******************************************************************************** Trades report produced on 27/09/2023 21:39 from 26/09/2023 21:39 to 27/09/2023 21:39 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 7332 CAC caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.022 [0] NaN 7333 CAC caleb_strategy_v3 [20231000] 2023-09-27 07:15:09.000 [-1] 7095.000000 7345 CHF caleb_strategy_v3 [20231200] 2023-09-27 14:00:30.000 [1] 1.098550 7335 COPPER caleb_strategy_v3 [20231200] 2023-09-27 13:00:03.000 [-1] 3.636500 7334 CRUDE_W caleb_strategy_v3 [20231200] 2023-09-27 13:00:01.000 [1] 90.290000 7350 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:02.000 [-1] 33866.000000 7362 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:31.000 [-1] 33851.000000 7363 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:33.000 [-1] 33852.000000 7344 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:00:28.000 [-1] 33888.000000 7359 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:23.000 [-1] 33859.000000 7361 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:28.000 [-1] 33854.000000 7352 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:05.000 [-1] 33865.000000 7353 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:07.000 [-1] 33863.000000 7354 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:10.000 [-1] 33860.000000 7355 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:12.000 [-1] 33862.000000 7356 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:16.000 [-1] 33863.000000 7348 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:00:59.000 [-1] 33873.000000 7360 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:26.000 [-1] 33859.000000 7358 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:20.000 [-1] 33863.000000 7357 DOW caleb_strategy_v3 [20231200] 2023-09-27 14:01:18.000 [-1] 33862.000000 7342 EUR caleb_strategy_v3 [20231200] 2023-09-27 14:00:17.000 [-1] 1.055950 7347 EUR caleb_strategy_v3 [20231200] 2023-09-27 14:00:58.000 [-1] 1.055800 7351 EUR caleb_strategy_v3 [20231200] 2023-09-27 14:01:05.000 [-1] 1.055850 7349 EUR caleb_strategy_v3 [20231200] 2023-09-27 14:01:01.000 [-1] 1.055800 7367 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 17:22:48.048 [-10] 1899.200000 7368 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.108 [0] NaN 7370 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.199 [0] NaN 7371 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.289 [0] NaN 7372 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.378 [0] NaN 7373 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.479 [0] NaN 7374 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.571 [0] NaN 7375 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.675 [0] NaN 7376 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.765 [0] NaN 7378 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.946 [0] NaN 7377 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-27 19:45:02.857 [0] NaN 7340 JPY caleb_strategy_v3 [20231200] 2023-09-27 14:00:15.000 [1] 0.006784 7365 LEANHOG caleb_strategy_v3 [20231200] 2023-09-27 14:30:03.000 [-1] 72.975000 7366 LIVECOW caleb_strategy_v3 [20231200] 2023-09-27 14:30:04.000 [-1] 188.250000 7341 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-09-27 14:00:16.000 [-1] 14770.250000 7328 NIKKEI caleb_strategy_v3 [20231200] 2023-09-27 02:00:31.000 [-1] 31905.000000 7329 NIKKEI caleb_strategy_v3 [20231200] 2023-09-27 02:00:42.000 [-1] 31910.000000 7330 NIKKEI caleb_strategy_v3 [20231200] 2023-09-27 02:00:46.000 [-1] 31915.000000 7331 NIKKEI caleb_strategy_v3 [20231200] 2023-09-27 02:00:48.000 [-1] 31915.000000 7338 PLAT caleb_strategy_v3 [20240100] 2023-09-27 13:00:34.000 [-1] 910.400000 7337 PLAT caleb_strategy_v3 [20240100] 2023-09-27 13:00:20.000 [-1] 909.900000 7336 PLAT caleb_strategy_v3 [20240100] 2023-09-27 13:00:06.000 [-1] 909.600000 7364 SOYOIL caleb_strategy_v3 [20240100] 2023-09-27 14:30:02.000 [1] 57.970000 7369 SOYOIL caleb_strategy_v3 [20231000] 2023-09-27 17:23:46.639 [-1] 58.670000 7343 US30 caleb_strategy_v3 [20231200] 2023-09-27 14:00:27.000 [1] 119.812500 7346 US5 caleb_strategy_v3 [20231200] 2023-09-27 14:00:56.000 [1] 105.320313 7339 VIX caleb_strategy_v3 [20231200] 2023-09-27 14:00:12.000 [-1] 18.750000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7328 NIKKEI caleb_strategy_v3 2023-09-25 2023-09-27 03:00:30.880 2023-09-27 02:00:31.000 183631 NaN 7329 NIKKEI caleb_strategy_v3 2023-09-25 2023-09-27 03:00:33.979 2023-09-27 02:00:42.000 183634 NaN 7330 NIKKEI caleb_strategy_v3 2023-09-25 2023-09-27 03:00:44.632 2023-09-27 02:00:46.000 183645 NaN 7331 NIKKEI caleb_strategy_v3 2023-09-25 2023-09-27 03:00:48.518 2023-09-27 02:00:48.000 183649 NaN 7334 CRUDE_W caleb_strategy_v3 2023-09-26 2023-09-27 14:00:01.704 2023-09-27 13:00:01.000 136802 NaN 7335 COPPER caleb_strategy_v3 2023-09-26 2023-09-27 14:00:02.738 2023-09-27 13:00:03.000 136803 NaN 7336 PLAT caleb_strategy_v3 2023-09-26 2023-09-27 14:00:04.108 2023-09-27 13:00:06.000 136804 NaN 7337 PLAT caleb_strategy_v3 2023-09-26 2023-09-27 14:00:20.420 2023-09-27 13:00:20.000 136820 NaN 7338 PLAT caleb_strategy_v3 2023-09-26 2023-09-27 14:00:34.130 2023-09-27 13:00:34.000 136834 NaN 7339 VIX caleb_strategy_v3 2023-09-26 2023-09-27 15:00:02.014 2023-09-27 14:00:12.000 140402 NaN 7340 JPY caleb_strategy_v3 2023-09-26 2023-09-27 15:00:13.215 2023-09-27 14:00:15.000 140413 NaN 7341 NASDAQ_micro caleb_strategy_v3 2023-09-26 2023-09-27 15:00:16.072 2023-09-27 14:00:16.000 140416 NaN 7343 US30 caleb_strategy_v3 2023-09-26 2023-09-27 15:00:17.722 2023-09-27 14:00:27.000 140418 NaN 7345 CHF caleb_strategy_v3 2023-09-26 2023-09-27 15:00:29.389 2023-09-27 14:00:30.000 140429 NaN 7346 US5 caleb_strategy_v3 2023-09-26 2023-09-27 15:00:31.482 2023-09-27 14:00:56.000 140431 NaN 7347 EUR caleb_strategy_v3 2023-09-26 2023-09-27 15:00:58.255 2023-09-27 14:00:58.000 140458 NaN 7349 EUR caleb_strategy_v3 2023-09-26 2023-09-27 15:01:01.350 2023-09-27 14:01:01.000 140461 NaN 7342 EUR caleb_strategy_v3 2023-09-26 2023-09-27 15:00:16.946 2023-09-27 14:00:17.000 140417 NaN 7351 EUR caleb_strategy_v3 2023-09-26 2023-09-27 15:01:04.203 2023-09-27 14:01:05.000 140464 NaN 7360 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:25.927 2023-09-27 14:01:26.000 140486 NaN 7361 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:28.477 2023-09-27 14:01:28.000 140488 NaN 7362 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:30.908 2023-09-27 14:01:31.000 140491 NaN 7363 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:33.048 2023-09-27 14:01:33.000 140493 NaN 7344 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:00:27.927 2023-09-27 14:00:28.000 140428 NaN 7348 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:00:58.997 2023-09-27 14:00:59.000 140459 NaN 7350 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:02.048 2023-09-27 14:01:02.000 140462 NaN 7352 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:05.561 2023-09-27 14:01:05.000 140466 NaN 7353 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:07.698 2023-09-27 14:01:07.000 140468 NaN 7354 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:09.926 2023-09-27 14:01:10.000 140470 NaN 7355 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:12.303 2023-09-27 14:01:12.000 140472 NaN 7356 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:14.789 2023-09-27 14:01:16.000 140475 NaN 7357 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:18.276 2023-09-27 14:01:18.000 140478 NaN 7358 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:20.795 2023-09-27 14:01:20.000 140481 NaN 7359 DOW caleb_strategy_v3 2023-09-26 2023-09-27 15:01:23.254 2023-09-27 14:01:23.000 140483 NaN 7364 SOYOIL caleb_strategy_v3 2023-09-26 2023-09-27 15:30:02.343 2023-09-27 14:30:02.000 142202 NaN 7365 LEANHOG caleb_strategy_v3 2023-09-26 2023-09-27 15:30:03.243 2023-09-27 14:30:03.000 142203 NaN 7366 LIVECOW caleb_strategy_v3 2023-09-26 2023-09-27 15:30:04.092 2023-09-27 14:30:04.000 142204 NaN 7367 GOLD_micro caleb_strategy_v3 NaT NaT 2023-09-27 17:22:48.048 NaN NaN 7369 SOYOIL caleb_strategy_v3 NaT NaT 2023-09-27 17:23:46.639 NaN NaN 7332 CAC caleb_strategy_v3 2023-09-26 2023-09-27 08:00:03.555 2023-09-27 19:45:02.022 115204 42298.5 7333 CAC caleb_strategy_v3 2023-09-26 2023-09-27 08:10:09.725 2023-09-27 07:15:09.000 115810 NaN 7368 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 17:23:10.483 2023-09-27 19:45:02.108 148990 8511.62 7370 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 17:33:24.153 2023-09-27 19:45:02.199 149604 7898.05 7371 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 17:43:37.727 2023-09-27 19:45:02.289 150218 7284.56 7372 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 17:53:51.963 2023-09-27 19:45:02.378 150832 6670.41 7373 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 18:04:05.792 2023-09-27 19:45:02.479 151446 6056.69 7374 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 18:14:30.830 2023-09-27 19:45:02.571 152071 5431.74 7375 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 18:24:44.648 2023-09-27 19:45:02.675 152685 4818.03 7376 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 18:34:58.824 2023-09-27 19:45:02.765 153299 4203.94 7377 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 18:45:12.915 2023-09-27 19:45:02.857 153913 3589.94 7378 GOLD_micro caleb_strategy_v3 2023-09-26 2023-09-27 18:55:27.418 2023-09-27 19:45:02.946 154527 2975.53 ====================================================================================================================================================================================================================================== 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 7328 NIKKEI caleb_strategy_v3 [-1] 32480 None 31902.5 31900 31905 31905 31905 -577.5 -2.5 5 -0 NaN 2.5 7329 NIKKEI caleb_strategy_v3 [-1] 32480 None 31907.5 31905 31910 31910 31910 -572.5 -2.5 5 -0 NaN 2.5 7330 NIKKEI caleb_strategy_v3 [-1] 32480 None 31912.5 31910 31915 31915 31915 -567.5 -2.5 5 -0 NaN 2.5 7331 NIKKEI caleb_strategy_v3 [-1] 32480 None 31912.5 31910 31915 31915 31915 -567.5 -2.5 5 -0 NaN 2.5 7334 CRUDE_W caleb_strategy_v3 [1] 88.86 None 90.3 90.31 90.29 90.29 90.29 -1.44 -0.01 0.02 0 NaN 0.01 7335 COPPER caleb_strategy_v3 [-1] 3.644 None 3.636 3.6355 3.6365 3.6365 3.6365 -0.008 -0.0005 0.001 -4.44089e-16 NaN 0.0005 7336 PLAT caleb_strategy_v3 [-1] 913.9 None 909.5 909.4 909.6 909.6 909.6 -4.4 -0.1 0.2 -0 NaN 0.1 7337 PLAT caleb_strategy_v3 [-1] 913.9 None 909.6 909.5 909.7 909.7 909.9 -4.3 -0.1 0.4 0.2 NaN 0.3 7338 PLAT caleb_strategy_v3 [-1] 913.9 None 910.05 909.9 910.2 910.2 910.4 -3.85 -0.15 0.5 0.2 NaN 0.35 7339 VIX caleb_strategy_v3 [-1] 19 None 18.775 18.75 18.8 18.8 18.75 -0.225 -0.025 -0 -0.05 NaN -0.025 7340 JPY caleb_strategy_v3 [1] 0.006798 None 0.00678425 0.0067845 0.006784 0.006784 0.006784 1.375e-05 -2.5e-07 5e-07 0 NaN 2.5e-07 7341 NASDAQ_micro caleb_strategy_v3 [-1] 14704.2 None 14770.9 14770.8 14771 14771 14770.2 66.625 -0.125 -0.5 -0.75 NaN -0.625 7343 US30 caleb_strategy_v3 [1] 119.062 None 119.828 119.844 119.812 119.812 119.812 -0.765625 -0.015625 0.03125 0 NaN 0.015625 7345 CHF caleb_strategy_v3 [1] 1.10235 None 1.09848 1.0985 1.09845 1.09845 1.09855 0.003875 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 7346 US5 caleb_strategy_v3 [1] 105.273 None 105.324 105.328 105.32 105.32 105.32 -0.0507812 -0.00390625 0.007812 -5e-07 NaN 0.00390575 7347 EUR caleb_strategy_v3 [-1] 1.06065 None 1.05595 1.0559 1.056 1.056 1.0558 -0.0047 -5e-05 -0.0001 -0.0002 NaN -0.00015 7349 EUR caleb_strategy_v3 [-1] 1.06065 None 1.05585 1.0558 1.0559 1.0559 1.0558 -0.0048 -5e-05 -0 -0.0001 NaN -5e-05 7342 EUR caleb_strategy_v3 [-1] 1.06065 None 1.05593 1.0559 1.05595 1.05595 1.05595 -0.004725 -2.5e-05 5e-05 -0 NaN 2.5e-05 7351 EUR caleb_strategy_v3 [-1] 1.06065 None 1.05583 1.0558 1.05585 1.05585 1.05585 -0.004825 -2.5e-05 5e-05 -0 NaN 2.5e-05 7360 DOW caleb_strategy_v3 [-1] 33869 None 33860 33859 33861 33861 33859 -9 -1 -0 -2 NaN -1 7361 DOW caleb_strategy_v3 [-1] 33869 None 33857.5 33857 33858 33858 33854 -11.5 -0.5 -3 -4 NaN -3.5 7362 DOW caleb_strategy_v3 [-1] 33869 None 33854 33853 33855 33855 33851 -15 -1 -2 -4 NaN -3 7363 DOW caleb_strategy_v3 [-1] 33869 None 33851.5 33851 33852 33852 33852 -17.5 -0.5 1 -0 NaN 0.5 7344 DOW caleb_strategy_v3 [-1] 33869 None 33887.5 33887 33888 33888 33888 18.5 -0.5 1 -0 NaN 0.5 7348 DOW caleb_strategy_v3 [-1] 33869 None 33887.5 33887 33888 33888 33873 18.5 -0.5 -14 -15 NaN -14.5 7350 DOW caleb_strategy_v3 [-1] 33869 None 33873.5 33873 33874 33874 33866 4.5 -0.5 -7 -8 NaN -7.5 7352 DOW caleb_strategy_v3 [-1] 33869 None 33866.5 33866 33867 33867 33865 -2.5 -0.5 -1 -2 NaN -1.5 7353 DOW caleb_strategy_v3 [-1] 33869 None 33865 33864 33866 33866 33863 -4 -1 -1 -3 NaN -2 7354 DOW caleb_strategy_v3 [-1] 33869 None 33862.5 33862 33863 33863 33860 -6.5 -0.5 -2 -3 NaN -2.5 7355 DOW caleb_strategy_v3 [-1] 33869 None 33861 33860 33862 33862 33862 -8 -1 2 -0 NaN 1 7356 DOW caleb_strategy_v3 [-1] 33869 None 33862.5 33862 33863 33863 33863 -6.5 -0.5 1 -0 NaN 0.5 7357 DOW caleb_strategy_v3 [-1] 33869 None 33862.5 33862 33863 33863 33862 -6.5 -0.5 -0 -1 NaN -0.5 7358 DOW caleb_strategy_v3 [-1] 33869 None 33862.5 33862 33863 33863 33863 -6.5 -0.5 1 -0 NaN 0.5 7359 DOW caleb_strategy_v3 [-1] 33869 None 33864 33863 33865 33865 33859 -5 -1 -4 -6 NaN -5 7364 SOYOIL caleb_strategy_v3 [1] 56.95 None 57.96 57.97 57.95 57.95 57.97 -1.01 -0.01 0 -0.02 NaN -0.01 7365 LEANHOG caleb_strategy_v3 [-1] 72.4 None 72.9875 72.975 73 73 72.975 0.5875 -0.0125 -0 -0.025 NaN -0.0125 7366 LIVECOW caleb_strategy_v3 [-1] 188.525 None 188.262 188.25 188.275 188.275 188.25 -0.2625 -0.0125 -0 -0.025 NaN -0.0125 7367 GOLD_micro caleb_strategy_v3 [-10] NaN None NaN NaN NaN NaN 1899.2 NaN NaN NaN NaN NaN NaN 7369 SOYOIL caleb_strategy_v3 [-1] NaN None NaN NaN NaN NaN 58.67 NaN NaN NaN NaN NaN NaN 7332 CAC caleb_strategy_v3 [-1] 7079 None 7108 7107.5 7108.5 7108.5 NaN 29 -0.5 NaN NaN NaN NaN 7333 CAC caleb_strategy_v3 [-1] 7079 None 7106.25 7106 7106.5 7106.5 7095 27.25 -0.25 -11 -11.5 NaN -11.25 7368 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1876.8 1876.9 1876.7 1876.7 NaN 22.4 -0.1 NaN NaN NaN NaN 7370 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1876.1 1876.2 1876 1876 NaN 23.1 -0.1 NaN NaN NaN NaN 7371 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1875.75 1875.9 1875.6 1875.6 NaN 23.45 -0.15 NaN NaN NaN NaN 7372 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1875.2 1875.3 1875.1 1875.1 NaN 24 -0.1 NaN NaN NaN NaN 7373 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1875.95 1876.1 1875.8 1875.8 NaN 23.25 -0.15 NaN NaN NaN NaN 7374 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1875 1875.1 1874.9 1874.9 NaN 24.2 -0.1 NaN NaN NaN NaN 7375 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1873.65 1873.8 1873.5 1873.5 NaN 25.55 -0.15 NaN NaN NaN NaN 7376 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1872.2 1872.3 1872.1 NaN NaN 27 -0.1 NaN NaN NaN NaN 7377 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1873.4 1873.5 1873.3 NaN NaN 25.8 -0.1 NaN NaN NaN NaN 7378 GOLD_micro caleb_strategy_v3 [1] 1899.2 None 1873.6 1873.7 1873.5 NaN NaN 25.6 -0.1 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 7328 NIKKEI caleb_strategy_v3 [-1] 4842.35 -1192.6 -5.16279 10.3256 -0 NaN 5.16279 7329 NIKKEI caleb_strategy_v3 [-1] 4842.35 -1182.28 -5.16279 10.3256 -0 NaN 5.16279 7330 NIKKEI caleb_strategy_v3 [-1] 4842.35 -1171.95 -5.16279 10.3256 -0 NaN 5.16279 7331 NIKKEI caleb_strategy_v3 [-1] 4842.35 -1171.95 -5.16279 10.3256 -0 NaN 5.16279 7334 CRUDE_W caleb_strategy_v3 [1] 19.3662 -743.563 -5.16363 10.3273 0 NaN 5.16363 7335 COPPER caleb_strategy_v3 [-1] 0.689871 -115.964 -7.24773 14.4955 -6.43728e-12 NaN 7.24773 7336 PLAT caleb_strategy_v3 [-1] 228.814 -192.296 -4.37036 8.74072 -0 NaN 4.37036 7337 PLAT caleb_strategy_v3 [-1] 228.814 -187.925 -4.37036 17.4814 8.74072 NaN 13.1111 7338 PLAT caleb_strategy_v3 [-1] 228.814 -168.259 -6.55554 21.8518 8.74072 NaN 15.2963 7339 VIX caleb_strategy_v3 [-1] 7.55312 -297.89 -33.0989 -0 -66.1978 NaN -33.0989 7340 JPY caleb_strategy_v3 [1] 0.000564194 243.71 -4.4311 8.8622 0 NaN 4.4311 7341 NASDAQ_micro caleb_strategy_v3 [-1] 2959.22 225.143 -0.422408 -1.68963 -2.53445 NaN -2.11204 7343 US30 caleb_strategy_v3 [1] 20.6144 -371.403 -7.57966 15.1593 0 NaN 7.57966 7345 CHF caleb_strategy_v3 [1] 0.0697961 555.188 -3.58186 -7.16372 -14.3274 NaN -10.7456 7346 US5 caleb_strategy_v3 [1] 4.35856 -116.509 -8.96226 17.9234 -0.00114717 NaN 8.96111 7347 EUR caleb_strategy_v3 [-1] 0.071176 -660.335 -7.02484 -14.0497 -28.0994 NaN -21.0745 7349 EUR caleb_strategy_v3 [-1] 0.071176 -674.385 -7.02484 -0 -14.0497 NaN -7.02484 7342 EUR caleb_strategy_v3 [-1] 0.071176 -663.847 -3.51242 7.02484 -0 NaN 3.51242 7351 EUR caleb_strategy_v3 [-1] 0.071176 -677.897 -3.51242 7.02484 -0 NaN 3.51242 7360 DOW caleb_strategy_v3 [-1] 3886.2 -23.1588 -2.57321 -0 -5.14641 NaN -2.57321 7361 DOW caleb_strategy_v3 [-1] 3886.2 -29.5919 -1.2866 -7.71962 -10.2928 NaN -9.00622 7362 DOW caleb_strategy_v3 [-1] 3886.2 -38.5981 -2.57321 -5.14641 -10.2928 NaN -7.71962 7363 DOW caleb_strategy_v3 [-1] 3886.2 -45.0311 -1.2866 2.57321 -0 NaN 1.2866 7344 DOW caleb_strategy_v3 [-1] 3886.2 47.6043 -1.2866 2.57321 -0 NaN 1.2866 7348 DOW caleb_strategy_v3 [-1] 3886.2 47.6043 -1.2866 -36.0249 -38.5981 NaN -37.3115 7350 DOW caleb_strategy_v3 [-1] 3886.2 11.5794 -1.2866 -18.0124 -20.5856 NaN -19.299 7352 DOW caleb_strategy_v3 [-1] 3886.2 -6.43301 -1.2866 -2.57321 -5.14641 NaN -3.85981 7353 DOW caleb_strategy_v3 [-1] 3886.2 -10.2928 -2.57321 -2.57321 -7.71962 NaN -5.14641 7354 DOW caleb_strategy_v3 [-1] 3886.2 -16.7258 -1.2866 -5.14641 -7.71962 NaN -6.43301 7355 DOW caleb_strategy_v3 [-1] 3886.2 -20.5856 -2.57321 5.14641 -0 NaN 2.57321 7356 DOW caleb_strategy_v3 [-1] 3886.2 -16.7258 -1.2866 2.57321 -0 NaN 1.2866 7357 DOW caleb_strategy_v3 [-1] 3886.2 -16.7258 -1.2866 -0 -2.57321 NaN -1.2866 7358 DOW caleb_strategy_v3 [-1] 3886.2 -16.7258 -1.2866 2.57321 -0 NaN 1.2866 7359 DOW caleb_strategy_v3 [-1] 3886.2 -12.866 -2.57321 -10.2928 -15.4392 NaN -12.866 7364 SOYOIL caleb_strategy_v3 [1] 16.3976 -615.944 -6.09845 0 -12.1969 NaN -6.09845 7365 LEANHOG caleb_strategy_v3 [-1] 23.6309 248.615 -5.28969 -0 -10.5794 NaN -5.28969 7366 LIVECOW caleb_strategy_v3 [-1] 20.1583 -130.219 -6.20092 -0 -12.4018 NaN -6.20092 7367 GOLD_micro caleb_strategy_v3 [-10] 197.433 NaN NaN NaN NaN NaN NaN 7369 SOYOIL caleb_strategy_v3 [-1] 16.3976 NaN NaN NaN NaN NaN NaN 7332 CAC caleb_strategy_v3 [-1] 1008.87 287.451 -4.95605 NaN NaN NaN NaN 7333 CAC caleb_strategy_v3 [-1] 1008.87 270.105 -2.47802 -109.033 -113.989 NaN -111.511 7368 GOLD_micro caleb_strategy_v3 [1] 197.433 1134.56 -5.06501 NaN NaN NaN NaN 7370 GOLD_micro caleb_strategy_v3 [1] 197.433 1170.02 -5.06501 NaN NaN NaN NaN 7371 GOLD_micro caleb_strategy_v3 [1] 197.433 1187.75 -7.59752 NaN NaN NaN NaN 7372 GOLD_micro caleb_strategy_v3 [1] 197.433 1215.6 -5.06501 NaN NaN NaN NaN 7373 GOLD_micro caleb_strategy_v3 [1] 197.433 1177.62 -7.59752 NaN NaN NaN NaN 7374 GOLD_micro caleb_strategy_v3 [1] 197.433 1225.73 -5.06501 NaN NaN NaN NaN 7375 GOLD_micro caleb_strategy_v3 [1] 197.433 1294.11 -7.59752 NaN NaN NaN NaN 7376 GOLD_micro caleb_strategy_v3 [1] 197.433 1367.55 -5.06501 NaN NaN NaN NaN 7377 GOLD_micro caleb_strategy_v3 [1] 197.433 1306.77 -5.06501 NaN NaN NaN NaN 7378 GOLD_micro caleb_strategy_v3 [1] 197.433 1296.64 -5.06501 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 7328 NIKKEI caleb_strategy_v3 [-1] 0.670677 -387.316 -1.67669 3.35339 -0 NaN 1.67669 7329 NIKKEI caleb_strategy_v3 [-1] 0.670677 -383.963 -1.67669 3.35339 -0 NaN 1.67669 7330 NIKKEI caleb_strategy_v3 [-1] 0.670677 -380.609 -1.67669 3.35339 -0 NaN 1.67669 7331 NIKKEI caleb_strategy_v3 [-1] 0.670677 -380.609 -1.67669 3.35339 -0 NaN 1.67669 7334 CRUDE_W caleb_strategy_v3 [1] 1000 -1440 -10 20 0 NaN 10 7335 COPPER caleb_strategy_v3 [-1] 25000 -200 -12.5 25 -1.11022e-11 NaN 12.5 7336 PLAT caleb_strategy_v3 [-1] 50 -220 -5 10 -0 NaN 5 7337 PLAT caleb_strategy_v3 [-1] 50 -215 -5 20 10 NaN 15 7338 PLAT caleb_strategy_v3 [-1] 50 -192.5 -7.5 25 10 NaN 17.5 7339 VIX caleb_strategy_v3 [-1] 1000 -225 -25 -0 -50 NaN -25 7340 JPY caleb_strategy_v3 [1] 1.25e+07 171.875 -3.125 6.25 0 NaN 3.125 7341 NASDAQ_micro caleb_strategy_v3 [-1] 2 133.25 -0.25 -1 -1.5 NaN -1.25 7343 US30 caleb_strategy_v3 [1] 1000 -765.625 -15.625 31.25 0 NaN 15.625 7345 CHF caleb_strategy_v3 [1] 125000 484.375 -3.125 -6.25 -12.5 NaN -9.375 7346 US5 caleb_strategy_v3 [1] 1000 -50.7812 -3.90625 7.812 -0.0005 NaN 3.90575 7347 EUR caleb_strategy_v3 [-1] 125000 -587.5 -6.25 -12.5 -25 NaN -18.75 7349 EUR caleb_strategy_v3 [-1] 125000 -600 -6.25 -0 -12.5 NaN -6.25 7342 EUR caleb_strategy_v3 [-1] 125000 -590.625 -3.125 6.25 -0 NaN 3.125 7351 EUR caleb_strategy_v3 [-1] 125000 -603.125 -3.125 6.25 -0 NaN 3.125 7360 DOW caleb_strategy_v3 [-1] 0.5 -4.5 -0.5 -0 -1 NaN -0.5 7361 DOW caleb_strategy_v3 [-1] 0.5 -5.75 -0.25 -1.5 -2 NaN -1.75 7362 DOW caleb_strategy_v3 [-1] 0.5 -7.5 -0.5 -1 -2 NaN -1.5 7363 DOW caleb_strategy_v3 [-1] 0.5 -8.75 -0.25 0.5 -0 NaN 0.25 7344 DOW caleb_strategy_v3 [-1] 0.5 9.25 -0.25 0.5 -0 NaN 0.25 7348 DOW caleb_strategy_v3 [-1] 0.5 9.25 -0.25 -7 -7.5 NaN -7.25 7350 DOW caleb_strategy_v3 [-1] 0.5 2.25 -0.25 -3.5 -4 NaN -3.75 7352 DOW caleb_strategy_v3 [-1] 0.5 -1.25 -0.25 -0.5 -1 NaN -0.75 7353 DOW caleb_strategy_v3 [-1] 0.5 -2 -0.5 -0.5 -1.5 NaN -1 7354 DOW caleb_strategy_v3 [-1] 0.5 -3.25 -0.25 -1 -1.5 NaN -1.25 7355 DOW caleb_strategy_v3 [-1] 0.5 -4 -0.5 1 -0 NaN 0.5 7356 DOW caleb_strategy_v3 [-1] 0.5 -3.25 -0.25 0.5 -0 NaN 0.25 7357 DOW caleb_strategy_v3 [-1] 0.5 -3.25 -0.25 -0 -0.5 NaN -0.25 7358 DOW caleb_strategy_v3 [-1] 0.5 -3.25 -0.25 0.5 -0 NaN 0.25 7359 DOW caleb_strategy_v3 [-1] 0.5 -2.5 -0.5 -2 -3 NaN -2.5 7364 SOYOIL caleb_strategy_v3 [1] 600 -606 -6 0 -12 NaN -6 7365 LEANHOG caleb_strategy_v3 [-1] 400 235 -5 -0 -10 NaN -5 7366 LIVECOW caleb_strategy_v3 [-1] 400 -105 -5 -0 -10 NaN -5 7367 GOLD_micro caleb_strategy_v3 [-10] 10 NaN NaN NaN NaN NaN NaN 7369 SOYOIL caleb_strategy_v3 [-1] 600 NaN NaN NaN NaN NaN NaN 7332 CAC caleb_strategy_v3 [-1] 10.5595 306.226 -5.27975 NaN NaN NaN NaN 7333 CAC caleb_strategy_v3 [-1] 10.5595 287.746 -2.63987 -116.154 -121.434 NaN -118.794 7368 GOLD_micro caleb_strategy_v3 [1] 10 224 -1 NaN NaN NaN NaN 7370 GOLD_micro caleb_strategy_v3 [1] 10 231 -1 NaN NaN NaN NaN 7371 GOLD_micro caleb_strategy_v3 [1] 10 234.5 -1.5 NaN NaN NaN NaN 7372 GOLD_micro caleb_strategy_v3 [1] 10 240 -1 NaN NaN NaN NaN 7373 GOLD_micro caleb_strategy_v3 [1] 10 232.5 -1.5 NaN NaN NaN NaN 7374 GOLD_micro caleb_strategy_v3 [1] 10 242 -1 NaN NaN NaN NaN 7375 GOLD_micro caleb_strategy_v3 [1] 10 255.5 -1.5 NaN NaN NaN NaN 7376 GOLD_micro caleb_strategy_v3 [1] 10 270 -1 NaN NaN NaN NaN 7377 GOLD_micro caleb_strategy_v3 [1] 10 258 -1 NaN NaN NaN NaN 7378 GOLD_micro caleb_strategy_v3 [1] 10 256 -1 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAC 593.971875 CHF 484.375000 COPPER -200.000000 CRUDE_W -1440.000000 DOW -28.500000 EUR -2381.250000 GOLD_micro 2443.500000 JPY 171.875000 LEANHOG 235.000000 LIVECOW -105.000000 NASDAQ_micro 133.250000 NIKKEI -1532.497669 PLAT -627.500000 SOYOIL -606.000000 US30 -765.625000 US5 -50.781250 VIX -225.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -3900.182044 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAC -7.919625 CHF -3.125000 COPPER -12.500000 CRUDE_W -10.000000 DOW -5.000000 EUR -18.750000 GOLD_micro -11.500000 JPY -3.125000 LEANHOG -5.000000 LIVECOW -5.000000 NASDAQ_micro -0.250000 NIKKEI -6.706773 PLAT -17.500000 SOYOIL -6.000000 US30 -15.625000 US5 -3.906250 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -156.907648 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAC -1.161545e+02 CHF -6.250000e+00 COPPER 2.500000e+01 CRUDE_W 2.000000e+01 DOW -1.400000e+01 EUR -2.775558e-11 GOLD_micro 0.000000e+00 JPY 6.250000e+00 LEANHOG -0.000000e+00 LIVECOW -0.000000e+00 NASDAQ_micro -1.000000e+00 NIKKEI 1.341355e+01 PLAT 5.500000e+01 SOYOIL 0.000000e+00 US30 3.125000e+01 US5 7.812000e+00 VIX -0.000000e+00 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 21.321046 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC -1.214342e+02 CHF -1.250000e+01 COPPER -1.110223e-11 CRUDE_W 0.000000e+00 DOW -2.400000e+01 EUR -3.750000e+01 GOLD_micro 0.000000e+00 JPY 0.000000e+00 LEANHOG -1.000000e+01 LIVECOW -1.000000e+01 NASDAQ_micro -1.500000e+00 NIKKEI -0.000000e+00 PLAT 2.000000e+01 SOYOIL -1.200000e+01 US30 0.000000e+00 US5 -5.000000e-04 VIX -5.000000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -258.93475 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 0 CHF 0 COPPER 0 CRUDE_W 0 DOW 0 EUR 0 GOLD_micro 0 JPY 0 LEANHOG 0 LIVECOW 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 SOYOIL 0 US30 0 US5 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 CAC -118.794375 CHF -9.375000 COPPER 12.500000 CRUDE_W 10.000000 DOW -19.000000 EUR -18.750000 GOLD_micro 0.000000 JPY 3.125000 LEANHOG -5.000000 LIVECOW -5.000000 NASDAQ_micro -1.250000 NIKKEI 6.706773 PLAT 37.500000 SOYOIL -6.000000 US30 15.625000 US5 3.905750 VIX -25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -118.806852 ******************************************************************************** END OF REPORT ********************************************************************************