******************************************************************************** Trades report produced on 10/08/2023 21:38 from 09/08/2023 21:38 to 10/08/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4125 COCOA caleb_strategy_v3 [20231200] 2023-08-10 14:00:08 [-1] 3330.000000 4123 COPPER caleb_strategy_v3 [20230900] 2023-08-10 14:00:02 [-1] 3.814500 4126 COTTON2 caleb_strategy_v3 [20231000] 2023-08-10 14:00:10 [1] 87.000000 4113 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-10 09:01:19 [1] 97.100000 4122 GASOIL _ROLL_PSEUDO_STRATEGY [20231100] 2023-08-10 10:51:12 [1] 883.750000 4120 GASOIL _ROLL_PSEUDO_STRATEGY [20231100] 2023-08-10 10:51:01 [1] 883.750000 4121 GASOIL _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 10:51:05 [-1] 905.750000 4118 GASOIL _ROLL_PSEUDO_STRATEGY [20231100] 2023-08-10 10:50:55 [1] 883.500000 4117 GASOIL _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 10:50:54 [-1] 905.250000 4116 GASOIL _ROLL_PSEUDO_STRATEGY [20231100] 2023-08-10 10:50:49 [1] 884.250000 4115 GASOIL _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 10:50:47 [-1] 905.500000 4119 GASOIL _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 10:51:01 [-1] 905.500000 4134 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:32 [-1] 1939.500000 4127 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:13 [-1] 1940.200000 4124 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:04 [-1] 1940.600000 4136 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:38 [-1] 1939.000000 4135 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:35 [-1] 1939.700000 4133 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:28 [-1] 1939.600000 4132 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:26 [-1] 1939.700000 4131 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:23 [-1] 1940.100000 4130 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:20 [-1] 1940.300000 4129 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:17 [-1] 1940.200000 4128 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-10 14:00:15 [-1] 1940.100000 4157 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:31:06 [1] 73.750000 4156 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:31:00 [-1] 80.475000 4155 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:30:57 [1] 73.750000 4154 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:30:51 [-1] 80.425000 4153 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:30:48 [1] 73.700000 4152 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:30:22 [-1] 80.425000 4151 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:30:20 [1] 73.750000 4150 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:30:18 [-1] 80.425000 4149 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:30:15 [1] 73.700000 4148 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:30:14 [-1] 80.425000 4147 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:30:12 [1] 73.700000 4146 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:30:05 [-1] 80.475000 4159 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:31:26 [1] 73.725000 4160 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:31:29 [-1] 80.450000 4158 LEANHOG _ROLL_PSEUDO_STRATEGY [20231000] 2023-08-10 15:31:09 [-1] 80.475000 4161 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-08-10 15:31:42 [1] 73.725000 4114 ROBUSTA caleb_strategy_v3 [20231100] 2023-08-10 10:00:04 [-1] 2558.000000 4145 SOYMEAL caleb_strategy_v3 [20231200] 2023-08-10 15:30:04 [-1] 395.800000 4144 SP500_micro caleb_strategy_v3 [20230900] 2023-08-10 15:00:19 [-1] 4541.500000 4143 SP500_micro caleb_strategy_v3 [20230900] 2023-08-10 15:00:17 [-1] 4541.250000 4142 SP500_micro caleb_strategy_v3 [20230900] 2023-08-10 15:00:13 [-1] 4541.500000 4141 SP500_micro caleb_strategy_v3 [20230900] 2023-08-10 15:00:11 [-1] 4541.250000 4140 SP500_micro caleb_strategy_v3 [20230900] 2023-08-10 15:00:08 [-1] 4541.000000 4139 SP500_micro caleb_strategy_v3 [20230900] 2023-08-10 15:00:05 [-1] 4541.750000 4138 US10U caleb_strategy_v3 [20230900] 2023-08-10 15:00:04 [1] 116.640625 4137 US5 caleb_strategy_v3 [20230900] 2023-08-10 15:00:03 [-1] 107.140625 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4113 EURIBOR-ICE caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 09:00:04.271 2023-08-10 09:01:19 118804 74.729 4114 ROBUSTA caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 10:00:02.130 2023-08-10 10:00:04 122402 1.87 4115 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:50:08.452 2023-08-10 10:50:47 53408.5 38.548 4116 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:50:48.286 2023-08-10 10:50:49 53448.3 0.714 4117 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:50:51.652 2023-08-10 10:50:54 53451.7 2.348 4118 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:50:55.300 2023-08-10 10:50:55 53455.3 NaN 4119 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:50:57.494 2023-08-10 10:51:01 53457.5 3.506 4120 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:51:01.676 2023-08-10 10:51:01 53461.7 NaN 4121 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:51:04.214 2023-08-10 10:51:05 53464.2 0.786 4122 GASOIL _ROLL_PSEUDO_STRATEGY 2023-08-09 20:00:00 2023-08-10 10:51:06.343 2023-08-10 10:51:12 53466.3 5.657 4123 COPPER caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:02.278 2023-08-10 14:00:02 136802 NaN 4125 COCOA caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:06.008 2023-08-10 14:00:08 136806 1.992 4126 COTTON2 caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:09.493 2023-08-10 14:00:10 136809 0.507 4128 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:14.898 2023-08-10 14:00:15 136815 0.102 4129 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:17.645 2023-08-10 14:00:17 136818 NaN 4130 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:20.118 2023-08-10 14:00:20 136820 NaN 4131 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:22.760 2023-08-10 14:00:23 136823 0.24 4132 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:25.416 2023-08-10 14:00:26 136825 0.584 4133 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:28.273 2023-08-10 14:00:28 136828 NaN 4134 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:30.811 2023-08-10 14:00:32 136831 1.189 4135 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:34.924 2023-08-10 14:00:35 136835 0.076 4136 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:37.835 2023-08-10 14:00:38 136838 0.165 4124 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:03.096 2023-08-10 14:00:04 136803 0.904 4127 GOLD_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 14:00:12.849 2023-08-10 14:00:13 136813 0.151 4137 US5 caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:02.464 2023-08-10 15:00:03 140402 0.536 4138 US10U caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:04.036 2023-08-10 15:00:04 140404 NaN 4139 SP500_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:05.272 2023-08-10 15:00:05 140405 NaN 4140 SP500_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:08.366 2023-08-10 15:00:08 140408 NaN 4141 SP500_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:11.125 2023-08-10 15:00:11 140411 NaN 4142 SP500_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:13.705 2023-08-10 15:00:13 140414 NaN 4143 SP500_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:16.415 2023-08-10 15:00:17 140416 0.585 4144 SP500_micro caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:00:19.693 2023-08-10 15:00:19 140420 NaN 4145 SOYMEAL caleb_strategy_v3 2023-08-09 00:00:00 2023-08-10 15:30:02.353 2023-08-10 15:30:04 142202 1.647 4160 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:31:28.696 2023-08-10 15:31:29 73888.7 0.304 4161 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:31:29.582 2023-08-10 15:31:42 73889.6 12.418 4146 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:04.916 2023-08-10 15:30:05 73804.9 0.084 4147 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:05.795 2023-08-10 15:30:12 73805.8 6.205 4148 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:14.847 2023-08-10 15:30:14 73814.8 NaN 4149 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:15.331 2023-08-10 15:30:15 73815.3 NaN 4150 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:18.337 2023-08-10 15:30:18 73818.3 NaN 4151 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:18.839 2023-08-10 15:30:20 73818.8 1.161 4152 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:22.560 2023-08-10 15:30:22 73822.6 NaN 4153 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:23.036 2023-08-10 15:30:48 73823 24.964 4154 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:51.685 2023-08-10 15:30:51 73851.7 NaN 4155 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:30:52.425 2023-08-10 15:30:57 73852.4 4.575 4156 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:31:00.357 2023-08-10 15:31:00 73860.4 NaN 4157 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:31:00.819 2023-08-10 15:31:06 73860.8 5.181 4158 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:31:09.440 2023-08-10 15:31:09 73869.4 NaN 4159 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-08-09 19:00:00 2023-08-10 15:31:10.130 2023-08-10 15:31:26 73870.1 15.87 ======================================================================================================================================================================================================================================= 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 4113 EURIBOR-ICE caleb_strategy_v3 [1] 97.105 None 97.0925 97.095 97.09 97.09 97.1 0.0125 -0.0025 -0.005 -0.01 NaN -0.0075 4114 ROBUSTA caleb_strategy_v3 [-1] 2542 None 2558.5 2558 2559 2559 2558 16.5 -0.5 -0 -1 NaN -0.5 4115 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 919.25 None 906.125 906 906.25 906.25 905.5 -13.125 -0.125 -0.5 -0.75 NaN -0.625 4116 GASOIL _ROLL_PSEUDO_STRATEGY [1] 894.25 None 883.75 884 883.5 883.5 884.25 10.5 -0.25 -0.25 -0.75 NaN -0.5 4117 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 919.25 None 905.75 905.5 906 906 905.25 -13.5 -0.25 -0.25 -0.75 NaN -0.5 4118 GASOIL _ROLL_PSEUDO_STRATEGY [1] 894.25 None 884 884.25 883.75 883.75 883.5 10.25 -0.25 0.75 0.25 NaN 0.5 4119 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 919.25 None 905.375 905.25 905.5 905.5 905.5 -13.875 -0.125 0.25 -0 NaN 0.125 4120 GASOIL _ROLL_PSEUDO_STRATEGY [1] 894.25 None 883.375 883.5 883.25 883.25 883.75 10.875 -0.125 -0.25 -0.5 NaN -0.375 4121 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 919.25 None 905.5 905.25 905.75 905.75 905.75 -13.75 -0.25 0.5 -0 NaN 0.25 4122 GASOIL _ROLL_PSEUDO_STRATEGY [1] 894.25 None 883.625 883.75 883.5 883.5 883.75 10.625 -0.125 0 -0.25 NaN -0.125 4123 COPPER caleb_strategy_v3 [-1] 3.791 None 3.81425 3.814 3.8145 3.8145 3.8145 0.02325 -0.00025 0.0005 -4.44089e-16 NaN 0.00025 4125 COCOA caleb_strategy_v3 [-1] 3356 None 3331 3330 3332 3332 3330 -25 -1 -0 -2 NaN -1 4126 COTTON2 caleb_strategy_v3 [1] 85.43 None 87 87 87 87 87 -1.57 0 0 0 NaN 0 4128 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1940.3 1940.2 1940.4 NaN 1940.1 10.4 -0.1 -0.1 NaN NaN -0.2 4129 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1940.3 1940.2 1940.4 NaN 1940.2 10.4 -0.1 -0 NaN NaN -0.1 4130 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1940.3 1940.2 1940.4 1940.4 1940.3 10.4 -0.1 0.1 -0.1 NaN -2.27374e-13 4131 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1940.15 1940 1940.3 1940.3 1940.1 10.25 -0.15 0.1 -0.2 NaN -0.05 4132 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1939.9 1939.8 1940 1940 1939.7 10 -0.1 -0.1 -0.3 NaN -0.2 4133 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1939.75 1939.6 1939.9 1939.9 1939.6 9.85 -0.15 -0 -0.3 NaN -0.15 4134 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1939.4 1939.3 1939.5 1939.5 1939.5 9.5 -0.1 0.2 -0 NaN 0.1 4135 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1939.55 1939.4 1939.7 1939.7 1939.7 9.65 -0.15 0.3 -0 NaN 0.15 4136 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1939.35 1939.3 1939.4 1939.4 1939 9.45 -0.05 -0.3 -0.4 NaN -0.35 4124 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1940.7 1940.6 1940.8 1940.8 1940.6 10.8 -0.1 -0 -0.2 NaN -0.1 4127 GOLD_micro caleb_strategy_v3 [-1] 1929.9 None 1940.7 1940.6 1940.8 1940.8 1940.2 10.8 -0.1 -0.4 -0.6 NaN -0.5 4137 US5 caleb_strategy_v3 [-1] 107.008 None 107.137 107.133 107.141 107.141 107.141 0.128906 -0.00390625 0.0078125 -0 NaN 0.00390625 4138 US10U caleb_strategy_v3 [1] 116.484 None 116.625 116.641 116.609 116.609 116.641 -0.140625 -0.015625 0 -0.03125 NaN -0.015625 4139 SP500_micro caleb_strategy_v3 [-1] 4505.5 None 4541.62 4541.5 4541.75 4541.75 4541.75 36.125 -0.125 0.25 -0 NaN 0.125 4140 SP500_micro caleb_strategy_v3 [-1] 4505.5 None 4541.88 4541.75 4542 4542 4541 36.375 -0.125 -0.75 -1 NaN -0.875 4141 SP500_micro caleb_strategy_v3 [-1] 4505.5 None 4541.12 4541 4541.25 4541.25 4541.25 35.625 -0.125 0.25 -0 NaN 0.125 4142 SP500_micro caleb_strategy_v3 [-1] 4505.5 None 4541.38 4541.25 4541.5 4541.5 4541.5 35.875 -0.125 0.25 -0 NaN 0.125 4143 SP500_micro caleb_strategy_v3 [-1] 4505.5 None 4541.62 4541.5 4541.75 4541.75 4541.25 36.125 -0.125 -0.25 -0.5 NaN -0.375 4144 SP500_micro caleb_strategy_v3 [-1] 4505.5 None 4541.38 4541.25 4541.5 4541.5 4541.5 35.875 -0.125 0.25 -0 NaN 0.125 4145 SOYMEAL caleb_strategy_v3 [-1] 391.4 None 395.95 395.9 396 396 395.8 4.55 -0.05 -0.1 -0.2 NaN -0.15 4160 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.2375 80.475 80 NaN 80.45 -1.5625 0.2375 -0.025 NaN NaN 0.2125 4161 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.725 73.75 73.7 73.7 73.725 1.475 -0.025 0.025 -0.025 NaN 0 4146 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.5 80.475 80.525 80.525 80.475 -1.3 -0.025 -0 -0.05 NaN -0.025 4147 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.725 73.75 73.7 73.7 73.7 1.475 -0.025 0.05 0 NaN 0.025 4148 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.2375 80.475 80 80 80.425 -1.5625 0.2375 -0.05 0.425 NaN 0.1875 4149 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.675 73.7 73.65 73.65 73.7 1.525 -0.025 0 -0.05 NaN -0.025 4150 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.45 80.425 80.475 80.475 80.425 -1.35 -0.025 -0 -0.05 NaN -0.025 4151 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.1 73.7 72.5 NaN 73.75 2.1 -0.6 -0.05 NaN NaN -0.65 4152 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.2125 80.425 80 80 80.425 -1.5875 0.2125 -0 0.425 NaN 0.2125 4153 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.1 73.7 72.5 72.5 73.7 2.1 -0.6 0 -1.2 NaN -0.6 4154 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.4375 80.425 80.45 80.45 80.425 -1.3625 -0.0125 -0 -0.025 NaN -0.0125 4155 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.1 73.7 72.5 72.5 73.75 2.1 -0.6 -0.05 -1.25 NaN -0.65 4156 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.2125 80.425 80 80 80.475 -1.5875 0.2125 0.05 0.475 NaN 0.2625 4157 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.725 73.75 73.7 73.7 73.75 1.475 -0.025 0 -0.05 NaN -0.025 4158 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.8 None 80.4875 80.475 80.5 80.5 80.475 -1.3125 -0.0125 -0 -0.025 NaN -0.0125 4159 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 75.2 None 73.7375 73.75 73.725 73.725 73.725 1.4625 -0.0125 0.025 1.42109e-14 NaN 0.0125 ================================================================================================================================================================ 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 4113 EURIBOR-ICE caleb_strategy_v3 [1] 1.10943 112.671 -22.5341 -45.0682 -90.1365 NaN -67.6023 4114 ROBUSTA caleb_strategy_v3 [-1] 617.107 267.376 -8.10232 -0 -16.2046 NaN -8.10232 4115 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 289.399 -453.526 -4.3193 -17.2772 -25.9158 NaN -21.5965 4116 GASOIL _ROLL_PSEUDO_STRATEGY [1] 289.399 362.821 -8.63859 -8.63859 -25.9158 NaN -17.2772 4117 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 289.399 -466.484 -8.63859 -8.63859 -25.9158 NaN -17.2772 4118 GASOIL _ROLL_PSEUDO_STRATEGY [1] 289.399 354.182 -8.63859 25.9158 8.63859 NaN 17.2772 4119 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 289.399 -479.442 -4.3193 8.63859 -0 NaN 4.3193 4120 GASOIL _ROLL_PSEUDO_STRATEGY [1] 289.399 375.779 -4.3193 -8.63859 -17.2772 NaN -12.9579 4121 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 289.399 -475.122 -8.63859 17.2772 -0 NaN 8.63859 4122 GASOIL _ROLL_PSEUDO_STRATEGY [1] 289.399 367.14 -4.3193 0 -8.63859 NaN -4.3193 4123 COPPER caleb_strategy_v3 [-1] 0.906478 256.487 -2.75793 5.51585 -4.89906e-12 NaN 2.75793 4125 COCOA caleb_strategy_v3 [-1] 693.116 -360.69 -14.4276 -0 -28.8552 NaN -14.4276 4126 COTTON2 caleb_strategy_v3 [1] 25.4901 -615.925 0 0 0 NaN 0 4128 GOLD_micro caleb_strategy_v3 [-1] 218.86 475.19 -4.56913 -4.56913 NaN NaN -9.13826 4129 GOLD_micro caleb_strategy_v3 [-1] 218.86 475.19 -4.56913 -0 NaN NaN -4.56913 4130 GOLD_micro caleb_strategy_v3 [-1] 218.86 475.19 -4.56913 4.56913 -4.56913 NaN -1.0389e-11 4131 GOLD_micro caleb_strategy_v3 [-1] 218.86 468.336 -6.8537 4.56913 -9.13826 NaN -2.28457 4132 GOLD_micro caleb_strategy_v3 [-1] 218.86 456.913 -4.56913 -4.56913 -13.7074 NaN -9.13826 4133 GOLD_micro caleb_strategy_v3 [-1] 218.86 450.059 -6.8537 -0 -13.7074 NaN -6.8537 4134 GOLD_micro caleb_strategy_v3 [-1] 218.86 434.067 -4.56913 9.13826 -0 NaN 4.56913 4135 GOLD_micro caleb_strategy_v3 [-1] 218.86 440.921 -6.8537 13.7074 -0 NaN 6.8537 4136 GOLD_micro caleb_strategy_v3 [-1] 218.86 431.783 -2.28457 -13.7074 -18.2765 NaN -15.992 4124 GOLD_micro caleb_strategy_v3 [-1] 218.86 493.466 -4.56913 -0 -9.13826 NaN -4.56913 4127 GOLD_micro caleb_strategy_v3 [-1] 218.86 493.466 -4.56913 -18.2765 -27.4148 NaN -22.8457 4137 US5 caleb_strategy_v3 [-1] 5.32297 242.17 -7.33848 14.677 -0 NaN 7.33848 4138 US10U caleb_strategy_v3 [1] 11.0353 -127.432 -14.1592 0 -28.3183 NaN -14.1592 4139 SP500_micro caleb_strategy_v3 [-1] 545.966 661.672 -2.28952 4.57904 -0 NaN 2.28952 4140 SP500_micro caleb_strategy_v3 [-1] 545.966 666.251 -2.28952 -13.7371 -18.3162 NaN -16.0267 4141 SP500_micro caleb_strategy_v3 [-1] 545.966 652.514 -2.28952 4.57904 -0 NaN 2.28952 4142 SP500_micro caleb_strategy_v3 [-1] 545.966 657.093 -2.28952 4.57904 -0 NaN 2.28952 4143 SP500_micro caleb_strategy_v3 [-1] 545.966 661.672 -2.28952 -4.57904 -9.15809 NaN -6.86857 4144 SP500_micro caleb_strategy_v3 [-1] 545.966 657.093 -2.28952 4.57904 -0 NaN 2.28952 4145 SOYMEAL caleb_strategy_v3 [-1] 104.573 435.104 -4.78136 -9.56271 -19.1254 NaN -14.3441 4160 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -655 99.5599 -10.48 NaN NaN 89.0799 4161 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 618.32 -10.48 10.48 -10.48 NaN 0 4146 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -544.96 -10.48 -0 -20.96 NaN -10.48 4147 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 618.32 -10.48 20.96 0 NaN 10.48 4148 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -655 99.5599 -20.96 178.16 NaN 78.5999 4149 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 639.28 -10.48 0 -20.96 NaN -10.48 4150 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -565.92 -10.48 -0 -20.96 NaN -10.48 4151 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 880.319 -251.52 -20.96 NaN NaN -272.48 4152 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -665.479 89.0799 -0 178.16 NaN 89.0799 4153 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 880.319 -251.52 0 -503.04 NaN -251.52 4154 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -571.16 -5.24 -0 -10.48 NaN -5.24 4155 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 880.319 -251.52 -20.96 -524 NaN -272.48 4156 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -665.479 89.0799 20.96 199.12 NaN 110.04 4157 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 618.32 -10.48 0 -20.96 NaN -10.48 4158 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 23.855 -550.2 -5.24 -0 -10.48 NaN -5.24 4159 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 23.855 613.08 -5.24 10.48 5.95719e-12 NaN 5.24 =========================================================================================================================================================================== 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 4113 EURIBOR-ICE caleb_strategy_v3 [1] 2746.75 34.3344 -6.86687 -13.7337 -27.4675 NaN -20.6006 4114 ROBUSTA caleb_strategy_v3 [-1] 10 165 -5 -0 -10 NaN -5 4115 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 -1312.5 -12.5 -50 -75 NaN -62.5 4116 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 1050 -25 -25 -75 NaN -50 4117 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 -1350 -25 -25 -75 NaN -50 4118 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 1025 -25 75 25 NaN 50 4119 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 -1387.5 -12.5 25 -0 NaN 12.5 4120 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 1087.5 -12.5 -25 -50 NaN -37.5 4121 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 -1375 -25 50 -0 NaN 25 4122 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 1062.5 -12.5 0 -25 NaN -12.5 4123 COPPER caleb_strategy_v3 [-1] 25000 581.25 -6.25 12.5 -1.11022e-11 NaN 6.25 4125 COCOA caleb_strategy_v3 [-1] 10 -250 -10 -0 -20 NaN -10 4126 COTTON2 caleb_strategy_v3 [1] 500 -785 0 0 0 NaN 0 4128 GOLD_micro caleb_strategy_v3 [-1] 10 104 -1 -1 NaN NaN -2 4129 GOLD_micro caleb_strategy_v3 [-1] 10 104 -1 -0 NaN NaN -1 4130 GOLD_micro caleb_strategy_v3 [-1] 10 104 -1 1 -1 NaN -2.27374e-12 4131 GOLD_micro caleb_strategy_v3 [-1] 10 102.5 -1.5 1 -2 NaN -0.5 4132 GOLD_micro caleb_strategy_v3 [-1] 10 100 -1 -1 -3 NaN -2 4133 GOLD_micro caleb_strategy_v3 [-1] 10 98.5 -1.5 -0 -3 NaN -1.5 4134 GOLD_micro caleb_strategy_v3 [-1] 10 95 -1 2 -0 NaN 1 4135 GOLD_micro caleb_strategy_v3 [-1] 10 96.5 -1.5 3 -0 NaN 1.5 4136 GOLD_micro caleb_strategy_v3 [-1] 10 94.5 -0.5 -3 -4 NaN -3.5 4124 GOLD_micro caleb_strategy_v3 [-1] 10 108 -1 -0 -2 NaN -1 4127 GOLD_micro caleb_strategy_v3 [-1] 10 108 -1 -4 -6 NaN -5 4137 US5 caleb_strategy_v3 [-1] 1000 128.906 -3.90625 7.8125 -0 NaN 3.90625 4138 US10U caleb_strategy_v3 [1] 1000 -140.625 -15.625 0 -31.25 NaN -15.625 4139 SP500_micro caleb_strategy_v3 [-1] 5 180.625 -0.625 1.25 -0 NaN 0.625 4140 SP500_micro caleb_strategy_v3 [-1] 5 181.875 -0.625 -3.75 -5 NaN -4.375 4141 SP500_micro caleb_strategy_v3 [-1] 5 178.125 -0.625 1.25 -0 NaN 0.625 4142 SP500_micro caleb_strategy_v3 [-1] 5 179.375 -0.625 1.25 -0 NaN 0.625 4143 SP500_micro caleb_strategy_v3 [-1] 5 180.625 -0.625 -1.25 -2.5 NaN -1.875 4144 SP500_micro caleb_strategy_v3 [-1] 5 179.375 -0.625 1.25 -0 NaN 0.625 4145 SOYMEAL caleb_strategy_v3 [-1] 100 455 -5 -10 -20 NaN -15 4160 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -625 95 -10 NaN NaN 85 4161 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 590 -10 10 -10 NaN 0 4146 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -520 -10 -0 -20 NaN -10 4147 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 590 -10 20 0 NaN 10 4148 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -625 95 -20 170 NaN 75 4149 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 610 -10 0 -20 NaN -10 4150 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -540 -10 -0 -20 NaN -10 4151 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 840 -240 -20 NaN NaN -260 4152 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -635 85 -0 170 NaN 85 4153 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 840 -240 0 -480 NaN -240 4154 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -545 -5 -0 -10 NaN -5 4155 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 840 -240 -20 -500 NaN -260 4156 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -635 85 20 190 NaN 105 4157 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 590 -10 0 -20 NaN -10 4158 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 -525 -5 -0 -10 NaN -5 4159 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 585 -5 10 5.68434e-12 NaN 5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -1200.000000 LEANHOG 835.000000 caleb_strategy_v3 COCOA -250.000000 COPPER 581.250000 COTTON2 -785.000000 EURIBOR-ICE 34.334375 GOLD_micro 1115.000000 ROBUSTA 165.000000 SOYMEAL 455.000000 SP500_micro 1080.000000 US10U -140.625000 US5 128.906250 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -365.000000 caleb_strategy_v3 2383.865625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -150.000000 LEANHOG -435.000000 caleb_strategy_v3 COCOA -10.000000 COPPER -6.250000 COTTON2 0.000000 EURIBOR-ICE -6.866875 GOLD_micro -12.000000 ROBUSTA -5.000000 SOYMEAL -5.000000 SP500_micro -3.750000 US10U -15.625000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -585.000000 caleb_strategy_v3 -68.398125 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 25.00000 LEANHOG -10.00000 caleb_strategy_v3 COCOA -0.00000 COPPER 12.50000 COTTON2 0.00000 EURIBOR-ICE -13.73375 GOLD_micro -2.00000 ROBUSTA -0.00000 SOYMEAL -10.00000 SP500_micro 0.00000 US10U 0.00000 US5 7.81250 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 15.00000 caleb_strategy_v3 -5.42125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -2.750000e+02 LEANHOG -5.600000e+02 caleb_strategy_v3 COCOA -2.000000e+01 COPPER -1.110223e-11 COTTON2 0.000000e+00 EURIBOR-ICE -2.746750e+01 GOLD_micro -2.100000e+01 ROBUSTA -1.000000e+01 SOYMEAL -2.000000e+01 SP500_micro -7.500000e+00 US10U -3.125000e+01 US5 -0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -835.0000 caleb_strategy_v3 -137.2175 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 LEANHOG 0 caleb_strategy_v3 COCOA 0 COPPER 0 COTTON2 0 EURIBOR-ICE 0 GOLD_micro 0 ROBUSTA 0 SOYMEAL 0 SP500_micro 0 US10U 0 US5 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 -125.000000 LEANHOG -445.000000 caleb_strategy_v3 COCOA -10.000000 COPPER 6.250000 COTTON2 0.000000 EURIBOR-ICE -20.600625 GOLD_micro -14.000000 ROBUSTA -5.000000 SOYMEAL -15.000000 SP500_micro -3.750000 US10U -15.625000 US5 3.906250 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -570.000000 caleb_strategy_v3 -73.819375 ******************************************************************************** END OF REPORT ********************************************************************************