******************************************************************************** Trades report produced on 10/07/2023 21:37 from 09/07/2023 21:37 to 10/07/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 3482 COPPER caleb_strategy_v3 [20230900] 2023-07-10 14:00:15.000 [-1] 3.75200 3540 CORN caleb_strategy_v3 [20231200] 2023-07-10 15:30:06.000 [-1] 499.00000 3539 CORN caleb_strategy_v3 [20231200] 2023-07-10 15:30:04.000 [-1] 499.00000 3469 DAX caleb_strategy_v3 [20230900] 2023-07-10 08:00:03.000 [-1] 15675.00000 3470 DAX caleb_strategy_v3 [20230900] 2023-07-10 08:00:05.000 [-1] 15678.00000 3471 DAX caleb_strategy_v3 [20230900] 2023-07-10 08:00:07.000 [-1] 15676.00000 3472 DAX caleb_strategy_v3 [20230900] 2023-07-10 08:00:10.000 [-1] 15679.00000 3473 DAX caleb_strategy_v3 [20230900] 2023-07-10 08:00:13.000 [-1] 15674.00000 3474 DAX caleb_strategy_v3 [20230900] 2023-07-10 08:00:15.000 [-1] 15675.00000 3475 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-10 09:02:02.000 [-1] 96.73000 3477 GASOIL _ROLL_PSEUDO_STRATEGY [20230800] 2023-07-10 09:29:11.000 [-1] 732.00000 3476 GASOIL caleb_strategy_v3 [20230800] 2023-07-10 09:02:05.000 [1] 732.50000 3478 GASOIL _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-10 09:29:31.000 [1] 728.25000 3481 GASOLINE caleb_strategy_v3 [20231000] 2023-07-10 14:00:14.000 [1] 2.25750 3485 GASOLINE caleb_strategy_v3 [20231000] 2023-07-10 14:00:19.000 [1] 2.25870 3492 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:53.000 [-1] 2.66500 3493 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:57.000 [-1] 2.66500 3491 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:43.000 [-1] 2.66000 3490 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:34.000 [-1] 2.66500 3484 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:19.000 [-1] 2.65500 3487 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:21.000 [-1] 2.65500 3480 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:12.000 [-1] 2.65000 3489 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-10 14:00:24.000 [-1] 2.66000 3457 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:10:14.000 [1] 147.71000 3455 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:05:22.000 [1] 147.72000 3468 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 04:08:36.000 [1] 147.67000 3458 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:15:16.000 [1] 147.69000 3456 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:08:52.000 [1] 147.72000 3459 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:20:18.000 [1] 147.68000 3463 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:45:26.000 [1] 147.68000 3461 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:30:22.000 [1] 147.68000 3462 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 19:45:00.952 [0] NaN 3464 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:50:29.000 [1] 147.68000 3465 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:55:31.000 [1] 147.68000 3466 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 04:00:33.000 [1] 147.68000 3460 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 03:25:20.000 [1] 147.68000 3467 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-10 04:03:34.000 [1] 147.68000 3524 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:08:15.000 [1] 0.05788 3525 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:08:40.000 [1] 0.05788 3526 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:09:57.000 [1] 0.05787 3527 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:11:06.000 [1] 0.05789 3528 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:11:08.000 [1] 0.05789 3529 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:11:25.000 [1] 0.05789 3530 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:11:28.000 [1] 0.05789 3533 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:11:45.000 [1] 0.05788 3532 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:11:40.000 [1] 0.05788 3534 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:12:08.000 [1] 0.05786 3535 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:12:16.000 [1] 0.05785 3536 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:12:21.000 [1] 0.05784 3537 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:12:30.000 [1] 0.05783 3538 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:12:39.000 [1] 0.05784 3523 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:08:00.000 [1] 0.05787 3531 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:11:30.000 [1] 0.05794 3522 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:06:50.000 [1] 0.05786 3510 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:02:38.000 [1] 0.05782 3520 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:06:15.000 [1] 0.05788 3521 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:06:21.000 [1] 0.05787 3497 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:01:26.000 [1] 0.05782 3500 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:01:30.000 [1] 0.05782 3502 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:02:16.000 [1] 0.05781 3504 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:02:19.000 [1] 0.05781 3506 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:02:28.000 [1] 0.05786 3508 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:02:34.000 [1] 0.05782 3512 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:03:12.000 [1] 0.05782 3513 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:03:15.000 [1] 0.05783 3514 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:03:48.000 [1] 0.05784 3515 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:04:07.000 [1] 0.05785 3516 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:05:14.000 [1] 0.05786 3517 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:05:26.000 [1] 0.05786 3518 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:05:28.000 [1] 0.05786 3519 MXP caleb_strategy_v3 [20230900] 2023-07-10 15:05:33.000 [1] 0.05787 3498 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-10 15:01:29.000 [-1] 15129.25000 3494 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-10 15:00:00.000 [-1] 15115.25000 3454 NIKKEI caleb_strategy_v3 [20230900] 2023-07-10 03:00:20.000 [1] 32110.00000 3479 PLAT caleb_strategy_v3 [20231000] 2023-07-10 14:00:03.000 [-1] 914.00000 3486 PLAT caleb_strategy_v3 [20231000] 2023-07-10 14:00:21.000 [-1] 914.90000 3483 PLAT caleb_strategy_v3 [20231000] 2023-07-10 14:00:18.000 [-1] 914.30000 3488 PLAT caleb_strategy_v3 [20231000] 2023-07-10 14:00:24.000 [-1] 915.30000 3503 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:02:18.000 [-1] 1898.10000 3501 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:01:32.000 [-1] 1899.00000 3499 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:01:29.000 [-1] 1898.70000 3495 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:00:01.000 [-1] 1896.80000 3507 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:02:31.000 [-1] 1898.40000 3509 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:02:37.000 [-1] 1898.30000 3505 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:02:21.000 [-1] 1898.20000 3511 RUSSELL caleb_strategy_v3 [20230900] 2023-07-10 15:02:41.000 [-1] 1898.30000 3496 VIX caleb_strategy_v3 [20230900] 2023-07-10 15:01:20.000 [-1] 17.75000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3454 NIKKEI caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:00:17.604 2023-07-10 03:00:20.000 615618 2.396 3469 DAX caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 08:00:02.567 2023-07-10 08:00:03.000 288003 0.433 3470 DAX caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 08:00:05.259 2023-07-10 08:00:05.000 288005 NaN 3471 DAX caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 08:00:07.523 2023-07-10 08:00:07.000 288008 NaN 3472 DAX caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 08:00:09.871 2023-07-10 08:00:10.000 288010 0.129 3473 DAX caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 08:00:12.832 2023-07-10 08:00:13.000 288013 0.168 3474 DAX caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 08:00:15.215 2023-07-10 08:00:15.000 288015 NaN 3475 EURIBOR-ICE caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 09:00:02.217 2023-07-10 09:02:02.000 291602 119.783 3476 GASOIL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 09:02:03.733 2023-07-10 09:02:05.000 291724 1.267 3477 GASOIL _ROLL_PSEUDO_STRATEGY 2023-07-07 20:00:00 2023-07-10 09:29:11.072 2023-07-10 09:29:11.000 221351 NaN 3478 GASOIL _ROLL_PSEUDO_STRATEGY 2023-07-07 20:00:00 2023-07-10 09:29:11.769 2023-07-10 09:29:31.000 221352 19.231 3482 COPPER caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:15.175 2023-07-10 14:00:15.000 309615 NaN 3481 GASOLINE caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:12.642 2023-07-10 14:00:14.000 309613 1.358 3485 GASOLINE caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:19.368 2023-07-10 14:00:19.000 309619 NaN 3488 PLAT caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:24.133 2023-07-10 14:00:24.000 309624 NaN 3483 PLAT caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:17.669 2023-07-10 14:00:18.000 309618 0.331 3486 PLAT caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:21.508 2023-07-10 14:00:21.000 309622 NaN 3479 PLAT caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:02.413 2023-07-10 14:00:03.000 309602 0.587 3489 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:24.520 2023-07-10 14:00:24.000 309625 NaN 3490 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:26.508 2023-07-10 14:00:34.000 309627 7.492 3491 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:36.520 2023-07-10 14:00:43.000 309637 6.48 3492 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:45.460 2023-07-10 14:00:53.000 309645 7.54 3493 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:55.614 2023-07-10 14:00:57.000 309656 1.386 3480 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:03.597 2023-07-10 14:00:12.000 309604 8.403 3484 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:19.016 2023-07-10 14:00:19.000 309619 NaN 3487 GAS_US_mini caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 14:00:21.881 2023-07-10 14:00:21.000 309622 NaN 3496 VIX caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:00:02.716 2023-07-10 15:01:20.000 313203 77.284 3498 NASDAQ_micro caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:01:29.532 2023-07-10 15:01:29.000 313290 NaN 3494 NASDAQ_micro caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:00:00.742 2023-07-10 15:00:00.000 313201 NaN 3495 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:00:01.434 2023-07-10 15:00:01.000 313201 NaN 3499 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:01:29.848 2023-07-10 15:01:29.000 313290 NaN 3501 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:01:32.273 2023-07-10 15:01:32.000 313292 NaN 3503 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:18.324 2023-07-10 15:02:18.000 313338 NaN 3505 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:21.309 2023-07-10 15:02:21.000 313341 NaN 3507 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:30.805 2023-07-10 15:02:31.000 313351 0.195 3509 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:36.345 2023-07-10 15:02:37.000 313356 0.655 3511 RUSSELL caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:40.884 2023-07-10 15:02:41.000 313361 0.116 3497 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:01:21.363 2023-07-10 15:01:26.000 313281 4.637 3500 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:01:30.178 2023-07-10 15:01:30.000 313290 NaN 3502 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:01:32.824 2023-07-10 15:02:16.000 313293 43.176 3504 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:19.424 2023-07-10 15:02:19.000 313339 NaN 3506 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:21.746 2023-07-10 15:02:28.000 313342 6.254 3508 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:31.449 2023-07-10 15:02:34.000 313351 2.551 3510 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:38.096 2023-07-10 15:02:38.000 313358 NaN 3512 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:02:41.647 2023-07-10 15:03:12.000 313362 30.353 3513 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:03:14.621 2023-07-10 15:03:15.000 313395 0.379 3514 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:03:17.230 2023-07-10 15:03:48.000 313397 30.77 3515 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:03:50.302 2023-07-10 15:04:07.000 313430 16.698 3516 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:04:09.116 2023-07-10 15:05:14.000 313449 64.884 3517 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:05:16.272 2023-07-10 15:05:26.000 313516 9.728 3518 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:05:28.521 2023-07-10 15:05:28.000 313529 NaN 3519 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:05:30.556 2023-07-10 15:05:33.000 313531 2.444 3520 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:05:35.172 2023-07-10 15:06:15.000 313535 39.828 3521 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:06:17.513 2023-07-10 15:06:21.000 313578 3.487 3522 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:06:23.425 2023-07-10 15:06:50.000 313583 26.575 3523 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:06:52.949 2023-07-10 15:08:00.000 313613 67.051 3524 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:08:02.469 2023-07-10 15:08:15.000 313682 12.531 3525 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:08:17.753 2023-07-10 15:08:40.000 313698 22.247 3526 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:08:42.842 2023-07-10 15:09:57.000 313723 74.158 3527 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:01.033 2023-07-10 15:11:06.000 313861 4.967 3528 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:08.562 2023-07-10 15:11:08.000 313869 NaN 3529 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:10.576 2023-07-10 15:11:25.000 313871 14.424 3530 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:28.048 2023-07-10 15:11:28.000 313888 NaN 3531 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:30.219 2023-07-10 15:11:30.000 313890 NaN 3532 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:33.065 2023-07-10 15:11:40.000 313893 6.935 3533 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:43.078 2023-07-10 15:11:45.000 313903 1.922 3534 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:11:47.146 2023-07-10 15:12:08.000 313907 20.854 3535 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:12:10.479 2023-07-10 15:12:16.000 313930 5.521 3536 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:12:19.018 2023-07-10 15:12:21.000 313939 1.982 3537 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:12:23.818 2023-07-10 15:12:30.000 313944 6.182 3538 MXP caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:12:32.747 2023-07-10 15:12:39.000 313953 6.253 3539 CORN caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:30:00.866 2023-07-10 15:30:04.000 315001 3.134 3540 CORN caleb_strategy_v3 2023-07-07 00:00:00 2023-07-10 15:30:06.409 2023-07-10 15:30:06.000 315006 NaN 3456 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:05:35.533 2023-07-10 03:08:52.000 615936 196.467 3457 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:08:54.618 2023-07-10 03:10:14.000 616135 79.382 3458 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:10:15.977 2023-07-10 03:15:16.000 616216 300.023 3459 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:15:18.092 2023-07-10 03:20:18.000 616518 299.908 3460 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:20:20.339 2023-07-10 03:25:20.000 616820 299.661 3461 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:25:22.517 2023-07-10 03:30:22.000 617123 299.483 3462 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:30:24.579 2023-07-10 19:45:00.952 617425 58476.4 3463 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:40:26.723 2023-07-10 03:45:26.000 618027 299.277 3464 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:45:28.895 2023-07-10 03:50:29.000 618329 300.105 3465 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:50:31.213 2023-07-10 03:55:31.000 618631 299.787 3466 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:55:33.254 2023-07-10 04:00:33.000 618933 299.746 3467 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 04:00:35.504 2023-07-10 04:03:34.000 619236 178.496 3468 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 04:03:36.105 2023-07-10 04:08:36.000 619416 299.895 3455 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-10 03:00:22.295 2023-07-10 03:05:22.000 615622 299.705 =================================================================================================================================================================================================================================== 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 3454 NIKKEI caleb_strategy_v3 [1] 33605 None 32102.5 32105 32100 32100 32110 1502.5 -2.5 -5 -10 NaN -7.5 3469 DAX caleb_strategy_v3 [-1] 15768 None 15678.5 15677 15680 15680 15675 -89.5 -1.5 -2 -5 NaN -3.5 3470 DAX caleb_strategy_v3 [-1] 15768 None 15676.5 15675 15678 15678 15678 -91.5 -1.5 3 -0 NaN 1.5 3471 DAX caleb_strategy_v3 [-1] 15768 None 15678.5 15677 15680 15680 15676 -89.5 -1.5 -1 -4 NaN -2.5 3472 DAX caleb_strategy_v3 [-1] 15768 None 15677.5 15676 15679 15679 15679 -90.5 -1.5 3 -0 NaN 1.5 3473 DAX caleb_strategy_v3 [-1] 15768 None 15680 15679 15681 15681 15674 -88 -1 -5 -7 NaN -6 3474 DAX caleb_strategy_v3 [-1] 15768 None 15674 15673 15675 15675 15675 -94 -1 2 -0 NaN 1 3475 EURIBOR-ICE caleb_strategy_v3 [-1] 96.715 None 96.7375 96.735 96.74 96.74 96.73 0.0225 -0.0025 -0.005 -0.01 NaN -0.0075 3476 GASOIL caleb_strategy_v3 [1] 739 None 732.25 732.5 732 732 732.5 6.75 -0.25 0 -0.5 NaN -0.25 3477 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 739 None 732.375 732.25 732.5 732.5 732 -6.625 -0.125 -0.25 -0.5 NaN -0.375 3478 GASOIL _ROLL_PSEUDO_STRATEGY [1] 734.25 None 728 728.25 727.75 727.75 728.25 6.25 -0.25 0 -0.5 NaN -0.25 3482 COPPER caleb_strategy_v3 [-1] 3.7845 None 3.75275 3.7525 3.753 3.753 3.752 -0.03175 -0.00025 -0.0005 -0.001 NaN -0.00075 3481 GASOLINE caleb_strategy_v3 [1] 2.2764 None 2.25645 2.2568 2.2561 2.2561 2.2575 0.01995 -0.00035 -0.0007 -0.0014 NaN -0.00105 3485 GASOLINE caleb_strategy_v3 [1] 2.2764 None 2.2569 2.2575 2.2563 2.2563 2.2587 0.0195 -0.0006 -0.0012 -0.0024 NaN -0.0018 3488 PLAT caleb_strategy_v3 [-1] 919 None 915.1 914.9 915.3 915.3 915.3 -3.9 -0.2 0.4 -1.13687e-13 NaN 0.2 3483 PLAT caleb_strategy_v3 [-1] 919 None 914.15 914 914.3 914.3 914.3 -4.85 -0.15 0.3 -1.13687e-13 NaN 0.15 3486 PLAT caleb_strategy_v3 [-1] 919 None 914.4 914.2 914.6 914.6 914.9 -4.6 -0.2 0.7 0.3 NaN 0.5 3479 PLAT caleb_strategy_v3 [-1] 919 None 914.2 914 914.4 914.4 914 -4.8 -0.2 -0 -0.4 NaN -0.2 3489 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.6625 2.66 2.665 NaN 2.66 0.0975 -0.0025 -0 NaN NaN -0.0025 3490 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.6625 2.66 2.665 2.665 2.665 0.0975 -0.0025 0.005 -0 NaN 0.0025 3491 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.665 2.66 2.67 2.67 2.66 0.1 -0.005 -0 -0.01 NaN -0.005 3492 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.665 2.66 2.67 2.67 2.665 0.1 -0.005 0.005 -0.005 NaN 0 3493 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.665 2.66 2.67 2.67 2.665 0.1 -0.005 0.005 -0.005 NaN 0 3480 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.645 2.64 2.65 2.65 2.65 0.08 -0.005 0.01 -0 NaN 0.005 3484 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.6475 2.645 2.65 2.65 2.655 0.0825 -0.0025 0.01 0.005 NaN 0.0075 3487 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.6575 2.655 2.66 NaN 2.655 0.0925 -0.0025 -0 NaN NaN -0.0025 3496 VIX caleb_strategy_v3 [-1] 17.85 None 17.825 17.8 17.85 17.85 17.75 -0.025 -0.025 -0.05 -0.1 NaN -0.075 3498 NASDAQ_micro caleb_strategy_v3 [-1] 15290.8 None 15115.8 15115.5 15116 15116 15129.2 -175 -0.25 13.75 13.25 NaN 13.5 3494 NASDAQ_micro caleb_strategy_v3 [-1] 15290.8 None 15114.6 15114.2 15115 15115 15115.2 -176.125 -0.375 1 0.25 NaN 0.625 3495 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1896.95 1896.9 1897 1897 1896.8 9.75 -0.05 -0.1 -0.2 NaN -0.15 3499 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1896.85 1896.8 1896.9 NaN 1898.7 9.65 -0.05 1.9 NaN NaN 1.85 3501 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1899.15 1899.1 1899.2 1899.2 1899 11.95 -0.05 -0.1 -0.2 NaN -0.15 3503 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1898.5 1898.4 1898.6 1898.6 1898.1 11.3 -0.1 -0.3 -0.5 NaN -0.4 3505 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1898.3 1898.2 1898.4 1898.4 1898.2 11.1 -0.1 -0 -0.2 NaN -0.1 3507 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1898.35 1898.3 1898.4 1898.4 1898.4 11.15 -0.05 0.1 -0 NaN 0.05 3509 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1898.3 1898.2 1898.4 1898.4 1898.3 11.1 -0.1 0.1 -0.1 NaN -2.27374e-13 3511 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1898.25 1898.2 1898.3 1898.3 1898.3 11.05 -0.05 0.1 -2.27374e-13 NaN 0.05 3497 MXP caleb_strategy_v3 [1] 0.05764 None 0.057825 0.05783 0.05782 0.05782 0.05782 -0.000185 -5e-06 1e-05 0 NaN 5e-06 3500 MXP caleb_strategy_v3 [1] 0.05764 None 0.057815 0.05782 0.05781 NaN 0.05782 -0.000175 -5e-06 0 NaN NaN -5e-06 3502 MXP caleb_strategy_v3 [1] 0.05764 None 0.057815 0.05782 0.05781 0.05781 0.05781 -0.000175 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3504 MXP caleb_strategy_v3 [1] 0.05764 None 0.057805 0.05781 0.0578 NaN 0.05781 -0.000165 -5e-06 0 NaN NaN -5e-06 3506 MXP caleb_strategy_v3 [1] 0.05764 None 0.057805 0.05781 0.0578 NaN 0.05786 -0.000165 -5e-06 -5e-05 NaN NaN -5.5e-05 3508 MXP caleb_strategy_v3 [1] 0.05764 None 0.057815 0.05782 0.05781 0.05781 0.05782 -0.000175 -5e-06 0 -1e-05 NaN -5e-06 3510 MXP caleb_strategy_v3 [1] 0.05764 None 0.057825 0.05783 0.05782 0.05782 0.05782 -0.000185 -5e-06 1e-05 0 NaN 5e-06 3512 MXP caleb_strategy_v3 [1] 0.05764 None 0.057815 0.05782 0.05781 0.05781 0.05782 -0.000175 -5e-06 0 -1e-05 NaN -5e-06 3513 MXP caleb_strategy_v3 [1] 0.05764 None 0.05782 0.05783 0.05781 0.05781 0.05783 -0.00018 -1e-05 0 -2e-05 NaN -1e-05 3514 MXP caleb_strategy_v3 [1] 0.05764 None 0.057825 0.05783 0.05782 0.05782 0.05784 -0.000185 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3515 MXP caleb_strategy_v3 [1] 0.05764 None 0.057835 0.05784 0.05783 0.05783 0.05785 -0.000195 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3516 MXP caleb_strategy_v3 [1] 0.05764 None 0.057845 0.05785 0.05784 0.05784 0.05786 -0.000205 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3517 MXP caleb_strategy_v3 [1] 0.05764 None 0.057855 0.05786 0.05785 0.05785 0.05786 -0.000215 -5e-06 0 -1e-05 NaN -5e-06 3518 MXP caleb_strategy_v3 [1] 0.05764 None 0.057855 0.05786 0.05785 NaN 0.05786 -0.000215 -5e-06 0 NaN NaN -5e-06 3519 MXP caleb_strategy_v3 [1] 0.05764 None 0.05786 0.05787 0.05785 0.05785 0.05787 -0.00022 -1e-05 0 -2e-05 NaN -1e-05 3520 MXP caleb_strategy_v3 [1] 0.05764 None 0.057865 0.05787 0.05786 0.05786 0.05788 -0.000225 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3521 MXP caleb_strategy_v3 [1] 0.05764 None 0.057875 0.05788 0.05787 0.05787 0.05787 -0.000235 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3522 MXP caleb_strategy_v3 [1] 0.05764 None 0.057865 0.05787 0.05786 0.05786 0.05786 -0.000225 -5e-06 1e-05 0 NaN 5e-06 3523 MXP caleb_strategy_v3 [1] 0.05764 None 0.057855 0.05786 0.05785 0.05785 0.05787 -0.000215 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3524 MXP caleb_strategy_v3 [1] 0.05764 None 0.057865 0.05787 0.05786 0.05786 0.05788 -0.000225 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3525 MXP caleb_strategy_v3 [1] 0.05764 None 0.057875 0.05788 0.05787 0.05787 0.05788 -0.000235 -5e-06 0 -1e-05 NaN -5e-06 3526 MXP caleb_strategy_v3 [1] 0.05764 None 0.057875 0.05788 0.05787 0.05787 0.05787 -0.000235 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3527 MXP caleb_strategy_v3 [1] 0.05764 None 0.057895 0.0579 0.05789 0.05789 0.05789 -0.000255 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3528 MXP caleb_strategy_v3 [1] 0.05764 None 0.057885 0.05789 0.05788 NaN 0.05789 -0.000245 -5e-06 0 NaN NaN -5e-06 3529 MXP caleb_strategy_v3 [1] 0.05764 None 0.057885 0.05789 0.05788 0.05788 0.05789 -0.000245 -5e-06 0 -1e-05 NaN -5e-06 3530 MXP caleb_strategy_v3 [1] 0.05764 None 0.057885 0.05789 0.05788 NaN 0.05789 -0.000245 -5e-06 0 NaN NaN -5e-06 3531 MXP caleb_strategy_v3 [1] 0.05764 None 0.057885 0.05789 0.05788 NaN 0.05794 -0.000245 -5e-06 -5e-05 NaN NaN -5.5e-05 3532 MXP caleb_strategy_v3 [1] 0.05764 None 0.057885 0.05789 0.05788 0.05788 0.05788 -0.000245 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3533 MXP caleb_strategy_v3 [1] 0.05764 None 0.05787 0.05788 0.05786 0.05786 0.05788 -0.00023 -1e-05 0 -2e-05 NaN -1e-05 3534 MXP caleb_strategy_v3 [1] 0.05764 None 0.05787 0.05788 0.05786 0.05786 0.05786 -0.00023 -1e-05 2e-05 0 NaN 1e-05 3535 MXP caleb_strategy_v3 [1] 0.05764 None 0.057855 0.05786 0.05785 0.05785 0.05785 -0.000215 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3536 MXP caleb_strategy_v3 [1] 0.05764 None 0.057845 0.05785 0.05784 0.05784 0.05784 -0.000205 -5e-06 1e-05 0 NaN 5e-06 3537 MXP caleb_strategy_v3 [1] 0.05764 None 0.057835 0.05784 0.05783 0.05783 0.05783 -0.000195 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3538 MXP caleb_strategy_v3 [1] 0.05764 None 0.057825 0.05783 0.05782 0.05782 0.05784 -0.000185 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3539 CORN caleb_strategy_v3 [-1] 496.5 None 499.375 499.25 499.5 499.5 499 2.875 -0.125 -0.25 -0.5 NaN -0.375 3540 CORN caleb_strategy_v3 [-1] 496.5 None 499.5 499 500 500 499 3 -0.5 -0 -1 NaN -0.5 3456 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.65 147.72 147.58 147.58 147.72 0.85 -0.07 0 -0.14 NaN -0.07 3457 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.665 147.72 147.61 147.61 147.71 0.835 -0.055 0.01 -0.1 NaN -0.045 3458 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.675 147.71 147.64 147.64 147.69 0.825 -0.035 0.02 -0.05 NaN -0.015 3459 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.65 147.69 147.61 147.61 147.68 0.85 -0.04 0.01 -0.07 NaN -0.03 3460 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.645 147.68 147.61 147.61 147.68 0.855 -0.035 0 -0.07 NaN -0.035 3461 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.645 147.68 147.61 147.61 147.68 0.855 -0.035 0 -0.07 NaN -0.035 3462 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.645 147.68 147.61 147.61 NaN 0.855 -0.035 NaN NaN NaN NaN 3463 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.65 147.68 147.62 147.62 147.68 0.85 -0.03 0 -0.06 NaN -0.03 3464 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.65 147.68 147.62 147.62 147.68 0.85 -0.03 0 -0.06 NaN -0.03 3465 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.65 147.68 147.62 147.62 147.68 0.85 -0.03 0 -0.06 NaN -0.03 3466 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.65 147.68 147.62 147.62 147.68 0.85 -0.03 0 -0.06 NaN -0.03 3467 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.65 147.68 147.62 147.62 147.68 0.85 -0.03 0 -0.06 NaN -0.03 3468 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.665 147.68 147.65 147.65 147.67 0.835 -0.015 0.01 -0.02 NaN -0.005 3455 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.635 147.67 147.6 147.6 147.72 0.865 -0.035 -0.05 -0.12 NaN -0.085 ================================================================================================================================================================ 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 3454 NIKKEI caleb_strategy_v3 [1] 5251.99 2860.82 -4.7601 -9.5202 -19.0404 NaN -14.2803 3469 DAX caleb_strategy_v3 [-1] 2436.24 -367.369 -6.15702 -8.20937 -20.5234 NaN -14.3664 3470 DAX caleb_strategy_v3 [-1] 2436.24 -375.578 -6.15702 12.314 -0 NaN 6.15702 3471 DAX caleb_strategy_v3 [-1] 2436.24 -367.369 -6.15702 -4.10468 -16.4187 NaN -10.2617 3472 DAX caleb_strategy_v3 [-1] 2436.24 -371.474 -6.15702 12.314 -0 NaN 6.15702 3473 DAX caleb_strategy_v3 [-1] 2436.24 -361.212 -4.10468 -20.5234 -28.7328 NaN -24.6281 3474 DAX caleb_strategy_v3 [-1] 2436.24 -385.84 -4.10468 8.20937 -0 NaN 4.10468 3475 EURIBOR-ICE caleb_strategy_v3 [-1] 1.22032 184.378 -20.4864 -40.9729 -81.9457 NaN -61.4593 3476 GASOIL caleb_strategy_v3 [1] 272.908 247.336 -9.16058 0 -18.3212 NaN -9.16058 3477 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 272.908 -242.755 -4.58029 -9.16058 -18.3212 NaN -13.7409 3478 GASOIL _ROLL_PSEUDO_STRATEGY [1] 272.908 229.015 -9.16058 0 -18.3212 NaN -9.16058 3482 COPPER caleb_strategy_v3 [-1] 0.788963 -402.427 -3.16872 -6.33743 -12.6749 NaN -9.50615 3481 GASOLINE caleb_strategy_v3 [1] 0.707359 282.035 -4.94798 -9.89596 -19.7919 NaN -14.8439 3485 GASOLINE caleb_strategy_v3 [1] 0.707359 275.673 -8.48225 -16.9645 -33.929 NaN -25.4468 3488 PLAT caleb_strategy_v3 [-1] 247.151 -157.798 -8.09221 16.1844 -4.59989e-12 NaN 8.09221 3483 PLAT caleb_strategy_v3 [-1] 247.151 -196.236 -6.06916 12.1383 -4.59989e-12 NaN 6.06916 3486 PLAT caleb_strategy_v3 [-1] 247.151 -186.121 -8.09221 28.3227 12.1383 NaN 20.2305 3479 PLAT caleb_strategy_v3 [-1] 247.151 -194.213 -8.09221 -0 -16.1844 NaN -8.09221 3489 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 474.165 -12.1581 -0 NaN NaN -12.1581 3490 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 474.165 -12.1581 24.3162 -0 NaN 12.1581 3491 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 486.323 -24.3162 -0 -48.6323 NaN -24.3162 3492 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 486.323 -24.3162 24.3162 -24.3162 NaN 0 3493 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 486.323 -24.3162 24.3162 -24.3162 NaN 0 3480 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 389.059 -24.3162 48.6323 -0 NaN 24.3162 3484 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 401.217 -12.1581 48.6323 24.3162 NaN 36.4743 3487 GAS_US_mini caleb_strategy_v3 [-1] 2.05624 449.849 -12.1581 -0 NaN NaN -12.1581 3496 VIX caleb_strategy_v3 [-1] 7.78906 -32.0963 -32.0963 -64.1926 -128.385 NaN -96.2889 3498 NASDAQ_micro caleb_strategy_v3 [-1] 2631.37 -665.054 -0.950077 52.2542 50.3541 NaN 51.3042 3494 NASDAQ_micro caleb_strategy_v3 [-1] 2631.37 -669.329 -1.42512 3.80031 0.950077 NaN 2.37519 3495 RUSSELL caleb_strategy_v3 [-1] 390.471 249.699 -1.28051 -2.56101 -5.12202 NaN -3.84152 3499 RUSSELL caleb_strategy_v3 [-1] 390.471 247.138 -1.28051 48.6592 NaN NaN 47.3787 3501 RUSSELL caleb_strategy_v3 [-1] 390.471 306.041 -1.28051 -2.56101 -5.12202 NaN -3.84152 3503 RUSSELL caleb_strategy_v3 [-1] 390.471 289.394 -2.56101 -7.68304 -12.8051 NaN -10.244 3505 RUSSELL caleb_strategy_v3 [-1] 390.471 284.272 -2.56101 -0 -5.12202 NaN -2.56101 3507 RUSSELL caleb_strategy_v3 [-1] 390.471 285.553 -1.28051 2.56101 -0 NaN 1.28051 3509 RUSSELL caleb_strategy_v3 [-1] 390.471 284.272 -2.56101 2.56101 -2.56101 NaN -5.82307e-12 3511 RUSSELL caleb_strategy_v3 [-1] 390.471 282.992 -1.28051 2.56101 -5.82307e-12 NaN 1.28051 3497 MXP caleb_strategy_v3 [1] 0.00496058 -372.94 -10.0795 20.1589 0 NaN 10.0795 3500 MXP caleb_strategy_v3 [1] 0.00496058 -352.781 -10.0795 0 NaN NaN -10.0795 3502 MXP caleb_strategy_v3 [1] 0.00496058 -352.781 -10.0795 20.1589 1.39881e-11 NaN 10.0795 3504 MXP caleb_strategy_v3 [1] 0.00496058 -332.623 -10.0795 0 NaN NaN -10.0795 3506 MXP caleb_strategy_v3 [1] 0.00496058 -332.623 -10.0795 -100.795 NaN NaN -110.874 3508 MXP caleb_strategy_v3 [1] 0.00496058 -352.781 -10.0795 0 -20.1589 NaN -10.0795 3510 MXP caleb_strategy_v3 [1] 0.00496058 -372.94 -10.0795 20.1589 0 NaN 10.0795 3512 MXP caleb_strategy_v3 [1] 0.00496058 -352.781 -10.0795 0 -20.1589 NaN -10.0795 3513 MXP caleb_strategy_v3 [1] 0.00496058 -362.861 -20.1589 0 -40.3179 NaN -20.1589 3514 MXP caleb_strategy_v3 [1] 0.00496058 -372.94 -10.0795 -20.1589 -40.3179 NaN -30.2384 3515 MXP caleb_strategy_v3 [1] 0.00496058 -393.099 -10.0795 -20.1589 -40.3179 NaN -30.2384 3516 MXP caleb_strategy_v3 [1] 0.00496058 -413.258 -10.0795 -20.1589 -40.3179 NaN -30.2384 3517 MXP caleb_strategy_v3 [1] 0.00496058 -433.417 -10.0795 0 -20.1589 NaN -10.0795 3518 MXP caleb_strategy_v3 [1] 0.00496058 -433.417 -10.0795 0 NaN NaN -10.0795 3519 MXP caleb_strategy_v3 [1] 0.00496058 -443.497 -20.1589 0 -40.3179 NaN -20.1589 3520 MXP caleb_strategy_v3 [1] 0.00496058 -453.576 -10.0795 -20.1589 -40.3179 NaN -30.2384 3521 MXP caleb_strategy_v3 [1] 0.00496058 -473.735 -10.0795 20.1589 1.39881e-11 NaN 10.0795 3522 MXP caleb_strategy_v3 [1] 0.00496058 -453.576 -10.0795 20.1589 0 NaN 10.0795 3523 MXP caleb_strategy_v3 [1] 0.00496058 -433.417 -10.0795 -20.1589 -40.3179 NaN -30.2384 3524 MXP caleb_strategy_v3 [1] 0.00496058 -453.576 -10.0795 -20.1589 -40.3179 NaN -30.2384 3525 MXP caleb_strategy_v3 [1] 0.00496058 -473.735 -10.0795 0 -20.1589 NaN -10.0795 3526 MXP caleb_strategy_v3 [1] 0.00496058 -473.735 -10.0795 20.1589 1.39881e-11 NaN 10.0795 3527 MXP caleb_strategy_v3 [1] 0.00496058 -514.053 -10.0795 20.1589 1.39881e-11 NaN 10.0795 3528 MXP caleb_strategy_v3 [1] 0.00496058 -493.894 -10.0795 0 NaN NaN -10.0795 3529 MXP caleb_strategy_v3 [1] 0.00496058 -493.894 -10.0795 0 -20.1589 NaN -10.0795 3530 MXP caleb_strategy_v3 [1] 0.00496058 -493.894 -10.0795 0 NaN NaN -10.0795 3531 MXP caleb_strategy_v3 [1] 0.00496058 -493.894 -10.0795 -100.795 NaN NaN -110.874 3532 MXP caleb_strategy_v3 [1] 0.00496058 -493.894 -10.0795 20.1589 1.39881e-11 NaN 10.0795 3533 MXP caleb_strategy_v3 [1] 0.00496058 -463.656 -20.1589 0 -40.3179 NaN -20.1589 3534 MXP caleb_strategy_v3 [1] 0.00496058 -463.656 -20.1589 40.3179 0 NaN 20.1589 3535 MXP caleb_strategy_v3 [1] 0.00496058 -433.417 -10.0795 20.1589 1.39881e-11 NaN 10.0795 3536 MXP caleb_strategy_v3 [1] 0.00496058 -413.258 -10.0795 20.1589 0 NaN 10.0795 3537 MXP caleb_strategy_v3 [1] 0.00496058 -393.099 -10.0795 20.1589 1.39881e-11 NaN 10.0795 3538 MXP caleb_strategy_v3 [1] 0.00496058 -372.94 -10.0795 -20.1589 -40.3179 NaN -30.2384 3539 CORN caleb_strategy_v3 [-1] 215.933 133.143 -5.78883 -11.5777 -23.1553 NaN -17.3665 3540 CORN caleb_strategy_v3 [-1] 215.933 138.932 -23.1553 -0 -46.3106 NaN -23.1553 3456 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2532.7 -208.576 0 -417.151 NaN -208.576 3457 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2488.01 -163.881 29.7965 -297.965 NaN -134.084 3458 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2458.21 -104.288 59.593 -148.983 NaN -44.6948 3459 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2532.7 -119.186 29.7965 -208.576 NaN -89.3896 3460 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2547.6 -104.288 0 -208.576 NaN -104.288 3461 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2547.6 -104.288 0 -208.576 NaN -104.288 3462 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2547.6 -104.288 NaN NaN NaN NaN 3463 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2532.7 -89.3896 0 -178.779 NaN -89.3896 3464 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2532.7 -89.3896 0 -178.779 NaN -89.3896 3465 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2532.7 -89.3896 0 -178.779 NaN -89.3896 3466 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2532.7 -89.3896 0 -178.779 NaN -89.3896 3467 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2532.7 -89.3896 0 -178.779 NaN -89.3896 3468 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2488.01 -44.6948 29.7965 -59.593 NaN -14.8983 3455 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2577.4 -104.288 -148.983 -357.558 NaN -253.27 =========================================================================================================================================================================== 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 3454 NIKKEI caleb_strategy_v3 [1] 0.701012 1053.27 -1.75253 -3.50506 -7.01012 NaN -5.25759 3469 DAX caleb_strategy_v3 [-1] 1.095 -98.0025 -1.6425 -2.19 -5.475 NaN -3.8325 3470 DAX caleb_strategy_v3 [-1] 1.095 -100.192 -1.6425 3.285 -0 NaN 1.6425 3471 DAX caleb_strategy_v3 [-1] 1.095 -98.0025 -1.6425 -1.095 -4.38 NaN -2.7375 3472 DAX caleb_strategy_v3 [-1] 1.095 -99.0975 -1.6425 3.285 -0 NaN 1.6425 3473 DAX caleb_strategy_v3 [-1] 1.095 -96.36 -1.095 -5.475 -7.665 NaN -6.57 3474 DAX caleb_strategy_v3 [-1] 1.095 -102.93 -1.095 2.19 -0 NaN 1.095 3475 EURIBOR-ICE caleb_strategy_v3 [-1] 2737.5 61.5937 -6.84375 -13.6875 -27.375 NaN -20.5312 3476 GASOIL caleb_strategy_v3 [1] 100 675 -25 0 -50 NaN -25 3477 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 -662.5 -12.5 -25 -50 NaN -37.5 3478 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 625 -25 0 -50 NaN -25 3482 COPPER caleb_strategy_v3 [-1] 25000 -793.75 -6.25 -12.5 -25 NaN -18.75 3481 GASOLINE caleb_strategy_v3 [1] 42000 837.9 -14.7 -29.4 -58.8 NaN -44.1 3485 GASOLINE caleb_strategy_v3 [1] 42000 819 -25.2 -50.4 -100.8 NaN -75.6 3488 PLAT caleb_strategy_v3 [-1] 50 -195 -10 20 -5.68434e-12 NaN 10 3483 PLAT caleb_strategy_v3 [-1] 50 -242.5 -7.5 15 -5.68434e-12 NaN 7.5 3486 PLAT caleb_strategy_v3 [-1] 50 -230 -10 35 15 NaN 25 3479 PLAT caleb_strategy_v3 [-1] 50 -240 -10 -0 -20 NaN -10 3489 GAS_US_mini caleb_strategy_v3 [-1] 2500 243.75 -6.25 -0 NaN NaN -6.25 3490 GAS_US_mini caleb_strategy_v3 [-1] 2500 243.75 -6.25 12.5 -0 NaN 6.25 3491 GAS_US_mini caleb_strategy_v3 [-1] 2500 250 -12.5 -0 -25 NaN -12.5 3492 GAS_US_mini caleb_strategy_v3 [-1] 2500 250 -12.5 12.5 -12.5 NaN 0 3493 GAS_US_mini caleb_strategy_v3 [-1] 2500 250 -12.5 12.5 -12.5 NaN 0 3480 GAS_US_mini caleb_strategy_v3 [-1] 2500 200 -12.5 25 -0 NaN 12.5 3484 GAS_US_mini caleb_strategy_v3 [-1] 2500 206.25 -6.25 25 12.5 NaN 18.75 3487 GAS_US_mini caleb_strategy_v3 [-1] 2500 231.25 -6.25 -0 NaN NaN -6.25 3496 VIX caleb_strategy_v3 [-1] 1000 -25 -25 -50 -100 NaN -75 3498 NASDAQ_micro caleb_strategy_v3 [-1] 2 -350 -0.5 27.5 26.5 NaN 27 3494 NASDAQ_micro caleb_strategy_v3 [-1] 2 -352.25 -0.75 2 0.5 NaN 1.25 3495 RUSSELL caleb_strategy_v3 [-1] 5 48.75 -0.25 -0.5 -1 NaN -0.75 3499 RUSSELL caleb_strategy_v3 [-1] 5 48.25 -0.25 9.5 NaN NaN 9.25 3501 RUSSELL caleb_strategy_v3 [-1] 5 59.75 -0.25 -0.5 -1 NaN -0.75 3503 RUSSELL caleb_strategy_v3 [-1] 5 56.5 -0.5 -1.5 -2.5 NaN -2 3505 RUSSELL caleb_strategy_v3 [-1] 5 55.5 -0.5 -0 -1 NaN -0.5 3507 RUSSELL caleb_strategy_v3 [-1] 5 55.75 -0.25 0.5 -0 NaN 0.25 3509 RUSSELL caleb_strategy_v3 [-1] 5 55.5 -0.5 0.5 -0.5 NaN -1.13687e-12 3511 RUSSELL caleb_strategy_v3 [-1] 5 55.25 -0.25 0.5 -1.13687e-12 NaN 0.25 3497 MXP caleb_strategy_v3 [1] 500000 -92.5 -2.5 5 0 NaN 2.5 3500 MXP caleb_strategy_v3 [1] 500000 -87.5 -2.5 0 NaN NaN -2.5 3502 MXP caleb_strategy_v3 [1] 500000 -87.5 -2.5 5 3.46945e-12 NaN 2.5 3504 MXP caleb_strategy_v3 [1] 500000 -82.5 -2.5 0 NaN NaN -2.5 3506 MXP caleb_strategy_v3 [1] 500000 -82.5 -2.5 -25 NaN NaN -27.5 3508 MXP caleb_strategy_v3 [1] 500000 -87.5 -2.5 0 -5 NaN -2.5 3510 MXP caleb_strategy_v3 [1] 500000 -92.5 -2.5 5 0 NaN 2.5 3512 MXP caleb_strategy_v3 [1] 500000 -87.5 -2.5 0 -5 NaN -2.5 3513 MXP caleb_strategy_v3 [1] 500000 -90 -5 0 -10 NaN -5 3514 MXP caleb_strategy_v3 [1] 500000 -92.5 -2.5 -5 -10 NaN -7.5 3515 MXP caleb_strategy_v3 [1] 500000 -97.5 -2.5 -5 -10 NaN -7.5 3516 MXP caleb_strategy_v3 [1] 500000 -102.5 -2.5 -5 -10 NaN -7.5 3517 MXP caleb_strategy_v3 [1] 500000 -107.5 -2.5 0 -5 NaN -2.5 3518 MXP caleb_strategy_v3 [1] 500000 -107.5 -2.5 0 NaN NaN -2.5 3519 MXP caleb_strategy_v3 [1] 500000 -110 -5 0 -10 NaN -5 3520 MXP caleb_strategy_v3 [1] 500000 -112.5 -2.5 -5 -10 NaN -7.5 3521 MXP caleb_strategy_v3 [1] 500000 -117.5 -2.5 5 3.46945e-12 NaN 2.5 3522 MXP caleb_strategy_v3 [1] 500000 -112.5 -2.5 5 0 NaN 2.5 3523 MXP caleb_strategy_v3 [1] 500000 -107.5 -2.5 -5 -10 NaN -7.5 3524 MXP caleb_strategy_v3 [1] 500000 -112.5 -2.5 -5 -10 NaN -7.5 3525 MXP caleb_strategy_v3 [1] 500000 -117.5 -2.5 0 -5 NaN -2.5 3526 MXP caleb_strategy_v3 [1] 500000 -117.5 -2.5 5 3.46945e-12 NaN 2.5 3527 MXP caleb_strategy_v3 [1] 500000 -127.5 -2.5 5 3.46945e-12 NaN 2.5 3528 MXP caleb_strategy_v3 [1] 500000 -122.5 -2.5 0 NaN NaN -2.5 3529 MXP caleb_strategy_v3 [1] 500000 -122.5 -2.5 0 -5 NaN -2.5 3530 MXP caleb_strategy_v3 [1] 500000 -122.5 -2.5 0 NaN NaN -2.5 3531 MXP caleb_strategy_v3 [1] 500000 -122.5 -2.5 -25 NaN NaN -27.5 3532 MXP caleb_strategy_v3 [1] 500000 -122.5 -2.5 5 3.46945e-12 NaN 2.5 3533 MXP caleb_strategy_v3 [1] 500000 -115 -5 0 -10 NaN -5 3534 MXP caleb_strategy_v3 [1] 500000 -115 -5 10 0 NaN 5 3535 MXP caleb_strategy_v3 [1] 500000 -107.5 -2.5 5 3.46945e-12 NaN 2.5 3536 MXP caleb_strategy_v3 [1] 500000 -102.5 -2.5 5 0 NaN 2.5 3537 MXP caleb_strategy_v3 [1] 500000 -97.5 -2.5 5 3.46945e-12 NaN 2.5 3538 MXP caleb_strategy_v3 [1] 500000 -92.5 -2.5 -5 -10 NaN -7.5 3539 CORN caleb_strategy_v3 [-1] 50 143.75 -6.25 -12.5 -25 NaN -18.75 3540 CORN caleb_strategy_v3 [-1] 50 150 -25 -0 -50 NaN -25 3456 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 595.86 -49.0708 0 -98.1416 NaN -49.0708 3457 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 585.345 -38.5556 7.01012 -70.1012 NaN -31.5455 3458 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 578.335 -24.5354 14.0202 -35.0506 NaN -10.5152 3459 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 595.86 -28.0405 7.01012 -49.0708 NaN -21.0303 3460 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 599.365 -24.5354 0 -49.0708 NaN -24.5354 3461 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 599.365 -24.5354 0 -49.0708 NaN -24.5354 3462 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 599.365 -24.5354 NaN NaN NaN NaN 3463 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 595.86 -21.0303 0 -42.0607 NaN -21.0303 3464 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 595.86 -21.0303 0 -42.0607 NaN -21.0303 3465 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 595.86 -21.0303 0 -42.0607 NaN -21.0303 3466 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 595.86 -21.0303 0 -42.0607 NaN -21.0303 3467 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 595.86 -21.0303 0 -42.0607 NaN -21.0303 3468 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 585.345 -10.5152 7.01012 -14.0202 NaN -3.50506 3455 JGB-SGX-mini caleb_strategy_v3 [1] 701.012 606.375 -24.5354 -35.0506 -84.1214 NaN -59.586 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.500000 caleb_strategy_v3 COPPER -793.750000 CORN 293.750000 DAX -594.585000 EURIBOR-ICE 61.593750 GASOIL 675.000000 GASOLINE 1656.900000 GAS_US_mini 1875.000000 JGB-SGX-mini 8324.512271 MXP -3575.000000 NASDAQ_micro -702.250000 NIKKEI 1053.269868 PLAT -907.500000 RUSSELL 435.250000 VIX -25.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -37.50000 caleb_strategy_v3 7777.19089 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.500000 caleb_strategy_v3 COPPER -6.250000 CORN -31.250000 DAX -8.760000 EURIBOR-ICE -6.843750 GASOIL -25.000000 GASOLINE -39.900000 GAS_US_mini -75.000000 JGB-SGX-mini -354.010838 MXP -95.000000 NASDAQ_micro -1.250000 NIKKEI -1.752529 PLAT -37.500000 RUSSELL -2.750000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -37.500000 caleb_strategy_v3 -710.267117 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -2.500000e+01 caleb_strategy_v3 COPPER -1.250000e+01 CORN -1.250000e+01 DAX 4.440892e-16 EURIBOR-ICE -1.368750e+01 GASOIL 0.000000e+00 GASOLINE -7.980000e+01 GAS_US_mini 8.750000e+01 JGB-SGX-mini 0.000000e+00 MXP -2.000000e+01 NASDAQ_micro 2.950000e+01 NIKKEI -3.505058e+00 PLAT 7.000000e+01 RUSSELL 8.500000e+00 VIX -5.000000e+01 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -25.000000 caleb_strategy_v3 3.507442 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -100.000000 caleb_strategy_v3 COPPER -25.000000 CORN -75.000000 DAX -17.520000 EURIBOR-ICE -27.375000 GASOIL -50.000000 GASOLINE -159.600000 GAS_US_mini -37.500000 JGB-SGX-mini -658.950866 MXP -125.000000 NASDAQ_micro 27.000000 NIKKEI -7.010116 PLAT -5.000000 RUSSELL -6.000000 VIX -100.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -100.000000 caleb_strategy_v3 -1266.955982 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 caleb_strategy_v3 COPPER 0 CORN 0 DAX 0 EURIBOR-ICE 0 GASOIL 0 GASOLINE 0 GAS_US_mini 0 JGB-SGX-mini 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 RUSSELL 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -62.500000 caleb_strategy_v3 COPPER -18.750000 CORN -43.750000 DAX -8.760000 EURIBOR-ICE -20.531250 GASOIL -25.000000 GASOLINE -119.700000 GAS_US_mini 12.500000 JGB-SGX-mini -329.475433 MXP -115.000000 NASDAQ_micro 28.250000 NIKKEI -5.257587 PLAT 32.500000 RUSSELL 5.750000 VIX -75.000000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -62.50000 caleb_strategy_v3 -682.22427 ******************************************************************************** END OF REPORT ********************************************************************************