******************************************************************************** Trades report produced on 28/08/2023 21:38 from 27/08/2023 21:38 to 28/08/2023 21:38 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price 6187 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:07:08.000 [-1] 26190.000000 6184 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:44.000 [-1] 26190.000000 6185 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:52.000 [-1] 26195.000000 6186 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:07:04.000 [-1] 26185.000000 6181 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:32.000 [-1] 26160.000000 6180 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:21.000 [-1] 26185.000000 6179 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:18.000 [-1] 26185.000000 6178 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:08.000 [-1] 26175.000000 6188 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:07:25.000 [-1] 26185.000000 6189 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:07:31.000 [-1] 26180.000000 6190 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:07:36.000 [-1] 26180.000000 6191 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:07:40.000 [-1] 26185.000000 6192 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:07:46.000 [-1] 26160.000000 6164 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:00:06.000 [-1] 26190.000000 6171 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:05:43.000 [-1] 26185.000000 6175 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:02.000 [-1] 26180.000000 6183 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:39.000 [-1] 26190.000000 6182 BITCOIN caleb_strategy_v3 [20230900] 2023-08-28 14:06:36.000 [-1] 26185.000000 6146 BUND caleb_strategy_v3 [20230900] 2023-08-28 07:00:04.000 [1] 132.180000 6166 CHF caleb_strategy_v3 [20230900] 2023-08-28 14:00:10.000 [-1] 1.132700 6173 CHF caleb_strategy_v3 [20230900] 2023-08-28 14:05:45.000 [-1] 1.132300 6177 CHF caleb_strategy_v3 [20230900] 2023-08-28 14:06:05.000 [-1] 1.132250 6154 COCOA caleb_strategy_v3 [20231200] 2023-08-28 13:00:05.000 [-1] 3484.000000 6156 COPPER caleb_strategy_v3 [20231200] 2023-08-28 13:00:08.000 [1] 3.794500 6155 CRUDE_W caleb_strategy_v3 [20231200] 2023-08-28 13:00:06.000 [-1] 79.080000 6165 DOW caleb_strategy_v3 [20230900] 2023-08-28 14:00:07.000 [-1] 34639.000000 6172 DOW caleb_strategy_v3 [20230900] 2023-08-28 14:05:44.000 [-1] 34626.000000 6176 DOW caleb_strategy_v3 [20230900] 2023-08-28 14:06:03.000 [-1] 34619.000000 6163 EUR caleb_strategy_v3 [20230900] 2023-08-28 14:00:03.000 [1] 1.081800 6153 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-28 08:00:15.000 [1] 97.010000 6152 EUROSTX caleb_strategy_v3 [20230900] 2023-08-28 07:00:20.000 [-1] 4284.000000 6145 EUROSTX caleb_strategy_v3 [20230900] 2023-08-28 07:00:02.000 [-1] 4281.000000 6148 EUROSTX caleb_strategy_v3 [20230900] 2023-08-28 07:00:08.000 [-1] 4282.000000 6150 EUROSTX caleb_strategy_v3 [20230900] 2023-08-28 07:00:14.000 [-1] 4283.000000 6159 GAS_US_mini caleb_strategy_v3 [20231100] 2023-08-28 13:00:26.000 [-1] 3.235000 6167 GBP caleb_strategy_v3 [20230900] 2023-08-28 14:00:19.000 [-1] 1.259400 6162 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-28 13:00:32.000 [1] 1926.400000 6160 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-28 13:00:28.000 [1] 1926.300000 6157 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-28 13:00:09.000 [1] 1926.200000 6143 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-08-28 19:45:00.900 [0, 0] NaN 6144 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-08-28 19:45:00.985 [0, 0] NaN 6194 LEANHOG caleb_strategy_v3 [20231200] 2023-08-28 14:30:18.000 [1] 72.775000 6174 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-28 14:05:45.000 [1] 15057.750000 6169 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-28 14:00:23.000 [1] 15060.000000 6161 PLAT caleb_strategy_v3 [20231000] 2023-08-28 13:00:29.000 [1] 957.000000 6158 PLAT caleb_strategy_v3 [20231000] 2023-08-28 13:00:12.000 [1] 957.200000 6151 SMI caleb_strategy_v3 [20230900] 2023-08-28 07:00:15.000 [1] 11020.000000 6149 SMI caleb_strategy_v3 [20230900] 2023-08-28 07:00:11.000 [1] 11020.000000 6147 SMI caleb_strategy_v3 [20230900] 2023-08-28 07:00:05.000 [1] 11021.000000 6193 SOYOIL caleb_strategy_v3 [20231200] 2023-08-28 14:30:05.000 [-1] 63.530000 6168 SP400 caleb_strategy_v3 [20230900] 2023-08-28 14:00:21.000 [-1] 2620.300000 6170 US10U _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-08-28 14:05:25.000 [-1, 1] -0.601562 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6146 BUND caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:03.502 2023-08-28 07:00:04.000 288004 NaN 6147 SMI caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:05.397 2023-08-28 07:00:05.000 288005 NaN 6149 SMI caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:08.544 2023-08-28 07:00:11.000 288009 NaN 6151 SMI caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:14.848 2023-08-28 07:00:15.000 288015 NaN 6152 EUROSTX caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:17.479 2023-08-28 07:00:20.000 288017 NaN 6145 EUROSTX caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:01.175 2023-08-28 07:00:02.000 288001 NaN 6148 EUROSTX caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:08.011 2023-08-28 07:00:08.000 288008 NaN 6150 EUROSTX caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 08:00:14.162 2023-08-28 07:00:14.000 288014 NaN 6153 EURIBOR-ICE caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 09:00:02.966 2023-08-28 08:00:15.000 291603 NaN 6154 COCOA caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:01.986 2023-08-28 13:00:05.000 309602 NaN 6155 CRUDE_W caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:06.421 2023-08-28 13:00:06.000 309606 NaN 6156 COPPER caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:07.650 2023-08-28 13:00:08.000 309608 NaN 6159 GAS_US_mini caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:13.075 2023-08-28 13:00:26.000 309613 NaN 6161 PLAT caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:29.208 2023-08-28 13:00:29.000 309629 NaN 6158 PLAT caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:10.155 2023-08-28 13:00:12.000 309610 NaN 6160 GOLD_micro caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:28.188 2023-08-28 13:00:28.000 309628 NaN 6162 GOLD_micro caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:31.673 2023-08-28 13:00:32.000 309632 NaN 6157 GOLD_micro caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 14:00:08.959 2023-08-28 13:00:09.000 309609 NaN 6163 EUR caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:00:02.546 2023-08-28 14:00:03.000 313203 NaN 6167 GBP caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:00:11.159 2023-08-28 14:00:19.000 313211 NaN 6168 SP400 caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:00:20.610 2023-08-28 14:00:21.000 313221 NaN 6170 US10U _ROLL_PSEUDO_STRATEGY 2023-08-25 20:00:00 2023-08-28 15:00:25.097 2023-08-28 14:05:25.000 241225 NaN 6169 NASDAQ_micro caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:00:23.006 2023-08-28 14:00:23.000 313223 NaN 6174 NASDAQ_micro caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:05:45.752 2023-08-28 14:05:45.000 313546 NaN 6176 DOW caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:02.939 2023-08-28 14:06:03.000 313563 NaN 6172 DOW caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:05:44.075 2023-08-28 14:05:44.000 313544 NaN 6165 DOW caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:00:06.983 2023-08-28 14:00:07.000 313207 NaN 6177 CHF caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:03.764 2023-08-28 14:06:05.000 313564 NaN 6173 CHF caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:05:44.842 2023-08-28 14:05:45.000 313545 NaN 6166 CHF caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:00:08.448 2023-08-28 14:00:10.000 313208 NaN 6178 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:08.523 2023-08-28 14:06:08.000 313569 NaN 6179 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:11.849 2023-08-28 14:06:18.000 313572 NaN 6180 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:21.480 2023-08-28 14:06:21.000 313581 NaN 6181 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:25.075 2023-08-28 14:06:32.000 313585 NaN 6182 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:35.749 2023-08-28 14:06:36.000 313596 NaN 6183 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:39.110 2023-08-28 14:06:39.000 313599 NaN 6184 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:42.572 2023-08-28 14:06:44.000 313603 NaN 6185 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:48.013 2023-08-28 14:06:52.000 313608 NaN 6186 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:06:55.704 2023-08-28 14:07:04.000 313616 NaN 6187 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:07:08.160 2023-08-28 14:07:08.000 313628 NaN 6188 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:07:12.253 2023-08-28 14:07:25.000 313632 NaN 6189 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:07:28.724 2023-08-28 14:07:31.000 313649 NaN 6190 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:07:34.779 2023-08-28 14:07:36.000 313655 NaN 6191 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:07:39.875 2023-08-28 14:07:40.000 313660 NaN 6192 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:07:43.389 2023-08-28 14:07:46.000 313663 NaN 6164 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:00:05.203 2023-08-28 14:00:06.000 313205 NaN 6171 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:05:39.951 2023-08-28 14:05:43.000 313540 NaN 6175 BITCOIN caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:05:48.703 2023-08-28 14:06:02.000 313549 NaN 6193 SOYOIL caleb_strategy_v3 2023-08-25 00:00:00 2023-08-28 15:30:03.507 2023-08-28 14:30:05.000 315004 NaN 6194 LEANHOG caleb_strategy_v3 2023-08-24 00:00:00 2023-08-28 15:30:08.441 2023-08-28 14:30:18.000 401408 NaN 6144 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-08-24 23:00:00 2023-08-28 05:50:46.603 2023-08-28 19:45:00.985 283847 50054.4 6143 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-08-24 23:00:00 2023-08-28 05:40:43.768 2023-08-28 19:45:00.900 283244 50657.1 ============================================================================================================================================================================================================================================ 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 6146 BUND caleb_strategy_v3 [1] 132.03 None 132.185 132.19 132.18 132.18 132.18 -0.155 -0.005 0.01 0 NaN 0.005 6147 SMI caleb_strategy_v3 [1] 10996 None 11019 11020 11018 11018 11021 -23 -1 -1 -3 NaN -2 6149 SMI caleb_strategy_v3 [1] 10996 None 11020.5 11021 11020 11020 11020 -24.5 -0.5 1 0 NaN 0.5 6151 SMI caleb_strategy_v3 [1] 10996 None 11020 11021 11019 11019 11020 -24 -1 1 -1 NaN 0 6152 EUROSTX caleb_strategy_v3 [-1] 4266 None 4283.5 4283 4284 4284 4284 17.5 -0.5 1 -0 NaN 0.5 6145 EUROSTX caleb_strategy_v3 [-1] 4266 None 4282.5 4282 4283 4283 4281 16.5 -0.5 -1 -2 NaN -1.5 6148 EUROSTX caleb_strategy_v3 [-1] 4266 None 4281.5 4281 4282 4282 4282 15.5 -0.5 1 -0 NaN 0.5 6150 EUROSTX caleb_strategy_v3 [-1] 4266 None 4282.5 4282 4283 4283 4283 16.5 -0.5 1 -0 NaN 0.5 6153 EURIBOR-ICE caleb_strategy_v3 [1] 97.01 None 97.0075 97.01 97.005 97.005 97.01 0.0025 -0.0025 0 -0.005 NaN -0.0025 6154 COCOA caleb_strategy_v3 [-1] 3469 None 3486 3485 3487 3487 3484 17 -1 -1 -3 NaN -2 6155 CRUDE_W caleb_strategy_v3 [-1] 79.29 None 79.09 79.08 79.1 79.1 79.08 -0.2 -0.01 -0 -0.02 NaN -0.01 6156 COPPER caleb_strategy_v3 [1] 3.793 None 3.79425 3.7945 3.794 3.794 3.7945 -0.00125 -0.00025 0 -0.0005 NaN -0.00025 6159 GAS_US_mini caleb_strategy_v3 [-1] 3.145 None 3.2325 3.23 3.235 3.235 3.235 0.0875 -0.0025 0.005 -0 NaN 0.0025 6161 PLAT caleb_strategy_v3 [1] 952.1 None 957.15 957.2 957.1 957.1 957 -5.05 -0.05 0.2 0.1 NaN 0.15 6158 PLAT caleb_strategy_v3 [1] 952.1 None 957.1 957.2 957 957 957.2 -5 -0.1 0 -0.2 NaN -0.1 6160 GOLD_micro caleb_strategy_v3 [1] 1921.8 None 1926.1 1926.2 1926 NaN 1926.3 -4.3 -0.1 -0.1 NaN NaN -0.2 6162 GOLD_micro caleb_strategy_v3 [1] 1921.8 None 1926.25 1926.4 1926.1 1926.1 1926.4 -4.45 -0.15 0 -0.3 NaN -0.15 6157 GOLD_micro caleb_strategy_v3 [1] 1921.8 None 1926.05 1926.1 1926 1926 1926.2 -4.25 -0.05 -0.1 -0.2 NaN -0.15 6163 EUR caleb_strategy_v3 [1] 1.08185 None 1.08183 1.08185 1.0818 1.0818 1.0818 2.5e-05 -2.5e-05 5e-05 0 NaN 2.5e-05 6167 GBP caleb_strategy_v3 [-1] 1.2597 None 1.25935 1.2593 1.2594 1.2594 1.2594 -0.00035 -5e-05 0.0001 -0 NaN 5e-05 6168 SP400 caleb_strategy_v3 [-1] 2592.2 None 2620.15 2620 2620.3 2620.3 2620.3 27.95 -0.15 0.3 -0 NaN 0.15 6170 US10U _ROLL_PSEUDO_STRATEGY [-1, 1] -0.625 None -0.597656 -0.601562 -0.59375 -0.59375 -0.601562 0.0273438 -0.00390625 -0 -0.0078125 NaN -0.00390625 6169 NASDAQ_micro caleb_strategy_v3 [1] 14996.8 None 15059.8 15060 15059.5 15059.5 15060 -63 -0.25 0 -0.5 NaN -0.25 6174 NASDAQ_micro caleb_strategy_v3 [1] 14996.8 None 15057.9 15058 15057.8 15057.8 15057.8 -61.125 -0.125 0.25 0 NaN 0.125 6176 DOW caleb_strategy_v3 [-1] 34426 None 34626.5 34626 34627 34627 34619 200.5 -0.5 -7 -8 NaN -7.5 6172 DOW caleb_strategy_v3 [-1] 34426 None 34639.5 34639 34640 34640 34626 213.5 -0.5 -13 -14 NaN -13.5 6165 DOW caleb_strategy_v3 [-1] 34426 None 34638.5 34638 34639 34639 34639 212.5 -0.5 1 -0 NaN 0.5 6177 CHF caleb_strategy_v3 [-1] 1.13415 None 1.1324 1.13235 1.13245 1.13245 1.13225 -0.00175 -5e-05 -0.0001 -0.0002 NaN -0.00015 6173 CHF caleb_strategy_v3 [-1] 1.13415 None 1.13275 1.1327 1.1328 NaN 1.1323 -0.0014 -5e-05 -0.0004 NaN NaN -0.00045 6166 CHF caleb_strategy_v3 [-1] 1.13415 None 1.13272 1.13265 1.1328 1.1328 1.1327 -0.001425 -7.5e-05 5e-05 -0.0001 NaN -2.5e-05 6178 BITCOIN caleb_strategy_v3 [-1] 26130 None 26185 26180 26190 26190 26175 55 -5 -5 -15 NaN -10 6179 BITCOIN caleb_strategy_v3 [-1] 26130 None 26180 26175 26185 26185 26185 50 -5 10 -0 NaN 5 6180 BITCOIN caleb_strategy_v3 [-1] 26130 None 26185 26180 26190 26190 26185 55 -5 5 -5 NaN 0 6181 BITCOIN caleb_strategy_v3 [-1] 26130 None 26190 26185 26195 NaN 26160 60 -5 -25 NaN NaN -30 6182 BITCOIN caleb_strategy_v3 [-1] 26130 None 26190 26185 26195 NaN 26185 60 -5 -0 NaN NaN -5 6183 BITCOIN caleb_strategy_v3 [-1] 26130 None 26192.5 26190 26195 NaN 26190 62.5 -2.5 -0 NaN NaN -2.5 6184 BITCOIN caleb_strategy_v3 [-1] 26130 None 26192.5 26190 26195 26195 26190 62.5 -2.5 -0 -5 NaN -2.5 6185 BITCOIN caleb_strategy_v3 [-1] 26130 None 26195 26190 26200 26200 26195 65 -5 5 -5 NaN 0 6186 BITCOIN caleb_strategy_v3 [-1] 26130 None 26195 26190 26200 26200 26185 65 -5 -5 -15 NaN -10 6187 BITCOIN caleb_strategy_v3 [-1] 26130 None 26195 26190 26200 NaN 26190 65 -5 -0 NaN NaN -5 6188 BITCOIN caleb_strategy_v3 [-1] 26130 None 26197.5 26195 26200 26200 26185 67.5 -2.5 -10 -15 NaN -12.5 6189 BITCOIN caleb_strategy_v3 [-1] 26130 None 26190 26185 26195 26195 26180 60 -5 -5 -15 NaN -10 6190 BITCOIN caleb_strategy_v3 [-1] 26130 None 26187.5 26180 26195 26195 26180 57.5 -7.5 -0 -15 NaN -7.5 6191 BITCOIN caleb_strategy_v3 [-1] 26130 None 26192.5 26190 26195 NaN 26185 62.5 -2.5 -5 NaN NaN -7.5 6192 BITCOIN caleb_strategy_v3 [-1] 26130 None 26187.5 26185 26190 NaN 26160 57.5 -2.5 -25 NaN NaN -27.5 6164 BITCOIN caleb_strategy_v3 [-1] 26130 None 26197.5 26190 26205 26205 26190 67.5 -7.5 -0 -15 NaN -7.5 6171 BITCOIN caleb_strategy_v3 [-1] 26130 None 26195 26190 26200 26200 26185 65 -5 -5 -15 NaN -10 6175 BITCOIN caleb_strategy_v3 [-1] 26130 None 26190 26185 26195 26195 26180 60 -5 -5 -15 NaN -10 6193 SOYOIL caleb_strategy_v3 [-1] 63.44 None 63.55 63.54 63.56 63.56 63.53 0.11 -0.01 -0.01 -0.03 NaN -0.02 6194 LEANHOG caleb_strategy_v3 [1] 71.9 None 72.8 72.825 72.775 72.775 72.775 -0.9 -0.025 0.05 0 NaN 0.025 6144 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.77 None 0.77 0.76 0.78 NaN NaN -1.02141e-14 -0.01 NaN NaN NaN NaN 6143 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.77 None 0.77 0.76 0.78 NaN NaN -1.02141e-14 -0.01 NaN NaN NaN NaN ====================================================================================================================================================================== 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 6146 BUND caleb_strategy_v3 [1] 11.5414 -134.299 -4.33222 8.66444 0 NaN 4.33222 6147 SMI caleb_strategy_v3 [1] 1295.09 -177.594 -7.72146 -7.72146 -23.1644 NaN -15.4429 6149 SMI caleb_strategy_v3 [1] 1295.09 -189.176 -3.86073 7.72146 0 NaN 3.86073 6151 SMI caleb_strategy_v3 [1] 1295.09 -185.315 -7.72146 7.72146 -7.72146 NaN 0 6152 EUROSTX caleb_strategy_v3 [-1] 696.525 251.247 -7.1785 14.357 -0 NaN 7.1785 6145 EUROSTX caleb_strategy_v3 [-1] 696.525 236.89 -7.1785 -14.357 -28.714 NaN -21.5355 6148 EUROSTX caleb_strategy_v3 [-1] 696.525 222.533 -7.1785 14.357 -0 NaN 7.1785 6150 EUROSTX caleb_strategy_v3 [-1] 696.525 236.89 -7.1785 14.357 -0 NaN 7.1785 6153 EURIBOR-ICE caleb_strategy_v3 [1] 1.14637 21.808 -21.808 0 -43.6161 NaN -21.808 6154 COCOA caleb_strategy_v3 [-1] 588.85 288.698 -16.9823 -16.9823 -50.9468 NaN -33.9645 6155 CRUDE_W caleb_strategy_v3 [-1] 18.8622 -106.032 -5.30162 -0 -10.6032 NaN -5.30162 6156 COPPER caleb_strategy_v3 [1] 0.810597 -15.4207 -3.08415 0 -6.1683 NaN -3.08415 6159 GAS_US_mini caleb_strategy_v3 [-1] 1.96642 444.971 -12.7135 25.4269 -0 NaN 12.7135 6161 PLAT caleb_strategy_v3 [1] 242.396 -208.337 -2.06274 8.25096 4.12548 NaN 6.18822 6158 PLAT caleb_strategy_v3 [1] 242.396 -206.274 -4.12548 0 -8.25096 NaN -4.12548 6160 GOLD_micro caleb_strategy_v3 [1] 195.464 -219.99 -5.11604 -5.11604 NaN NaN -10.2321 6162 GOLD_micro caleb_strategy_v3 [1] 195.464 -227.664 -7.67406 0 -15.3481 NaN -7.67406 6157 GOLD_micro caleb_strategy_v3 [1] 195.464 -217.432 -2.55802 -5.11604 -10.2321 NaN -7.67406 6163 EUR caleb_strategy_v3 [1] 0.0700027 3.57129 -3.57129 7.14258 0 NaN 3.57129 6167 GBP caleb_strategy_v3 [-1] 0.0949253 -36.8711 -5.2673 10.5346 -0 NaN 5.2673 6168 SP400 caleb_strategy_v3 [-1] 401.8 695.619 -3.7332 7.4664 -0 NaN 3.7332 6170 US10U _ROLL_PSEUDO_STRATEGY [-1, 1] 10.3328 26.4629 -3.78042 -0 -7.56084 NaN -3.78042 6169 NASDAQ_micro caleb_strategy_v3 [1] 3313.18 -190.15 -0.754563 0 -1.50913 NaN -0.754563 6174 NASDAQ_micro caleb_strategy_v3 [1] 3313.18 -184.491 -0.377281 0.754563 0 NaN 0.377281 6176 DOW caleb_strategy_v3 [-1] 4034.21 497 -1.2394 -17.3516 -19.8304 NaN -18.591 6172 DOW caleb_strategy_v3 [-1] 4034.21 529.224 -1.2394 -32.2244 -34.7032 NaN -33.4638 6165 DOW caleb_strategy_v3 [-1] 4034.21 526.746 -1.2394 2.4788 -0 NaN 1.2394 6177 CHF caleb_strategy_v3 [-1] 0.0792573 -220.8 -6.30856 -12.6171 -25.2343 NaN -18.9257 6173 CHF caleb_strategy_v3 [-1] 0.0792573 -176.64 -6.30856 -50.4685 NaN NaN -56.7771 6166 CHF caleb_strategy_v3 [-1] 0.0792573 -179.794 -9.46285 6.30856 -12.6171 NaN -3.15428 6178 BITCOIN caleb_strategy_v3 [-1] 12659.3 43.4463 -3.94966 -3.94966 -11.849 NaN -7.89932 6179 BITCOIN caleb_strategy_v3 [-1] 12659.3 39.4966 -3.94966 7.89932 -0 NaN 3.94966 6180 BITCOIN caleb_strategy_v3 [-1] 12659.3 43.4463 -3.94966 3.94966 -3.94966 NaN 0 6181 BITCOIN caleb_strategy_v3 [-1] 12659.3 47.3959 -3.94966 -19.7483 NaN NaN -23.698 6182 BITCOIN caleb_strategy_v3 [-1] 12659.3 47.3959 -3.94966 -0 NaN NaN -3.94966 6183 BITCOIN caleb_strategy_v3 [-1] 12659.3 49.3707 -1.97483 -0 NaN NaN -1.97483 6184 BITCOIN caleb_strategy_v3 [-1] 12659.3 49.3707 -1.97483 -0 -3.94966 NaN -1.97483 6185 BITCOIN caleb_strategy_v3 [-1] 12659.3 51.3456 -3.94966 3.94966 -3.94966 NaN 0 6186 BITCOIN caleb_strategy_v3 [-1] 12659.3 51.3456 -3.94966 -3.94966 -11.849 NaN -7.89932 6187 BITCOIN caleb_strategy_v3 [-1] 12659.3 51.3456 -3.94966 -0 NaN NaN -3.94966 6188 BITCOIN caleb_strategy_v3 [-1] 12659.3 53.3204 -1.97483 -7.89932 -11.849 NaN -9.87415 6189 BITCOIN caleb_strategy_v3 [-1] 12659.3 47.3959 -3.94966 -3.94966 -11.849 NaN -7.89932 6190 BITCOIN caleb_strategy_v3 [-1] 12659.3 45.4211 -5.92449 -0 -11.849 NaN -5.92449 6191 BITCOIN caleb_strategy_v3 [-1] 12659.3 49.3707 -1.97483 -3.94966 NaN NaN -5.92449 6192 BITCOIN caleb_strategy_v3 [-1] 12659.3 45.4211 -1.97483 -19.7483 NaN NaN -21.7231 6164 BITCOIN caleb_strategy_v3 [-1] 12659.3 53.3204 -5.92449 -0 -11.849 NaN -5.92449 6171 BITCOIN caleb_strategy_v3 [-1] 12659.3 51.3456 -3.94966 -3.94966 -11.849 NaN -7.89932 6175 BITCOIN caleb_strategy_v3 [-1] 12659.3 47.3959 -3.94966 -3.94966 -11.849 NaN -7.89932 6193 SOYOIL caleb_strategy_v3 [-1] 18.0548 60.9256 -5.53869 -5.53869 -16.6161 NaN -11.0774 6194 LEANHOG caleb_strategy_v3 [1] 22.7268 -396.008 -11.0002 22.0004 0 NaN 11.0002 6144 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 4.21843 -2.42129e-11 -23.7055 NaN NaN NaN NaN 6143 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 4.21843 -2.42129e-11 -23.7055 NaN NaN NaN NaN ================================================================================================================================================================================ 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 6146 BUND caleb_strategy_v3 [1] 1081.4 -167.617 -5.407 10.814 0 NaN 5.407 6147 SMI caleb_strategy_v3 [1] 11.3275 -260.532 -11.3275 -11.3275 -33.9825 NaN -22.655 6149 SMI caleb_strategy_v3 [1] 11.3275 -277.524 -5.66375 11.3275 0 NaN 5.66375 6151 SMI caleb_strategy_v3 [1] 11.3275 -271.86 -11.3275 11.3275 -11.3275 NaN 0 6152 EUROSTX caleb_strategy_v3 [-1] 10.814 189.245 -5.407 10.814 -0 NaN 5.407 6145 EUROSTX caleb_strategy_v3 [-1] 10.814 178.431 -5.407 -10.814 -21.628 NaN -16.221 6148 EUROSTX caleb_strategy_v3 [-1] 10.814 167.617 -5.407 10.814 -0 NaN 5.407 6150 EUROSTX caleb_strategy_v3 [-1] 10.814 178.431 -5.407 10.814 -0 NaN 5.407 6153 EURIBOR-ICE caleb_strategy_v3 [1] 2703.5 6.75875 -6.75875 0 -13.5175 NaN -6.75875 6154 COCOA caleb_strategy_v3 [-1] 10 170 -10 -10 -30 NaN -20 6155 CRUDE_W caleb_strategy_v3 [-1] 1000 -200 -10 -0 -20 NaN -10 6156 COPPER caleb_strategy_v3 [1] 25000 -31.25 -6.25 0 -12.5 NaN -6.25 6159 GAS_US_mini caleb_strategy_v3 [-1] 2500 218.75 -6.25 12.5 -0 NaN 6.25 6161 PLAT caleb_strategy_v3 [1] 50 -252.5 -2.5 10 5 NaN 7.5 6158 PLAT caleb_strategy_v3 [1] 50 -250 -5 0 -10 NaN -5 6160 GOLD_micro caleb_strategy_v3 [1] 10 -43 -1 -1 NaN NaN -2 6162 GOLD_micro caleb_strategy_v3 [1] 10 -44.5 -1.5 0 -3 NaN -1.5 6157 GOLD_micro caleb_strategy_v3 [1] 10 -42.5 -0.5 -1 -2 NaN -1.5 6163 EUR caleb_strategy_v3 [1] 125000 3.125 -3.125 6.25 0 NaN 3.125 6167 GBP caleb_strategy_v3 [-1] 62500 -21.875 -3.125 6.25 -0 NaN 3.125 6168 SP400 caleb_strategy_v3 [-1] 100 2795 -15 30 -0 NaN 15 6170 US10U _ROLL_PSEUDO_STRATEGY [-1, 1] 1000 27.3438 -3.90625 -0 -7.8125 NaN -3.90625 6169 NASDAQ_micro caleb_strategy_v3 [1] 2 -126 -0.5 0 -1 NaN -0.5 6174 NASDAQ_micro caleb_strategy_v3 [1] 2 -122.25 -0.25 0.5 0 NaN 0.25 6176 DOW caleb_strategy_v3 [-1] 0.5 100.25 -0.25 -3.5 -4 NaN -3.75 6172 DOW caleb_strategy_v3 [-1] 0.5 106.75 -0.25 -6.5 -7 NaN -6.75 6165 DOW caleb_strategy_v3 [-1] 0.5 106.25 -0.25 0.5 -0 NaN 0.25 6177 CHF caleb_strategy_v3 [-1] 125000 -218.75 -6.25 -12.5 -25 NaN -18.75 6173 CHF caleb_strategy_v3 [-1] 125000 -175 -6.25 -50 NaN NaN -56.25 6166 CHF caleb_strategy_v3 [-1] 125000 -178.125 -9.375 6.25 -12.5 NaN -3.125 6178 BITCOIN caleb_strategy_v3 [-1] 0.1 5.5 -0.5 -0.5 -1.5 NaN -1 6179 BITCOIN caleb_strategy_v3 [-1] 0.1 5 -0.5 1 -0 NaN 0.5 6180 BITCOIN caleb_strategy_v3 [-1] 0.1 5.5 -0.5 0.5 -0.5 NaN 0 6181 BITCOIN caleb_strategy_v3 [-1] 0.1 6 -0.5 -2.5 NaN NaN -3 6182 BITCOIN caleb_strategy_v3 [-1] 0.1 6 -0.5 -0 NaN NaN -0.5 6183 BITCOIN caleb_strategy_v3 [-1] 0.1 6.25 -0.25 -0 NaN NaN -0.25 6184 BITCOIN caleb_strategy_v3 [-1] 0.1 6.25 -0.25 -0 -0.5 NaN -0.25 6185 BITCOIN caleb_strategy_v3 [-1] 0.1 6.5 -0.5 0.5 -0.5 NaN 0 6186 BITCOIN caleb_strategy_v3 [-1] 0.1 6.5 -0.5 -0.5 -1.5 NaN -1 6187 BITCOIN caleb_strategy_v3 [-1] 0.1 6.5 -0.5 -0 NaN NaN -0.5 6188 BITCOIN caleb_strategy_v3 [-1] 0.1 6.75 -0.25 -1 -1.5 NaN -1.25 6189 BITCOIN caleb_strategy_v3 [-1] 0.1 6 -0.5 -0.5 -1.5 NaN -1 6190 BITCOIN caleb_strategy_v3 [-1] 0.1 5.75 -0.75 -0 -1.5 NaN -0.75 6191 BITCOIN caleb_strategy_v3 [-1] 0.1 6.25 -0.25 -0.5 NaN NaN -0.75 6192 BITCOIN caleb_strategy_v3 [-1] 0.1 5.75 -0.25 -2.5 NaN NaN -2.75 6164 BITCOIN caleb_strategy_v3 [-1] 0.1 6.75 -0.75 -0 -1.5 NaN -0.75 6171 BITCOIN caleb_strategy_v3 [-1] 0.1 6.5 -0.5 -0.5 -1.5 NaN -1 6175 BITCOIN caleb_strategy_v3 [-1] 0.1 6 -0.5 -0.5 -1.5 NaN -1 6193 SOYOIL caleb_strategy_v3 [-1] 600 66 -6 -6 -18 NaN -12 6194 LEANHOG caleb_strategy_v3 [1] 400 -360 -10 20 0 NaN 10 6144 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 683.354 -6.97981e-12 -6.83354 NaN NaN NaN NaN 6143 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 683.354 -6.97981e-12 -6.83354 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini -1.395963e-11 US10U 2.734375e+01 caleb_strategy_v3 BITCOIN 1.097500e+02 BUND -1.676170e+02 CHF -5.718750e+02 COCOA 1.700000e+02 COPPER -3.125000e+01 CRUDE_W -2.000000e+02 DOW 3.132500e+02 EUR 3.125000e+00 EURIBOR-ICE 6.758750e+00 EUROSTX 7.137240e+02 GAS_US_mini 2.187500e+02 GBP -2.187500e+01 GOLD_micro -1.300000e+02 LEANHOG -3.600000e+02 NASDAQ_micro -2.482500e+02 PLAT -5.025000e+02 SMI -8.099162e+02 SOYOIL 6.600000e+01 SP400 2.795000e+03 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 27.34375 caleb_strategy_v3 1353.07450 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini -13.667084 US10U -3.906250 caleb_strategy_v3 BITCOIN -8.250000 BUND -5.407000 CHF -21.875000 COCOA -10.000000 COPPER -6.250000 CRUDE_W -10.000000 DOW -0.750000 EUR -3.125000 EURIBOR-ICE -6.758750 EUROSTX -21.628000 GAS_US_mini -6.250000 GBP -3.125000 GOLD_micro -3.000000 LEANHOG -10.000000 NASDAQ_micro -0.750000 PLAT -7.500000 SMI -28.318750 SOYOIL -6.000000 SP400 -15.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -17.573334 caleb_strategy_v3 -173.987500 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0.0000 US10U -0.0000 caleb_strategy_v3 BITCOIN -7.0000 BUND 10.8140 CHF -56.2500 COCOA -10.0000 COPPER 0.0000 CRUDE_W -0.0000 DOW -9.5000 EUR 6.2500 EURIBOR-ICE 0.0000 EUROSTX 21.6280 GAS_US_mini 12.5000 GBP 6.2500 GOLD_micro -2.0000 LEANHOG 20.0000 NASDAQ_micro 0.5000 PLAT 10.0000 SMI 11.3275 SOYOIL -6.0000 SP400 30.0000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0000 caleb_strategy_v3 38.5195 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0.0000 US10U -7.8125 caleb_strategy_v3 BITCOIN -13.5000 BUND 0.0000 CHF -37.5000 COCOA -30.0000 COPPER -12.5000 CRUDE_W -20.0000 DOW -11.0000 EUR 0.0000 EURIBOR-ICE -13.5175 EUROSTX -21.6280 GAS_US_mini -0.0000 GBP -0.0000 GOLD_micro -5.0000 LEANHOG 0.0000 NASDAQ_micro -1.0000 PLAT -5.0000 SMI -45.3100 SOYOIL -18.0000 SP400 -0.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -7.8125 caleb_strategy_v3 -233.9555 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0 US10U 0 caleb_strategy_v3 BITCOIN 0 BUND 0 CHF 0 COCOA 0 COPPER 0 CRUDE_W 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 GBP 0 GOLD_micro 0 LEANHOG 0 NASDAQ_micro 0 PLAT 0 SMI 0 SOYOIL 0 SP400 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 JGB-SGX-mini 0.00000 US10U -3.90625 caleb_strategy_v3 BITCOIN -15.25000 BUND 5.40700 CHF -78.12500 COCOA -20.00000 COPPER -6.25000 CRUDE_W -10.00000 DOW -10.25000 EUR 3.12500 EURIBOR-ICE -6.75875 EUROSTX 0.00000 GAS_US_mini 6.25000 GBP 3.12500 GOLD_micro -5.00000 LEANHOG 10.00000 NASDAQ_micro -0.25000 PLAT 2.50000 SMI -16.99125 SOYOIL -12.00000 SP400 15.00000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -3.90625 caleb_strategy_v3 -135.46800 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