******************************************************************************** Trades report produced on 04/10/2023 21:38 from 03/10/2023 21:38 to 04/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7486 CHF caleb_strategy_v3 [20231200] 2023-10-04 14:00:05 [1] 1.099450 7480 COPPER caleb_strategy_v3 [20231200] 2023-10-04 13:00:02 [-1] 3.610500 7483 EUR caleb_strategy_v3 [20231200] 2023-10-04 14:00:02 [-1] 1.053450 7478 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-04 08:02:20 [1] 96.830000 7477 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-04 08:02:05 [1] 96.835000 7476 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-04 08:01:59 [1] 96.830000 7475 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-04 08:00:04 [1] 96.835000 7503 FEEDCOW caleb_strategy_v3 [20240100] 2023-10-04 14:30:04 [-1] 252.800000 7479 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-04 13:00:01 [-1] 1842.400000 7481 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-04 13:00:04 [-1] 1842.500000 7482 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-04 13:00:08 [-1] 1842.600000 7488 JPY caleb_strategy_v3 [20231200] 2023-10-04 14:00:10 [1] 0.006794 7501 LEANHOG caleb_strategy_v3 [20231200] 2023-10-04 14:30:01 [-1] 68.500000 7494 MXP caleb_strategy_v3 [20231200] 2023-10-04 14:00:19 [-1] 0.054950 7492 MXP caleb_strategy_v3 [20231200] 2023-10-04 14:00:16 [-1] 0.054970 7489 MXP caleb_strategy_v3 [20231200] 2023-10-04 14:00:12 [-1] 0.054940 7485 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-04 14:00:04 [1] 14797.750000 7470 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:01:01 [-1] 30680.000000 7464 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:00:35 [-1] 30670.000000 7471 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:01:08 [-1] 30670.000000 7463 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:00:33 [-1] 30665.000000 7466 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:00:41 [-1] 30675.000000 7467 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:00:43 [-1] 30685.000000 7472 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:01:15 [-1] 30665.000000 7468 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:00:48 [-1] 30680.000000 7465 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:00:38 [-1] 30675.000000 7473 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:01:21 [-1] 30670.000000 7469 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:00:51 [-1] 30685.000000 7474 NIKKEI caleb_strategy_v3 [20231200] 2023-10-04 02:01:24 [-1] 30665.000000 7502 REDWHEAT caleb_strategy_v3 [20240300] 2023-10-04 14:30:03 [-1] 678.000000 7493 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:16 [1] 1734.500000 7495 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:19 [1] 1734.300000 7496 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:21 [1] 1734.500000 7497 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:24 [1] 1734.900000 7498 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:27 [1] 1734.700000 7499 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:29 [1] 1734.000000 7500 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:31 [1] 1733.300000 7490 RUSSELL caleb_strategy_v3 [20231200] 2023-10-04 14:00:13 [1] 1734.900000 7487 SP400 caleb_strategy_v3 [20231200] 2023-10-04 14:00:09 [-1] 2444.400000 7491 US10U caleb_strategy_v3 [20231200] 2023-10-04 14:00:15 [1] 109.921875 7484 US10U caleb_strategy_v3 [20231200] 2023-10-04 14:00:03 [1] 109.875000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7463 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:28.232 2023-10-04 02:00:33 97228.2 NaN 7464 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:35.380 2023-10-04 02:00:35 97235.4 NaN 7465 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:38.056 2023-10-04 02:00:38 97238.1 NaN 7466 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:40.950 2023-10-04 02:00:41 97240.9 NaN 7467 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:43.420 2023-10-04 02:00:43 97243.4 NaN 7468 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:45.709 2023-10-04 02:00:48 97245.7 NaN 7469 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:50.552 2023-10-04 02:00:51 97250.6 NaN 7470 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:00:54.123 2023-10-04 02:01:01 97254.1 NaN 7471 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:01:04.032 2023-10-04 02:01:08 97264 NaN 7472 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:01:11.143 2023-10-04 02:01:15 97271.1 NaN 7473 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:01:17.867 2023-10-04 02:01:21 97277.9 NaN 7474 NIKKEI caleb_strategy_v3 2023-10-03 2023-10-04 03:01:23.986 2023-10-04 02:01:24 97284 NaN 7475 EURIBOR-ICE caleb_strategy_v3 2023-10-03 2023-10-04 09:00:02.583 2023-10-04 08:00:04 118803 NaN 7476 EURIBOR-ICE caleb_strategy_v3 2023-10-03 2023-10-04 09:00:07.113 2023-10-04 08:01:59 118807 NaN 7477 EURIBOR-ICE caleb_strategy_v3 2023-10-03 2023-10-04 09:02:05.544 2023-10-04 08:02:05 118926 NaN 7478 EURIBOR-ICE caleb_strategy_v3 2023-10-03 2023-10-04 09:02:08.167 2023-10-04 08:02:20 118928 NaN 7480 COPPER caleb_strategy_v3 2023-10-03 2023-10-04 14:00:02.170 2023-10-04 13:00:02 136802 NaN 7481 GOLD_micro caleb_strategy_v3 2023-10-03 2023-10-04 14:00:04.409 2023-10-04 13:00:04 136804 NaN 7482 GOLD_micro caleb_strategy_v3 2023-10-03 2023-10-04 14:00:06.870 2023-10-04 13:00:08 136807 NaN 7479 GOLD_micro caleb_strategy_v3 2023-10-03 2023-10-04 14:00:01.102 2023-10-04 13:00:01 136801 NaN 7483 EUR caleb_strategy_v3 2023-10-03 2023-10-04 15:00:01.696 2023-10-04 14:00:02 140402 NaN 7485 NASDAQ_micro caleb_strategy_v3 2023-10-03 2023-10-04 15:00:03.940 2023-10-04 14:00:04 140404 NaN 7486 CHF caleb_strategy_v3 2023-10-03 2023-10-04 15:00:04.998 2023-10-04 14:00:05 140405 NaN 7487 SP400 caleb_strategy_v3 2023-10-03 2023-10-04 15:00:06.303 2023-10-04 14:00:09 140406 NaN 7488 JPY caleb_strategy_v3 2023-10-02 2023-10-04 15:00:10.130 2023-10-04 14:00:10 226810 NaN 7491 US10U caleb_strategy_v3 2023-10-03 2023-10-04 15:00:15.730 2023-10-04 14:00:15 140416 NaN 7484 US10U caleb_strategy_v3 2023-10-03 2023-10-04 15:00:02.859 2023-10-04 14:00:03 140403 NaN 7489 MXP caleb_strategy_v3 2023-10-03 2023-10-04 15:00:11.393 2023-10-04 14:00:12 140411 NaN 7492 MXP caleb_strategy_v3 2023-10-03 2023-10-04 15:00:16.379 2023-10-04 14:00:16 140416 NaN 7494 MXP caleb_strategy_v3 2023-10-03 2023-10-04 15:00:19.089 2023-10-04 14:00:19 140419 NaN 7490 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:13.450 2023-10-04 14:00:13 140413 NaN 7493 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:16.898 2023-10-04 14:00:16 140417 NaN 7495 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:19.741 2023-10-04 14:00:19 140420 NaN 7496 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:21.802 2023-10-04 14:00:21 140422 NaN 7497 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:24.143 2023-10-04 14:00:24 140424 NaN 7498 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:26.600 2023-10-04 14:00:27 140427 NaN 7499 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:29.128 2023-10-04 14:00:29 140429 NaN 7500 RUSSELL caleb_strategy_v3 2023-10-03 2023-10-04 15:00:31.021 2023-10-04 14:00:31 140431 NaN 7501 LEANHOG caleb_strategy_v3 2023-10-03 2023-10-04 15:30:01.746 2023-10-04 14:30:01 142202 NaN 7502 REDWHEAT caleb_strategy_v3 2023-10-03 2023-10-04 15:30:02.544 2023-10-04 14:30:03 142203 NaN 7503 FEEDCOW caleb_strategy_v3 2023-10-03 2023-10-04 15:30:04.483 2023-10-04 14:30:04 142204 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 7463 NIKKEI caleb_strategy_v3 [-1] 30690 None 30662.5 30660 30665 30665 30665 -27.5 -2.5 5 -0 NaN 2.5 7464 NIKKEI caleb_strategy_v3 [-1] 30690 None 30667.5 30665 30670 30670 30670 -22.5 -2.5 5 -0 NaN 2.5 7465 NIKKEI caleb_strategy_v3 [-1] 30690 None 30672.5 30670 30675 30675 30675 -17.5 -2.5 5 -0 NaN 2.5 7466 NIKKEI caleb_strategy_v3 [-1] 30690 None 30672.5 30670 30675 30675 30675 -17.5 -2.5 5 -0 NaN 2.5 7467 NIKKEI caleb_strategy_v3 [-1] 30690 None 30677.5 30675 30680 30680 30685 -12.5 -2.5 10 5 NaN 7.5 7468 NIKKEI caleb_strategy_v3 [-1] 30690 None 30687.5 30685 30690 30690 30680 -2.5 -2.5 -5 -10 NaN -7.5 7469 NIKKEI caleb_strategy_v3 [-1] 30690 None 30682.5 30680 30685 30685 30685 -7.5 -2.5 5 -0 NaN 2.5 7470 NIKKEI caleb_strategy_v3 [-1] 30690 None 30687.5 30685 30690 30690 30680 -2.5 -2.5 -5 -10 NaN -7.5 7471 NIKKEI caleb_strategy_v3 [-1] 30690 None 30687.5 30685 30690 30690 30670 -2.5 -2.5 -15 -20 NaN -17.5 7472 NIKKEI caleb_strategy_v3 [-1] 30690 None 30672.5 30670 30675 30675 30665 -17.5 -2.5 -5 -10 NaN -7.5 7473 NIKKEI caleb_strategy_v3 [-1] 30690 None 30667.5 30665 30670 30670 30670 -22.5 -2.5 5 -0 NaN 2.5 7474 NIKKEI caleb_strategy_v3 [-1] 30690 None 30672.5 30670 30675 30675 30665 -17.5 -2.5 -5 -10 NaN -7.5 7475 EURIBOR-ICE caleb_strategy_v3 [1] 96.86 None 96.83 96.835 96.825 96.825 96.835 0.03 -0.005 0 -0.01 NaN -0.005 7476 EURIBOR-ICE caleb_strategy_v3 [1] 96.86 None 96.8325 96.835 96.83 96.83 96.83 0.0275 -0.0025 0.005 0 NaN 0.0025 7477 EURIBOR-ICE caleb_strategy_v3 [1] 96.86 None 96.83 96.835 96.825 96.825 96.835 0.03 -0.005 0 -0.01 NaN -0.005 7478 EURIBOR-ICE caleb_strategy_v3 [1] 96.86 None 96.8325 96.835 96.83 96.83 96.83 0.0275 -0.0025 0.005 0 NaN 0.0025 7480 COPPER caleb_strategy_v3 [-1] 3.6185 None 3.61025 3.61 3.6105 3.6105 3.6105 -0.00825 -0.00025 0.0005 -0 NaN 0.00025 7481 GOLD_micro caleb_strategy_v3 [-1] 1839.4 None 1842.45 1842.4 1842.5 1842.5 1842.5 3.05 -0.05 0.1 -0 NaN 0.05 7482 GOLD_micro caleb_strategy_v3 [-1] 1839.4 None 1842.55 1842.5 1842.6 1842.6 1842.6 3.15 -0.05 0.1 -2.27374e-13 NaN 0.05 7479 GOLD_micro caleb_strategy_v3 [-1] 1839.4 None 1842.45 1842.4 1842.5 1842.5 1842.4 3.05 -0.05 -0 -0.1 NaN -0.05 7483 EUR caleb_strategy_v3 [-1] 1.05055 None 1.0535 1.05345 1.05355 1.05355 1.05345 0.00295 -5e-05 -0 -0.0001 NaN -5e-05 7485 NASDAQ_micro caleb_strategy_v3 [1] 14683.5 None 14795.6 14796.2 14795 14795 14797.8 -112.125 -0.625 -1.5 -2.75 NaN -2.125 7486 CHF caleb_strategy_v3 [1] 1.09415 None 1.09952 1.0996 1.09945 1.09945 1.09945 -0.005375 -7.5e-05 0.00015 0 NaN 7.5e-05 7487 SP400 caleb_strategy_v3 [-1] 2441.3 None 2443.85 2443.3 2444.4 2444.4 2444.4 2.55 -0.55 1.1 -0 NaN 0.55 7488 JPY caleb_strategy_v3 [1] 0.006756 None 0.006794 0.0067945 0.0067935 0.0067935 0.006794 -3.8e-05 -5e-07 5e-07 -5e-07 NaN 0 7491 US10U caleb_strategy_v3 [1] 109.5 None 109.859 109.875 109.844 109.844 109.922 -0.359375 -0.015625 -0.046875 -0.078125 NaN -0.0625 7484 US10U caleb_strategy_v3 [1] 109.5 None 109.883 109.891 109.875 109.875 109.875 -0.382812 -0.0078125 0.015625 0 NaN 0.0078125 7489 MXP caleb_strategy_v3 [-1] 0.05497 None 0.05493 0.05492 0.05494 0.05494 0.05494 -4e-05 -1e-05 2e-05 -0 NaN 1e-05 7492 MXP caleb_strategy_v3 [-1] 0.05497 None 0.05495 0.05494 0.05496 0.05496 0.05497 -2e-05 -1e-05 3e-05 1e-05 NaN 2e-05 7494 MXP caleb_strategy_v3 [-1] 0.05497 None 0.05498 0.05497 0.05499 0.05499 0.05495 1e-05 -1e-05 -2e-05 -4e-05 NaN -3e-05 7490 RUSSELL caleb_strategy_v3 [1] 1741 None 1734.25 1734.4 1734.1 1734.1 1734.9 6.75 -0.15 -0.5 -0.8 NaN -0.65 7493 RUSSELL caleb_strategy_v3 [1] 1741 None 1734.75 1734.9 1734.6 1734.6 1734.5 6.25 -0.15 0.4 0.1 NaN 0.25 7495 RUSSELL caleb_strategy_v3 [1] 1741 None 1734.4 1734.5 1734.3 1734.3 1734.3 6.6 -0.1 0.2 2.27374e-13 NaN 0.1 7496 RUSSELL caleb_strategy_v3 [1] 1741 None 1734.2 1734.3 1734.1 1734.1 1734.5 6.8 -0.1 -0.2 -0.4 NaN -0.3 7497 RUSSELL caleb_strategy_v3 [1] 1741 None 1734.35 1734.5 1734.2 1734.2 1734.9 6.65 -0.15 -0.4 -0.7 NaN -0.55 7498 RUSSELL caleb_strategy_v3 [1] 1741 None 1734.8 1734.9 1734.7 1734.7 1734.7 6.2 -0.1 0.2 0 NaN 0.1 7499 RUSSELL caleb_strategy_v3 [1] 1741 None 1734.6 1734.7 1734.5 1734.5 1734 6.4 -0.1 0.7 0.5 NaN 0.6 7500 RUSSELL caleb_strategy_v3 [1] 1741 None 1734 1734.1 1733.9 NaN 1733.3 7 -0.1 0.8 NaN NaN 0.7 7501 LEANHOG caleb_strategy_v3 [-1] 69.1 None 68.525 68.5 68.55 68.55 68.5 -0.575 -0.025 -0 -0.05 NaN -0.025 7502 REDWHEAT caleb_strategy_v3 [-1] 689 None 675 675 675 675 678 -14 -0 3 3 NaN 3 7503 FEEDCOW caleb_strategy_v3 [-1] 254.525 None 252.838 252.8 252.875 252.875 252.8 -1.6875 -0.0375 -0 -0.075 NaN -0.0375 ============================================================================================================================================================ 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 7463 NIKKEI caleb_strategy_v3 [-1] 5075.62 -54.1806 -4.92551 9.85102 -0 NaN 4.92551 7464 NIKKEI caleb_strategy_v3 [-1] 5075.62 -44.3296 -4.92551 9.85102 -0 NaN 4.92551 7465 NIKKEI caleb_strategy_v3 [-1] 5075.62 -34.4786 -4.92551 9.85102 -0 NaN 4.92551 7466 NIKKEI caleb_strategy_v3 [-1] 5075.62 -34.4786 -4.92551 9.85102 -0 NaN 4.92551 7467 NIKKEI caleb_strategy_v3 [-1] 5075.62 -24.6275 -4.92551 19.702 9.85102 NaN 14.7765 7468 NIKKEI caleb_strategy_v3 [-1] 5075.62 -4.92551 -4.92551 -9.85102 -19.702 NaN -14.7765 7469 NIKKEI caleb_strategy_v3 [-1] 5075.62 -14.7765 -4.92551 9.85102 -0 NaN 4.92551 7470 NIKKEI caleb_strategy_v3 [-1] 5075.62 -4.92551 -4.92551 -9.85102 -19.702 NaN -14.7765 7471 NIKKEI caleb_strategy_v3 [-1] 5075.62 -4.92551 -4.92551 -29.5531 -39.4041 NaN -34.4786 7472 NIKKEI caleb_strategy_v3 [-1] 5075.62 -34.4786 -4.92551 -9.85102 -19.702 NaN -14.7765 7473 NIKKEI caleb_strategy_v3 [-1] 5075.62 -44.3296 -4.92551 9.85102 -0 NaN 4.92551 7474 NIKKEI caleb_strategy_v3 [-1] 5075.62 -34.4786 -4.92551 -9.85102 -19.702 NaN -14.7765 7475 EURIBOR-ICE caleb_strategy_v3 [1] 1.11174 269.847 -44.9745 0 -89.9491 NaN -44.9745 7476 EURIBOR-ICE caleb_strategy_v3 [1] 1.11174 247.36 -22.4873 44.9745 0 NaN 22.4873 7477 EURIBOR-ICE caleb_strategy_v3 [1] 1.11174 269.847 -44.9745 0 -89.9491 NaN -44.9745 7478 EURIBOR-ICE caleb_strategy_v3 [1] 1.11174 247.36 -22.4873 44.9745 0 NaN 22.4873 7480 COPPER caleb_strategy_v3 [-1] 0.746076 -110.578 -3.35086 6.70173 -0 NaN 3.35086 7481 GOLD_micro caleb_strategy_v3 [-1] 197.656 154.309 -2.52965 5.0593 -0 NaN 2.52965 7482 GOLD_micro caleb_strategy_v3 [-1] 197.656 159.368 -2.52965 5.0593 -1.15035e-11 NaN 2.52965 7479 GOLD_micro caleb_strategy_v3 [-1] 197.656 154.309 -2.52965 -0 -5.0593 NaN -2.52965 7483 EUR caleb_strategy_v3 [-1] 0.0768975 383.628 -6.50216 -0 -13.0043 NaN -6.50216 7485 NASDAQ_micro caleb_strategy_v3 [1] 2950.9 -379.968 -2.11799 -5.08319 -9.31918 NaN -7.20118 7486 CHF caleb_strategy_v3 [1] 0.0747145 -719.406 -10.0382 20.0764 0 NaN 10.0382 7487 SP400 caleb_strategy_v3 [-1] 424.684 60.0446 -12.9508 25.9016 -0 NaN 12.9508 7488 JPY caleb_strategy_v3 [1] 0.000549963 -690.956 -9.09152 9.09152 -9.09152 NaN 0 7491 US10U caleb_strategy_v3 [1] 9.93076 -361.881 -15.7339 -47.2018 -78.6697 NaN -62.9357 7484 US10U caleb_strategy_v3 [1] 9.93076 -385.481 -7.86697 15.7339 0 NaN 7.86697 7489 MXP caleb_strategy_v3 [-1] 0.00719846 -55.5674 -13.8919 27.7837 -0 NaN 13.8919 7492 MXP caleb_strategy_v3 [-1] 0.00719846 -27.7837 -13.8919 41.6756 13.8919 NaN 27.7837 7494 MXP caleb_strategy_v3 [-1] 0.00719846 13.8919 -13.8919 -27.7837 -55.5674 NaN -41.6756 7490 RUSSELL caleb_strategy_v3 [1] 327.094 206.362 -4.58583 -15.2861 -24.4578 NaN -19.8719 7493 RUSSELL caleb_strategy_v3 [1] 327.094 191.076 -4.58583 12.2289 3.05722 NaN 7.64305 7495 RUSSELL caleb_strategy_v3 [1] 327.094 201.777 -3.05722 6.11444 6.95131e-12 NaN 3.05722 7496 RUSSELL caleb_strategy_v3 [1] 327.094 207.891 -3.05722 -6.11444 -12.2289 NaN -9.17166 7497 RUSSELL caleb_strategy_v3 [1] 327.094 203.305 -4.58583 -12.2289 -21.4005 NaN -16.8147 7498 RUSSELL caleb_strategy_v3 [1] 327.094 189.548 -3.05722 6.11444 0 NaN 3.05722 7499 RUSSELL caleb_strategy_v3 [1] 327.094 195.662 -3.05722 21.4005 15.2861 NaN 18.3433 7500 RUSSELL caleb_strategy_v3 [1] 327.094 214.005 -3.05722 24.4578 NaN NaN 21.4005 7501 LEANHOG caleb_strategy_v3 [-1] 26.165 -219.759 -9.55475 -0 -19.1095 NaN -9.55475 7502 REDWHEAT caleb_strategy_v3 [-1] 237.404 -589.712 -0 126.367 126.367 NaN 126.367 7503 FEEDCOW caleb_strategy_v3 [-1] 33.993 -496.425 -11.0317 -0 -22.0633 NaN -11.0317 ======================================================================================================================================================================= 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 7463 NIKKEI caleb_strategy_v3 [-1] 0.670095 -18.4276 -1.67524 3.35048 -0 NaN 1.67524 7464 NIKKEI caleb_strategy_v3 [-1] 0.670095 -15.0771 -1.67524 3.35048 -0 NaN 1.67524 7465 NIKKEI caleb_strategy_v3 [-1] 0.670095 -11.7267 -1.67524 3.35048 -0 NaN 1.67524 7466 NIKKEI caleb_strategy_v3 [-1] 0.670095 -11.7267 -1.67524 3.35048 -0 NaN 1.67524 7467 NIKKEI caleb_strategy_v3 [-1] 0.670095 -8.37619 -1.67524 6.70095 3.35048 NaN 5.02571 7468 NIKKEI caleb_strategy_v3 [-1] 0.670095 -1.67524 -1.67524 -3.35048 -6.70095 NaN -5.02571 7469 NIKKEI caleb_strategy_v3 [-1] 0.670095 -5.02571 -1.67524 3.35048 -0 NaN 1.67524 7470 NIKKEI caleb_strategy_v3 [-1] 0.670095 -1.67524 -1.67524 -3.35048 -6.70095 NaN -5.02571 7471 NIKKEI caleb_strategy_v3 [-1] 0.670095 -1.67524 -1.67524 -10.0514 -13.4019 NaN -11.7267 7472 NIKKEI caleb_strategy_v3 [-1] 0.670095 -11.7267 -1.67524 -3.35048 -6.70095 NaN -5.02571 7473 NIKKEI caleb_strategy_v3 [-1] 0.670095 -15.0771 -1.67524 3.35048 -0 NaN 1.67524 7474 NIKKEI caleb_strategy_v3 [-1] 0.670095 -11.7267 -1.67524 -3.35048 -6.70095 NaN -5.02571 7475 EURIBOR-ICE caleb_strategy_v3 [1] 2616.75 78.5025 -13.0837 0 -26.1675 NaN -13.0837 7476 EURIBOR-ICE caleb_strategy_v3 [1] 2616.75 71.9606 -6.54187 13.0837 0 NaN 6.54187 7477 EURIBOR-ICE caleb_strategy_v3 [1] 2616.75 78.5025 -13.0837 0 -26.1675 NaN -13.0837 7478 EURIBOR-ICE caleb_strategy_v3 [1] 2616.75 71.9606 -6.54187 13.0837 0 NaN 6.54187 7480 COPPER caleb_strategy_v3 [-1] 25000 -206.25 -6.25 12.5 -0 NaN 6.25 7481 GOLD_micro caleb_strategy_v3 [-1] 10 30.5 -0.5 1 -0 NaN 0.5 7482 GOLD_micro caleb_strategy_v3 [-1] 10 31.5 -0.5 1 -2.27374e-12 NaN 0.5 7479 GOLD_micro caleb_strategy_v3 [-1] 10 30.5 -0.5 -0 -1 NaN -0.5 7483 EUR caleb_strategy_v3 [-1] 125000 368.75 -6.25 -0 -12.5 NaN -6.25 7485 NASDAQ_micro caleb_strategy_v3 [1] 2 -224.25 -1.25 -3 -5.5 NaN -4.25 7486 CHF caleb_strategy_v3 [1] 125000 -671.875 -9.375 18.75 0 NaN 9.375 7487 SP400 caleb_strategy_v3 [-1] 100 255 -55 110 -0 NaN 55 7488 JPY caleb_strategy_v3 [1] 1.25e+07 -475 -6.25 6.25 -6.25 NaN 0 7491 US10U caleb_strategy_v3 [1] 1000 -359.375 -15.625 -46.875 -78.125 NaN -62.5 7484 US10U caleb_strategy_v3 [1] 1000 -382.812 -7.8125 15.625 0 NaN 7.8125 7489 MXP caleb_strategy_v3 [-1] 500000 -20 -5 10 -0 NaN 5 7492 MXP caleb_strategy_v3 [-1] 500000 -10 -5 15 5 NaN 10 7494 MXP caleb_strategy_v3 [-1] 500000 5 -5 -10 -20 NaN -15 7490 RUSSELL caleb_strategy_v3 [1] 5 33.75 -0.75 -2.5 -4 NaN -3.25 7493 RUSSELL caleb_strategy_v3 [1] 5 31.25 -0.75 2 0.5 NaN 1.25 7495 RUSSELL caleb_strategy_v3 [1] 5 33 -0.5 1 1.13687e-12 NaN 0.5 7496 RUSSELL caleb_strategy_v3 [1] 5 34 -0.5 -1 -2 NaN -1.5 7497 RUSSELL caleb_strategy_v3 [1] 5 33.25 -0.75 -2 -3.5 NaN -2.75 7498 RUSSELL caleb_strategy_v3 [1] 5 31 -0.5 1 0 NaN 0.5 7499 RUSSELL caleb_strategy_v3 [1] 5 32 -0.5 3.5 2.5 NaN 3 7500 RUSSELL caleb_strategy_v3 [1] 5 35 -0.5 4 NaN NaN 3.5 7501 LEANHOG caleb_strategy_v3 [-1] 400 -230 -10 -0 -20 NaN -10 7502 REDWHEAT caleb_strategy_v3 [-1] 50 -700 -0 150 150 NaN 150 7503 FEEDCOW caleb_strategy_v3 [-1] 500 -843.75 -18.75 -0 -37.5 NaN -18.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF -671.875000 COPPER -206.250000 EUR 368.750000 EURIBOR-ICE 300.926250 FEEDCOW -843.750000 GOLD_micro 92.500000 JPY -475.000000 LEANHOG -230.000000 MXP -25.000000 NASDAQ_micro -224.250000 NIKKEI -113.916205 REDWHEAT -700.000000 RUSSELL 263.250000 SP400 255.000000 US10U -742.187500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2951.802455 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -9.37500 COPPER -6.25000 EUR -6.25000 EURIBOR-ICE -39.25125 FEEDCOW -18.75000 GOLD_micro -1.50000 JPY -6.25000 LEANHOG -10.00000 MXP -15.00000 NASDAQ_micro -1.25000 NIKKEI -20.10286 REDWHEAT -0.00000 RUSSELL -4.75000 SP400 -55.00000 US10U -23.43750 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -217.16661 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF 18.750000 COPPER 12.500000 EUR -0.000000 EURIBOR-ICE 26.167500 FEEDCOW -0.000000 GOLD_micro 2.000000 JPY 6.250000 LEANHOG -0.000000 MXP 15.000000 NASDAQ_micro -3.000000 NIKKEI 3.350477 REDWHEAT 150.000000 RUSSELL 6.000000 SP400 110.000000 US10U -31.250000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 315.767977 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0.000000 COPPER -0.000000 EUR -12.500000 EURIBOR-ICE -52.335000 FEEDCOW -37.500000 GOLD_micro -1.000000 JPY -6.250000 LEANHOG -20.000000 MXP -15.000000 NASDAQ_micro -5.500000 NIKKEI -36.855243 REDWHEAT 150.000000 RUSSELL -6.500000 SP400 -0.000000 US10U -78.125000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -121.565243 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 COPPER 0 EUR 0 EURIBOR-ICE 0 FEEDCOW 0 GOLD_micro 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 REDWHEAT 0 RUSSELL 0 SP400 0 US10U 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 CHF 9.375000e+00 COPPER 6.250000e+00 EUR -6.250000e+00 EURIBOR-ICE -1.308375e+01 FEEDCOW -1.875000e+01 GOLD_micro 5.000000e-01 JPY 0.000000e+00 LEANHOG -1.000000e+01 MXP 1.776357e-15 NASDAQ_micro -4.250000e+00 NIKKEI -1.675238e+01 REDWHEAT 1.500000e+02 RUSSELL 1.250000e+00 SP400 5.500000e+01 US10U -5.468750e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 98.601367 ******************************************************************************** END OF REPORT ********************************************************************************