******************************************************************************** Trades report produced on 12/07/2023 21:37 from 11/07/2023 21:37 to 12/07/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3601 CORN caleb_strategy_v3 [20231200] 2023-07-12 15:30:02 [-1] 500.50000 3559 DAX caleb_strategy_v3 [20230900] 2023-07-12 08:00:03 [-1] 15942.00000 3569 EUR caleb_strategy_v3 [20230900] 2023-07-12 15:00:23 [1] 1.11345 3574 EUR caleb_strategy_v3 [20230900] 2023-07-12 15:00:31 [1] 1.11325 3560 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-12 09:51:03 [1] 96.73000 3561 GASOIL _ROLL_PSEUDO_STRATEGY [20230900] 2023-07-12 11:15:06 [-1] 743.75000 3562 GASOIL _ROLL_PSEUDO_STRATEGY [20231000] 2023-07-12 11:15:09 [1] 741.50000 3563 GASOLINE caleb_strategy_v3 [20231000] 2023-07-12 14:49:54 [1] 2.34610 3558 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-12 03:03:41 [1] 147.37000 3571 MXP caleb_strategy_v3 [20230900] 2023-07-12 15:00:30 [1] 0.05866 3565 MXP caleb_strategy_v3 [20230900] 2023-07-12 15:00:09 [1] 0.05867 3576 MXP caleb_strategy_v3 [20230900] 2023-07-12 15:00:34 [1] 0.05865 3598 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:01:05 [-1] 15458.25000 3579 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:37 [-1] 15455.50000 3600 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:01:09 [-1] 15458.00000 3599 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:01:07 [-1] 15459.00000 3596 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:56 [-1] 15455.75000 3591 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:50 [-1] 15455.25000 3564 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:01 [-1] 15461.75000 3594 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:53 [-1] 15456.50000 3585 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:43 [-1] 15454.75000 3575 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:33 [-1] 15456.25000 3582 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:40 [-1] 15455.25000 3588 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:47 [-1] 15454.75000 3570 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:25 [-1] 15459.25000 3557 NIKKEI caleb_strategy_v3 [20230900] 2023-07-12 03:00:21 [1] 31860.00000 3578 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:35 [1] 1950.70000 3573 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:31 [1] 1951.10000 3567 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:11 [1] 1952.20000 3590 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:48 [1] 1951.70000 3587 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:44 [1] 1951.90000 3584 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:41 [1] 1950.90000 3581 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:38 [1] 1950.70000 3593 RUSSELL caleb_strategy_v3 [20230900] 2023-07-12 15:00:51 [1] 1951.50000 3602 SOYOIL caleb_strategy_v3 [20231000] 2023-07-12 15:30:06 [1] 60.55000 3580 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:37 [1] 4515.50000 3577 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:35 [1] 4515.75000 3572 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:30 [1] 4516.00000 3566 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:10 [1] 4516.25000 3597 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:01:03 [1] 4516.00000 3595 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:54 [1] 4515.75000 3592 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:51 [1] 4515.50000 3586 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:44 [1] 4516.00000 3583 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:41 [1] 4515.75000 3589 SP500_micro caleb_strategy_v3 [20230900] 2023-07-12 15:00:47 [1] 4515.75000 3568 VIX caleb_strategy_v3 [20230900] 2023-07-12 15:00:21 [-1] 17.15000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3557 NIKKEI caleb_strategy_v3 2023-07-03 00:00:00 2023-07-12 03:00:18.935 2023-07-12 03:00:21 788419 2.065 3558 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-12 03:00:22.811 2023-07-12 03:03:41 788423 198.189 3559 DAX caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 08:00:03.023 2023-07-12 08:00:03 115203 NaN 3560 EURIBOR-ICE caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 09:50:05.995 2023-07-12 09:51:03 121806 57.005 3561 GASOIL _ROLL_PSEUDO_STRATEGY 2023-07-11 20:00:00 2023-07-12 11:15:00.478 2023-07-12 11:15:06 54900.5 5.522 3562 GASOIL _ROLL_PSEUDO_STRATEGY 2023-07-11 20:00:00 2023-07-12 11:15:06.809 2023-07-12 11:15:09 54906.8 2.191 3563 GASOLINE caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 14:49:35.391 2023-07-12 14:49:54 139775 18.609 3568 VIX caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:12.612 2023-07-12 15:00:21 140413 8.388 3569 EUR caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:21.771 2023-07-12 15:00:23 140422 1.229 3574 EUR caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:31.700 2023-07-12 15:00:31 140432 NaN 3576 MXP caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:34.281 2023-07-12 15:00:34 140434 NaN 3571 MXP caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:25.680 2023-07-12 15:00:30 140426 4.32 3565 MXP caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:02.509 2023-07-12 15:00:09 140403 6.491 3584 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:41.548 2023-07-12 15:00:41 140442 NaN 3587 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:44.548 2023-07-12 15:00:44 140445 NaN 3590 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:48.089 2023-07-12 15:00:48 140448 NaN 3593 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:51.540 2023-07-12 15:00:51 140452 NaN 3567 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:11.377 2023-07-12 15:00:11 140411 NaN 3573 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:31.295 2023-07-12 15:00:31 140431 NaN 3578 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:35.448 2023-07-12 15:00:35 140435 NaN 3581 RUSSELL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:38.174 2023-07-12 15:00:38 140438 NaN 3586 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:44.047 2023-07-12 15:00:44 140444 NaN 3589 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:47.458 2023-07-12 15:00:47 140447 NaN 3592 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:50.534 2023-07-12 15:00:51 140451 0.466 3595 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:53.892 2023-07-12 15:00:54 140454 0.108 3597 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:01:01.226 2023-07-12 15:01:03 140461 1.774 3566 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:10.473 2023-07-12 15:00:10 140410 NaN 3572 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:30.873 2023-07-12 15:00:30 140431 NaN 3577 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:34.763 2023-07-12 15:00:35 140435 0.237 3580 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:37.720 2023-07-12 15:00:37 140438 NaN 3583 SP500_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:40.666 2023-07-12 15:00:41 140441 0.334 3585 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:43.564 2023-07-12 15:00:43 140444 NaN 3588 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:46.880 2023-07-12 15:00:47 140447 0.12 3591 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:50.128 2023-07-12 15:00:50 140450 NaN 3594 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:53.456 2023-07-12 15:00:53 140453 NaN 3564 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:01.747 2023-07-12 15:00:01 140402 NaN 3596 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:55.815 2023-07-12 15:00:56 140456 0.185 3598 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:01:05.148 2023-07-12 15:01:05 140465 NaN 3599 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:01:07.432 2023-07-12 15:01:07 140467 NaN 3600 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:01:09.348 2023-07-12 15:01:09 140469 NaN 3570 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:25.220 2023-07-12 15:00:25 140425 NaN 3575 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:33.788 2023-07-12 15:00:33 140434 NaN 3579 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:37.232 2023-07-12 15:00:37 140437 NaN 3582 NASDAQ_micro caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:00:40.184 2023-07-12 15:00:40 140440 NaN 3601 CORN caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:30:01.979 2023-07-12 15:30:02 142202 0.021 3602 SOYOIL caleb_strategy_v3 2023-07-11 00:00:00 2023-07-12 15:30:02.834 2023-07-12 15:30:06 142203 3.166 =================================================================================================================================================================================================================================== 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 3557 NIKKEI caleb_strategy_v3 [1] 33605 None 31862.5 31865 31860 31860 31860 1742.5 -2.5 5 0 NaN 2.5 3558 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.335 147.36 147.31 147.31 147.37 1.165 -0.025 -0.01 -0.06 NaN -0.035 3559 DAX caleb_strategy_v3 [-1] 15921 None 15946 15945 15947 15947 15942 25 -1 -3 -5 NaN -4 3560 EURIBOR-ICE caleb_strategy_v3 [1] 96.69 None 96.7225 96.725 96.72 96.72 96.73 -0.0325 -0.0025 -0.005 -0.01 NaN -0.0075 3561 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 742.75 None 743.75 743.5 744 744 743.75 1 -0.25 0.25 -0.25 NaN 0 3562 GASOIL _ROLL_PSEUDO_STRATEGY [1] 741 None 741.625 741.75 741.5 741.5 741.5 -0.625 -0.125 0.25 0 NaN 0.125 3563 GASOLINE caleb_strategy_v3 [1] 2.324 None 2.34545 2.3458 2.3451 2.3451 2.3461 -0.02145 -0.00035 -0.0003 -0.001 NaN -0.00065 3568 VIX caleb_strategy_v3 [-1] 17.7 None 17.225 17.2 17.25 17.25 17.15 -0.475 -0.025 -0.05 -0.1 NaN -0.075 3569 EUR caleb_strategy_v3 [1] 1.1037 None 1.11342 1.11345 1.1134 1.1134 1.11345 -0.009725 -2.5e-05 0 -5e-05 NaN -2.5e-05 3574 EUR caleb_strategy_v3 [1] 1.1037 None 1.11342 1.11345 1.1134 NaN 1.11325 -0.009725 -2.5e-05 0.0002 NaN NaN 0.000175 3576 MXP caleb_strategy_v3 [1] 0.05789 None 0.05866 0.05867 0.05865 0.05865 0.05865 -0.00077 -1e-05 2e-05 6.93889e-18 NaN 1e-05 3571 MXP caleb_strategy_v3 [1] 0.05789 None 0.05867 0.05868 0.05866 0.05866 0.05866 -0.00078 -1e-05 2e-05 6.93889e-18 NaN 1e-05 3565 MXP caleb_strategy_v3 [1] 0.05789 None 0.058675 0.05868 0.05867 0.05867 0.05867 -0.000785 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3584 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1950.65 1950.7 1950.6 1950.6 1950.9 -27.95 -0.05 -0.2 -0.3 NaN -0.25 3587 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1950.8 1950.9 1950.7 1950.7 1951.9 -28.1 -0.1 -1 -1.2 NaN -1.1 3590 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1951.8 1951.9 1951.7 1951.7 1951.7 -29.1 -0.1 0.2 0 NaN 0.1 3593 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1951.65 1951.7 1951.6 1951.6 1951.5 -28.95 -0.05 0.2 0.1 NaN 0.15 3567 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1952 1952.1 1951.9 1951.9 1952.2 -29.3 -0.1 -0.1 -0.3 NaN -0.2 3573 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1952.1 1952.2 1952 1952 1951.1 -29.4 -0.1 1.1 0.9 NaN 1 3578 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1951.05 1951.1 1951 1951 1950.7 -28.35 -0.05 0.4 0.3 NaN 0.35 3581 RUSSELL caleb_strategy_v3 [1] 1922.7 None 1950.65 1950.7 1950.6 1950.6 1950.7 -27.95 -0.05 0 -0.1 NaN -0.05 3586 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.62 4515.75 4515.5 4515.5 4516 -52.625 -0.125 -0.25 -0.5 NaN -0.375 3589 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.88 4516 4515.75 4515.75 4515.75 -52.875 -0.125 0.25 0 NaN 0.125 3592 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.62 4515.75 4515.5 4515.5 4515.5 -52.625 -0.125 0.25 0 NaN 0.125 3595 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.75 4516 4515.5 4515.5 4515.75 -52.75 -0.25 0.25 -0.25 NaN 0 3597 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.62 4515.75 4515.5 4515.5 4516 -52.625 -0.125 -0.25 -0.5 NaN -0.375 3566 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.88 4516 4515.75 4515.75 4516.25 -52.875 -0.125 -0.25 -0.5 NaN -0.375 3572 SP500_micro caleb_strategy_v3 [1] 4463 None 4516.12 4516.25 4516 4516 4516 -53.125 -0.125 0.25 0 NaN 0.125 3577 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.88 4516 4515.75 4515.75 4515.75 -52.875 -0.125 0.25 0 NaN 0.125 3580 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.62 4515.75 4515.5 4515.5 4515.5 -52.625 -0.125 0.25 0 NaN 0.125 3583 SP500_micro caleb_strategy_v3 [1] 4463 None 4515.38 4515.5 4515.25 4515.25 4515.75 -52.375 -0.125 -0.25 -0.5 NaN -0.375 3585 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15455.4 15455.2 15455.5 15455.5 15454.8 251.875 -0.125 -0.5 -0.75 NaN -0.625 3588 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15455 15454.8 15455.2 15455.2 15454.8 251.5 -0.25 -0 -0.5 NaN -0.25 3591 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15454.9 15454.8 15455 15455 15455.2 251.375 -0.125 0.5 0.25 NaN 0.375 3594 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15455.5 15455.2 15455.8 15455.8 15456.5 252 -0.25 1.25 0.75 NaN 1 3564 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15462.2 15462 15462.5 15462.5 15461.8 258.75 -0.25 -0.25 -0.75 NaN -0.5 3596 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15456.9 15456.8 15457 NaN 15455.8 253.375 -0.125 -1 NaN NaN -1.125 3598 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15458 15457.8 15458.2 15458.2 15458.2 254.5 -0.25 0.5 -0 NaN 0.25 3599 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15458.6 15458.5 15458.8 15458.8 15459 255.125 -0.125 0.5 0.25 NaN 0.375 3600 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15457.9 15457.8 15458 15458 15458 254.375 -0.125 0.25 -0 NaN 0.125 3570 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15462 15461.8 15462.2 15462.2 15459.2 258.5 -0.25 -2.5 -3 NaN -2.75 3575 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15459.4 15459.2 15459.5 15459.5 15456.2 255.875 -0.125 -3 -3.25 NaN -3.125 3579 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15456.4 15456.2 15456.5 15456.5 15455.5 252.875 -0.125 -0.75 -1 NaN -0.875 3582 NASDAQ_micro caleb_strategy_v3 [-1] 15203.5 None 15455.8 15455.5 15456 15456 15455.2 252.25 -0.25 -0.25 -0.75 NaN -0.5 3601 CORN caleb_strategy_v3 [-1] 501.5 None 500.625 500.5 500.75 500.75 500.5 -0.875 -0.125 -0 -0.25 NaN -0.125 3602 SOYOIL caleb_strategy_v3 [1] 60.63 None 60.505 60.52 60.49 60.49 60.55 0.125 -0.015 -0.03 -0.06 NaN -0.045 ================================================================================================================================================================ 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 3557 NIKKEI caleb_strategy_v3 [1] 5251.99 3317.79 -4.7601 9.5202 0 NaN 4.7601 3558 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 3471.29 -74.4913 -29.7965 -178.779 NaN -104.288 3559 DAX caleb_strategy_v3 [-1] 2488.97 100.443 -4.01773 -12.0532 -20.0886 NaN -16.0709 3560 EURIBOR-ICE caleb_strategy_v3 [1] 1.25675 -258.605 -19.8927 -39.7853 -79.5706 NaN -59.678 3561 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 266.832 37.4767 -9.36918 9.36918 -9.36918 NaN 0 3562 GASOIL _ROLL_PSEUDO_STRATEGY [1] 266.832 -23.423 -4.68459 9.36918 0 NaN 4.68459 3563 GASOLINE caleb_strategy_v3 [1] 0.705778 -303.92 -4.95907 -4.25063 -14.1688 NaN -9.2097 3568 VIX caleb_strategy_v3 [-1] 7.61154 -624.052 -32.8449 -65.6897 -131.379 NaN -98.5346 3569 EUR caleb_strategy_v3 [1] 0.084342 -1153.04 -2.96412 0 -5.92824 NaN -2.96412 3574 EUR caleb_strategy_v3 [1] 0.084342 -1153.04 -2.96412 23.713 NaN NaN 20.7489 3576 MXP caleb_strategy_v3 [1] 0.00505858 -1522.17 -19.7684 39.5368 1.37171e-11 NaN 19.7684 3571 MXP caleb_strategy_v3 [1] 0.00505858 -1541.94 -19.7684 39.5368 1.37171e-11 NaN 19.7684 3565 MXP caleb_strategy_v3 [1] 0.00505858 -1551.82 -9.8842 19.7684 1.37171e-11 NaN 9.8842 3584 RUSSELL caleb_strategy_v3 [1] 388.809 -718.863 -1.28598 -5.14392 -7.71588 NaN -6.4299 3587 RUSSELL caleb_strategy_v3 [1] 388.809 -722.721 -2.57196 -25.7196 -30.8635 NaN -28.2916 3590 RUSSELL caleb_strategy_v3 [1] 388.809 -748.44 -2.57196 5.14392 0 NaN 2.57196 3593 RUSSELL caleb_strategy_v3 [1] 388.809 -744.582 -1.28598 5.14392 2.57196 NaN 3.85794 3567 RUSSELL caleb_strategy_v3 [1] 388.809 -753.584 -2.57196 -2.57196 -7.71588 NaN -5.14392 3573 RUSSELL caleb_strategy_v3 [1] 388.809 -756.156 -2.57196 28.2916 23.1476 NaN 25.7196 3578 RUSSELL caleb_strategy_v3 [1] 388.809 -729.15 -1.28598 10.2878 7.71588 NaN 9.00186 3581 RUSSELL caleb_strategy_v3 [1] 388.809 -718.863 -1.28598 0 -2.57196 NaN -1.28598 3586 SP500_micro caleb_strategy_v3 [1] 540.281 -974.031 -2.31361 -4.62722 -9.25445 NaN -6.94084 3589 SP500_micro caleb_strategy_v3 [1] 540.281 -978.658 -2.31361 4.62722 0 NaN 2.31361 3592 SP500_micro caleb_strategy_v3 [1] 540.281 -974.031 -2.31361 4.62722 0 NaN 2.31361 3595 SP500_micro caleb_strategy_v3 [1] 540.281 -976.344 -4.62722 4.62722 -4.62722 NaN 0 3597 SP500_micro caleb_strategy_v3 [1] 540.281 -974.031 -2.31361 -4.62722 -9.25445 NaN -6.94084 3566 SP500_micro caleb_strategy_v3 [1] 540.281 -978.658 -2.31361 -4.62722 -9.25445 NaN -6.94084 3572 SP500_micro caleb_strategy_v3 [1] 540.281 -983.285 -2.31361 4.62722 0 NaN 2.31361 3577 SP500_micro caleb_strategy_v3 [1] 540.281 -978.658 -2.31361 4.62722 0 NaN 2.31361 3580 SP500_micro caleb_strategy_v3 [1] 540.281 -974.031 -2.31361 4.62722 0 NaN 2.31361 3583 SP500_micro caleb_strategy_v3 [1] 540.281 -969.403 -2.31361 -4.62722 -9.25445 NaN -6.94084 3585 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 969.357 -0.481071 -1.92428 -2.88642 NaN -2.40535 3588 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 967.914 -0.962141 -0 -1.92428 NaN -0.962141 3591 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 967.433 -0.481071 1.92428 0.962141 NaN 1.44321 3594 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 969.839 -0.962141 4.81071 2.88642 NaN 3.84857 3564 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 995.816 -0.962141 -0.962141 -2.88642 NaN -1.92428 3596 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 975.13 -0.481071 -3.84857 NaN NaN -4.32964 3598 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 979.46 -0.962141 1.92428 -0 NaN 0.962141 3599 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 981.865 -0.481071 1.92428 0.962141 NaN 1.44321 3600 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 978.979 -0.481071 0.962141 -0 NaN 0.481071 3570 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 994.854 -0.962141 -9.62141 -11.5457 NaN -10.5836 3575 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 984.752 -0.481071 -11.5457 -12.5078 NaN -12.0268 3579 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 973.206 -0.481071 -2.88642 -3.84857 NaN -3.36749 3582 NASDAQ_micro caleb_strategy_v3 [-1] 2598.37 970.801 -0.962141 -0.962141 -2.88642 NaN -1.92428 3601 CORN caleb_strategy_v3 [-1] 211.144 -41.4409 -5.92012 -0 -11.8402 NaN -5.92012 3602 SOYOIL caleb_strategy_v3 [1] 23.4183 53.3772 -6.40526 -12.8105 -25.621 NaN -19.2158 =========================================================================================================================================================================== 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 3557 NIKKEI caleb_strategy_v3 [1] 0.717041 1249.44 -1.7926 3.58521 0 NaN 1.7926 3558 JGB-SGX-mini caleb_strategy_v3 [1] 717.041 835.353 -17.926 -7.17041 -43.0225 NaN -25.0964 3559 DAX caleb_strategy_v3 [-1] 1.10305 27.5763 -1.10305 -3.30915 -5.51525 NaN -4.4122 3560 EURIBOR-ICE caleb_strategy_v3 [1] 2757.62 -89.6228 -6.89406 -13.7881 -27.5763 NaN -20.6822 3561 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 100 -25 25 -25 NaN 0 3562 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 -62.5 -12.5 25 0 NaN 12.5 3563 GASOLINE caleb_strategy_v3 [1] 42000 -900.9 -14.7 -12.6 -42 NaN -27.3 3568 VIX caleb_strategy_v3 [-1] 1000 -475 -25 -50 -100 NaN -75 3569 EUR caleb_strategy_v3 [1] 125000 -1215.62 -3.125 0 -6.25 NaN -3.125 3574 EUR caleb_strategy_v3 [1] 125000 -1215.62 -3.125 25 NaN NaN 21.875 3576 MXP caleb_strategy_v3 [1] 500000 -385 -5 10 3.46945e-12 NaN 5 3571 MXP caleb_strategy_v3 [1] 500000 -390 -5 10 3.46945e-12 NaN 5 3565 MXP caleb_strategy_v3 [1] 500000 -392.5 -2.5 5 3.46945e-12 NaN 2.5 3584 RUSSELL caleb_strategy_v3 [1] 5 -139.75 -0.25 -1 -1.5 NaN -1.25 3587 RUSSELL caleb_strategy_v3 [1] 5 -140.5 -0.5 -5 -6 NaN -5.5 3590 RUSSELL caleb_strategy_v3 [1] 5 -145.5 -0.5 1 0 NaN 0.5 3593 RUSSELL caleb_strategy_v3 [1] 5 -144.75 -0.25 1 0.5 NaN 0.75 3567 RUSSELL caleb_strategy_v3 [1] 5 -146.5 -0.5 -0.5 -1.5 NaN -1 3573 RUSSELL caleb_strategy_v3 [1] 5 -147 -0.5 5.5 4.5 NaN 5 3578 RUSSELL caleb_strategy_v3 [1] 5 -141.75 -0.25 2 1.5 NaN 1.75 3581 RUSSELL caleb_strategy_v3 [1] 5 -139.75 -0.25 0 -0.5 NaN -0.25 3586 SP500_micro caleb_strategy_v3 [1] 5 -263.125 -0.625 -1.25 -2.5 NaN -1.875 3589 SP500_micro caleb_strategy_v3 [1] 5 -264.375 -0.625 1.25 0 NaN 0.625 3592 SP500_micro caleb_strategy_v3 [1] 5 -263.125 -0.625 1.25 0 NaN 0.625 3595 SP500_micro caleb_strategy_v3 [1] 5 -263.75 -1.25 1.25 -1.25 NaN 0 3597 SP500_micro caleb_strategy_v3 [1] 5 -263.125 -0.625 -1.25 -2.5 NaN -1.875 3566 SP500_micro caleb_strategy_v3 [1] 5 -264.375 -0.625 -1.25 -2.5 NaN -1.875 3572 SP500_micro caleb_strategy_v3 [1] 5 -265.625 -0.625 1.25 0 NaN 0.625 3577 SP500_micro caleb_strategy_v3 [1] 5 -264.375 -0.625 1.25 0 NaN 0.625 3580 SP500_micro caleb_strategy_v3 [1] 5 -263.125 -0.625 1.25 0 NaN 0.625 3583 SP500_micro caleb_strategy_v3 [1] 5 -261.875 -0.625 -1.25 -2.5 NaN -1.875 3585 NASDAQ_micro caleb_strategy_v3 [-1] 2 503.75 -0.25 -1 -1.5 NaN -1.25 3588 NASDAQ_micro caleb_strategy_v3 [-1] 2 503 -0.5 -0 -1 NaN -0.5 3591 NASDAQ_micro caleb_strategy_v3 [-1] 2 502.75 -0.25 1 0.5 NaN 0.75 3594 NASDAQ_micro caleb_strategy_v3 [-1] 2 504 -0.5 2.5 1.5 NaN 2 3564 NASDAQ_micro caleb_strategy_v3 [-1] 2 517.5 -0.5 -0.5 -1.5 NaN -1 3596 NASDAQ_micro caleb_strategy_v3 [-1] 2 506.75 -0.25 -2 NaN NaN -2.25 3598 NASDAQ_micro caleb_strategy_v3 [-1] 2 509 -0.5 1 -0 NaN 0.5 3599 NASDAQ_micro caleb_strategy_v3 [-1] 2 510.25 -0.25 1 0.5 NaN 0.75 3600 NASDAQ_micro caleb_strategy_v3 [-1] 2 508.75 -0.25 0.5 -0 NaN 0.25 3570 NASDAQ_micro caleb_strategy_v3 [-1] 2 517 -0.5 -5 -6 NaN -5.5 3575 NASDAQ_micro caleb_strategy_v3 [-1] 2 511.75 -0.25 -6 -6.5 NaN -6.25 3579 NASDAQ_micro caleb_strategy_v3 [-1] 2 505.75 -0.25 -1.5 -2 NaN -1.75 3582 NASDAQ_micro caleb_strategy_v3 [-1] 2 504.5 -0.5 -0.5 -1.5 NaN -1 3601 CORN caleb_strategy_v3 [-1] 50 -43.75 -6.25 -0 -12.5 NaN -6.25 3602 SOYOIL caleb_strategy_v3 [1] 600 75 -9 -18 -36 NaN -27 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 37.500000 caleb_strategy_v3 CORN -43.750000 DAX 27.576250 EUR -2431.250000 EURIBOR-ICE -89.622812 GASOLINE -900.900000 JGB-SGX-mini 835.352999 MXP -1167.500000 NASDAQ_micro 6604.750000 NIKKEI 1249.444293 RUSSELL -1145.500000 SOYOIL 75.000000 SP500_micro -2636.875000 VIX -475.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 37.50000 caleb_strategy_v3 -98.27427 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.500000 caleb_strategy_v3 CORN -6.250000 DAX -1.103050 EUR -6.250000 EURIBOR-ICE -6.894062 GASOLINE -14.700000 JGB-SGX-mini -17.926030 MXP -12.500000 NASDAQ_micro -4.750000 NIKKEI -1.792603 RUSSELL -3.000000 SOYOIL -9.000000 SP500_micro -6.875000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -37.500000 caleb_strategy_v3 -116.040746 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 50.000000 caleb_strategy_v3 CORN -0.000000 DAX -3.309150 EUR 25.000000 EURIBOR-ICE -13.788125 GASOLINE -12.600000 JGB-SGX-mini -7.170412 MXP 25.000000 NASDAQ_micro -10.500000 NIKKEI 3.585206 RUSSELL 3.000000 SOYOIL -18.000000 SP500_micro 2.500000 VIX -50.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 50.000000 caleb_strategy_v3 -56.282481 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -2.500000e+01 caleb_strategy_v3 CORN -1.250000e+01 DAX -5.515250e+00 EUR -6.250000e+00 EURIBOR-ICE -2.757625e+01 GASOLINE -4.200000e+01 JGB-SGX-mini -4.302247e+01 MXP 1.040834e-11 NASDAQ_micro -1.750000e+01 NIKKEI 0.000000e+00 RUSSELL -3.000000e+00 SOYOIL -3.600000e+01 SP500_micro -1.125000e+01 VIX -1.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -25.000000 caleb_strategy_v3 -304.613972 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 caleb_strategy_v3 CORN 0 DAX 0 EUR 0 EURIBOR-ICE 0 GASOLINE 0 JGB-SGX-mini 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 0 SOYOIL 0 SP500_micro 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 1.250000e+01 caleb_strategy_v3 CORN -6.250000e+00 DAX -4.412200e+00 EUR 1.875000e+01 EURIBOR-ICE -2.068219e+01 GASOLINE -2.730000e+01 JGB-SGX-mini -2.509644e+01 MXP 1.250000e+01 NASDAQ_micro -1.525000e+01 NIKKEI 1.792603e+00 RUSSELL 1.136868e-12 SOYOIL -2.700000e+01 SP500_micro -4.375000e+00 VIX -7.500000e+01 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 12.500000 caleb_strategy_v3 -172.323227 ******************************************************************************** END OF REPORT ********************************************************************************