******************************************************************************** Trades report produced on 04/08/2023 21:38 from 03/08/2023 21:38 to 04/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4041 BOBL caleb_strategy_v3 [20230900] 2023-08-04 08:00:07 [-1] 115.370000 4044 BOBL caleb_strategy_v3 [20230900] 2023-08-04 08:00:14 [-1] 115.380000 4047 BOBL caleb_strategy_v3 [20230900] 2023-08-04 08:00:18 [-1] 115.380000 4073 CHF caleb_strategy_v3 [20230900] 2023-08-04 15:00:02 [-1] 1.152950 4078 CHF caleb_strategy_v3 [20230900] 2023-08-04 15:00:31 [-1] 1.152600 4070 CRUDE_W caleb_strategy_v3 [20231200] 2023-08-04 14:00:02 [-1] 80.550000 4059 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:43 [-1] 15989.000000 4063 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:57 [-1] 15998.000000 4062 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:51 [-1] 15994.000000 4061 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:48 [-1] 15991.000000 4060 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:45 [-1] 15991.000000 4058 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:40 [-1] 15988.000000 4057 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:38 [-1] 15989.000000 4056 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:35 [-1] 15992.000000 4055 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:32 [-1] 15997.000000 4051 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:25 [-1] 16001.000000 4053 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:28 [-1] 16003.000000 4046 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:17 [-1] 16001.000000 4043 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:12 [-1] 15999.000000 4040 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:04 [-1] 16007.000000 4049 DAX caleb_strategy_v3 [20230900] 2023-08-04 08:00:21 [-1] 16002.000000 4064 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-04 09:00:26 [1] 97.025000 4065 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-04 09:00:29 [1] 97.025000 4066 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-04 09:03:29 [1] 97.020000 4067 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-04 09:07:00 [1] 97.025000 4045 EUROSTX caleb_strategy_v3 [20230900] 2023-08-04 08:00:16 [-1] 4338.000000 4054 EUROSTX caleb_strategy_v3 [20230900] 2023-08-04 08:00:30 [-1] 4338.000000 4052 EUROSTX caleb_strategy_v3 [20230900] 2023-08-04 08:00:27 [-1] 4338.000000 4050 EUROSTX caleb_strategy_v3 [20230900] 2023-08-04 08:00:24 [-1] 4338.000000 4048 EUROSTX caleb_strategy_v3 [20230900] 2023-08-04 08:00:20 [-1] 4337.000000 4042 EUROSTX caleb_strategy_v3 [20230900] 2023-08-04 08:00:11 [-1] 4338.000000 4039 EUROSTX caleb_strategy_v3 [20230900] 2023-08-04 08:00:03 [-1] 4340.000000 4079 FEEDCOW caleb_strategy_v3 [20231100] 2023-08-04 15:30:02 [1] 256.525000 4071 GAS_US_mini caleb_strategy_v3 [20231000] 2023-08-04 14:00:03 [-1] 2.660000 4038 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-08-04 03:05:54 [-1] 146.260000 4076 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-04 15:00:25 [1] 15449.000000 4037 NIKKEI caleb_strategy_v3 [20230900] 2023-08-04 03:00:43 [1] 32115.000000 4069 PLAT caleb_strategy_v3 [20231000] 2023-08-04 14:00:01 [1] 922.000000 4068 ROBUSTA caleb_strategy_v3 [20231100] 2023-08-04 10:01:15 [-1] 2511.000000 4080 SOYMEAL caleb_strategy_v3 [20231200] 2023-08-04 15:30:03 [1] 398.300000 4082 SOYOIL caleb_strategy_v3 [20231200] 2023-08-04 15:30:05 [-1] 61.040000 4072 SUGAR11 caleb_strategy_v3 [20240300] 2023-08-04 14:00:04 [-1] 23.810000 4075 US10U caleb_strategy_v3 [20230900] 2023-08-04 15:00:24 [1] 115.546875 4074 US5 caleb_strategy_v3 [20230900] 2023-08-04 15:00:09 [-1] 106.773438 4077 VIX caleb_strategy_v3 [20231000] 2023-08-04 15:00:28 [-1] 18.000000 4081 WHEAT caleb_strategy_v3 [20231200] 2023-08-04 15:30:04 [1] 669.250000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4037 NIKKEI caleb_strategy_v3 2023-08-03 2023-08-04 03:00:17.662 2023-08-04 03:00:43 97217.7 25.338 4038 JGB-SGX-mini caleb_strategy_v3 2023-08-03 2023-08-04 03:00:54.723 2023-08-04 03:05:54 97254.7 299.277 4041 BOBL caleb_strategy_v3 2023-08-03 2023-08-04 08:00:05.069 2023-08-04 08:00:07 115205 1.931 4044 BOBL caleb_strategy_v3 2023-08-03 2023-08-04 08:00:12.748 2023-08-04 08:00:14 115213 1.252 4047 BOBL caleb_strategy_v3 2023-08-03 2023-08-04 08:00:17.896 2023-08-04 08:00:18 115218 0.104 4039 EUROSTX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:02.008 2023-08-04 08:00:03 115202 0.992 4042 EUROSTX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:09.853 2023-08-04 08:00:11 115210 1.147 4045 EUROSTX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:15.908 2023-08-04 08:00:16 115216 0.092 4048 EUROSTX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:19.906 2023-08-04 08:00:20 115220 0.094 4050 EUROSTX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:24.033 2023-08-04 08:00:24 115224 NaN 4052 EUROSTX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:27.036 2023-08-04 08:00:27 115227 NaN 4054 EUROSTX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:30.141 2023-08-04 08:00:30 115230 NaN 4040 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:03.842 2023-08-04 08:00:04 115204 0.158 4043 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:12.006 2023-08-04 08:00:12 115212 NaN 4046 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:16.881 2023-08-04 08:00:17 115217 0.119 4049 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:21.397 2023-08-04 08:00:21 115221 NaN 4051 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:24.978 2023-08-04 08:00:25 115225 0.022 4053 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:27.837 2023-08-04 08:00:28 115228 0.163 4055 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:31.477 2023-08-04 08:00:32 115231 0.523 4056 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:34.360 2023-08-04 08:00:35 115234 0.64 4057 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:37.308 2023-08-04 08:00:38 115237 0.692 4058 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:40.519 2023-08-04 08:00:40 115241 NaN 4059 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:43.018 2023-08-04 08:00:43 115243 NaN 4060 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:45.173 2023-08-04 08:00:45 115245 NaN 4061 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:47.420 2023-08-04 08:00:48 115247 0.58 4062 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:50.915 2023-08-04 08:00:51 115251 0.085 4063 DAX caleb_strategy_v3 2023-08-03 2023-08-04 08:00:56.929 2023-08-04 08:00:57 115257 0.071 4064 EURIBOR-ICE caleb_strategy_v3 2023-08-03 2023-08-04 09:00:04.262 2023-08-04 09:00:26 118804 21.738 4065 EURIBOR-ICE caleb_strategy_v3 2023-08-03 2023-08-04 09:00:28.320 2023-08-04 09:00:29 118828 0.68 4066 EURIBOR-ICE caleb_strategy_v3 2023-08-03 2023-08-04 09:00:31.802 2023-08-04 09:03:29 118832 177.198 4067 EURIBOR-ICE caleb_strategy_v3 2023-08-03 2023-08-04 09:03:35.763 2023-08-04 09:07:00 119016 204.237 4068 ROBUSTA caleb_strategy_v3 2023-08-03 2023-08-04 10:00:02.129 2023-08-04 10:01:15 122402 72.871 4069 PLAT caleb_strategy_v3 2023-08-03 2023-08-04 14:00:01.312 2023-08-04 14:00:01 136801 NaN 4070 CRUDE_W caleb_strategy_v3 2023-08-03 2023-08-04 14:00:02.353 2023-08-04 14:00:02 136802 NaN 4071 GAS_US_mini caleb_strategy_v3 2023-08-03 2023-08-04 14:00:03.116 2023-08-04 14:00:03 136803 NaN 4072 SUGAR11 caleb_strategy_v3 2023-08-03 2023-08-04 14:00:04.350 2023-08-04 14:00:04 136804 NaN 4074 US5 caleb_strategy_v3 2023-08-03 2023-08-04 15:00:03.324 2023-08-04 15:00:09 140403 5.676 4075 US10U caleb_strategy_v3 2023-08-03 2023-08-04 15:00:10.484 2023-08-04 15:00:24 140410 13.516 4076 NASDAQ_micro caleb_strategy_v3 2023-08-03 2023-08-04 15:00:25.187 2023-08-04 15:00:25 140425 NaN 4077 VIX caleb_strategy_v3 2023-08-03 2023-08-04 15:00:26.351 2023-08-04 15:00:28 140426 1.649 4073 CHF caleb_strategy_v3 2023-08-03 2023-08-04 15:00:01.562 2023-08-04 15:00:02 140402 0.438 4078 CHF caleb_strategy_v3 2023-08-03 2023-08-04 15:00:30.841 2023-08-04 15:00:31 140431 0.159 4079 FEEDCOW caleb_strategy_v3 2023-08-03 2023-08-04 15:30:01.664 2023-08-04 15:30:02 142202 0.336 4080 SOYMEAL caleb_strategy_v3 2023-08-03 2023-08-04 15:30:03.563 2023-08-04 15:30:03 142204 NaN 4081 WHEAT caleb_strategy_v3 2023-08-03 2023-08-04 15:30:04.324 2023-08-04 15:30:04 142204 NaN 4082 SOYOIL caleb_strategy_v3 2023-08-03 2023-08-04 15:30:05.048 2023-08-04 15:30:05 142205 NaN ================================================================================================================================================================================================================================== 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 4037 NIKKEI caleb_strategy_v3 [1] 31935 None 32112.5 32115 32110 32110 32115 -177.5 -2.5 0 -5 NaN -2.5 4038 JGB-SGX-mini caleb_strategy_v3 [-1] 146.27 None 146.265 146.25 146.28 146.28 146.26 -0.005 -0.015 0.01 -0.02 NaN -0.005 4041 BOBL caleb_strategy_v3 [-1] 115.54 None 115.365 115.36 115.37 115.37 115.37 -0.175 -0.005 0.01 -0 NaN 0.005 4044 BOBL caleb_strategy_v3 [-1] 115.54 None 115.375 115.37 115.38 115.38 115.38 -0.165 -0.005 0.01 -0 NaN 0.005 4047 BOBL caleb_strategy_v3 [-1] 115.54 None 115.375 115.37 115.38 115.38 115.38 -0.165 -0.005 0.01 -0 NaN 0.005 4039 EUROSTX caleb_strategy_v3 [-1] 4328 None 4341.5 4341 4342 4342 4340 13.5 -0.5 -1 -2 NaN -1.5 4042 EUROSTX caleb_strategy_v3 [-1] 4328 None 4339.5 4339 4340 4340 4338 11.5 -0.5 -1 -2 NaN -1.5 4045 EUROSTX caleb_strategy_v3 [-1] 4328 None 4338.5 4338 4339 4339 4338 10.5 -0.5 -0 -1 NaN -0.5 4048 EUROSTX caleb_strategy_v3 [-1] 4328 None 4338 4337 4339 4339 4337 10 -1 -0 -2 NaN -1 4050 EUROSTX caleb_strategy_v3 [-1] 4328 None 4337.5 4337 4338 4338 4338 9.5 -0.5 1 -0 NaN 0.5 4052 EUROSTX caleb_strategy_v3 [-1] 4328 None 4337.5 4337 4338 4338 4338 9.5 -0.5 1 -0 NaN 0.5 4054 EUROSTX caleb_strategy_v3 [-1] 4328 None 4338.5 4338 4339 4339 4338 10.5 -0.5 -0 -1 NaN -0.5 4040 DAX caleb_strategy_v3 [-1] 15982 None 16009 16008 16010 16010 16007 27 -1 -1 -3 NaN -2 4043 DAX caleb_strategy_v3 [-1] 15982 None 16008 16007 16009 16009 15999 26 -1 -8 -10 NaN -9 4046 DAX caleb_strategy_v3 [-1] 15982 None 16001.5 16000 16003 16003 16001 19.5 -1.5 1 -2 NaN -0.5 4049 DAX caleb_strategy_v3 [-1] 15982 None 16001 16000 16002 16002 16002 19 -1 2 -0 NaN 1 4051 DAX caleb_strategy_v3 [-1] 15982 None 16000 15999 16001 16001 16001 18 -1 2 -0 NaN 1 4053 DAX caleb_strategy_v3 [-1] 15982 None 16002 16001 16003 16003 16003 20 -1 2 -0 NaN 1 4055 DAX caleb_strategy_v3 [-1] 15982 None 15998.5 15998 15999 15999 15997 16.5 -0.5 -1 -2 NaN -1.5 4056 DAX caleb_strategy_v3 [-1] 15982 None 15993.5 15993 15994 15994 15992 11.5 -0.5 -1 -2 NaN -1.5 4057 DAX caleb_strategy_v3 [-1] 15982 None 15992.5 15992 15993 15993 15989 10.5 -0.5 -3 -4 NaN -3.5 4058 DAX caleb_strategy_v3 [-1] 15982 None 15989.5 15989 15990 15990 15988 7.5 -0.5 -1 -2 NaN -1.5 4059 DAX caleb_strategy_v3 [-1] 15982 None 15988.5 15988 15989 15989 15989 6.5 -0.5 1 -0 NaN 0.5 4060 DAX caleb_strategy_v3 [-1] 15982 None 15989.5 15989 15990 15990 15991 7.5 -0.5 2 1 NaN 1.5 4061 DAX caleb_strategy_v3 [-1] 15982 None 15992 15991 15993 15993 15991 10 -1 -0 -2 NaN -1 4062 DAX caleb_strategy_v3 [-1] 15982 None 15991.5 15991 15992 15992 15994 9.5 -0.5 3 2 NaN 2.5 4063 DAX caleb_strategy_v3 [-1] 15982 None 15997 15996 15998 15998 15998 15 -1 2 -0 NaN 1 4064 EURIBOR-ICE caleb_strategy_v3 [1] 97.045 None 97.02 97.025 97.015 97.015 97.025 0.025 -0.005 0 -0.01 NaN -0.005 4065 EURIBOR-ICE caleb_strategy_v3 [1] 97.045 None 97.02 97.025 97.015 97.015 97.025 0.025 -0.005 0 -0.01 NaN -0.005 4066 EURIBOR-ICE caleb_strategy_v3 [1] 97.045 None 97.0225 97.025 97.02 97.02 97.02 0.0225 -0.0025 0.005 0 NaN 0.0025 4067 EURIBOR-ICE caleb_strategy_v3 [1] 97.045 None 97.02 97.025 97.015 97.015 97.025 0.025 -0.005 0 -0.01 NaN -0.005 4068 ROBUSTA caleb_strategy_v3 [-1] 2519 None 2510.5 2509 2512 2512 2511 -8.5 -1.5 2 -1 NaN 0.5 4069 PLAT caleb_strategy_v3 [1] 919 None 921.5 921.7 921.3 921.3 922 -2.5 -0.2 -0.3 -0.7 NaN -0.5 4070 CRUDE_W caleb_strategy_v3 [-1] 80.19 None 80.54 80.53 80.55 80.55 80.55 0.35 -0.01 0.02 -0 NaN 0.01 4071 GAS_US_mini caleb_strategy_v3 [-1] 2.66 None 2.6625 2.66 2.665 NaN 2.66 0.0025 -0.0025 -0 NaN NaN -0.0025 4072 SUGAR11 caleb_strategy_v3 [-1] 24.16 None 24 24 24 24 23.81 -0.16 -0 -0.19 -0.19 NaN -0.19 4074 US5 caleb_strategy_v3 [-1] 106.359 None 106.77 106.766 106.773 106.773 106.773 0.410156 -0.00390625 0.007813 5e-07 NaN 0.00390675 4075 US10U caleb_strategy_v3 [1] 114.812 None 115.531 115.547 115.516 115.516 115.547 -0.71875 -0.015625 0 -0.03125 NaN -0.015625 4076 NASDAQ_micro caleb_strategy_v3 [1] 15451.8 None 15449.9 15450 15449.8 15449.8 15449 1.875 -0.125 1 0.75 NaN 0.875 4077 VIX caleb_strategy_v3 [-1] 18.55 None 17.975 17.95 18 18 18 -0.575 -0.025 0.05 -0 NaN 0.025 4073 CHF caleb_strategy_v3 [-1] 1.14765 None 1.15307 1.153 1.15315 1.15315 1.15295 0.005425 -7.5e-05 -5e-05 -0.0002 NaN -0.000125 4078 CHF caleb_strategy_v3 [-1] 1.14765 None 1.153 1.15295 1.15305 1.15305 1.1526 0.00535 -5e-05 -0.00035 -0.00045 NaN -0.0004 4079 FEEDCOW caleb_strategy_v3 [1] 254.35 None 257.5 257.5 257.5 257.5 256.525 -3.15 0 0.975 0.975 NaN 0.975 4080 SOYMEAL caleb_strategy_v3 [1] 396.9 None 398.25 398.3 398.2 NaN 398.3 -1.35 -0.05 0 NaN NaN -0.05 4081 WHEAT caleb_strategy_v3 [1] 655.5 None 675 675 675 675 669.25 -19.5 0 5.75 5.75 NaN 5.75 4082 SOYOIL caleb_strategy_v3 [-1] 60.18 None 61.05 61.04 61.06 61.06 61.04 0.87 -0.01 -0 -0.02 NaN -0.01 ============================================================================================================================================================ 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 4037 NIKKEI caleb_strategy_v3 [1] 5607.8 -316.523 -4.45808 0 -8.91615 NaN -4.45808 4038 JGB-SGX-mini caleb_strategy_v3 [-1] 5.02396 -9.95231 -29.8569 19.9046 -39.8093 NaN -9.95231 4041 BOBL caleb_strategy_v3 [-1] 5.33192 -328.212 -9.37748 18.755 -0 NaN 9.37748 4044 BOBL caleb_strategy_v3 [-1] 5.33192 -309.457 -9.37748 18.755 -0 NaN 9.37748 4047 BOBL caleb_strategy_v3 [-1] 5.33192 -309.457 -9.37748 18.755 -0 NaN 9.37748 4039 EUROSTX caleb_strategy_v3 [-1] 729.039 185.175 -6.85834 -13.7167 -27.4334 NaN -20.575 4042 EUROSTX caleb_strategy_v3 [-1] 729.039 157.742 -6.85834 -13.7167 -27.4334 NaN -20.575 4045 EUROSTX caleb_strategy_v3 [-1] 729.039 144.025 -6.85834 -0 -13.7167 NaN -6.85834 4048 EUROSTX caleb_strategy_v3 [-1] 729.039 137.167 -13.7167 -0 -27.4334 NaN -13.7167 4050 EUROSTX caleb_strategy_v3 [-1] 729.039 130.309 -6.85834 13.7167 -0 NaN 6.85834 4052 EUROSTX caleb_strategy_v3 [-1] 729.039 130.309 -6.85834 13.7167 -0 NaN 6.85834 4054 EUROSTX caleb_strategy_v3 [-1] 729.039 144.025 -6.85834 -0 -13.7167 NaN -6.85834 4040 DAX caleb_strategy_v3 [-1] 2365.14 114.158 -4.22808 -4.22808 -12.6842 NaN -8.45615 4043 DAX caleb_strategy_v3 [-1] 2365.14 109.93 -4.22808 -33.8246 -42.2808 NaN -38.0527 4046 DAX caleb_strategy_v3 [-1] 2365.14 82.4475 -6.34212 4.22808 -8.45615 NaN -2.11404 4049 DAX caleb_strategy_v3 [-1] 2365.14 80.3335 -4.22808 8.45615 -0 NaN 4.22808 4051 DAX caleb_strategy_v3 [-1] 2365.14 76.1054 -4.22808 8.45615 -0 NaN 4.22808 4053 DAX caleb_strategy_v3 [-1] 2365.14 84.5615 -4.22808 8.45615 -0 NaN 4.22808 4055 DAX caleb_strategy_v3 [-1] 2365.14 69.7633 -2.11404 -4.22808 -8.45615 NaN -6.34212 4056 DAX caleb_strategy_v3 [-1] 2365.14 48.6229 -2.11404 -4.22808 -8.45615 NaN -6.34212 4057 DAX caleb_strategy_v3 [-1] 2365.14 44.3948 -2.11404 -12.6842 -16.9123 NaN -14.7983 4058 DAX caleb_strategy_v3 [-1] 2365.14 31.7106 -2.11404 -4.22808 -8.45615 NaN -6.34212 4059 DAX caleb_strategy_v3 [-1] 2365.14 27.4825 -2.11404 4.22808 -0 NaN 2.11404 4060 DAX caleb_strategy_v3 [-1] 2365.14 31.7106 -2.11404 8.45615 4.22808 NaN 6.34212 4061 DAX caleb_strategy_v3 [-1] 2365.14 42.2808 -4.22808 -0 -8.45615 NaN -4.22808 4062 DAX caleb_strategy_v3 [-1] 2365.14 40.1667 -2.11404 12.6842 8.45615 NaN 10.5702 4063 DAX caleb_strategy_v3 [-1] 2365.14 63.4212 -4.22808 8.45615 -0 NaN 4.22808 4064 EURIBOR-ICE caleb_strategy_v3 [1] 1.13479 220.305 -44.061 0 -88.122 NaN -44.061 4065 EURIBOR-ICE caleb_strategy_v3 [1] 1.13479 220.305 -44.061 0 -88.122 NaN -44.061 4066 EURIBOR-ICE caleb_strategy_v3 [1] 1.13479 198.275 -22.0305 44.061 0 NaN 22.0305 4067 EURIBOR-ICE caleb_strategy_v3 [1] 1.13479 220.305 -44.061 0 -88.122 NaN -44.061 4068 ROBUSTA caleb_strategy_v3 [-1] 640.229 -132.765 -23.4291 31.2388 -15.6194 NaN 7.8097 4069 PLAT caleb_strategy_v3 [1] 248.547 -100.585 -8.04677 -12.0702 -28.1637 NaN -20.1169 4070 CRUDE_W caleb_strategy_v3 [-1] 20.8583 167.799 -4.79425 9.5885 -0 NaN 4.79425 4071 GAS_US_mini caleb_strategy_v3 [-1] 1.87593 13.3267 -13.3267 -0 NaN NaN -13.3267 4072 SUGAR11 caleb_strategy_v3 [-1] 5.34665 -299.253 -0 -355.363 -355.363 NaN -355.363 4074 US5 caleb_strategy_v3 [-1] 5.51192 744.126 -7.08692 14.1747 0.000907125 NaN 7.08782 4075 US10U caleb_strategy_v3 [1] 11.1756 -643.142 -13.9814 0 -27.9627 NaN -13.9814 4076 NASDAQ_micro caleb_strategy_v3 [1] 2800.9 6.69429 -0.446286 3.57029 2.67771 NaN 3.124 4077 VIX caleb_strategy_v3 [-1] 7.58908 -757.668 -32.9421 65.8841 -0 NaN 32.9421 4073 CHF caleb_strategy_v3 [-1] 0.0929186 583.844 -8.07158 -5.38105 -21.5242 NaN -13.4526 4078 CHF caleb_strategy_v3 [-1] 0.0929186 575.773 -5.38105 -37.6674 -48.4295 NaN -43.0484 4079 FEEDCOW caleb_strategy_v3 [1] 26.3984 -1193.26 0 369.341 369.341 NaN 369.341 4080 SOYMEAL caleb_strategy_v3 [1] 112.141 -120.384 -4.45866 0 NaN NaN -4.45866 4081 WHEAT caleb_strategy_v3 [1] 338.665 -575.791 0 169.784 169.784 NaN 169.784 4082 SOYOIL caleb_strategy_v3 [-1] 20.3462 427.599 -4.91493 -0 -9.82986 NaN -4.91493 ======================================================================================================================================================================= 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 4037 NIKKEI caleb_strategy_v3 [1] 0.701949 -124.596 -1.75487 0 -3.50974 NaN -1.75487 4038 JGB-SGX-mini caleb_strategy_v3 [-1] 701.949 -3.50974 -10.5292 7.01949 -14.039 NaN -3.50974 4041 BOBL caleb_strategy_v3 [-1] 1095.75 -191.756 -5.47875 10.9575 -0 NaN 5.47875 4044 BOBL caleb_strategy_v3 [-1] 1095.75 -180.799 -5.47875 10.9575 -0 NaN 5.47875 4047 BOBL caleb_strategy_v3 [-1] 1095.75 -180.799 -5.47875 10.9575 -0 NaN 5.47875 4039 EUROSTX caleb_strategy_v3 [-1] 10.9575 147.926 -5.47875 -10.9575 -21.915 NaN -16.4363 4042 EUROSTX caleb_strategy_v3 [-1] 10.9575 126.011 -5.47875 -10.9575 -21.915 NaN -16.4363 4045 EUROSTX caleb_strategy_v3 [-1] 10.9575 115.054 -5.47875 -0 -10.9575 NaN -5.47875 4048 EUROSTX caleb_strategy_v3 [-1] 10.9575 109.575 -10.9575 -0 -21.915 NaN -10.9575 4050 EUROSTX caleb_strategy_v3 [-1] 10.9575 104.096 -5.47875 10.9575 -0 NaN 5.47875 4052 EUROSTX caleb_strategy_v3 [-1] 10.9575 104.096 -5.47875 10.9575 -0 NaN 5.47875 4054 EUROSTX caleb_strategy_v3 [-1] 10.9575 115.054 -5.47875 -0 -10.9575 NaN -5.47875 4040 DAX caleb_strategy_v3 [-1] 1.09575 29.5852 -1.09575 -1.09575 -3.28725 NaN -2.1915 4043 DAX caleb_strategy_v3 [-1] 1.09575 28.4895 -1.09575 -8.766 -10.9575 NaN -9.86175 4046 DAX caleb_strategy_v3 [-1] 1.09575 21.3671 -1.64363 1.09575 -2.1915 NaN -0.547875 4049 DAX caleb_strategy_v3 [-1] 1.09575 20.8193 -1.09575 2.1915 -0 NaN 1.09575 4051 DAX caleb_strategy_v3 [-1] 1.09575 19.7235 -1.09575 2.1915 -0 NaN 1.09575 4053 DAX caleb_strategy_v3 [-1] 1.09575 21.915 -1.09575 2.1915 -0 NaN 1.09575 4055 DAX caleb_strategy_v3 [-1] 1.09575 18.0799 -0.547875 -1.09575 -2.1915 NaN -1.64363 4056 DAX caleb_strategy_v3 [-1] 1.09575 12.6011 -0.547875 -1.09575 -2.1915 NaN -1.64363 4057 DAX caleb_strategy_v3 [-1] 1.09575 11.5054 -0.547875 -3.28725 -4.383 NaN -3.83513 4058 DAX caleb_strategy_v3 [-1] 1.09575 8.21813 -0.547875 -1.09575 -2.1915 NaN -1.64363 4059 DAX caleb_strategy_v3 [-1] 1.09575 7.12237 -0.547875 1.09575 -0 NaN 0.547875 4060 DAX caleb_strategy_v3 [-1] 1.09575 8.21813 -0.547875 2.1915 1.09575 NaN 1.64363 4061 DAX caleb_strategy_v3 [-1] 1.09575 10.9575 -1.09575 -0 -2.1915 NaN -1.09575 4062 DAX caleb_strategy_v3 [-1] 1.09575 10.4096 -0.547875 3.28725 2.1915 NaN 2.73937 4063 DAX caleb_strategy_v3 [-1] 1.09575 16.4363 -1.09575 2.1915 -0 NaN 1.09575 4064 EURIBOR-ICE caleb_strategy_v3 [1] 2739.38 68.4844 -13.6969 0 -27.3938 NaN -13.6969 4065 EURIBOR-ICE caleb_strategy_v3 [1] 2739.38 68.4844 -13.6969 0 -27.3938 NaN -13.6969 4066 EURIBOR-ICE caleb_strategy_v3 [1] 2739.38 61.6359 -6.84844 13.6969 0 NaN 6.84844 4067 EURIBOR-ICE caleb_strategy_v3 [1] 2739.38 68.4844 -13.6969 0 -27.3938 NaN -13.6969 4068 ROBUSTA caleb_strategy_v3 [-1] 10 -85 -15 20 -10 NaN 5 4069 PLAT caleb_strategy_v3 [1] 50 -125 -10 -15 -35 NaN -25 4070 CRUDE_W caleb_strategy_v3 [-1] 1000 350 -10 20 -0 NaN 10 4071 GAS_US_mini caleb_strategy_v3 [-1] 2500 6.25 -6.25 -0 NaN NaN -6.25 4072 SUGAR11 caleb_strategy_v3 [-1] 1120 -179.2 -0 -212.8 -212.8 NaN -212.8 4074 US5 caleb_strategy_v3 [-1] 1000 410.156 -3.90625 7.813 0.0005 NaN 3.90675 4075 US10U caleb_strategy_v3 [1] 1000 -718.75 -15.625 0 -31.25 NaN -15.625 4076 NASDAQ_micro caleb_strategy_v3 [1] 2 3.75 -0.25 2 1.5 NaN 1.75 4077 VIX caleb_strategy_v3 [-1] 1000 -575 -25 50 -0 NaN 25 4073 CHF caleb_strategy_v3 [-1] 125000 678.125 -9.375 -6.25 -25 NaN -15.625 4078 CHF caleb_strategy_v3 [-1] 125000 668.75 -6.25 -43.75 -56.25 NaN -50 4079 FEEDCOW caleb_strategy_v3 [1] 500 -1575 0 487.5 487.5 NaN 487.5 4080 SOYMEAL caleb_strategy_v3 [1] 100 -135 -5 0 NaN NaN -5 4081 WHEAT caleb_strategy_v3 [1] 50 -975 0 287.5 287.5 NaN 287.5 4082 SOYOIL caleb_strategy_v3 [-1] 600 522 -6 -0 -12 NaN -6 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -553.353750 CHF 1346.875000 CRUDE_W 350.000000 DAX 245.448000 EURIBOR-ICE 267.089062 EUROSTX 821.812500 FEEDCOW -1575.000000 GAS_US_mini 6.250000 JGB-SGX-mini -3.509745 NASDAQ_micro 3.750000 NIKKEI -124.595941 PLAT -125.000000 ROBUSTA -85.000000 SOYMEAL -135.000000 SOYOIL 522.000000 SUGAR11 -179.200000 US10U -718.750000 US5 410.156250 VIX -575.000000 WHEAT -975.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1076.028623 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -16.436250 CHF -15.625000 CRUDE_W -10.000000 DAX -13.149000 EURIBOR-ICE -47.939062 EUROSTX -43.830000 FEEDCOW 0.000000 GAS_US_mini -6.250000 JGB-SGX-mini -10.529234 NASDAQ_micro -0.250000 NIKKEI -1.754872 PLAT -10.000000 ROBUSTA -15.000000 SOYMEAL -5.000000 SOYOIL -6.000000 SUGAR11 -0.000000 US10U -15.625000 US5 -3.906250 VIX -25.000000 WHEAT 0.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -246.294669 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 3.287250e+01 CHF -5.000000e+01 CRUDE_W 2.000000e+01 DAX -1.332268e-15 EURIBOR-ICE 1.369688e+01 EUROSTX 0.000000e+00 FEEDCOW 4.875000e+02 GAS_US_mini -0.000000e+00 JGB-SGX-mini 7.019490e+00 NASDAQ_micro 2.000000e+00 NIKKEI 0.000000e+00 PLAT -1.500000e+01 ROBUSTA 2.000000e+01 SOYMEAL 0.000000e+00 SOYOIL -0.000000e+00 SUGAR11 -2.128000e+02 US10U 0.000000e+00 US5 7.813000e+00 VIX 5.000000e+01 WHEAT 2.875000e+02 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 650.601865 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -0.000000 CHF -81.250000 CRUDE_W -0.000000 DAX -26.298000 EURIBOR-ICE -82.181250 EUROSTX -87.660000 FEEDCOW 487.500000 GAS_US_mini 0.000000 JGB-SGX-mini -14.038979 NASDAQ_micro 1.500000 NIKKEI -3.509745 PLAT -35.000000 ROBUSTA -10.000000 SOYMEAL 0.000000 SOYOIL -12.000000 SUGAR11 -212.800000 US10U -31.250000 US5 0.000500 VIX -0.000000 WHEAT 287.500000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 180.512526 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 CHF 0 CRUDE_W 0 DAX 0 EURIBOR-ICE 0 EUROSTX 0 FEEDCOW 0 GAS_US_mini 0 JGB-SGX-mini 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 ROBUSTA 0 SOYMEAL 0 SOYOIL 0 SUGAR11 0 US10U 0 US5 0 VIX 0 WHEAT 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 BOBL 16.436250 CHF -65.625000 CRUDE_W 10.000000 DAX -13.149000 EURIBOR-ICE -34.242187 EUROSTX -43.830000 FEEDCOW 487.500000 GAS_US_mini -6.250000 JGB-SGX-mini -3.509745 NASDAQ_micro 1.750000 NIKKEI -1.754872 PLAT -25.000000 ROBUSTA 5.000000 SOYMEAL -5.000000 SOYOIL -6.000000 SUGAR11 -212.800000 US10U -15.625000 US5 3.906750 VIX 25.000000 WHEAT 287.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 404.307195 ******************************************************************************** END OF REPORT ********************************************************************************