******************************************************************************** Trades report produced on 06/09/2023 21:39 from 05/09/2023 21:39 to 06/09/2023 21:39 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price 6400 BTP caleb_strategy_v3 [20231200] 2023-09-06 07:00:08.000 [1] 113.390000 6427 CHF caleb_strategy_v3 [20230900] 2023-09-06 14:00:41.000 [1] 1.120500 6413 COPPER caleb_strategy_v3 [20231200] 2023-09-06 13:00:41.000 [1] 3.813500 6415 CRUDE_W caleb_strategy_v3 [20231200] 2023-09-06 13:00:44.000 [1] 85.100000 6430 DOW caleb_strategy_v3 [20230900] 2023-09-06 14:00:45.000 [1] 34550.000000 6425 EUR caleb_strategy_v3 [20230900] 2023-09-06 14:00:38.000 [-1] 1.071600 6408 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-06 08:02:32.000 [1] 97.060000 6409 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-06 08:02:45.000 [1] 97.060000 6406 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-06 08:00:55.000 [1] 97.060000 6407 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-06 08:02:23.000 [1] 97.060000 6401 EUROSTX caleb_strategy_v3 [20230900] 2023-09-06 07:00:09.000 [1] 4255.000000 6398 EUROSTX caleb_strategy_v3 [20230900] 2023-09-06 07:00:01.000 [1] 4256.000000 6412 GAS_US_mini caleb_strategy_v3 [20231100] 2023-09-06 13:00:39.000 [-1] 2.940000 6424 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:12:57.000 [-1] 1927.900000 6422 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:09:48.000 [-1] 1928.600000 6421 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:08:17.000 [-1] 1928.500000 6420 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:06:48.000 [-1] 1927.900000 6419 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:05:20.000 [-1] 1928.200000 6423 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:11:21.000 [-1] 1928.800000 6416 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:00:48.000 [-1] 1929.400000 6418 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:03:53.000 [-1] 1928.300000 6417 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-06 13:02:24.000 [-1] 1928.200000 6383 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.688 [0, 0] NaN 6397 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:10.416 [0, 0] NaN 6369 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.119 [0, 0] NaN 6367 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.040 [0, 0] NaN 6371 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.199 [0, 0] NaN 6379 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.526 [0, 0] NaN 6373 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.281 [0, 0] NaN 6381 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.605 [0, 0] NaN 6396 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:10.337 [0, 0] NaN 6387 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.855 [0, 0] NaN 6395 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:10.256 [0, 0] NaN 6375 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.364 [0, 0] NaN 6389 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.933 [0, 0] NaN 6391 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:10.009 [0, 0] NaN 6393 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:10.093 [0, 0] NaN 6394 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:10.175 [0, 0] NaN 6385 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.774 [0, 0] NaN 6377 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 09:40:09.448 [0, 0] NaN 6434 LIVECOW caleb_strategy_v3 [20231200] 2023-09-06 14:31:18.000 [-1] 184.625000 6382 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 03:22:54.000 [-1, 1] 225.000000 6370 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 02:20:45.000 [-1, 1] 225.000000 6372 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 02:30:49.000 [-1, 1] 225.000000 6384 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 03:33:06.000 [-1, 1] 225.000000 6376 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 02:50:57.000 [-1, 1] 225.000000 6388 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 03:53:15.000 [-1, 1] 225.000000 6378 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 03:01:03.000 [-1, 1] 224.000000 6386 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 03:43:11.000 [-1, 1] 225.000000 6380 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 03:12:22.000 [-1, 1] 225.000000 6368 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 02:10:41.000 [-1, 1] 225.000000 6374 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 02:40:53.000 [-1, 1] 225.000000 6392 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 04:13:24.000 [-1, 1] 225.000000 6390 NIKKEI _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-06 04:03:19.000 [-1, 1] 224.000000 6399 SMI caleb_strategy_v3 [20230900] 2023-09-06 07:00:06.000 [-1] 10914.000000 6405 SMI caleb_strategy_v3 [20230900] 2023-09-06 07:00:29.000 [-1] 10915.000000 6404 SMI caleb_strategy_v3 [20230900] 2023-09-06 07:00:24.000 [-1] 10922.000000 6403 SMI caleb_strategy_v3 [20230900] 2023-09-06 07:00:19.000 [-1] 10922.000000 6402 SMI caleb_strategy_v3 [20230900] 2023-09-06 07:00:13.000 [-1] 10918.000000 6433 SOYMEAL caleb_strategy_v3 [20231200] 2023-09-06 14:31:05.000 [-1] 402.900000 6428 SP400 caleb_strategy_v3 [20230900] 2023-09-06 14:00:43.000 [1] 2614.500000 6429 SP500_micro caleb_strategy_v3 [20230900] 2023-09-06 14:00:44.000 [1] 4483.250000 6414 SUGAR11 caleb_strategy_v3 [20240300] 2023-09-06 13:00:42.000 [1] 26.840000 6431 US5 caleb_strategy_v3 [20231200] 2023-09-06 14:02:35.000 [1] 106.125000 6426 US5 caleb_strategy_v3 [20231200] 2023-09-06 14:00:39.000 [1] 106.203125 6432 US5 caleb_strategy_v3 [20231200] 2023-09-06 14:04:15.000 [1] 106.156250 6435 WHEAT caleb_strategy_v3 [20231200] 2023-09-06 14:31:19.000 [-1] 608.250000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6400 BTP caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:07.385 2023-09-06 07:00:08.000 115207 NaN 6401 EUROSTX caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:08.883 2023-09-06 07:00:09.000 115209 NaN 6398 EUROSTX caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:01.210 2023-09-06 07:00:01.000 115201 NaN 6402 SMI caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:13.094 2023-09-06 07:00:13.000 115213 NaN 6403 SMI caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:16.958 2023-09-06 07:00:19.000 115217 NaN 6404 SMI caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:23.555 2023-09-06 07:00:24.000 115224 NaN 6405 SMI caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:28.459 2023-09-06 07:00:29.000 115228 NaN 6399 SMI caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 08:00:05.906 2023-09-06 07:00:06.000 115206 NaN 6408 EURIBOR-ICE caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 09:02:27.165 2023-09-06 08:02:32.000 118947 NaN 6409 EURIBOR-ICE caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 09:02:36.631 2023-09-06 08:02:45.000 118957 NaN 6406 EURIBOR-ICE caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 09:00:02.572 2023-09-06 08:00:55.000 118803 NaN 6407 EURIBOR-ICE caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 09:00:59.355 2023-09-06 08:02:23.000 118859 NaN 6412 GAS_US_mini caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:00:31.687 2023-09-06 13:00:39.000 136832 NaN 6413 COPPER caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:00:40.516 2023-09-06 13:00:41.000 136841 NaN 6414 SUGAR11 caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:00:42.498 2023-09-06 13:00:42.000 136842 NaN 6415 CRUDE_W caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:00:43.338 2023-09-06 13:00:44.000 136843 NaN 6416 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:00:45.312 2023-09-06 13:00:48.000 136845 NaN 6417 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:02:24.253 2023-09-06 13:02:24.000 136944 NaN 6418 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:03:51.359 2023-09-06 13:03:53.000 137031 NaN 6419 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:05:20.354 2023-09-06 13:05:20.000 137120 NaN 6420 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:06:48.337 2023-09-06 13:06:48.000 137208 NaN 6421 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:08:16.895 2023-09-06 13:08:17.000 137297 NaN 6422 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:09:47.992 2023-09-06 13:09:48.000 137388 NaN 6423 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:11:18.952 2023-09-06 13:11:21.000 137479 NaN 6424 GOLD_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 14:12:53.073 2023-09-06 13:12:57.000 137573 NaN 6425 EUR caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:00:37.943 2023-09-06 14:00:38.000 140438 NaN 6427 CHF caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:00:41.058 2023-09-06 14:00:41.000 140441 NaN 6428 SP400 caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:00:42.067 2023-09-06 14:00:43.000 140442 NaN 6429 SP500_micro caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:00:44.075 2023-09-06 14:00:44.000 140444 NaN 6430 DOW caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:00:45.648 2023-09-06 14:00:45.000 140446 NaN 6432 US5 caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:04:15.174 2023-09-06 14:04:15.000 140655 NaN 6426 US5 caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:00:39.746 2023-09-06 14:00:39.000 140440 NaN 6431 US5 caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:02:35.508 2023-09-06 14:02:35.000 140556 NaN 6433 SOYMEAL caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:31:02.891 2023-09-06 14:31:05.000 142263 NaN 6434 LIVECOW caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:31:07.067 2023-09-06 14:31:18.000 142267 NaN 6435 WHEAT caleb_strategy_v3 2023-09-05 00:00:00 2023-09-06 15:31:19.112 2023-09-06 14:31:19.000 142279 NaN 6369 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:10:44.439 2023-09-06 09:40:09.119 25844.4 23364.7 6371 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:20:48.321 2023-09-06 09:40:09.199 26448.3 22760.9 6373 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:30:52.370 2023-09-06 09:40:09.281 27052.4 22156.9 6375 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:40:55.943 2023-09-06 09:40:09.364 27655.9 21553.4 6377 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:50:59.705 2023-09-06 09:40:09.448 28259.7 20949.7 6379 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:01:06.451 2023-09-06 09:40:09.526 28866.5 20343.1 6381 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:12:25.251 2023-09-06 09:40:09.605 29545.3 19664.4 6383 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:22:57.783 2023-09-06 09:40:09.688 30177.8 19031.9 6385 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:33:09.852 2023-09-06 09:40:09.774 30789.9 18419.9 6387 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:43:14.031 2023-09-06 09:40:09.855 31394 17815.8 6389 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:53:18.292 2023-09-06 09:40:09.933 31998.3 17211.6 6391 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:03:23.246 2023-09-06 09:40:10.009 32603.2 16606.8 6393 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:13:27.888 2023-09-06 09:40:10.093 33207.9 16002.2 6394 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:23:31.980 2023-09-06 09:40:10.175 33812 15398.2 6395 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:33:36.097 2023-09-06 09:40:10.256 34416.1 14794.2 6396 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:43:39.718 2023-09-06 09:40:10.337 35019.7 14190.6 6397 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:53:44.190 2023-09-06 09:40:10.416 35624.2 13586.2 6367 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:00:36.913 2023-09-06 09:40:09.040 25236.9 23972.1 6368 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:10:38.946 2023-09-06 02:10:41.000 25838.9 NaN 6370 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:20:45.263 2023-09-06 02:20:45.000 26445.3 NaN 6372 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:30:49.096 2023-09-06 02:30:49.000 27049.1 NaN 6374 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:40:53.184 2023-09-06 02:40:53.000 27653.2 NaN 6376 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 03:50:56.743 2023-09-06 02:50:57.000 28256.7 NaN 6378 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:01:00.533 2023-09-06 03:01:03.000 28860.5 NaN 6380 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:11:07.429 2023-09-06 03:12:22.000 29467.4 NaN 6382 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:22:26.056 2023-09-06 03:22:54.000 30146.1 NaN 6384 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:32:58.618 2023-09-06 03:33:06.000 30778.6 NaN 6386 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:43:10.672 2023-09-06 03:43:11.000 31390.7 NaN 6388 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 04:53:14.817 2023-09-06 03:53:15.000 31994.8 NaN 6390 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:03:19.070 2023-09-06 04:03:19.000 32599.1 NaN 6392 NIKKEI _ROLL_PSEUDO_STRATEGY 2023-09-05 20:00:00 2023-09-06 05:13:24.042 2023-09-06 04:13:24.000 33204 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 6400 BTP caleb_strategy_v3 [1] 113.44 None 113.395 113.4 113.39 113.39 113.39 0.045 -0.005 0.01 0 NaN 0.005 6401 EUROSTX caleb_strategy_v3 [1] 4274 None 4255.5 4256 4255 4255 4255 18.5 -0.5 1 0 NaN 0.5 6398 EUROSTX caleb_strategy_v3 [1] 4274 None 4256 4257 4255 4255 4256 18 -1 1 -1 NaN 0 6402 SMI caleb_strategy_v3 [-1] 10944 None 10915 10914 10916 NaN 10918 -29 -1 4 NaN NaN 3 6403 SMI caleb_strategy_v3 [-1] 10944 None 10921 10920 10922 10922 10922 -23 -1 2 -0 NaN 1 6404 SMI caleb_strategy_v3 [-1] 10944 None 10921 10920 10922 10922 10922 -23 -1 2 -0 NaN 1 6405 SMI caleb_strategy_v3 [-1] 10944 None 10919 10918 10920 10920 10915 -25 -1 -3 -5 NaN -4 6399 SMI caleb_strategy_v3 [-1] 10944 None 10914 10913 10915 10915 10914 -30 -1 1 -1 NaN 0 6408 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0575 97.06 97.055 NaN 97.06 0.0025 -0.0025 0 NaN NaN -0.0025 6409 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0575 97.06 97.055 97.055 97.06 0.0025 -0.0025 0 -0.005 NaN -0.0025 6406 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0525 97.055 97.05 97.05 97.06 0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 6407 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0575 97.06 97.055 97.055 97.06 0.0025 -0.0025 0 -0.005 NaN -0.0025 6412 GAS_US_mini caleb_strategy_v3 [-1] 2.985 None 2.9475 2.945 2.95 2.95 2.94 -0.0375 -0.0025 -0.005 -0.01 NaN -0.0075 6413 COPPER caleb_strategy_v3 [1] 3.8405 None 3.81375 3.814 3.8135 3.8135 3.8135 0.02675 -0.00025 0.0005 0 NaN 0.00025 6414 SUGAR11 caleb_strategy_v3 [1] 26.83 None 27 27 27 27 26.84 -0.17 0 0.16 0.16 NaN 0.16 6415 CRUDE_W caleb_strategy_v3 [1] 85.03 None 85.105 85.11 85.1 85.1 85.1 -0.075 -0.005 0.01 1.42109e-14 NaN 0.005 6416 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1929.6 1929.5 1929.7 1929.7 1929.4 -2.9 -0.1 -0.1 -0.3 NaN -0.2 6417 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1929.5 1929.4 1929.6 1929.6 1928.2 -3 -0.1 -1.2 -1.4 NaN -1.3 6418 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1928.3 1928.2 1928.4 1928.4 1928.3 -4.2 -0.1 0.1 -0.1 NaN -2.27374e-13 6419 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1928.4 1928.3 1928.5 NaN 1928.2 -4.1 -0.1 -0.1 NaN NaN -0.2 6420 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1928.1 1928 1928.2 NaN 1927.9 -4.4 -0.1 -0.1 NaN NaN -0.2 6421 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1928.4 1928.3 1928.5 1928.5 1928.5 -4.1 -0.1 0.2 -0 NaN 0.1 6422 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1928.7 1928.6 1928.8 NaN 1928.6 -3.8 -0.1 -0 NaN NaN -0.1 6423 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1928.95 1928.8 1929.1 1929.1 1928.8 -3.55 -0.15 -0 -0.3 NaN -0.15 6424 GOLD_micro caleb_strategy_v3 [-1] 1932.5 None 1928.1 1928 1928.2 1928.2 1927.9 -4.4 -0.1 -0.1 -0.3 NaN -0.2 6425 EUR caleb_strategy_v3 [-1] 1.0727 None 1.07173 1.0717 1.07175 1.07175 1.0716 -0.000975 -2.5e-05 -0.0001 -0.00015 NaN -0.000125 6427 CHF caleb_strategy_v3 [1] 1.12555 None 1.12038 1.12045 1.1203 1.1203 1.1205 0.005175 -7.5e-05 -5e-05 -0.0002 NaN -0.000125 6428 SP400 caleb_strategy_v3 [1] 2615.6 None 2613.7 2614.1 2613.3 2613.3 2614.5 1.9 -0.4 -0.4 -1.2 NaN -0.8 6429 SP500_micro caleb_strategy_v3 [1] 4507.5 None 4482.88 4483 4482.75 4482.75 4483.25 24.625 -0.125 -0.25 -0.5 NaN -0.375 6430 DOW caleb_strategy_v3 [1] 34759 None 34551 34552 34550 34550 34550 208 -1 2 0 NaN 1 6432 US5 caleb_strategy_v3 [1] 106.328 None 106.121 106.125 106.117 106.117 106.156 0.207031 -0.00390625 -0.03125 -0.0390625 NaN -0.0351562 6426 US5 caleb_strategy_v3 [1] 106.328 None 106.191 106.195 106.188 106.188 106.203 0.136719 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 6431 US5 caleb_strategy_v3 [1] 106.328 None 106.199 106.203 106.195 106.195 106.125 0.128906 -0.00390625 0.078125 0.0703125 NaN 0.0742188 6433 SOYMEAL caleb_strategy_v3 [-1] 398.2 None 403.05 403 403.1 403.1 402.9 4.85 -0.05 -0.1 -0.2 NaN -0.15 6434 LIVECOW caleb_strategy_v3 [-1] 184.05 None 184.65 184.625 184.675 184.675 184.625 0.6 -0.025 -0 -0.05 NaN -0.025 6435 WHEAT caleb_strategy_v3 [-1] 600.75 None 600 600 600 600 608.25 -0.75 -0 8.25 8.25 NaN 8.25 6369 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6371 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6373 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6375 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6377 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6379 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6381 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6383 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6385 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6387 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6389 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6391 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6393 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6394 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6395 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.775 0.77 0.78 NaN NaN -0.005 -0.005 NaN NaN NaN NaN 6396 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.77 0.77 0.77 NaN NaN -0.01 -0 NaN NaN NaN NaN 6397 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.775 0.77 0.78 NaN NaN -0.005 -0.005 NaN NaN NaN NaN 6367 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.78 None 0.785 0.78 0.79 0.79 NaN 0.005 -0.005 NaN NaN NaN NaN 6368 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 225.5 225 226 225 225 0.5 -0.5 -0 -0 NaN -0.5 6370 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 225.5 225 226 225 225 0.5 -0.5 -0 -0 NaN -0.5 6372 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 225.5 225 226 225 225 0.5 -0.5 -0 -0 NaN -0.5 6374 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 225.5 225 226 225 225 0.5 -0.5 -0 -0 NaN -0.5 6376 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 225.5 225 226 225 225 0.5 -0.5 -0 -0 NaN -0.5 6378 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 225.5 225 226 225 224 0.5 -0.5 -1 -1 NaN -1.5 6380 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 224.5 224 225 225 225 -0.5 -0.5 1 -0 NaN 0.5 6382 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 224.5 224 225 225 225 -0.5 -0.5 1 -0 NaN 0.5 6384 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 224.5 224 225 225 225 -0.5 -0.5 1 -0 NaN 0.5 6386 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 224.5 224 225 225 225 -0.5 -0.5 1 -0 NaN 0.5 6388 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 224.5 224 225 NaN 225 -0.5 -0.5 1 NaN NaN 0.5 6390 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 224.5 224 225 NaN 224 -0.5 -0.5 -0 NaN NaN -0.5 6392 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 225 None 225.5 225 226 NaN 225 0.5 -0.5 -0 NaN NaN -0.5 =================================================================================================================================================================== 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 6400 BTP caleb_strategy_v3 [1] 11.5468 38.9719 -4.33021 8.66043 0 NaN 4.33021 6401 EUROSTX caleb_strategy_v3 [1] 632.56 292.462 -7.90439 15.8088 0 NaN 7.90439 6398 EUROSTX caleb_strategy_v3 [1] 632.56 284.558 -15.8088 15.8088 -15.8088 NaN 0 6402 SMI caleb_strategy_v3 [-1] 1206.88 -240.289 -8.28583 33.1433 NaN NaN 24.8575 6403 SMI caleb_strategy_v3 [-1] 1206.88 -190.574 -8.28583 16.5717 -0 NaN 8.28583 6404 SMI caleb_strategy_v3 [-1] 1206.88 -190.574 -8.28583 16.5717 -0 NaN 8.28583 6405 SMI caleb_strategy_v3 [-1] 1206.88 -207.146 -8.28583 -24.8575 -41.4291 NaN -33.1433 6399 SMI caleb_strategy_v3 [-1] 1206.88 -248.575 -8.28583 8.28583 -8.28583 NaN 0 6408 EURIBOR-ICE caleb_strategy_v3 [1] 1.08158 23.1144 -23.1144 0 NaN NaN -23.1144 6409 EURIBOR-ICE caleb_strategy_v3 [1] 1.08158 23.1144 -23.1144 0 -46.2288 NaN -23.1144 6406 EURIBOR-ICE caleb_strategy_v3 [1] 1.08158 69.3432 -23.1144 -46.2288 -92.4576 NaN -69.3432 6407 EURIBOR-ICE caleb_strategy_v3 [1] 1.08158 23.1144 -23.1144 0 -46.2288 NaN -23.1144 6412 GAS_US_mini caleb_strategy_v3 [-1] 1.92156 -195.153 -13.0102 -26.0205 -52.0409 NaN -39.0307 6413 COPPER caleb_strategy_v3 [1] 0.769504 347.626 -3.24884 6.49769 0 NaN 3.24884 6414 SUGAR11 caleb_strategy_v3 [1] 5.62429 -302.26 0 284.48 284.48 NaN 284.48 6415 CRUDE_W caleb_strategy_v3 [1] 19.4585 -38.5437 -2.56958 5.13915 7.30318e-12 NaN 2.56958 6416 GOLD_micro caleb_strategy_v3 [-1] 192.466 -150.676 -5.19573 -5.19573 -15.5872 NaN -10.3915 6417 GOLD_micro caleb_strategy_v3 [-1] 192.466 -155.872 -5.19573 -62.3488 -72.7403 NaN -67.5445 6418 GOLD_micro caleb_strategy_v3 [-1] 192.466 -218.221 -5.19573 5.19573 -5.19573 NaN -1.18137e-11 6419 GOLD_micro caleb_strategy_v3 [-1] 192.466 -213.025 -5.19573 -5.19573 NaN NaN -10.3915 6420 GOLD_micro caleb_strategy_v3 [-1] 192.466 -228.612 -5.19573 -5.19573 NaN NaN -10.3915 6421 GOLD_micro caleb_strategy_v3 [-1] 192.466 -213.025 -5.19573 10.3915 -0 NaN 5.19573 6422 GOLD_micro caleb_strategy_v3 [-1] 192.466 -197.438 -5.19573 -0 NaN NaN -5.19573 6423 GOLD_micro caleb_strategy_v3 [-1] 192.466 -184.448 -7.7936 -0 -15.5872 NaN -7.7936 6424 GOLD_micro caleb_strategy_v3 [-1] 192.466 -228.612 -5.19573 -5.19573 -15.5872 NaN -10.3915 6425 EUR caleb_strategy_v3 [-1] 0.0775684 -125.696 -3.22296 -12.8919 -19.3378 NaN -16.1148 6427 CHF caleb_strategy_v3 [1] 0.0789468 655.504 -9.50006 -6.33338 -25.3335 NaN -15.8334 6428 SP400 caleb_strategy_v3 [1] 396.778 47.8857 -10.0812 -10.0812 -30.2436 NaN -20.1624 6429 SP500_micro caleb_strategy_v3 [1] 650.838 378.358 -1.9206 -3.8412 -7.6824 NaN -5.7618 6430 DOW caleb_strategy_v3 [1] 4031.38 515.952 -2.48054 4.96108 0 NaN 2.48054 6432 US5 caleb_strategy_v3 [1] 4.89586 422.87 -7.97868 -63.8294 -79.7868 NaN -71.8081 6426 US5 caleb_strategy_v3 [1] 4.89586 279.254 -7.97868 -15.9574 -31.9147 NaN -23.936 6431 US5 caleb_strategy_v3 [1] 4.89586 263.296 -7.97868 159.574 143.616 NaN 151.595 6433 SOYMEAL caleb_strategy_v3 [-1] 99.2993 488.422 -5.03528 -10.0706 -20.1411 NaN -15.1059 6434 LIVECOW caleb_strategy_v3 [-1] 18.6254 322.14 -13.4225 -0 -26.845 NaN -13.4225 6435 WHEAT caleb_strategy_v3 [-1] 256.327 -29.2595 -0 321.854 321.854 NaN 321.854 6369 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6371 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6373 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6375 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6377 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6379 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6381 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6383 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6385 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6387 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6389 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6391 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6393 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6394 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6395 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 -13.4607 -13.4607 NaN NaN NaN NaN 6396 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 -26.9215 -0 NaN NaN NaN NaN 6397 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 -13.4607 -13.4607 NaN NaN NaN NaN 6367 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 3.71451 13.4607 -13.4607 NaN NaN NaN NaN 6368 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 1.01755 -1.01755 -0 -0 NaN -1.01755 6370 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 1.01755 -1.01755 -0 -0 NaN -1.01755 6372 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 1.01755 -1.01755 -0 -0 NaN -1.01755 6374 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 1.01755 -1.01755 -0 -0 NaN -1.01755 6376 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 1.01755 -1.01755 -0 -0 NaN -1.01755 6378 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 1.01755 -1.01755 -2.03511 -2.03511 NaN -3.05266 6380 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 -1.01755 -1.01755 2.03511 -0 NaN 1.01755 6382 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 -1.01755 -1.01755 2.03511 -0 NaN 1.01755 6384 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 -1.01755 -1.01755 2.03511 -0 NaN 1.01755 6386 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 -1.01755 -1.01755 2.03511 -0 NaN 1.01755 6388 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 -1.01755 -1.01755 2.03511 NaN NaN 1.01755 6390 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 -1.01755 -1.01755 -0 NaN NaN -1.01755 6392 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 4913.75 1.01755 -1.01755 -0 NaN NaN -1.01755 ============================================================================================================================================================================== 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 6400 BTP caleb_strategy_v3 [1] 1072.85 48.2782 -5.36425 10.7285 0 NaN 5.36425 6401 EUROSTX caleb_strategy_v3 [1] 10.7285 198.477 -5.36425 10.7285 0 NaN 5.36425 6398 EUROSTX caleb_strategy_v3 [1] 10.7285 193.113 -10.7285 10.7285 -10.7285 NaN 0 6402 SMI caleb_strategy_v3 [-1] 11.246 -326.134 -11.246 44.984 NaN NaN 33.738 6403 SMI caleb_strategy_v3 [-1] 11.246 -258.658 -11.246 22.492 -0 NaN 11.246 6404 SMI caleb_strategy_v3 [-1] 11.246 -258.658 -11.246 22.492 -0 NaN 11.246 6405 SMI caleb_strategy_v3 [-1] 11.246 -281.15 -11.246 -33.738 -56.23 NaN -44.984 6399 SMI caleb_strategy_v3 [-1] 11.246 -337.38 -11.246 11.246 -11.246 NaN 0 6408 EURIBOR-ICE caleb_strategy_v3 [1] 2682.12 6.70531 -6.70531 0 NaN NaN -6.70531 6409 EURIBOR-ICE caleb_strategy_v3 [1] 2682.12 6.70531 -6.70531 0 -13.4106 NaN -6.70531 6406 EURIBOR-ICE caleb_strategy_v3 [1] 2682.12 20.1159 -6.70531 -13.4106 -26.8213 NaN -20.1159 6407 EURIBOR-ICE caleb_strategy_v3 [1] 2682.12 6.70531 -6.70531 0 -13.4106 NaN -6.70531 6412 GAS_US_mini caleb_strategy_v3 [-1] 2500 -93.75 -6.25 -12.5 -25 NaN -18.75 6413 COPPER caleb_strategy_v3 [1] 25000 668.75 -6.25 12.5 0 NaN 6.25 6414 SUGAR11 caleb_strategy_v3 [1] 1120 -190.4 0 179.2 179.2 NaN 179.2 6415 CRUDE_W caleb_strategy_v3 [1] 1000 -75 -5 10 1.42109e-11 NaN 5 6416 GOLD_micro caleb_strategy_v3 [-1] 10 -29 -1 -1 -3 NaN -2 6417 GOLD_micro caleb_strategy_v3 [-1] 10 -30 -1 -12 -14 NaN -13 6418 GOLD_micro caleb_strategy_v3 [-1] 10 -42 -1 1 -1 NaN -2.27374e-12 6419 GOLD_micro caleb_strategy_v3 [-1] 10 -41 -1 -1 NaN NaN -2 6420 GOLD_micro caleb_strategy_v3 [-1] 10 -44 -1 -1 NaN NaN -2 6421 GOLD_micro caleb_strategy_v3 [-1] 10 -41 -1 2 -0 NaN 1 6422 GOLD_micro caleb_strategy_v3 [-1] 10 -38 -1 -0 NaN NaN -1 6423 GOLD_micro caleb_strategy_v3 [-1] 10 -35.5 -1.5 -0 -3 NaN -1.5 6424 GOLD_micro caleb_strategy_v3 [-1] 10 -44 -1 -1 -3 NaN -2 6425 EUR caleb_strategy_v3 [-1] 125000 -121.875 -3.125 -12.5 -18.75 NaN -15.625 6427 CHF caleb_strategy_v3 [1] 125000 646.875 -9.375 -6.25 -25 NaN -15.625 6428 SP400 caleb_strategy_v3 [1] 100 190 -40 -40 -120 NaN -80 6429 SP500_micro caleb_strategy_v3 [1] 5 123.125 -0.625 -1.25 -2.5 NaN -1.875 6430 DOW caleb_strategy_v3 [1] 0.5 104 -0.5 1 0 NaN 0.5 6432 US5 caleb_strategy_v3 [1] 1000 207.031 -3.90625 -31.25 -39.0625 NaN -35.1562 6426 US5 caleb_strategy_v3 [1] 1000 136.719 -3.90625 -7.8125 -15.625 NaN -11.7188 6431 US5 caleb_strategy_v3 [1] 1000 128.906 -3.90625 78.125 70.3125 NaN 74.2188 6433 SOYMEAL caleb_strategy_v3 [-1] 100 485 -5 -10 -20 NaN -15 6434 LIVECOW caleb_strategy_v3 [-1] 400 240 -10 -0 -20 NaN -10 6435 WHEAT caleb_strategy_v3 [-1] 50 -37.5 -0 412.5 412.5 NaN 412.5 6369 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6371 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6373 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6375 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6377 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6379 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6381 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6383 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6385 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6387 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6389 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6391 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6393 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6394 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6395 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 -3.39905 -3.39905 NaN NaN NaN NaN 6396 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 -6.7981 -0 NaN NaN NaN NaN 6397 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 -3.39905 -3.39905 NaN NaN NaN NaN 6367 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 679.81 3.39905 -3.39905 NaN NaN NaN NaN 6368 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 0.339905 -0.339905 -0 -0 NaN -0.339905 6370 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 0.339905 -0.339905 -0 -0 NaN -0.339905 6372 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 0.339905 -0.339905 -0 -0 NaN -0.339905 6374 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 0.339905 -0.339905 -0 -0 NaN -0.339905 6376 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 0.339905 -0.339905 -0 -0 NaN -0.339905 6378 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 0.339905 -0.339905 -0.67981 -0.67981 NaN -1.01971 6380 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 -0.339905 -0.339905 0.67981 -0 NaN 0.339905 6382 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 -0.339905 -0.339905 0.67981 -0 NaN 0.339905 6384 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 -0.339905 -0.339905 0.67981 -0 NaN 0.339905 6386 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 -0.339905 -0.339905 0.67981 -0 NaN 0.339905 6388 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 -0.339905 -0.339905 0.67981 NaN NaN 0.339905 6390 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 -0.339905 -0.339905 -0 NaN NaN -0.339905 6392 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.67981 0.339905 -0.339905 -0 NaN NaN -0.339905 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 37.389531 NIKKEI 0.339905 caleb_strategy_v3 BTP 48.278250 CHF 646.875000 COPPER 668.750000 CRUDE_W -75.000000 DOW 104.000000 EUR -121.875000 EURIBOR-ICE 40.231875 EUROSTX 391.590250 GAS_US_mini -93.750000 GOLD_micro -344.500000 LIVECOW 240.000000 SMI -1461.980000 SOYMEAL 485.000000 SP400 190.000000 SP500_micro 123.125000 SUGAR11 -190.400000 US5 472.656250 WHEAT -37.500000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 37.729436 caleb_strategy_v3 1085.501625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini -57.783821 NIKKEI -4.418763 caleb_strategy_v3 BTP -5.364250 CHF -9.375000 COPPER -6.250000 CRUDE_W -5.000000 DOW -0.500000 EUR -3.125000 EURIBOR-ICE -26.821250 EUROSTX -16.092750 GAS_US_mini -6.250000 GOLD_micro -9.500000 LIVECOW -10.000000 SMI -56.230000 SOYMEAL -5.000000 SP400 -40.000000 SP500_micro -0.625000 SUGAR11 0.000000 US5 -11.718750 WHEAT -0.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -62.202583 caleb_strategy_v3 -211.852000 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0.000000 NIKKEI 2.719239 caleb_strategy_v3 BTP 10.728500 CHF -6.250000 COPPER 12.500000 CRUDE_W 10.000000 DOW 1.000000 EUR -12.500000 EURIBOR-ICE -13.410625 EUROSTX 21.457000 GAS_US_mini -12.500000 GOLD_micro -13.000000 LIVECOW -0.000000 SMI 67.476000 SOYMEAL -10.000000 SP400 -40.000000 SP500_micro -1.250000 SUGAR11 179.200000 US5 39.062500 WHEAT 412.500000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 2.719239 caleb_strategy_v3 645.013375 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0.000000e+00 NIKKEI -6.798097e-01 caleb_strategy_v3 BTP 0.000000e+00 CHF -2.500000e+01 COPPER 0.000000e+00 CRUDE_W 1.421085e-11 DOW 0.000000e+00 EUR -1.875000e+01 EURIBOR-ICE -5.364250e+01 EUROSTX -1.072850e+01 GAS_US_mini -2.500000e+01 GOLD_micro -2.400000e+01 LIVECOW -2.000000e+01 SMI -6.747600e+01 SOYMEAL -2.000000e+01 SP400 -1.200000e+02 SP500_micro -2.500000e+00 SUGAR11 1.792000e+02 US5 1.562500e+01 WHEAT 4.125000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.67981 caleb_strategy_v3 220.22800 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0 NIKKEI 0 caleb_strategy_v3 BTP 0 CHF 0 COPPER 0 CRUDE_W 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 GOLD_micro 0 LIVECOW 0 SMI 0 SOYMEAL 0 SP400 0 SP500_micro 0 SUGAR11 0 US5 0 WHEAT 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 0.000000 NIKKEI -1.699524 caleb_strategy_v3 BTP 5.364250 CHF -15.625000 COPPER 6.250000 CRUDE_W 5.000000 DOW 0.500000 EUR -15.625000 EURIBOR-ICE -40.231875 EUROSTX 5.364250 GAS_US_mini -18.750000 GOLD_micro -22.500000 LIVECOW -10.000000 SMI 11.246000 SOYMEAL -15.000000 SP400 -80.000000 SP500_micro -1.875000 SUGAR11 179.200000 US5 27.343750 WHEAT 412.500000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -1.699524 caleb_strategy_v3 433.161375 ******************************************************************************** END OF REPORT ********************************************************************************