******************************************************************************** Trades report produced on 02/10/2023 21:38 from 01/10/2023 21:38 to 02/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7408 BOBL caleb_strategy_v3 [20231200] 2023-10-02 07:00:06 [1] 115.59000 7411 BOBL caleb_strategy_v3 [20231200] 2023-10-02 07:00:11 [1] 115.60000 7412 BOBL caleb_strategy_v3 [20231200] 2023-10-02 07:00:13 [1] 115.60000 7410 BUND caleb_strategy_v3 [20231200] 2023-10-02 07:00:09 [1] 128.28000 7420 COCOA caleb_strategy_v3 [20240300] 2023-10-02 13:00:07 [-1] 3509.00000 7417 CRUDE_W caleb_strategy_v3 [20231200] 2023-10-02 13:00:01 [-1] 88.95000 7451 DOW caleb_strategy_v3 [20231200] 2023-10-02 14:00:18 [1] 33626.00000 7450 DOW caleb_strategy_v3 [20231200] 2023-10-02 14:00:15 [1] 33620.00000 7448 DOW caleb_strategy_v3 [20231200] 2023-10-02 14:00:13 [1] 33606.00000 7443 DOW caleb_strategy_v3 [20231200] 2023-10-02 14:00:06 [1] 33599.00000 7446 DOW caleb_strategy_v3 [20231200] 2023-10-02 14:00:10 [1] 33600.00000 7438 EUR caleb_strategy_v3 [20231200] 2023-10-02 14:00:00 [1] 1.05415 7444 EUR caleb_strategy_v3 [20231200] 2023-10-02 14:00:08 [1] 1.05460 7415 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-02 08:06:44 [1] 96.92000 7416 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-02 08:07:56 [1] 96.92500 7413 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-02 08:04:57 [1] 96.92500 7414 GASOIL caleb_strategy_v3 [20231200] 2023-10-02 08:05:21 [-1] 927.00000 7437 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:01:04 [1] 1851.90000 7436 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:01:01 [1] 1852.10000 7419 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:04 [1] 1852.30000 7433 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:48 [1] 1852.00000 7422 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:14 [1] 1852.30000 7423 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:16 [1] 1852.00000 7435 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:59 [1] 1852.00000 7421 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:12 [1] 1852.40000 7434 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:54 [1] 1852.10000 7428 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:34 [1] 1851.80000 7432 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:46 [1] 1851.80000 7431 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:43 [1] 1852.00000 7430 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:39 [1] 1851.80000 7429 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:36 [1] 1851.90000 7427 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:32 [1] 1851.90000 7426 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:30 [1] 1851.80000 7425 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:22 [1] 1851.90000 7424 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-02 13:00:19 [1] 1852.00000 7452 LEANHOG caleb_strategy_v3 [20231200] 2023-10-02 14:30:01 [-1] 69.85000 7453 LIVECOW caleb_strategy_v3 [20231200] 2023-10-02 14:30:16 [-1] 189.82500 7442 MXP caleb_strategy_v3 [20231200] 2023-10-02 14:00:05 [-1] 0.05636 7447 MXP caleb_strategy_v3 [20231200] 2023-10-02 14:00:12 [-1] 0.05639 7449 MXP caleb_strategy_v3 [20231200] 2023-10-02 14:00:15 [-1] 0.05641 7445 MXP caleb_strategy_v3 [20231200] 2023-10-02 14:00:09 [-1] 0.05636 7439 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-02 14:00:01 [-1] 14912.50000 7404 NIKKEI caleb_strategy_v3 [20231200] 2023-10-02 02:00:36 [-1] 32335.00000 7407 NIKKEI caleb_strategy_v3 [20231200] 2023-10-02 02:01:01 [-1] 32330.00000 7406 NIKKEI caleb_strategy_v3 [20231200] 2023-10-02 02:00:42 [-1] 32335.00000 7405 NIKKEI caleb_strategy_v3 [20231200] 2023-10-02 02:00:39 [-1] 32340.00000 7418 PLAT caleb_strategy_v3 [20240100] 2023-10-02 13:00:03 [-1] 906.70000 7440 RUSSELL caleb_strategy_v3 [20231200] 2023-10-02 14:00:03 [-1] 1785.10000 7409 SMI caleb_strategy_v3 [20231200] 2023-10-02 07:00:07 [-1] 11004.00000 7441 US30 caleb_strategy_v3 [20231200] 2023-10-02 14:00:04 [-1] 117.71875 7454 WHEAT caleb_strategy_v3 [20241200] 2023-10-02 14:30:19 [1] 658.75000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7404 NIKKEI caleb_strategy_v3 2023-09-29 2023-10-02 03:00:29.485 2023-10-02 02:00:36 270029 NaN 7405 NIKKEI caleb_strategy_v3 2023-09-29 2023-10-02 03:00:38.845 2023-10-02 02:00:39 270039 NaN 7406 NIKKEI caleb_strategy_v3 2023-09-29 2023-10-02 03:00:41.698 2023-10-02 02:00:42 270042 NaN 7407 NIKKEI caleb_strategy_v3 2023-09-29 2023-10-02 03:00:44.172 2023-10-02 02:01:01 270044 NaN 7409 SMI caleb_strategy_v3 2023-09-29 2023-10-02 08:00:06.847 2023-10-02 07:00:07 288007 NaN 7410 BUND caleb_strategy_v3 2023-09-29 2023-10-02 08:00:08.332 2023-10-02 07:00:09 288008 NaN 7408 BOBL caleb_strategy_v3 2023-09-29 2023-10-02 08:00:02.505 2023-10-02 07:00:06 288003 NaN 7411 BOBL caleb_strategy_v3 2023-09-29 2023-10-02 08:00:11.068 2023-10-02 07:00:11 288011 NaN 7412 BOBL caleb_strategy_v3 2023-09-29 2023-10-02 08:00:13.432 2023-10-02 07:00:13 288013 NaN 7414 GASOIL caleb_strategy_v3 2023-09-29 2023-10-02 09:04:58.765 2023-10-02 08:05:21 291899 NaN 7416 EURIBOR-ICE caleb_strategy_v3 2023-09-29 2023-10-02 09:06:46.431 2023-10-02 08:07:56 292006 NaN 7413 EURIBOR-ICE caleb_strategy_v3 2023-09-29 2023-10-02 09:00:01.944 2023-10-02 08:04:57 291602 NaN 7415 EURIBOR-ICE caleb_strategy_v3 2023-09-29 2023-10-02 09:05:26.442 2023-10-02 08:06:44 291926 NaN 7417 CRUDE_W caleb_strategy_v3 2023-09-29 2023-10-02 14:00:01.057 2023-10-02 13:00:01 309601 NaN 7418 PLAT caleb_strategy_v3 2023-09-29 2023-10-02 14:00:02.544 2023-10-02 13:00:03 309603 NaN 7420 COCOA caleb_strategy_v3 2023-09-29 2023-10-02 14:00:06.274 2023-10-02 13:00:07 309606 NaN 7424 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:18.921 2023-10-02 13:00:19 309619 NaN 7425 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:21.205 2023-10-02 13:00:22 309621 NaN 7426 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:24.672 2023-10-02 13:00:30 309625 NaN 7427 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:32.108 2023-10-02 13:00:32 309632 NaN 7428 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:34.372 2023-10-02 13:00:34 309634 NaN 7429 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:36.202 2023-10-02 13:00:36 309636 NaN 7430 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:38.678 2023-10-02 13:00:39 309639 NaN 7431 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:41.228 2023-10-02 13:00:43 309641 NaN 7432 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:45.661 2023-10-02 13:00:46 309646 NaN 7433 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:48.743 2023-10-02 13:00:48 309649 NaN 7434 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:51.004 2023-10-02 13:00:54 309651 NaN 7435 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:56.940 2023-10-02 13:00:59 309657 NaN 7436 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:01:01.484 2023-10-02 13:01:01 309661 NaN 7437 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:01:04.004 2023-10-02 13:01:04 309664 NaN 7419 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:04.308 2023-10-02 13:00:04 309604 NaN 7421 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:09.588 2023-10-02 13:00:12 309610 NaN 7422 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:14.181 2023-10-02 13:00:14 309614 NaN 7423 GOLD_micro caleb_strategy_v3 2023-09-29 2023-10-02 14:00:16.403 2023-10-02 13:00:16 309616 NaN 7439 NASDAQ_micro caleb_strategy_v3 2023-09-29 2023-10-02 15:00:01.625 2023-10-02 14:00:01 313202 NaN 7440 RUSSELL caleb_strategy_v3 2023-09-29 2023-10-02 15:00:02.641 2023-10-02 14:00:03 313203 NaN 7441 US30 caleb_strategy_v3 2023-09-29 2023-10-02 15:00:03.936 2023-10-02 14:00:04 313204 NaN 7444 EUR caleb_strategy_v3 2023-09-29 2023-10-02 15:00:08.784 2023-10-02 14:00:08 313209 NaN 7438 EUR caleb_strategy_v3 2023-09-29 2023-10-02 15:00:00.675 2023-10-02 14:00:00 313201 NaN 7449 MXP caleb_strategy_v3 2023-09-29 2023-10-02 15:00:15.152 2023-10-02 14:00:15 313215 NaN 7442 MXP caleb_strategy_v3 2023-09-29 2023-10-02 15:00:05.072 2023-10-02 14:00:05 313205 NaN 7445 MXP caleb_strategy_v3 2023-09-29 2023-10-02 15:00:09.395 2023-10-02 14:00:09 313209 NaN 7447 MXP caleb_strategy_v3 2023-09-29 2023-10-02 15:00:12.404 2023-10-02 14:00:12 313212 NaN 7443 DOW caleb_strategy_v3 2023-09-29 2023-10-02 15:00:06.374 2023-10-02 14:00:06 313206 NaN 7446 DOW caleb_strategy_v3 2023-09-29 2023-10-02 15:00:10.375 2023-10-02 14:00:10 313210 NaN 7448 DOW caleb_strategy_v3 2023-09-29 2023-10-02 15:00:12.907 2023-10-02 14:00:13 313213 NaN 7450 DOW caleb_strategy_v3 2023-09-29 2023-10-02 15:00:15.680 2023-10-02 14:00:15 313216 NaN 7451 DOW caleb_strategy_v3 2023-09-29 2023-10-02 15:00:18.178 2023-10-02 14:00:18 313218 NaN 7452 LEANHOG caleb_strategy_v3 2023-09-29 2023-10-02 15:30:01.742 2023-10-02 14:30:01 315002 NaN 7453 LIVECOW caleb_strategy_v3 2023-09-29 2023-10-02 15:30:02.575 2023-10-02 14:30:16 315003 NaN 7454 WHEAT caleb_strategy_v3 2023-09-29 2023-10-02 15:30:17.818 2023-10-02 14:30:19 315018 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 7404 NIKKEI caleb_strategy_v3 [-1] 31860 None 32342.5 32340 32345 32345 32335 482.5 -2.5 -5 -10 NaN -7.5 7405 NIKKEI caleb_strategy_v3 [-1] 31860 None 32337.5 32335 32340 32340 32340 477.5 -2.5 5 -0 NaN 2.5 7406 NIKKEI caleb_strategy_v3 [-1] 31860 None 32342.5 32340 32345 32345 32335 482.5 -2.5 -5 -10 NaN -7.5 7407 NIKKEI caleb_strategy_v3 [-1] 31860 None 32337.5 32335 32340 32340 32330 477.5 -2.5 -5 -10 NaN -7.5 7409 SMI caleb_strategy_v3 [-1] 10976 None 11003 11002 11004 11004 11004 27 -1 2 -0 NaN 1 7410 BUND caleb_strategy_v3 [1] 128.36 None 128.265 128.27 128.26 128.26 128.28 0.095 -0.005 -0.01 -0.02 NaN -0.015 7408 BOBL caleb_strategy_v3 [1] 115.65 None 115.595 115.6 115.59 115.59 115.59 0.055 -0.005 0.01 0 NaN 0.005 7411 BOBL caleb_strategy_v3 [1] 115.65 None 115.595 115.6 115.59 115.59 115.6 0.055 -0.005 0 -0.01 NaN -0.005 7412 BOBL caleb_strategy_v3 [1] 115.65 None 115.595 115.6 115.59 NaN 115.6 0.055 -0.005 0 NaN NaN -0.005 7414 GASOIL caleb_strategy_v3 [-1] 917.5 None 927.5 927.25 927.75 927.75 927 10 -0.25 -0.25 -0.75 NaN -0.5 7416 EURIBOR-ICE caleb_strategy_v3 [1] 96.925 None 96.9175 96.92 96.915 96.915 96.925 0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 7413 EURIBOR-ICE caleb_strategy_v3 [1] 96.925 None 96.9175 96.92 96.915 96.915 96.925 0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 7415 EURIBOR-ICE caleb_strategy_v3 [1] 96.925 None 96.9225 96.925 96.92 96.92 96.92 0.0025 -0.0025 0.005 0 NaN 0.0025 7417 CRUDE_W caleb_strategy_v3 [-1] 88.73 None 88.97 88.96 88.98 88.98 88.95 0.24 -0.01 -0.01 -0.03 NaN -0.02 7418 PLAT caleb_strategy_v3 [-1] 914.9 None 906.5 906.3 906.7 906.7 906.7 -8.4 -0.2 0.4 -0 NaN 0.2 7420 COCOA caleb_strategy_v3 [-1] 3434 None 3509 3508 3510 3510 3509 75 -1 1 -1 NaN 0 7424 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.95 1852 1851.9 1851.9 1852 12.85 -0.05 0 -0.1 NaN -0.05 7425 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.95 1852 1851.9 1851.9 1851.9 12.85 -0.05 0.1 0 NaN 0.05 7426 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.9 1852 1851.8 1851.8 1851.8 12.9 -0.1 0.2 2.27374e-13 NaN 0.1 7427 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.75 1851.8 1851.7 1851.7 1851.9 13.05 -0.05 -0.1 -0.2 NaN -0.15 7428 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.85 1851.9 1851.8 1851.8 1851.8 12.95 -0.05 0.1 2.27374e-13 NaN 0.05 7429 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.75 1851.8 1851.7 NaN 1851.9 13.05 -0.05 -0.1 NaN NaN -0.15 7430 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.85 1851.9 1851.8 1851.8 1851.8 12.95 -0.05 0.1 2.27374e-13 NaN 0.05 7431 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.85 1851.9 1851.8 1851.8 1852 12.95 -0.05 -0.1 -0.2 NaN -0.15 7432 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.85 1851.9 1851.8 1851.8 1851.8 12.95 -0.05 0.1 2.27374e-13 NaN 0.05 7433 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.9 1852 1851.8 1851.8 1852 12.9 -0.1 0 -0.2 NaN -0.1 7434 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.95 1852 1851.9 1851.9 1852.1 12.85 -0.05 -0.1 -0.2 NaN -0.15 7435 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1852 1852.1 1851.9 1851.9 1852 12.8 -0.1 0.1 -0.1 NaN 0 7436 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.95 1852 1851.9 1851.9 1852.1 12.85 -0.05 -0.1 -0.2 NaN -0.15 7437 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1851.85 1851.9 1851.8 1851.8 1851.9 12.95 -0.05 0 -0.1 NaN -0.05 7419 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1852.25 1852.3 1852.2 1852.2 1852.3 12.55 -0.05 0 -0.1 NaN -0.05 7421 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1852.25 1852.3 1852.2 1852.2 1852.4 12.55 -0.05 -0.1 -0.2 NaN -0.15 7422 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1852.35 1852.4 1852.3 1852.3 1852.3 12.45 -0.05 0.1 2.27374e-13 NaN 0.05 7423 GOLD_micro caleb_strategy_v3 [1] 1864.8 None 1852.2 1852.3 1852.1 1852.1 1852 12.6 -0.1 0.3 0.1 NaN 0.2 7439 NASDAQ_micro caleb_strategy_v3 [-1] 14870.2 None 14915.1 14912.2 14918 14918 14912.5 44.875 -2.875 0.25 -5.5 NaN -2.625 7440 RUSSELL caleb_strategy_v3 [-1] 1801.4 None 1785.5 1785 1786 1786 1785.1 -15.9 -0.5 0.1 -0.9 NaN -0.4 7441 US30 caleb_strategy_v3 [-1] 118.469 None 117.75 117.719 117.781 117.781 117.719 -0.71875 -0.03125 -0 -0.0625 NaN -0.03125 7444 EUR caleb_strategy_v3 [1] 1.06085 None 1.0542 1.05425 1.05415 1.05415 1.0546 0.00665 -5e-05 -0.00035 -0.00045 NaN -0.0004 7438 EUR caleb_strategy_v3 [1] 1.06085 None 1.05417 1.0542 1.05415 1.05415 1.05415 0.006675 -2.5e-05 5e-05 2.22045e-16 NaN 2.5e-05 7449 MXP caleb_strategy_v3 [-1] 0.05668 None 0.056395 0.05639 0.0564 0.0564 0.05641 -0.000285 -5e-06 2e-05 1e-05 NaN 1.5e-05 7442 MXP caleb_strategy_v3 [-1] 0.05668 None 0.05635 0.05634 0.05636 0.05636 0.05636 -0.00033 -1e-05 2e-05 -6.93889e-18 NaN 1e-05 7445 MXP caleb_strategy_v3 [-1] 0.05668 None 0.05635 0.05634 0.05636 0.05636 0.05636 -0.00033 -1e-05 2e-05 -6.93889e-18 NaN 1e-05 7447 MXP caleb_strategy_v3 [-1] 0.05668 None 0.05636 0.05635 0.05637 0.05637 0.05639 -0.00032 -1e-05 4e-05 2e-05 NaN 3e-05 7443 DOW caleb_strategy_v3 [1] 33734 None 33594 33598 33590 33590 33599 140 -4 -1 -9 NaN -5 7446 DOW caleb_strategy_v3 [1] 33734 None 33596 33599 33593 33593 33600 138 -3 -1 -7 NaN -4 7448 DOW caleb_strategy_v3 [1] 33734 None 33597 33600 33594 33594 33606 137 -3 -6 -12 NaN -9 7450 DOW caleb_strategy_v3 [1] 33734 None 33603.5 33606 33601 33601 33620 130.5 -2.5 -14 -19 NaN -16.5 7451 DOW caleb_strategy_v3 [1] 33734 None 33620.5 33622 33619 33619 33626 113.5 -1.5 -4 -7 NaN -5.5 7452 LEANHOG caleb_strategy_v3 [-1] 71.775 None 69.8625 69.85 69.875 NaN 69.85 -1.9125 -0.0125 -0 NaN NaN -0.0125 7453 LIVECOW caleb_strategy_v3 [-1] 187.95 None 189.8 189.775 189.825 189.825 189.825 1.85 -0.025 0.05 -2.84217e-14 NaN 0.025 7454 WHEAT caleb_strategy_v3 [1] 646.5 None 650 650 650 650 658.75 -3.5 0 -8.75 -8.75 NaN -8.75 ============================================================================================================================================================ 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 7404 NIKKEI caleb_strategy_v3 [-1] 4734.49 1019.12 -5.2804 -10.5608 -21.1216 NaN -15.8412 7405 NIKKEI caleb_strategy_v3 [-1] 4734.49 1008.56 -5.2804 10.5608 -0 NaN 5.2804 7406 NIKKEI caleb_strategy_v3 [-1] 4734.49 1019.12 -5.2804 -10.5608 -21.1216 NaN -15.8412 7407 NIKKEI caleb_strategy_v3 [-1] 4734.49 1008.56 -5.2804 -10.5608 -21.1216 NaN -15.8412 7409 SMI caleb_strategy_v3 [-1] 1285 210.116 -7.78209 15.5642 -0 NaN 7.78209 7410 BUND caleb_strategy_v3 [1] 12.1808 77.9916 -4.10482 -8.20964 -16.4193 NaN -12.3145 7408 BOBL caleb_strategy_v3 [1] 5.96423 92.2165 -8.38332 16.7666 0 NaN 8.38332 7411 BOBL caleb_strategy_v3 [1] 5.96423 92.2165 -8.38332 0 -16.7666 NaN -8.38332 7412 BOBL caleb_strategy_v3 [1] 5.96423 92.2165 -8.38332 0 NaN NaN -8.38332 7414 GASOIL caleb_strategy_v3 [-1] 289.823 345.038 -8.62595 -8.62595 -25.8778 NaN -17.2519 7416 EURIBOR-ICE caleb_strategy_v3 [1] 1.14147 65.705 -21.9017 -43.8033 -87.6067 NaN -65.705 7413 EURIBOR-ICE caleb_strategy_v3 [1] 1.14147 65.705 -21.9017 -43.8033 -87.6067 NaN -65.705 7415 EURIBOR-ICE caleb_strategy_v3 [1] 1.14147 21.9017 -21.9017 43.8033 0 NaN 21.9017 7417 CRUDE_W caleb_strategy_v3 [-1] 21.0576 113.973 -4.74888 -4.74888 -14.2466 NaN -9.49777 7418 PLAT caleb_strategy_v3 [-1] 247.995 -338.716 -8.06467 16.1293 -0 NaN 8.06467 7420 COCOA caleb_strategy_v3 [-1] 765.685 979.514 -13.0602 13.0602 -13.0602 NaN 0 7424 GOLD_micro caleb_strategy_v3 [1] 202.883 633.369 -2.46447 0 -4.92894 NaN -2.46447 7425 GOLD_micro caleb_strategy_v3 [1] 202.883 633.369 -2.46447 4.92894 0 NaN 2.46447 7426 GOLD_micro caleb_strategy_v3 [1] 202.883 635.833 -4.92894 9.85788 1.12071e-11 NaN 4.92894 7427 GOLD_micro caleb_strategy_v3 [1] 202.883 643.227 -2.46447 -4.92894 -9.85788 NaN -7.39341 7428 GOLD_micro caleb_strategy_v3 [1] 202.883 638.298 -2.46447 4.92894 1.12071e-11 NaN 2.46447 7429 GOLD_micro caleb_strategy_v3 [1] 202.883 643.227 -2.46447 -4.92894 NaN NaN -7.39341 7430 GOLD_micro caleb_strategy_v3 [1] 202.883 638.298 -2.46447 4.92894 1.12071e-11 NaN 2.46447 7431 GOLD_micro caleb_strategy_v3 [1] 202.883 638.298 -2.46447 -4.92894 -9.85788 NaN -7.39341 7432 GOLD_micro caleb_strategy_v3 [1] 202.883 638.298 -2.46447 4.92894 1.12071e-11 NaN 2.46447 7433 GOLD_micro caleb_strategy_v3 [1] 202.883 635.833 -4.92894 0 -9.85788 NaN -4.92894 7434 GOLD_micro caleb_strategy_v3 [1] 202.883 633.369 -2.46447 -4.92894 -9.85788 NaN -7.39341 7435 GOLD_micro caleb_strategy_v3 [1] 202.883 630.904 -4.92894 4.92894 -4.92894 NaN 0 7436 GOLD_micro caleb_strategy_v3 [1] 202.883 633.369 -2.46447 -4.92894 -9.85788 NaN -7.39341 7437 GOLD_micro caleb_strategy_v3 [1] 202.883 638.298 -2.46447 0 -4.92894 NaN -2.46447 7419 GOLD_micro caleb_strategy_v3 [1] 202.883 618.582 -2.46447 0 -4.92894 NaN -2.46447 7421 GOLD_micro caleb_strategy_v3 [1] 202.883 618.582 -2.46447 -4.92894 -9.85788 NaN -7.39341 7422 GOLD_micro caleb_strategy_v3 [1] 202.883 613.653 -2.46447 4.92894 1.12071e-11 NaN 2.46447 7423 GOLD_micro caleb_strategy_v3 [1] 202.883 621.047 -4.92894 14.7868 4.92894 NaN 9.85788 7439 NASDAQ_micro caleb_strategy_v3 [-1] 2824.01 158.905 -10.1806 0.885267 -19.4759 NaN -9.29531 7440 RUSSELL caleb_strategy_v3 [-1] 330.583 -480.969 -15.1248 3.02496 -27.2247 NaN -12.0999 7441 US30 caleb_strategy_v3 [-1] 20.3301 -353.54 -15.3713 -0 -30.7426 NaN -15.3713 7444 EUR caleb_strategy_v3 [1] 0.0763871 870.566 -6.54561 -45.8193 -58.9105 NaN -52.3649 7438 EUR caleb_strategy_v3 [1] 0.0763871 873.839 -3.2728 6.54561 2.90683e-11 NaN 3.2728 7449 MXP caleb_strategy_v3 [-1] 0.0071004 -401.386 -7.04186 28.1674 14.0837 NaN 21.1256 7442 MXP caleb_strategy_v3 [-1] 0.0071004 -464.762 -14.0837 28.1674 -9.77254e-12 NaN 14.0837 7445 MXP caleb_strategy_v3 [-1] 0.0071004 -464.762 -14.0837 28.1674 -9.77254e-12 NaN 14.0837 7447 MXP caleb_strategy_v3 [-1] 0.0071004 -450.679 -14.0837 56.3348 28.1674 NaN 42.2511 7443 DOW caleb_strategy_v3 [1] 3792.47 369.153 -10.5472 -2.63681 -23.7313 NaN -13.184 7446 DOW caleb_strategy_v3 [1] 3792.47 363.879 -7.91042 -2.63681 -18.4577 NaN -10.5472 7448 DOW caleb_strategy_v3 [1] 3792.47 361.243 -7.91042 -15.8208 -31.6417 NaN -23.7313 7450 DOW caleb_strategy_v3 [1] 3792.47 344.103 -6.59202 -36.9153 -50.0993 NaN -43.5073 7451 DOW caleb_strategy_v3 [1] 3792.47 299.278 -3.95521 -10.5472 -18.4577 NaN -14.5024 7452 LEANHOG caleb_strategy_v3 [-1] 27.2322 -702.293 -4.59015 -0 NaN NaN -4.59015 7453 LIVECOW caleb_strategy_v3 [-1] 21.3394 866.941 -11.7154 23.4308 -1.33189e-11 NaN 11.7154 7454 WHEAT caleb_strategy_v3 [1] 217.184 -161.153 0 -402.883 -402.883 NaN -402.883 ======================================================================================================================================================================= 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 7404 NIKKEI caleb_strategy_v3 [-1] 0.668239 322.425 -1.6706 -3.3412 -6.68239 NaN -5.01179 7405 NIKKEI caleb_strategy_v3 [-1] 0.668239 319.084 -1.6706 3.3412 -0 NaN 1.6706 7406 NIKKEI caleb_strategy_v3 [-1] 0.668239 322.425 -1.6706 -3.3412 -6.68239 NaN -5.01179 7407 NIKKEI caleb_strategy_v3 [-1] 0.668239 319.084 -1.6706 -3.3412 -6.68239 NaN -5.01179 7409 SMI caleb_strategy_v3 [-1] 10.9205 294.853 -10.9205 21.841 -0 NaN 10.9205 7410 BUND caleb_strategy_v3 [1] 1056.5 100.368 -5.2825 -10.565 -21.13 NaN -15.8475 7408 BOBL caleb_strategy_v3 [1] 1056.5 58.1075 -5.2825 10.565 0 NaN 5.2825 7411 BOBL caleb_strategy_v3 [1] 1056.5 58.1075 -5.2825 0 -10.565 NaN -5.2825 7412 BOBL caleb_strategy_v3 [1] 1056.5 58.1075 -5.2825 0 NaN NaN -5.2825 7414 GASOIL caleb_strategy_v3 [-1] 100 1000 -25 -25 -75 NaN -50 7416 EURIBOR-ICE caleb_strategy_v3 [1] 2641.25 19.8094 -6.60312 -13.2062 -26.4125 NaN -19.8094 7413 EURIBOR-ICE caleb_strategy_v3 [1] 2641.25 19.8094 -6.60312 -13.2062 -26.4125 NaN -19.8094 7415 EURIBOR-ICE caleb_strategy_v3 [1] 2641.25 6.60312 -6.60312 13.2062 0 NaN 6.60312 7417 CRUDE_W caleb_strategy_v3 [-1] 1000 240 -10 -10 -30 NaN -20 7418 PLAT caleb_strategy_v3 [-1] 50 -420 -10 20 -0 NaN 10 7420 COCOA caleb_strategy_v3 [-1] 10 750 -10 10 -10 NaN 0 7424 GOLD_micro caleb_strategy_v3 [1] 10 128.5 -0.5 0 -1 NaN -0.5 7425 GOLD_micro caleb_strategy_v3 [1] 10 128.5 -0.5 1 0 NaN 0.5 7426 GOLD_micro caleb_strategy_v3 [1] 10 129 -1 2 2.27374e-12 NaN 1 7427 GOLD_micro caleb_strategy_v3 [1] 10 130.5 -0.5 -1 -2 NaN -1.5 7428 GOLD_micro caleb_strategy_v3 [1] 10 129.5 -0.5 1 2.27374e-12 NaN 0.5 7429 GOLD_micro caleb_strategy_v3 [1] 10 130.5 -0.5 -1 NaN NaN -1.5 7430 GOLD_micro caleb_strategy_v3 [1] 10 129.5 -0.5 1 2.27374e-12 NaN 0.5 7431 GOLD_micro caleb_strategy_v3 [1] 10 129.5 -0.5 -1 -2 NaN -1.5 7432 GOLD_micro caleb_strategy_v3 [1] 10 129.5 -0.5 1 2.27374e-12 NaN 0.5 7433 GOLD_micro caleb_strategy_v3 [1] 10 129 -1 0 -2 NaN -1 7434 GOLD_micro caleb_strategy_v3 [1] 10 128.5 -0.5 -1 -2 NaN -1.5 7435 GOLD_micro caleb_strategy_v3 [1] 10 128 -1 1 -1 NaN 0 7436 GOLD_micro caleb_strategy_v3 [1] 10 128.5 -0.5 -1 -2 NaN -1.5 7437 GOLD_micro caleb_strategy_v3 [1] 10 129.5 -0.5 0 -1 NaN -0.5 7419 GOLD_micro caleb_strategy_v3 [1] 10 125.5 -0.5 0 -1 NaN -0.5 7421 GOLD_micro caleb_strategy_v3 [1] 10 125.5 -0.5 -1 -2 NaN -1.5 7422 GOLD_micro caleb_strategy_v3 [1] 10 124.5 -0.5 1 2.27374e-12 NaN 0.5 7423 GOLD_micro caleb_strategy_v3 [1] 10 126 -1 3 1 NaN 2 7439 NASDAQ_micro caleb_strategy_v3 [-1] 2 89.75 -5.75 0.5 -11 NaN -5.25 7440 RUSSELL caleb_strategy_v3 [-1] 5 -79.5 -2.5 0.5 -4.5 NaN -2 7441 US30 caleb_strategy_v3 [-1] 1000 -718.75 -31.25 -0 -62.5 NaN -31.25 7444 EUR caleb_strategy_v3 [1] 125000 831.25 -6.25 -43.75 -56.25 NaN -50 7438 EUR caleb_strategy_v3 [1] 125000 834.375 -3.125 6.25 2.77556e-11 NaN 3.125 7449 MXP caleb_strategy_v3 [-1] 500000 -142.5 -2.5 10 5 NaN 7.5 7442 MXP caleb_strategy_v3 [-1] 500000 -165 -5 10 -3.46945e-12 NaN 5 7445 MXP caleb_strategy_v3 [-1] 500000 -165 -5 10 -3.46945e-12 NaN 5 7447 MXP caleb_strategy_v3 [-1] 500000 -160 -5 20 10 NaN 15 7443 DOW caleb_strategy_v3 [1] 0.5 70 -2 -0.5 -4.5 NaN -2.5 7446 DOW caleb_strategy_v3 [1] 0.5 69 -1.5 -0.5 -3.5 NaN -2 7448 DOW caleb_strategy_v3 [1] 0.5 68.5 -1.5 -3 -6 NaN -4.5 7450 DOW caleb_strategy_v3 [1] 0.5 65.25 -1.25 -7 -9.5 NaN -8.25 7451 DOW caleb_strategy_v3 [1] 0.5 56.75 -0.75 -2 -3.5 NaN -2.75 7452 LEANHOG caleb_strategy_v3 [-1] 400 -765 -5 -0 NaN NaN -5 7453 LIVECOW caleb_strategy_v3 [-1] 400 740 -10 20 -1.13687e-11 NaN 10 7454 WHEAT caleb_strategy_v3 [1] 50 -175 0 -437.5 -437.5 NaN -437.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL 174.322500 BUND 100.367500 COCOA 750.000000 CRUDE_W 240.000000 DOW 329.500000 EUR 1665.625000 EURIBOR-ICE 46.221875 GASOIL 1000.000000 GOLD_micro 2310.000000 LEANHOG -765.000000 LIVECOW 740.000000 MXP -632.500000 NASDAQ_micro 89.750000 NIKKEI 1283.019372 PLAT -420.000000 RUSSELL -79.500000 SMI 294.853500 US30 -718.750000 WHEAT -175.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 6232.909747 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -15.847500 BUND -5.282500 COCOA -10.000000 CRUDE_W -10.000000 DOW -7.000000 EUR -9.375000 EURIBOR-ICE -19.809375 GASOIL -25.000000 GOLD_micro -11.000000 LEANHOG -5.000000 LIVECOW -10.000000 MXP -17.500000 NASDAQ_micro -5.750000 NIKKEI -6.682393 PLAT -10.000000 RUSSELL -2.500000 SMI -10.920500 US30 -31.250000 WHEAT 0.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -212.917268 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.565000 BUND -10.565000 COCOA 10.000000 CRUDE_W -10.000000 DOW -13.000000 EUR -37.500000 EURIBOR-ICE -13.206250 GASOIL -25.000000 GOLD_micro 5.000000 LEANHOG -0.000000 LIVECOW 20.000000 MXP 50.000000 NASDAQ_micro 0.500000 NIKKEI -6.682393 PLAT 20.000000 RUSSELL 0.500000 SMI 21.841000 US30 -0.000000 WHEAT -437.500000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -415.047643 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -1.056500e+01 BUND -2.113000e+01 COCOA -1.000000e+01 CRUDE_W -3.000000e+01 DOW -2.700000e+01 EUR -5.625000e+01 EURIBOR-ICE -5.282500e+01 GASOIL -7.500000e+01 GOLD_micro -1.500000e+01 LEANHOG 0.000000e+00 LIVECOW -1.136868e-11 MXP 1.500000e+01 NASDAQ_micro -1.100000e+01 NIKKEI -2.004718e+01 PLAT -0.000000e+00 RUSSELL -4.500000e+00 SMI -0.000000e+00 US30 -6.250000e+01 WHEAT -4.375000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -818.317178 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 BUND 0 COCOA 0 CRUDE_W 0 DOW 0 EUR 0 EURIBOR-ICE 0 GASOIL 0 GOLD_micro 0 LEANHOG 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 RUSSELL 0 SMI 0 US30 0 WHEAT 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.282500 BUND -15.847500 COCOA 0.000000 CRUDE_W -20.000000 DOW -20.000000 EUR -46.875000 EURIBOR-ICE -33.015625 GASOIL -50.000000 GOLD_micro -6.000000 LEANHOG -5.000000 LIVECOW 10.000000 MXP 32.500000 NASDAQ_micro -5.250000 NIKKEI -13.364785 PLAT 10.000000 RUSSELL -2.000000 SMI 10.920500 US30 -31.250000 WHEAT -437.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -627.96491 ******************************************************************************** END OF REPORT ********************************************************************************