaN 30 3357 SP400 caleb_strategy_v3 [-1] 100 -460 -30 -0 -60 NaN -30 3342 NASDAQ_micro caleb_strategy_v3 [1] 2 69 -0.5 -0.5 -1.5 NaN -1 3346 NASDAQ_micro caleb_strategy_v3 [1] 2 67.75 -0.25 -18 -18.5 NaN -18.25 3349 NASDAQ_micro caleb_strategy_v3 [1] 2 50 -0.5 2.5 1.5 NaN 2 3352 NASDAQ_micro caleb_strategy_v3 [1] 2 52.25 -0.25 6 5.5 NaN 5.75 3355 NASDAQ_micro caleb_strategy_v3 [1] 2 58.5 -0.5 -3 -4 NaN -3.5 3358 NASDAQ_micro caleb_strategy_v3 [1] 2 55.5 -0.5 13 12 NaN 12.5 3361 NASDAQ_micro caleb_strategy_v3 [1] 2 68.75 -0.25 -1.5 -2 NaN -1.75 3364 NASDAQ_micro caleb_strategy_v3 [1] 2 67.25 -0.25 0 -0.5 NaN -0.25 3367 NASDAQ_micro caleb_strategy_v3 [1] 2 67.5 -0.5 1 0 NaN 0.5 3369 NASDAQ_micro caleb_strategy_v3 [1] 2 70.75 -0.25 3.5 3 NaN 3.25 3371 NASDAQ_micro caleb_strategy_v3 [1] 2 74 -0.5 -3 -4 NaN -3.5 3373 NASDAQ_micro caleb_strategy_v3 [1] 2 71 -0.5 -7 -8 NaN -7.5 3375 NASDAQ_micro caleb_strategy_v3 [1] 2 64.25 -0.25 -4.5 NaN NaN -4.75 3377 NASDAQ_micro caleb_strategy_v3 [1] 2 57.75 -0.25 -0.5 -1 NaN -0.75 3379 NASDAQ_micro caleb_strategy_v3 [1] 2 54 -0.5 1 0 NaN 0.5 3381 NASDAQ_micro caleb_strategy_v3 [1] 2 54.75 -0.25 0.5 0 NaN 0.25 3383 NASDAQ_micro caleb_strategy_v3 [1] 2 54.5 -0.5 1 0 NaN 0.5 3385 NASDAQ_micro caleb_strategy_v3 [1] 2 57.5 -0.5 0 -1 NaN -0.5 3387 NASDAQ_micro caleb_strategy_v3 [1] 2 87.25 -0.25 3.5 3 NaN 3.25 3389 NASDAQ_micro caleb_strategy_v3 [1] 2 95.75 -0.25 1.5 1 NaN 1.25 3344 BITCOIN caleb_strategy_v3 [1] 0.1 47.75 -1.75 0 -3.5 NaN -1.75 3347 BITCOIN caleb_strategy_v3 [1] 0.1 47.5 -1.5 -1 -4 NaN -2.5 3350 BITCOIN caleb_strategy_v3 [1] 0.1 46.75 -1.75 0 -3.5 NaN -1.75 3353 BITCOIN caleb_strategy_v3 [1] 0.1 46.5 -1.5 -1 -4 NaN -2.5 3356 BITCOIN caleb_strategy_v3 [1] 0.1 46.25 -2.25 -3 NaN NaN -5.25 3359 BITCOIN caleb_strategy_v3 [1] 0.1 41.5 -1.5 -0.5 -3.5 NaN -2 3362 BITCOIN caleb_strategy_v3 [1] 0.1 41 -1.5 -3 NaN NaN -4.5 3365 BITCOIN caleb_strategy_v3 [1] 0.1 41 -1.5 0 -3 NaN -1.5 3368 BITCOIN caleb_strategy_v3 [1] 0.1 41 -1.5 -3 NaN NaN -4.5 3370 BITCOIN caleb_strategy_v3 [1] 0.1 40.75 -1.25 0 -2.5 NaN -1.25 3372 BITCOIN caleb_strategy_v3 [1] 0.1 41 -1.5 0 -3 NaN -1.5 3374 BITCOIN caleb_strategy_v3 [1] 0.1 40.75 -1.25 0 NaN NaN -1.25 3376 BITCOIN caleb_strategy_v3 [1] 0.1 40.75 -1.25 -3 NaN NaN -4.25 3378 BITCOIN caleb_strategy_v3 [1] 0.1 41.75 -1.75 0 -3.5 NaN -1.75 3380 BITCOIN caleb_strategy_v3 [1] 0.1 41.25 -1.75 0 NaN NaN -1.75 3382 BITCOIN caleb_strategy_v3 [1] 0.1 41.25 -1.75 0 NaN NaN -1.75 3384 BITCOIN caleb_strategy_v3 [1] 0.1 41.25 -1.75 0 -3.5 NaN -1.75 3386 BITCOIN caleb_strategy_v3 [1] 0.1 41 -1.5 3 0 NaN 1.5 3388 BITCOIN caleb_strategy_v3 [1] 0.1 44.5 -2.5 1.5 -3.5 NaN -1 3390 BITCOIN caleb_strategy_v3 [1] 0.1 45 -1.5 -1.5 -4.5 NaN -3 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 EUROSTX -38.337250 NIKKEI 276.161528 caleb_strategy_v3 BITCOIN 858.500000 EUROSTX -388.849250 GASOIL 37.500000 GASOLINE -1213.800000 HEATOIL -184.800000 NASDAQ_micro 1298.000000 SP400 -3985.000000 VIX 75.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 237.824278 caleb_strategy_v3 -3503.449250 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 EUROSTX -5.476750 NIKKEI -5.210595 caleb_strategy_v3 BITCOIN -32.500000 EUROSTX -27.383750 GASOIL -37.500000 GASOLINE -12.600000 HEATOIL -16.800000 NASDAQ_micro -7.500000 SP400 -245.000000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -10.687345 caleb_strategy_v3 -404.283750 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 EUROSTX 10.95350 NIKKEI 3.47373 caleb_strategy_v3 BITCOIN -11.50000 EUROSTX -142.39550 GASOIL -25.00000 GASOLINE 0.00000 HEATOIL 0.00000 NASDAQ_micro -4.50000 SP400 30.00000 VIX 50.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 14.42723 caleb_strategy_v3 -103.39550 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 EUROSTX -0.00000 NIKKEI -6.94746 caleb_strategy_v3 BITCOIN -42.00000 EUROSTX -197.16300 GASOIL -100.00000 GASOLINE -25.20000 HEATOIL -33.60000 NASDAQ_micro -14.50000 SP400 -460.00000 VIX 0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -6.94746 caleb_strategy_v3 -872.46300 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 EUROSTX 0 NIKKEI 0 caleb_strategy_v3 BITCOIN 0 EUROSTX 0 GASOIL 0 GASOLINE 0 HEATOIL 0 NASDAQ_micro 0 SP400 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v1 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v1 EUROSTX 5.476750 NIKKEI -1.736865 caleb_strategy_v3 BITCOIN -44.000000 EUROSTX -169.779250 GASOIL -62.500000 GASOLINE -12.600000 HEATOIL -16.800000 NASDAQ_micro -12.000000 SP400 -215.000000 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 3.739885 caleb_strategy_v3 -507.679250 ******************************************************************************** END OF REPORT ********************************************************************************