******************************************************************************** Trades report produced on 14/07/2023 21:37 from 13/07/2023 21:37 to 14/07/2023 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3627 COPPER caleb_strategy_v3 [20230900] 2023-07-14 14:00:03 [1] 3.938500 3630 CRUDE_W caleb_strategy_v3 [20231200] 2023-07-14 14:00:09 [1] 75.720000 3626 CRUDE_W caleb_strategy_v3 [20231200] 2023-07-14 14:00:03 [1] 75.690000 3650 EUR caleb_strategy_v3 [20230900] 2023-07-14 15:01:15 [1] 1.125850 3643 EUR caleb_strategy_v3 [20230900] 2023-07-14 15:00:06 [1] 1.126400 3624 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-07-14 12:24:30 [1] 97.035000 3621 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-07-14 12:18:28 [1] 97.035000 3622 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-07-14 12:23:30 [1] 97.035000 3623 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-07-14 12:24:09 [1] 97.040000 3619 EUROSTX caleb_strategy_v3 [20230900] 2023-07-14 08:00:03 [1] 4408.000000 3620 EUROSTX caleb_strategy_v3 [20230900] 2023-07-14 08:00:05 [1] 4408.000000 3628 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-14 14:00:04 [-1] 2.555000 3629 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:09 [1] 1961.200000 3631 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:11 [1] 1961.100000 3632 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:13 [1] 1961.000000 3633 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:15 [1] 1960.900000 3634 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:18 [1] 1961.000000 3635 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:20 [1] 1960.900000 3636 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:22 [1] 1960.900000 3637 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:24 [1] 1960.800000 3638 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:43 [1] 1960.700000 3625 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-14 14:00:01 [1] 1961.700000 3661 LEANHOG caleb_strategy_v3 [20231000] 2023-07-14 15:30:02 [1] 83.450000 3649 MXP caleb_strategy_v3 [20230900] 2023-07-14 15:01:15 [1] 0.058580 3641 MXP caleb_strategy_v3 [20230900] 2023-07-14 15:00:04 [1] 0.058590 3652 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:19 [1] 15793.000000 3660 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:36 [1] 15789.500000 3640 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:00:02 [1] 15787.000000 3659 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:34 [1] 15790.250000 3658 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:32 [1] 15787.750000 3648 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:10 [1] 15793.000000 3657 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:29 [1] 15788.000000 3653 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:22 [1] 15793.250000 3654 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:23 [1] 15792.500000 3655 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:26 [1] 15790.750000 3656 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-14 15:01:27 [1] 15793.000000 3642 NZD caleb_strategy_v3 [20230900] 2023-07-14 15:00:05 [1] 0.638000 3647 RUSSELL caleb_strategy_v3 [20230900] 2023-07-14 15:01:10 [1] 1948.800000 3639 RUSSELL caleb_strategy_v3 [20230900] 2023-07-14 15:00:02 [1] 1948.100000 3646 US10U caleb_strategy_v3 [20230900] 2023-07-14 15:00:24 [1] 118.515625 3644 US5 caleb_strategy_v3 [20230900] 2023-07-14 15:00:07 [1] 107.703125 3651 US5 caleb_strategy_v3 [20230900] 2023-07-14 15:01:17 [1] 107.656250 3645 VIX caleb_strategy_v3 [20230900] 2023-07-14 15:00:22 [1] 17.200000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3619 EUROSTX caleb_strategy_v3 2023-07-13 2023-07-14 08:00:02.235 2023-07-14 08:00:03 115202 0.765 3620 EUROSTX caleb_strategy_v3 2023-07-13 2023-07-14 08:00:05.616 2023-07-14 08:00:05 115206 NaN 3624 EURIBOR-ICE caleb_strategy_v3 2023-07-13 2023-07-14 12:24:11.672 2023-07-14 12:24:30 131052 18.328 3621 EURIBOR-ICE caleb_strategy_v3 2023-07-13 2023-07-14 12:13:28.551 2023-07-14 12:18:28 130409 299.449 3622 EURIBOR-ICE caleb_strategy_v3 2023-07-13 2023-07-14 12:18:30.555 2023-07-14 12:23:30 130711 299.445 3623 EURIBOR-ICE caleb_strategy_v3 2023-07-13 2023-07-14 12:23:32.478 2023-07-14 12:24:09 131012 36.522 3627 COPPER caleb_strategy_v3 2023-07-13 2023-07-14 14:00:03.700 2023-07-14 14:00:03 136804 NaN 3628 GAS_US_mini caleb_strategy_v3 2023-07-13 2023-07-14 14:00:04.392 2023-07-14 14:00:04 136804 NaN 3626 CRUDE_W caleb_strategy_v3 2023-07-13 2023-07-14 14:00:02.411 2023-07-14 14:00:03 136802 0.589 3630 CRUDE_W caleb_strategy_v3 2023-07-13 2023-07-14 14:00:09.299 2023-07-14 14:00:09 136809 NaN 3625 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:01.566 2023-07-14 14:00:01 136802 NaN 3629 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:06.501 2023-07-14 14:00:09 136807 2.499 3631 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:11.064 2023-07-14 14:00:11 136811 NaN 3632 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:13.191 2023-07-14 14:00:13 136813 NaN 3633 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:15.497 2023-07-14 14:00:15 136815 NaN 3634 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:17.784 2023-07-14 14:00:18 136818 0.216 3635 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:20.456 2023-07-14 14:00:20 136820 NaN 3636 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:22.224 2023-07-14 14:00:22 136822 NaN 3637 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:24.080 2023-07-14 14:00:24 136824 NaN 3638 GOLD_micro caleb_strategy_v3 2023-07-13 2023-07-14 14:00:43.109 2023-07-14 14:00:43 136843 NaN 3642 NZD caleb_strategy_v3 2023-07-13 2023-07-14 15:00:05.071 2023-07-14 15:00:05 140405 NaN 3645 VIX caleb_strategy_v3 2023-07-13 2023-07-14 15:00:08.906 2023-07-14 15:00:22 140409 13.094 3646 US10U caleb_strategy_v3 2023-07-13 2023-07-14 15:00:23.342 2023-07-14 15:00:24 140423 0.658 3647 RUSSELL caleb_strategy_v3 2023-07-13 2023-07-14 15:01:10.156 2023-07-14 15:01:10 140470 NaN 3639 RUSSELL caleb_strategy_v3 2023-07-13 2023-07-14 15:00:01.762 2023-07-14 15:00:02 140402 0.238 3649 MXP caleb_strategy_v3 2023-07-13 2023-07-14 15:01:13.609 2023-07-14 15:01:15 140474 1.391 3641 MXP caleb_strategy_v3 2023-07-13 2023-07-14 15:00:03.526 2023-07-14 15:00:04 140404 0.474 3650 EUR caleb_strategy_v3 2023-07-13 2023-07-14 15:01:15.747 2023-07-14 15:01:15 140476 NaN 3643 EUR caleb_strategy_v3 2023-07-13 2023-07-14 15:00:06.244 2023-07-14 15:00:06 140406 NaN 3651 US5 caleb_strategy_v3 2023-07-13 2023-07-14 15:01:16.151 2023-07-14 15:01:17 140476 0.849 3644 US5 caleb_strategy_v3 2023-07-13 2023-07-14 15:00:06.906 2023-07-14 15:00:07 140407 0.094 3648 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:10.560 2023-07-14 15:01:10 140471 NaN 3652 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:19.590 2023-07-14 15:01:19 140480 NaN 3653 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:21.643 2023-07-14 15:01:22 140482 0.357 3654 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:23.723 2023-07-14 15:01:23 140484 NaN 3655 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:25.891 2023-07-14 15:01:26 140486 0.109 3656 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:27.704 2023-07-14 15:01:27 140488 NaN 3657 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:29.523 2023-07-14 15:01:29 140490 NaN 3658 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:31.740 2023-07-14 15:01:32 140492 0.26 3659 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:34.015 2023-07-14 15:01:34 140494 NaN 3660 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:01:35.860 2023-07-14 15:01:36 140496 0.14 3640 NASDAQ_micro caleb_strategy_v3 2023-07-13 2023-07-14 15:00:02.779 2023-07-14 15:00:02 140403 NaN 3661 LEANHOG caleb_strategy_v3 2023-07-13 2023-07-14 15:30:00.886 2023-07-14 15:30:02 142201 1.114 =================================================================================================================================================================================================================================== 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 3619 EUROSTX caleb_strategy_v3 [1] 4422 None 4408.5 4409 4408 4408 4408 13.5 -0.5 1 0 NaN 0.5 3620 EUROSTX caleb_strategy_v3 [1] 4422 None 4408.5 4409 4408 4408 4408 13.5 -0.5 1 0 NaN 0.5 3624 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0375 97.04 97.035 97.035 97.035 0.0225 -0.0025 0.005 0 NaN 0.0025 3621 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0325 97.035 97.03 97.03 97.035 0.0275 -0.0025 0 -0.005 NaN -0.0025 3622 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0325 97.035 97.03 97.03 97.035 0.0275 -0.0025 0 -0.005 NaN -0.0025 3623 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0325 97.035 97.03 97.03 97.04 0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 3627 COPPER caleb_strategy_v3 [1] 3.949 None 3.93875 3.939 3.9385 3.9385 3.9385 0.01025 -0.00025 0.0005 0 NaN 0.00025 3628 GAS_US_mini caleb_strategy_v3 [-1] 2.535 None 2.56 2.555 2.565 2.565 2.555 0.025 -0.005 -0 -0.01 NaN -0.005 3626 CRUDE_W caleb_strategy_v3 [1] 75.96 None 75.7 75.71 75.69 75.69 75.69 0.26 -0.01 0.02 0 NaN 0.01 3630 CRUDE_W caleb_strategy_v3 [1] 75.96 None 75.685 75.69 75.68 75.68 75.72 0.275 -0.005 -0.03 -0.04 NaN -0.035 3625 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1961.65 1961.7 1961.6 1961.6 1961.7 3.25 -0.05 0 -0.1 NaN -0.05 3629 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1961.25 1961.3 1961.2 1961.2 1961.2 3.65 -0.05 0.1 0 NaN 0.05 3631 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1961.15 1961.2 1961.1 1961.1 1961.1 3.75 -0.05 0.1 2.27374e-13 NaN 0.05 3632 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1961.05 1961.1 1961 1961 1961 3.85 -0.05 0.1 0 NaN 0.05 3633 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1961 1961.1 1960.9 1960.9 1960.9 3.9 -0.1 0.2 0 NaN 0.1 3634 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1960.95 1961 1960.9 1960.9 1961 3.95 -0.05 0 -0.1 NaN -0.05 3635 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1961 1961.1 1960.9 1960.9 1960.9 3.9 -0.1 0.2 0 NaN 0.1 3636 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1960.85 1960.9 1960.8 NaN 1960.9 4.05 -0.05 0 NaN NaN -0.05 3637 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1960.8 1960.9 1960.7 1960.7 1960.8 4.1 -0.1 0.1 -0.1 NaN 2.27374e-13 3638 GOLD_micro caleb_strategy_v3 [1] 1964.9 None 1960.6 1960.7 1960.5 1960.5 1960.7 4.3 -0.1 0 -0.2 NaN -0.1 3642 NZD caleb_strategy_v3 [1] 0.63925 None 0.6378 0.63785 0.63775 0.63775 0.638 0.00145 -5e-05 -0.00015 -0.00025 NaN -0.0002 3645 VIX caleb_strategy_v3 [1] 17 None 17.225 17.25 17.2 17.2 17.2 -0.225 -0.025 0.05 0 NaN 0.025 3646 US10U caleb_strategy_v3 [1] 118.969 None 118.523 118.531 118.516 118.516 118.516 0.445312 -0.0078125 0.015625 0 NaN 0.0078125 3647 RUSSELL caleb_strategy_v3 [1] 1963.5 None 1948.85 1948.9 1948.8 1948.8 1948.8 14.65 -0.05 0.1 2.27374e-13 NaN 0.05 3639 RUSSELL caleb_strategy_v3 [1] 1963.5 None 1948.65 1949.2 1948.1 1948.1 1948.1 14.85 -0.55 1.1 2.27374e-13 NaN 0.55 3649 MXP caleb_strategy_v3 [1] 0.05866 None 0.058585 0.05859 0.05858 0.05858 0.05858 7.5e-05 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3641 MXP caleb_strategy_v3 [1] 0.05866 None 0.058575 0.05858 0.05857 0.05857 0.05859 8.5e-05 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3650 EUR caleb_strategy_v3 [1] 1.12575 None 1.12633 1.1264 1.12625 1.12625 1.12585 -0.000575 -7.5e-05 0.00055 0.0004 NaN 0.000475 3643 EUR caleb_strategy_v3 [1] 1.12575 None 1.12635 1.1264 1.1263 1.1263 1.1264 -0.0006 -5e-05 0 -0.0001 NaN -5e-05 3651 US5 caleb_strategy_v3 [1] 108.023 None 107.645 107.648 107.641 107.641 107.656 0.378906 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 3644 US5 caleb_strategy_v3 [1] 108.023 None 107.707 107.711 107.703 107.703 107.703 0.316406 -0.00390625 0.0078125 0 NaN 0.00390625 3648 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15788.9 15789.8 15788 15788 15793 -87.125 -0.875 -3.25 -5 NaN -4.125 3652 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15793 15793.2 15792.8 15792.8 15793 -91.25 -0.25 0.25 -0.25 NaN 0 3653 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15793 15793.2 15792.8 15792.8 15793.2 -91.25 -0.25 0 -0.5 NaN -0.25 3654 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15793 15793.2 15792.8 15792.8 15792.5 -91.25 -0.25 0.75 0.25 NaN 0.5 3655 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15789.8 15790 15789.5 15789.5 15790.8 -88 -0.25 -0.75 -1.25 NaN -1 3656 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15790.8 15791 15790.5 15790.5 15793 -89 -0.25 -2 -2.5 NaN -2.25 3657 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15792.5 15792.8 15792.2 15792.2 15788 -90.75 -0.25 4.75 4.25 NaN 4.5 3658 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15787.9 15788 15787.8 15787.8 15787.8 -86.125 -0.125 0.25 0 NaN 0.125 3659 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15788.2 15788.5 15788 15788 15790.2 -86.5 -0.25 -1.75 -2.25 NaN -2 3660 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15789.8 15790 15789.5 15789.5 15789.5 -88 -0.25 0.5 0 NaN 0.25 3640 NASDAQ_micro caleb_strategy_v3 [1] 15701.8 None 15788.4 15789.8 15787 15787 15787 -86.625 -1.375 2.75 0 NaN 1.375 3661 LEANHOG caleb_strategy_v3 [1] 83.275 None 83.475 83.5 83.45 83.45 83.45 -0.2 -0.025 0.05 0 NaN 0.025 ============================================================================================================================================================ 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 3619 EUROSTX caleb_strategy_v3 [1] 710.158 190.099 -7.04069 14.0814 0 NaN 7.04069 3620 EUROSTX caleb_strategy_v3 [1] 710.158 190.099 -7.04069 14.0814 0 NaN 7.04069 3624 EURIBOR-ICE caleb_strategy_v3 [1] 1.25214 179.692 -19.9658 39.9316 0 NaN 19.9658 3621 EURIBOR-ICE caleb_strategy_v3 [1] 1.25214 219.624 -19.9658 0 -39.9316 NaN -19.9658 3622 EURIBOR-ICE caleb_strategy_v3 [1] 1.25214 219.624 -19.9658 0 -39.9316 NaN -19.9658 3623 EURIBOR-ICE caleb_strategy_v3 [1] 1.25214 219.624 -19.9658 -39.9316 -79.8633 NaN -59.8974 3627 COPPER caleb_strategy_v3 [1] 0.85568 119.788 -2.92165 5.84331 0 NaN 2.92165 3628 GAS_US_mini caleb_strategy_v3 [-1] 2.01228 124.237 -24.8474 -0 -49.6949 NaN -24.8474 3626 CRUDE_W caleb_strategy_v3 [1] 21.7149 119.734 -4.60514 9.21028 0 NaN 4.60514 3630 CRUDE_W caleb_strategy_v3 [1] 21.7149 126.641 -2.30257 -13.8154 -18.4206 NaN -16.118 3625 GOLD_micro caleb_strategy_v3 [1] 225.946 143.84 -2.21292 0 -4.42585 NaN -2.21292 3629 GOLD_micro caleb_strategy_v3 [1] 225.946 161.543 -2.21292 4.42585 0 NaN 2.21292 3631 GOLD_micro caleb_strategy_v3 [1] 225.946 165.969 -2.21292 4.42585 1.00632e-11 NaN 2.21292 3632 GOLD_micro caleb_strategy_v3 [1] 225.946 170.395 -2.21292 4.42585 0 NaN 2.21292 3633 GOLD_micro caleb_strategy_v3 [1] 225.946 172.608 -4.42585 8.85169 0 NaN 4.42585 3634 GOLD_micro caleb_strategy_v3 [1] 225.946 174.821 -2.21292 0 -4.42585 NaN -2.21292 3635 GOLD_micro caleb_strategy_v3 [1] 225.946 172.608 -4.42585 8.85169 0 NaN 4.42585 3636 GOLD_micro caleb_strategy_v3 [1] 225.946 179.247 -2.21292 0 NaN NaN -2.21292 3637 GOLD_micro caleb_strategy_v3 [1] 225.946 181.46 -4.42585 4.42585 -4.42585 NaN 1.00632e-11 3638 GOLD_micro caleb_strategy_v3 [1] 225.946 190.311 -4.42585 0 -8.85169 NaN -4.42585 3642 NZD caleb_strategy_v3 [1] 0.0745311 194.55 -6.70861 -20.1258 -33.5431 NaN -26.8344 3645 VIX caleb_strategy_v3 [1] 7.39669 -304.19 -33.7989 67.5978 0 NaN 33.7989 3646 US10U caleb_strategy_v3 [1] 11.162 398.953 -6.99918 13.9984 0 NaN 6.99918 3647 RUSSELL caleb_strategy_v3 [1] 382.357 383.149 -1.30768 2.61535 5.94663e-12 NaN 1.30768 3639 RUSSELL caleb_strategy_v3 [1] 382.357 388.38 -14.3844 28.7689 5.94663e-12 NaN 14.3844 3649 MXP caleb_strategy_v3 [1] 0.00490004 153.06 -10.204 20.408 1.41609e-11 NaN 10.204 3641 MXP caleb_strategy_v3 [1] 0.00490004 173.468 -10.204 -20.408 -40.816 NaN -30.612 3650 EUR caleb_strategy_v3 [1] 0.0842656 -68.2366 -8.90043 65.2698 47.4689 NaN 56.3694 3643 EUR caleb_strategy_v3 [1] 0.0842656 -71.2034 -5.93362 0 -11.8672 NaN -5.93362 3651 US5 caleb_strategy_v3 [1] 6.17565 613.549 -6.32524 -12.6505 -25.301 NaN -18.9757 3644 US5 caleb_strategy_v3 [1] 6.17565 512.345 -6.32524 12.6505 0 NaN 6.32524 3648 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -334.691 -3.36132 -12.4849 -19.2075 NaN -15.8462 3652 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -350.538 -0.960377 0.960377 -0.960377 NaN 0 3653 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -350.538 -0.960377 0 -1.92075 NaN -0.960377 3654 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -350.538 -0.960377 2.88113 0.960377 NaN 1.92075 3655 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -338.053 -0.960377 -2.88113 -4.80188 NaN -3.84151 3656 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -341.894 -0.960377 -7.68302 -9.60377 NaN -8.64339 3657 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -348.617 -0.960377 18.2472 16.3264 NaN 17.2868 3658 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -330.85 -0.480188 0.960377 0 NaN 0.480188 3659 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -332.29 -0.960377 -6.72264 -8.64339 NaN -7.68302 3660 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -338.053 -0.960377 1.92075 0 NaN 0.960377 3640 NASDAQ_micro caleb_strategy_v3 [1] 2603.14 -332.771 -5.28207 10.5641 0 NaN 5.28207 3661 LEANHOG caleb_strategy_v3 [1] 21.5903 -92.6342 -11.5793 23.1586 0 NaN 11.5793 ======================================================================================================================================================================= 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 3619 EUROSTX caleb_strategy_v3 [1] 11.222 151.497 -5.611 11.222 0 NaN 5.611 3620 EUROSTX caleb_strategy_v3 [1] 11.222 151.497 -5.611 11.222 0 NaN 5.611 3624 EURIBOR-ICE caleb_strategy_v3 [1] 2805.5 63.1238 -7.01375 14.0275 0 NaN 7.01375 3621 EURIBOR-ICE caleb_strategy_v3 [1] 2805.5 77.1513 -7.01375 0 -14.0275 NaN -7.01375 3622 EURIBOR-ICE caleb_strategy_v3 [1] 2805.5 77.1513 -7.01375 0 -14.0275 NaN -7.01375 3623 EURIBOR-ICE caleb_strategy_v3 [1] 2805.5 77.1513 -7.01375 -14.0275 -28.055 NaN -21.0413 3627 COPPER caleb_strategy_v3 [1] 25000 256.25 -6.25 12.5 0 NaN 6.25 3628 GAS_US_mini caleb_strategy_v3 [-1] 2500 62.5 -12.5 -0 -25 NaN -12.5 3626 CRUDE_W caleb_strategy_v3 [1] 1000 260 -10 20 0 NaN 10 3630 CRUDE_W caleb_strategy_v3 [1] 1000 275 -5 -30 -40 NaN -35 3625 GOLD_micro caleb_strategy_v3 [1] 10 32.5 -0.5 0 -1 NaN -0.5 3629 GOLD_micro caleb_strategy_v3 [1] 10 36.5 -0.5 1 0 NaN 0.5 3631 GOLD_micro caleb_strategy_v3 [1] 10 37.5 -0.5 1 2.27374e-12 NaN 0.5 3632 GOLD_micro caleb_strategy_v3 [1] 10 38.5 -0.5 1 0 NaN 0.5 3633 GOLD_micro caleb_strategy_v3 [1] 10 39 -1 2 0 NaN 1 3634 GOLD_micro caleb_strategy_v3 [1] 10 39.5 -0.5 0 -1 NaN -0.5 3635 GOLD_micro caleb_strategy_v3 [1] 10 39 -1 2 0 NaN 1 3636 GOLD_micro caleb_strategy_v3 [1] 10 40.5 -0.5 0 NaN NaN -0.5 3637 GOLD_micro caleb_strategy_v3 [1] 10 41 -1 1 -1 NaN 2.27374e-12 3638 GOLD_micro caleb_strategy_v3 [1] 10 43 -1 0 -2 NaN -1 3642 NZD caleb_strategy_v3 [1] 100000 145 -5 -15 -25 NaN -20 3645 VIX caleb_strategy_v3 [1] 1000 -225 -25 50 0 NaN 25 3646 US10U caleb_strategy_v3 [1] 1000 445.312 -7.8125 15.625 0 NaN 7.8125 3647 RUSSELL caleb_strategy_v3 [1] 5 73.25 -0.25 0.5 1.13687e-12 NaN 0.25 3639 RUSSELL caleb_strategy_v3 [1] 5 74.25 -2.75 5.5 1.13687e-12 NaN 2.75 3649 MXP caleb_strategy_v3 [1] 500000 37.5 -2.5 5 3.46945e-12 NaN 2.5 3641 MXP caleb_strategy_v3 [1] 500000 42.5 -2.5 -5 -10 NaN -7.5 3650 EUR caleb_strategy_v3 [1] 125000 -71.875 -9.375 68.75 50 NaN 59.375 3643 EUR caleb_strategy_v3 [1] 125000 -75 -6.25 0 -12.5 NaN -6.25 3651 US5 caleb_strategy_v3 [1] 1000 378.906 -3.90625 -7.8125 -15.625 NaN -11.7188 3644 US5 caleb_strategy_v3 [1] 1000 316.406 -3.90625 7.8125 0 NaN 3.90625 3648 NASDAQ_micro caleb_strategy_v3 [1] 2 -174.25 -1.75 -6.5 -10 NaN -8.25 3652 NASDAQ_micro caleb_strategy_v3 [1] 2 -182.5 -0.5 0.5 -0.5 NaN 0 3653 NASDAQ_micro caleb_strategy_v3 [1] 2 -182.5 -0.5 0 -1 NaN -0.5 3654 NASDAQ_micro caleb_strategy_v3 [1] 2 -182.5 -0.5 1.5 0.5 NaN 1 3655 NASDAQ_micro caleb_strategy_v3 [1] 2 -176 -0.5 -1.5 -2.5 NaN -2 3656 NASDAQ_micro caleb_strategy_v3 [1] 2 -178 -0.5 -4 -5 NaN -4.5 3657 NASDAQ_micro caleb_strategy_v3 [1] 2 -181.5 -0.5 9.5 8.5 NaN 9 3658 NASDAQ_micro caleb_strategy_v3 [1] 2 -172.25 -0.25 0.5 0 NaN 0.25 3659 NASDAQ_micro caleb_strategy_v3 [1] 2 -173 -0.5 -3.5 -4.5 NaN -4 3660 NASDAQ_micro caleb_strategy_v3 [1] 2 -176 -0.5 1 0 NaN 0.5 3640 NASDAQ_micro caleb_strategy_v3 [1] 2 -173.25 -2.75 5.5 0 NaN 2.75 3661 LEANHOG caleb_strategy_v3 [1] 400 -80 -10 20 0 NaN 10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COPPER 256.2500 CRUDE_W 535.0000 EUR -146.8750 EURIBOR-ICE 294.5775 EUROSTX 302.9940 GAS_US_mini 62.5000 GOLD_micro 387.0000 LEANHOG -80.0000 MXP 80.0000 NASDAQ_micro -1951.7500 NZD 145.0000 RUSSELL 147.5000 US10U 445.3125 US5 695.3125 VIX -225.0000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 947.8215 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COPPER -6.2500 CRUDE_W -15.0000 EUR -15.6250 EURIBOR-ICE -28.0550 EUROSTX -11.2220 GAS_US_mini -12.5000 GOLD_micro -7.0000 LEANHOG -10.0000 MXP -5.0000 NASDAQ_micro -8.7500 NZD -5.0000 RUSSELL -3.0000 US10U -7.8125 US5 -7.8125 VIX -25.0000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -168.027 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COPPER 12.500 CRUDE_W -10.000 EUR 68.750 EURIBOR-ICE 0.000 EUROSTX 22.444 GAS_US_mini -0.000 GOLD_micro 8.000 LEANHOG 20.000 MXP 0.000 NASDAQ_micro 3.000 NZD -15.000 RUSSELL 6.000 US10U 15.625 US5 0.000 VIX 50.000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 181.319 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER 0.000000e+00 CRUDE_W -4.000000e+01 EUR 3.750000e+01 EURIBOR-ICE -5.611000e+01 EUROSTX 0.000000e+00 GAS_US_mini -2.500000e+01 GOLD_micro -5.000000e+00 LEANHOG 0.000000e+00 MXP -1.000000e+01 NASDAQ_micro -1.450000e+01 NZD -2.500000e+01 RUSSELL 2.273737e-12 US10U 0.000000e+00 US5 -1.562500e+01 VIX 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -153.735 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER 0 CRUDE_W 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 GOLD_micro 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NZD 0 RUSSELL 0 US10U 0 US5 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 COPPER 6.2500 CRUDE_W -25.0000 EUR 53.1250 EURIBOR-ICE -28.0550 EUROSTX 11.2220 GAS_US_mini -12.5000 GOLD_micro 1.0000 LEANHOG 10.0000 MXP -5.0000 NASDAQ_micro -5.7500 NZD -20.0000 RUSSELL 3.0000 US10U 7.8125 US5 -7.8125 VIX 25.0000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 13.292 ******************************************************************************** END OF REPORT ********************************************************************************