******************************************************************************** Trades report produced on 05/10/2023 21:38 from 04/10/2023 21:38 to 05/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7533 AUD caleb_strategy_v3 [20231200] 2023-10-05 14:01:03 [-1] 0.636600 7524 AUD caleb_strategy_v3 [20231200] 2023-10-05 14:00:11 [-1] 0.636550 7506 BOBL caleb_strategy_v3 [20231200] 2023-10-05 07:00:05 [1] 115.460000 7526 CAD caleb_strategy_v3 [20231200] 2023-10-05 14:00:32 [-1] 0.728050 7520 CHF caleb_strategy_v3 [20231200] 2023-10-05 14:00:02 [1] 1.102650 7530 CHF caleb_strategy_v3 [20231200] 2023-10-05 14:01:01 [1] 1.102450 7512 COCOA caleb_strategy_v3 [20240300] 2023-10-05 13:00:09 [-1] 3421.000000 7507 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-05 08:00:04 [-1] 96.910000 7508 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-05 08:00:06 [-1] 96.910000 7545 FEEDCOW caleb_strategy_v3 [20240100] 2023-10-05 14:30:07 [-1] 253.875000 7546 FEEDCOW caleb_strategy_v3 [20240100] 2023-10-05 14:30:10 [-1] 253.875000 7547 FEEDCOW caleb_strategy_v3 [20240100] 2023-10-05 14:30:13 [-1] 253.875000 7513 GASOLINE caleb_strategy_v3 [20240100] 2023-10-05 13:00:10 [-1] 2.145700 7515 GASOLINE caleb_strategy_v3 [20240100] 2023-10-05 13:00:13 [-1] 2.145100 7516 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-05 13:00:16 [-1] 1829.600000 7517 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-05 13:00:19 [-1] 1829.700000 7518 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-05 13:00:21 [-1] 1829.800000 7519 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-05 13:00:25 [-1] 1829.900000 7514 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-05 13:00:12 [-1] 1829.400000 7511 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-05 13:00:02 [-1] 1829.200000 7531 JPY caleb_strategy_v3 [20231200] 2023-10-05 14:01:02 [-1] 0.006807 7521 JPY caleb_strategy_v3 [20231200] 2023-10-05 14:00:05 [-1] 0.006806 7535 JPY caleb_strategy_v3 [20231200] 2023-10-05 14:01:19 [-1] 0.006807 7543 LEANHOG caleb_strategy_v3 [20231200] 2023-10-05 14:30:04 [-1] 71.475000 7534 MXP caleb_strategy_v3 [20231200] 2023-10-05 14:01:04 [-1] 0.054640 7542 MXP caleb_strategy_v3 [20231200] 2023-10-05 14:02:04 [-1] 0.054590 7541 MXP caleb_strategy_v3 [20231200] 2023-10-05 14:01:50 [-1] 0.054600 7525 MXP caleb_strategy_v3 [20231200] 2023-10-05 14:00:25 [-1] 0.054660 7540 MXP caleb_strategy_v3 [20231200] 2023-10-05 14:01:35 [-1] 0.054620 7537 MXP caleb_strategy_v3 [20231200] 2023-10-05 14:01:22 [-1] 0.054630 7539 MXP caleb_strategy_v3 [20231200] 2023-10-05 14:01:25 [-1] 0.054620 7536 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-05 14:01:19 [-1] 14806.750000 7538 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-05 14:01:24 [-1] 14803.000000 7523 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-05 14:00:09 [-1] 14819.750000 7532 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-05 14:01:03 [-1] 14811.500000 7505 NIKKEI caleb_strategy_v3 [20231200] 2023-10-05 02:00:33 [-1] 30805.000000 7504 NIKKEI caleb_strategy_v3 [20231200] 2023-10-05 02:00:31 [-1] 30810.000000 7528 NZD caleb_strategy_v3 [20231200] 2023-10-05 14:00:41 [-1] 0.594750 7509 ROBUSTA caleb_strategy_v3 [20240100] 2023-10-05 09:00:02 [-1] 2308.000000 7510 ROBUSTA caleb_strategy_v3 [20240100] 2023-10-05 09:00:09 [-1] 2307.000000 7544 SOYOIL caleb_strategy_v3 [20240100] 2023-10-05 14:30:06 [-1] 54.790000 7529 US20 caleb_strategy_v3 [20231200] 2023-10-05 14:00:47 [1] 111.437500 7527 US30 caleb_strategy_v3 [20231200] 2023-10-05 14:00:38 [1] 115.281250 7522 VIX caleb_strategy_v3 [20231200] 2023-10-05 14:00:08 [1] 19.250000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7504 NIKKEI caleb_strategy_v3 2023-10-04 2023-10-05 03:00:28.382 2023-10-05 02:00:31 97228.4 NaN 7505 NIKKEI caleb_strategy_v3 2023-10-04 2023-10-05 03:00:33.253 2023-10-05 02:00:33 97233.3 NaN 7506 BOBL caleb_strategy_v3 2023-10-04 2023-10-05 08:00:02.006 2023-10-05 07:00:05 115202 NaN 7507 EURIBOR-ICE caleb_strategy_v3 2023-10-04 2023-10-05 09:00:03.668 2023-10-05 08:00:04 118804 NaN 7508 EURIBOR-ICE caleb_strategy_v3 2023-10-04 2023-10-05 09:00:06.344 2023-10-05 08:00:06 118806 NaN 7509 ROBUSTA caleb_strategy_v3 2023-10-04 2023-10-05 10:00:01.862 2023-10-05 09:00:02 122402 NaN 7510 ROBUSTA caleb_strategy_v3 2023-10-04 2023-10-05 10:00:04.214 2023-10-05 09:00:09 122404 NaN 7512 COCOA caleb_strategy_v3 2023-10-04 2023-10-05 14:00:03.304 2023-10-05 13:00:09 136803 NaN 7513 GASOLINE caleb_strategy_v3 2023-10-03 2023-10-05 14:00:10.003 2023-10-05 13:00:10 223210 NaN 7515 GASOLINE caleb_strategy_v3 2023-10-03 2023-10-05 14:00:13.228 2023-10-05 13:00:13 223213 NaN 7511 GOLD_micro caleb_strategy_v3 2023-10-04 2023-10-05 14:00:01.490 2023-10-05 13:00:02 136801 NaN 7514 GOLD_micro caleb_strategy_v3 2023-10-04 2023-10-05 14:00:12.685 2023-10-05 13:00:12 136813 NaN 7516 GOLD_micro caleb_strategy_v3 2023-10-04 2023-10-05 14:00:16.020 2023-10-05 13:00:16 136816 NaN 7517 GOLD_micro caleb_strategy_v3 2023-10-04 2023-10-05 14:00:19.189 2023-10-05 13:00:19 136819 NaN 7518 GOLD_micro caleb_strategy_v3 2023-10-04 2023-10-05 14:00:21.657 2023-10-05 13:00:21 136822 NaN 7519 GOLD_micro caleb_strategy_v3 2023-10-04 2023-10-05 14:00:24.026 2023-10-05 13:00:25 136824 NaN 7522 VIX caleb_strategy_v3 2023-10-04 2023-10-05 15:00:06.670 2023-10-05 14:00:08 140407 NaN 7526 CAD caleb_strategy_v3 2023-10-04 2023-10-05 15:00:26.131 2023-10-05 14:00:32 140426 NaN 7527 US30 caleb_strategy_v3 2023-10-04 2023-10-05 15:00:32.966 2023-10-05 14:00:38 140433 NaN 7528 NZD caleb_strategy_v3 2023-10-04 2023-10-05 15:00:38.818 2023-10-05 14:00:41 140439 NaN 7529 US20 caleb_strategy_v3 2023-10-04 2023-10-05 15:00:42.332 2023-10-05 14:00:47 140442 NaN 7520 CHF caleb_strategy_v3 2023-10-04 2023-10-05 15:00:01.898 2023-10-05 14:00:02 140402 NaN 7530 CHF caleb_strategy_v3 2023-10-04 2023-10-05 15:01:01.852 2023-10-05 14:01:01 140462 NaN 7524 AUD caleb_strategy_v3 2023-10-04 2023-10-05 15:00:09.986 2023-10-05 14:00:11 140410 NaN 7533 AUD caleb_strategy_v3 2023-10-04 2023-10-05 15:01:03.818 2023-10-05 14:01:03 140464 NaN 7521 JPY caleb_strategy_v3 2023-10-04 2023-10-05 15:00:03.040 2023-10-05 14:00:05 140403 NaN 7531 JPY caleb_strategy_v3 2023-10-04 2023-10-05 15:01:02.536 2023-10-05 14:01:02 140463 NaN 7535 JPY caleb_strategy_v3 2023-10-04 2023-10-05 15:01:06.908 2023-10-05 14:01:19 140467 NaN 7536 NASDAQ_micro caleb_strategy_v3 2023-10-04 2023-10-05 15:01:19.779 2023-10-05 14:01:19 140480 NaN 7538 NASDAQ_micro caleb_strategy_v3 2023-10-04 2023-10-05 15:01:24.752 2023-10-05 14:01:24 140485 NaN 7523 NASDAQ_micro caleb_strategy_v3 2023-10-04 2023-10-05 15:00:09.254 2023-10-05 14:00:09 140409 NaN 7532 NASDAQ_micro caleb_strategy_v3 2023-10-04 2023-10-05 15:01:03.199 2023-10-05 14:01:03 140463 NaN 7525 MXP caleb_strategy_v3 2023-10-04 2023-10-05 15:00:12.635 2023-10-05 14:00:25 140413 NaN 7534 MXP caleb_strategy_v3 2023-10-04 2023-10-05 15:01:04.332 2023-10-05 14:01:04 140464 NaN 7537 MXP caleb_strategy_v3 2023-10-04 2023-10-05 15:01:20.456 2023-10-05 14:01:22 140480 NaN 7539 MXP caleb_strategy_v3 2023-10-04 2023-10-05 15:01:25.323 2023-10-05 14:01:25 140485 NaN 7540 MXP caleb_strategy_v3 2023-10-04 2023-10-05 15:01:27.332 2023-10-05 14:01:35 140487 NaN 7541 MXP caleb_strategy_v3 2023-10-04 2023-10-05 15:01:37.807 2023-10-05 14:01:50 140498 NaN 7542 MXP caleb_strategy_v3 2023-10-04 2023-10-05 15:01:53.112 2023-10-05 14:02:04 140513 NaN 7543 LEANHOG caleb_strategy_v3 2023-10-04 2023-10-05 15:30:01.006 2023-10-05 14:30:04 142201 NaN 7544 SOYOIL caleb_strategy_v3 2023-10-04 2023-10-05 15:30:05.730 2023-10-05 14:30:06 142206 NaN 7545 FEEDCOW caleb_strategy_v3 2023-10-04 2023-10-05 15:30:07.723 2023-10-05 14:30:07 142208 NaN 7546 FEEDCOW caleb_strategy_v3 2023-10-04 2023-10-05 15:30:10.177 2023-10-05 14:30:10 142210 NaN 7547 FEEDCOW caleb_strategy_v3 2023-10-04 2023-10-05 15:30:13.027 2023-10-05 14:30:13 142213 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 7504 NIKKEI caleb_strategy_v3 [-1] 30625 None 30817.5 30815 30820 30820 30810 192.5 -2.5 -5 -10 NaN -7.5 7505 NIKKEI caleb_strategy_v3 [-1] 30625 None 30812.5 30810 30815 30815 30805 187.5 -2.5 -5 -10 NaN -7.5 7506 BOBL caleb_strategy_v3 [1] 115.47 None 115.465 115.47 115.46 115.46 115.46 0.005 -0.005 0.01 1.42109e-14 NaN 0.005 7507 EURIBOR-ICE caleb_strategy_v3 [-1] 96.92 None 96.91 96.905 96.915 96.915 96.91 -0.01 -0.005 0.005 -0.005 NaN 0 7508 EURIBOR-ICE caleb_strategy_v3 [-1] 96.92 None 96.9125 96.91 96.915 NaN 96.91 -0.0075 -0.0025 -0 NaN NaN -0.0025 7509 ROBUSTA caleb_strategy_v3 [-1] 2313 None 2308.5 2308 2309 2309 2308 -4.5 -0.5 -0 -1 NaN -0.5 7510 ROBUSTA caleb_strategy_v3 [-1] 2313 None 2308.5 2308 2309 NaN 2307 -4.5 -0.5 -1 NaN NaN -1.5 7512 COCOA caleb_strategy_v3 [-1] 3443 None 3423 3422 3424 3424 3421 -20 -1 -1 -3 NaN -2 7513 GASOLINE caleb_strategy_v3 [-1] 2.2763 None 2.14585 2.1455 2.1462 2.1462 2.1457 -0.13045 -0.00035 0.0002 -0.0005 NaN -0.00015 7515 GASOLINE caleb_strategy_v3 [-1] 2.2763 None 2.1458 2.1455 2.1461 2.1461 2.1451 -0.1305 -0.0003 -0.0004 -0.001 NaN -0.0007 7511 GOLD_micro caleb_strategy_v3 [-1] 1833.3 None 1829.35 1829.3 1829.4 1829.4 1829.2 -3.95 -0.05 -0.1 -0.2 NaN -0.15 7514 GOLD_micro caleb_strategy_v3 [-1] 1833.3 None 1829.25 1829.2 1829.3 1829.3 1829.4 -4.05 -0.05 0.2 0.1 NaN 0.15 7516 GOLD_micro caleb_strategy_v3 [-1] 1833.3 None 1829.5 1829.4 1829.6 1829.6 1829.6 -3.8 -0.1 0.2 -2.27374e-13 NaN 0.1 7517 GOLD_micro caleb_strategy_v3 [-1] 1833.3 None 1829.55 1829.5 1829.6 1829.6 1829.7 -3.75 -0.05 0.2 0.1 NaN 0.15 7518 GOLD_micro caleb_strategy_v3 [-1] 1833.3 None 1829.75 1829.7 1829.8 1829.8 1829.8 -3.55 -0.05 0.1 -2.27374e-13 NaN 0.05 7519 GOLD_micro caleb_strategy_v3 [-1] 1833.3 None 1829.85 1829.8 1829.9 1829.9 1829.9 -3.45 -0.05 0.1 -0 NaN 0.05 7522 VIX caleb_strategy_v3 [1] 19.2 None 19.175 19.2 19.15 19.15 19.25 0.025 -0.025 -0.05 -0.1 NaN -0.075 7526 CAD caleb_strategy_v3 [-1] 0.72825 None 0.728125 0.7281 0.72815 0.72815 0.72805 -0.000125 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 7527 US30 caleb_strategy_v3 [1] 115.625 None 115.297 115.312 115.281 115.281 115.281 0.328125 -0.015625 0.03125 0 NaN 0.015625 7528 NZD caleb_strategy_v3 [-1] 0.5912 None 0.5948 0.59475 0.59485 0.59485 0.59475 0.0036 -5e-05 -0 -0.0001 NaN -5e-05 7529 US20 caleb_strategy_v3 [1] 111.562 None 111.391 111.406 111.375 111.375 111.438 0.171875 -0.015625 -0.03125 -0.0625 NaN -0.046875 7520 CHF caleb_strategy_v3 [1] 1.09925 None 1.10262 1.1027 1.10255 1.10255 1.10265 -0.003375 -7.5e-05 5e-05 -0.0001 NaN -2.5e-05 7530 CHF caleb_strategy_v3 [1] 1.09925 None 1.1026 1.10265 1.10255 NaN 1.10245 -0.00335 -5e-05 0.0002 NaN NaN 0.00015 7524 AUD caleb_strategy_v3 [-1] 0.6339 None 0.636625 0.6366 0.63665 0.63665 0.63655 0.002725 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 7533 AUD caleb_strategy_v3 [-1] 0.6339 None 0.636575 0.63655 0.6366 0.6366 0.6366 0.002675 -2.5e-05 5e-05 -0 NaN 2.5e-05 7521 JPY caleb_strategy_v3 [-1] 0.0067885 None 0.00680575 0.0068055 0.006806 0.006806 0.006806 1.725e-05 -2.5e-07 5e-07 8.67362e-19 NaN 2.5e-07 7531 JPY caleb_strategy_v3 [-1] 0.0067885 None 0.00680575 0.0068055 0.006806 0.006806 0.006807 1.725e-05 -2.5e-07 1.5e-06 1e-06 NaN 1.25e-06 7535 JPY caleb_strategy_v3 [-1] 0.0067885 None 0.00680675 0.0068065 0.006807 0.006807 0.006807 1.825e-05 -2.5e-07 5e-07 -0 NaN 2.5e-07 7536 NASDAQ_micro caleb_strategy_v3 [-1] 14885.8 None 14811.6 14811.5 14811.8 14811.8 14806.8 -74.125 -0.125 -4.75 -5 NaN -4.875 7538 NASDAQ_micro caleb_strategy_v3 [-1] 14885.8 None 14807 14806.8 14807.2 14807.2 14803 -78.75 -0.25 -3.75 -4.25 NaN -4 7523 NASDAQ_micro caleb_strategy_v3 [-1] 14885.8 None 14819.6 14819.5 14819.8 14819.8 14819.8 -66.125 -0.125 0.25 -0 NaN 0.125 7532 NASDAQ_micro caleb_strategy_v3 [-1] 14885.8 None 14819.8 14819.5 14820 14820 14811.5 -66 -0.25 -8 -8.5 NaN -8.25 7525 MXP caleb_strategy_v3 [-1] 0.0548 None 0.054685 0.05468 0.05469 0.05469 0.05466 -0.000115 -5e-06 -2e-05 -3e-05 NaN -2.5e-05 7534 MXP caleb_strategy_v3 [-1] 0.0548 None 0.05467 0.05466 0.05468 0.05468 0.05464 -0.00013 -1e-05 -2e-05 -4e-05 NaN -3e-05 7537 MXP caleb_strategy_v3 [-1] 0.0548 None 0.054645 0.05464 0.05465 0.05465 0.05463 -0.000155 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 7539 MXP caleb_strategy_v3 [-1] 0.0548 None 0.054635 0.05463 0.05464 NaN 0.05462 -0.000165 -5e-06 -1e-05 NaN NaN -1.5e-05 7540 MXP caleb_strategy_v3 [-1] 0.0548 None 0.05463 0.05462 0.05464 0.05464 0.05462 -0.00017 -1e-05 -0 -2e-05 NaN -1e-05 7541 MXP caleb_strategy_v3 [-1] 0.0548 None 0.054615 0.05461 0.05462 0.05462 0.0546 -0.000185 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 7542 MXP caleb_strategy_v3 [-1] 0.0548 None 0.054605 0.0546 0.05461 0.05461 0.05459 -0.000195 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 7543 LEANHOG caleb_strategy_v3 [-1] 69.275 None 71.4625 71.45 71.475 71.475 71.475 2.1875 -0.0125 0.025 -1.42109e-14 NaN 0.0125 7544 SOYOIL caleb_strategy_v3 [-1] 55.31 None 55 55 55 55 54.79 -0.31 -0 -0.21 -0.21 NaN -0.21 7545 FEEDCOW caleb_strategy_v3 [-1] 254 None 255 255 255 255 253.875 1 -0 -1.125 -1.125 NaN -1.125 7546 FEEDCOW caleb_strategy_v3 [-1] 254 None 254.438 253.875 255 255 253.875 0.4375 -0.5625 -0 -1.125 NaN -0.5625 7547 FEEDCOW caleb_strategy_v3 [-1] 254 None 254.438 253.875 255 255 253.875 0.4375 -0.5625 -0 -1.125 NaN -0.5625 ============================================================================================================================================================ 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 7504 NIKKEI caleb_strategy_v3 [-1] 5724.81 336.256 -4.36696 -8.73391 -17.4678 NaN -13.1009 7505 NIKKEI caleb_strategy_v3 [-1] 5724.81 327.522 -4.36696 -8.73391 -17.4678 NaN -13.1009 7506 BOBL caleb_strategy_v3 [1] 5.85308 8.54251 -8.54251 17.085 2.42793e-11 NaN 8.54251 7507 EURIBOR-ICE caleb_strategy_v3 [-1] 1.12082 -89.2207 -44.6103 44.6103 -44.6103 NaN 0 7508 EURIBOR-ICE caleb_strategy_v3 [-1] 1.12082 -66.9155 -22.3052 -0 NaN NaN -22.3052 7509 ROBUSTA caleb_strategy_v3 [-1] 474.975 -94.7419 -10.5269 -0 -21.0537 NaN -10.5269 7510 ROBUSTA caleb_strategy_v3 [-1] 474.975 -94.7419 -10.5269 -21.0537 NaN NaN -31.5806 7512 COCOA caleb_strategy_v3 [-1] 750.347 -266.543 -13.3272 -13.3272 -39.9815 NaN -26.6543 7513 GASOLINE caleb_strategy_v3 [-1] 0.747103 -1746.08 -4.68476 2.67701 -6.69252 NaN -2.00775 7515 GASOLINE caleb_strategy_v3 [-1] 0.747103 -1746.75 -4.01551 -5.35401 -13.385 NaN -9.36952 7511 GOLD_micro caleb_strategy_v3 [-1] 194.691 -202.886 -2.56817 -5.13634 -10.2727 NaN -7.70452 7514 GOLD_micro caleb_strategy_v3 [-1] 194.691 -208.022 -2.56817 10.2727 5.13634 NaN 7.70452 7516 GOLD_micro caleb_strategy_v3 [-1] 194.691 -195.181 -5.13634 10.2727 -1.16787e-11 NaN 5.13634 7517 GOLD_micro caleb_strategy_v3 [-1] 194.691 -192.613 -2.56817 10.2727 5.13634 NaN 7.70452 7518 GOLD_micro caleb_strategy_v3 [-1] 194.691 -182.34 -2.56817 5.13634 -1.16787e-11 NaN 2.56817 7519 GOLD_micro caleb_strategy_v3 [-1] 194.691 -177.204 -2.56817 5.13634 -0 NaN 2.56817 7522 VIX caleb_strategy_v3 [1] 8.41326 29.715 -29.715 -59.43 -118.86 NaN -89.145 7526 CAD caleb_strategy_v3 [-1] 0.0434213 -28.7877 -5.75755 -11.5151 -23.0302 NaN -17.2726 7527 US30 caleb_strategy_v3 [1] 21.2468 154.435 -7.35405 14.7081 0 NaN 7.35405 7528 NZD caleb_strategy_v3 [-1] 0.0561811 640.785 -8.89979 -0 -17.7996 NaN -8.89979 7529 US20 caleb_strategy_v3 [1] 15.0026 114.564 -10.4149 -20.8298 -41.6596 NaN -31.2447 7520 CHF caleb_strategy_v3 [1] 0.0759546 -444.344 -9.87432 6.58288 -13.1658 NaN -3.29144 7530 CHF caleb_strategy_v3 [1] 0.0759546 -441.053 -6.58288 26.3315 NaN NaN 19.7486 7524 AUD caleb_strategy_v3 [-1] 0.0693611 392.871 -3.60432 -7.20865 -14.4173 NaN -10.813 7533 AUD caleb_strategy_v3 [-1] 0.0693611 385.663 -3.60432 7.20865 -0 NaN 3.60432 7521 JPY caleb_strategy_v3 [-1] 0.00055409 311.321 -4.5119 9.02381 1.56538e-11 NaN 4.5119 7531 JPY caleb_strategy_v3 [-1] 0.00055409 311.321 -4.5119 27.0714 18.0476 NaN 22.5595 7535 JPY caleb_strategy_v3 [-1] 0.00055409 329.369 -4.5119 9.02381 -0 NaN 4.5119 7536 NASDAQ_micro caleb_strategy_v3 [-1] 2907.91 -254.908 -0.429862 -16.3347 -17.1945 NaN -16.7646 7538 NASDAQ_micro caleb_strategy_v3 [-1] 2907.91 -270.813 -0.859723 -12.8959 -14.6153 NaN -13.7556 7523 NASDAQ_micro caleb_strategy_v3 [-1] 2907.91 -227.397 -0.429862 0.859723 -0 NaN 0.429862 7532 NASDAQ_micro caleb_strategy_v3 [-1] 2907.91 -226.967 -0.859723 -27.5112 -29.2306 NaN -28.3709 7525 MXP caleb_strategy_v3 [-1] 0.00721444 -159.403 -6.93055 -27.7222 -41.5833 NaN -34.6527 7534 MXP caleb_strategy_v3 [-1] 0.00721444 -180.194 -13.8611 -27.7222 -55.4444 NaN -41.5833 7537 MXP caleb_strategy_v3 [-1] 0.00721444 -214.847 -6.93055 -13.8611 -27.7222 NaN -20.7916 7539 MXP caleb_strategy_v3 [-1] 0.00721444 -228.708 -6.93055 -13.8611 NaN NaN -20.7916 7540 MXP caleb_strategy_v3 [-1] 0.00721444 -235.639 -13.8611 -0 -27.7222 NaN -13.8611 7541 MXP caleb_strategy_v3 [-1] 0.00721444 -256.43 -6.93055 -13.8611 -27.7222 NaN -20.7916 7542 MXP caleb_strategy_v3 [-1] 0.00721444 -270.291 -6.93055 -13.8611 -27.7222 NaN -20.7916 7543 LEANHOG caleb_strategy_v3 [-1] 27.4758 796.154 -4.54945 9.09891 -5.17213e-12 NaN 4.54945 7544 SOYOIL caleb_strategy_v3 [-1] 16.6308 -186.402 -0 -126.272 -126.272 NaN -126.272 7545 FEEDCOW caleb_strategy_v3 [-1] 33.3182 300.136 -0 -337.653 -337.653 NaN -337.653 7546 FEEDCOW caleb_strategy_v3 [-1] 33.3182 131.309 -168.826 -0 -337.653 NaN -168.826 7547 FEEDCOW caleb_strategy_v3 [-1] 33.3182 131.309 -168.826 -0 -337.653 NaN -168.826 ======================================================================================================================================================================= 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 7504 NIKKEI caleb_strategy_v3 [-1] 0.672812 129.516 -1.68203 -3.36406 -6.72812 NaN -5.04609 7505 NIKKEI caleb_strategy_v3 [-1] 0.672812 126.152 -1.68203 -3.36406 -6.72812 NaN -5.04609 7506 BOBL caleb_strategy_v3 [1] 1051.45 5.25725 -5.25725 10.5145 1.4942e-11 NaN 5.25725 7507 EURIBOR-ICE caleb_strategy_v3 [-1] 2628.62 -26.2863 -13.1431 13.1431 -13.1431 NaN 0 7508 EURIBOR-ICE caleb_strategy_v3 [-1] 2628.62 -19.7147 -6.57156 -0 NaN NaN -6.57156 7509 ROBUSTA caleb_strategy_v3 [-1] 10 -45 -5 -0 -10 NaN -5 7510 ROBUSTA caleb_strategy_v3 [-1] 10 -45 -5 -10 NaN NaN -15 7512 COCOA caleb_strategy_v3 [-1] 10 -200 -10 -10 -30 NaN -20 7513 GASOLINE caleb_strategy_v3 [-1] 42000 -5478.9 -14.7 8.4 -21 NaN -6.3 7515 GASOLINE caleb_strategy_v3 [-1] 42000 -5481 -12.6 -16.8 -42 NaN -29.4 7511 GOLD_micro caleb_strategy_v3 [-1] 10 -39.5 -0.5 -1 -2 NaN -1.5 7514 GOLD_micro caleb_strategy_v3 [-1] 10 -40.5 -0.5 2 1 NaN 1.5 7516 GOLD_micro caleb_strategy_v3 [-1] 10 -38 -1 2 -2.27374e-12 NaN 1 7517 GOLD_micro caleb_strategy_v3 [-1] 10 -37.5 -0.5 2 1 NaN 1.5 7518 GOLD_micro caleb_strategy_v3 [-1] 10 -35.5 -0.5 1 -2.27374e-12 NaN 0.5 7519 GOLD_micro caleb_strategy_v3 [-1] 10 -34.5 -0.5 1 -0 NaN 0.5 7522 VIX caleb_strategy_v3 [1] 1000 25 -25 -50 -100 NaN -75 7526 CAD caleb_strategy_v3 [-1] 100000 -12.5 -2.5 -5 -10 NaN -7.5 7527 US30 caleb_strategy_v3 [1] 1000 328.125 -15.625 31.25 0 NaN 15.625 7528 NZD caleb_strategy_v3 [-1] 100000 360 -5 -0 -10 NaN -5 7529 US20 caleb_strategy_v3 [1] 1000 171.875 -15.625 -31.25 -62.5 NaN -46.875 7520 CHF caleb_strategy_v3 [1] 125000 -421.875 -9.375 6.25 -12.5 NaN -3.125 7530 CHF caleb_strategy_v3 [1] 125000 -418.75 -6.25 25 NaN NaN 18.75 7524 AUD caleb_strategy_v3 [-1] 100000 272.5 -2.5 -5 -10 NaN -7.5 7533 AUD caleb_strategy_v3 [-1] 100000 267.5 -2.5 5 -0 NaN 2.5 7521 JPY caleb_strategy_v3 [-1] 1.25e+07 215.625 -3.125 6.25 1.0842e-11 NaN 3.125 7531 JPY caleb_strategy_v3 [-1] 1.25e+07 215.625 -3.125 18.75 12.5 NaN 15.625 7535 JPY caleb_strategy_v3 [-1] 1.25e+07 228.125 -3.125 6.25 -0 NaN 3.125 7536 NASDAQ_micro caleb_strategy_v3 [-1] 2 -148.25 -0.25 -9.5 -10 NaN -9.75 7538 NASDAQ_micro caleb_strategy_v3 [-1] 2 -157.5 -0.5 -7.5 -8.5 NaN -8 7523 NASDAQ_micro caleb_strategy_v3 [-1] 2 -132.25 -0.25 0.5 -0 NaN 0.25 7532 NASDAQ_micro caleb_strategy_v3 [-1] 2 -132 -0.5 -16 -17 NaN -16.5 7525 MXP caleb_strategy_v3 [-1] 500000 -57.5 -2.5 -10 -15 NaN -12.5 7534 MXP caleb_strategy_v3 [-1] 500000 -65 -5 -10 -20 NaN -15 7537 MXP caleb_strategy_v3 [-1] 500000 -77.5 -2.5 -5 -10 NaN -7.5 7539 MXP caleb_strategy_v3 [-1] 500000 -82.5 -2.5 -5 NaN NaN -7.5 7540 MXP caleb_strategy_v3 [-1] 500000 -85 -5 -0 -10 NaN -5 7541 MXP caleb_strategy_v3 [-1] 500000 -92.5 -2.5 -5 -10 NaN -7.5 7542 MXP caleb_strategy_v3 [-1] 500000 -97.5 -2.5 -5 -10 NaN -7.5 7543 LEANHOG caleb_strategy_v3 [-1] 400 875 -5 10 -5.68434e-12 NaN 5 7544 SOYOIL caleb_strategy_v3 [-1] 600 -186 -0 -126 -126 NaN -126 7545 FEEDCOW caleb_strategy_v3 [-1] 500 500 -0 -562.5 -562.5 NaN -562.5 7546 FEEDCOW caleb_strategy_v3 [-1] 500 218.75 -281.25 -0 -562.5 NaN -281.25 7547 FEEDCOW caleb_strategy_v3 [-1] 500 218.75 -281.25 -0 -562.5 NaN -281.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 540.000000 BOBL 5.257250 CAD -12.500000 CHF -840.625000 COCOA -200.000000 EURIBOR-ICE -46.000938 FEEDCOW 937.500000 GASOLINE -10959.900000 GOLD_micro -225.500000 JPY 659.375000 LEANHOG 875.000000 MXP -557.500000 NASDAQ_micro -570.000000 NIKKEI 255.668438 NZD 360.000000 ROBUSTA -90.000000 SOYOIL -186.000000 US20 171.875000 US30 328.125000 VIX 25.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -9530.225249 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.000000 BOBL -5.257250 CAD -2.500000 CHF -15.625000 COCOA -10.000000 EURIBOR-ICE -19.714687 FEEDCOW -562.500000 GASOLINE -27.300000 GOLD_micro -3.500000 JPY -9.375000 LEANHOG -5.000000 MXP -22.500000 NASDAQ_micro -1.500000 NIKKEI -3.364058 NZD -5.000000 ROBUSTA -10.000000 SOYOIL -0.000000 US20 -15.625000 US30 -15.625000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -764.385996 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 0.000000 BOBL 10.514500 CAD -5.000000 CHF 31.250000 COCOA -10.000000 EURIBOR-ICE 13.143125 FEEDCOW -562.500000 GASOLINE -8.400000 GOLD_micro 7.000000 JPY 31.250000 LEANHOG 10.000000 MXP -40.000000 NASDAQ_micro -32.500000 NIKKEI -6.728117 NZD -0.000000 ROBUSTA -10.000000 SOYOIL -126.000000 US20 -31.250000 US30 31.250000 VIX -50.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -747.970492 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -1.000000e+01 BOBL 1.494200e-11 CAD -1.000000e+01 CHF -1.250000e+01 COCOA -3.000000e+01 EURIBOR-ICE -1.314313e+01 FEEDCOW -1.687500e+03 GASOLINE -6.300000e+01 GOLD_micro -6.821210e-12 JPY 1.250000e+01 LEANHOG -5.684342e-12 MXP -7.500000e+01 NASDAQ_micro -3.550000e+01 NIKKEI -1.345623e+01 NZD -1.000000e+01 ROBUSTA -1.000000e+01 SOYOIL -1.260000e+02 US20 -6.250000e+01 US30 0.000000e+00 VIX -1.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -2246.099359 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BOBL 0 CAD 0 CHF 0 COCOA 0 EURIBOR-ICE 0 FEEDCOW 0 GASOLINE 0 GOLD_micro 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 ROBUSTA 0 SOYOIL 0 US20 0 US30 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 AUD -5.000000 BOBL 5.257250 CAD -7.500000 CHF 15.625000 COCOA -20.000000 EURIBOR-ICE -6.571562 FEEDCOW -1125.000000 GASOLINE -35.700000 GOLD_micro 3.500000 JPY 21.875000 LEANHOG 5.000000 MXP -62.500000 NASDAQ_micro -34.000000 NIKKEI -10.092175 NZD -5.000000 ROBUSTA -20.000000 SOYOIL -126.000000 US20 -46.875000 US30 15.625000 VIX -75.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -1512.356488 ******************************************************************************** END OF REPORT ********************************************************************************