******************************************************************************** Trades report produced on 09/10/2023 21:39 from 08/10/2023 21:39 to 09/10/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7641 AUD caleb_strategy_v3 [20231200] 2023-10-09 14:01:25 [1] 0.639700 7650 BITCOIN caleb_strategy_v3 [20231000] 2023-10-09 14:01:59 [1] 27630.000000 7653 BITCOIN caleb_strategy_v3 [20231000] 2023-10-09 14:02:06 [1] 27645.000000 7655 BITCOIN caleb_strategy_v3 [20231000] 2023-10-09 14:02:15 [1] 27650.000000 7644 BITCOIN caleb_strategy_v3 [20231000] 2023-10-09 14:01:39 [1] 27640.000000 7647 BITCOIN caleb_strategy_v3 [20231000] 2023-10-09 14:01:55 [1] 27630.000000 7613 BOBL caleb_strategy_v3 [20231200] 2023-10-09 07:00:03 [1] 115.970000 7622 COCOA caleb_strategy_v3 [20240300] 2023-10-09 13:00:14 [1] 3460.000000 7620 COPPER caleb_strategy_v3 [20231200] 2023-10-09 13:00:02 [1] 3.652500 7625 CRUDE_W _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-09 13:00:19 [1] 84.370000 7626 CRUDE_W _ROLL_PSEUDO_STRATEGY [20241200] 2023-10-09 13:00:20 [-1] 75.060000 7629 CRUDE_W caleb_strategy_v3 [20241200] 2023-10-09 13:00:27 [-1] 75.070000 7640 DOW caleb_strategy_v3 [20231200] 2023-10-09 14:01:21 [1] 33597.000000 7646 DOW caleb_strategy_v3 [20231200] 2023-10-09 14:01:54 [1] 33604.000000 7649 DOW caleb_strategy_v3 [20231200] 2023-10-09 14:01:58 [1] 33600.000000 7652 DOW caleb_strategy_v3 [20231200] 2023-10-09 14:02:06 [1] 33599.000000 7643 EUR caleb_strategy_v3 [20231200] 2023-10-09 14:01:30 [1] 1.058600 7619 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-09 08:05:52 [-1] 97.005000 7618 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-09 08:05:48 [-1] 97.005000 7617 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-09 08:05:45 [-1] 97.010000 7616 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-09 08:01:28 [-1] 97.010000 7615 EUROSTX caleb_strategy_v3 [20231200] 2023-10-09 07:00:07 [1] 4146.000000 7614 EUROSTX caleb_strategy_v3 [20231200] 2023-10-09 07:00:05 [1] 4146.000000 7624 GASOLINE caleb_strategy_v3 [20240100] 2023-10-09 13:00:17 [-1] 2.210200 7627 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-09 13:00:24 [1] 3.650000 7630 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-09 13:00:31 [1] 3.655000 7631 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-09 13:00:33 [1] 3.665000 7632 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-09 13:00:36 [1] 3.665000 7621 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-09 13:00:05 [1] 3.645000 7628 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-09 13:00:25 [1] 1862.300000 7623 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-09 13:00:15 [1] 1862.600000 7633 JPY caleb_strategy_v3 [20231200] 2023-10-09 14:00:34 [1] 0.006794 7660 LEANHOG caleb_strategy_v3 [20240200] 2023-10-09 14:30:03 [1] 76.550000 7648 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:01:58 [-1] 0.054150 7651 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:02:05 [-1] 0.054160 7654 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:02:09 [-1] 0.054160 7656 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:02:19 [-1] 0.054150 7657 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:02:31 [-1] 0.054150 7658 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:02:42 [-1] 0.054140 7637 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:00:49 [-1] 0.054180 7645 MXP caleb_strategy_v3 [20231200] 2023-10-09 14:01:53 [-1] 0.054160 7639 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-09 14:01:20 [-1] 15037.250000 7635 NZD caleb_strategy_v3 [20231200] 2023-10-09 14:00:39 [1] 0.600250 7659 REDWHEAT caleb_strategy_v3 [20240300] 2023-10-09 14:30:01 [1] 690.000000 7636 RUSSELL caleb_strategy_v3 [20231200] 2023-10-09 14:00:39 [1] 1752.900000 7642 SP500_micro caleb_strategy_v3 [20231200] 2023-10-09 14:01:27 [1] 4334.750000 7634 US30 caleb_strategy_v3 [20231200] 2023-10-09 14:00:37 [-1] 114.562500 7638 VIX caleb_strategy_v3 [20231200] 2023-10-09 14:01:19 [1] 19.150000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7613 BOBL caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 08:00:01.846 2023-10-09 07:00:03 288002 NaN 7614 EUROSTX caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 08:00:04.427 2023-10-09 07:00:05 288004 NaN 7615 EUROSTX caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 08:00:07.695 2023-10-09 07:00:07 288008 NaN 7616 EURIBOR-ICE caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 09:00:04.604 2023-10-09 08:01:28 291605 NaN 7617 EURIBOR-ICE caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 09:01:34.108 2023-10-09 08:05:45 291694 NaN 7618 EURIBOR-ICE caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 09:05:47.928 2023-10-09 08:05:48 291948 NaN 7619 EURIBOR-ICE caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 09:05:50.741 2023-10-09 08:05:52 291951 NaN 7620 COPPER caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:02.318 2023-10-09 13:00:02 309602 NaN 7622 COCOA caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:06.462 2023-10-09 13:00:14 309606 NaN 7624 GASOLINE caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:16.731 2023-10-09 13:00:17 309617 NaN 7625 CRUDE_W _ROLL_PSEUDO_STRATEGY 2023-10-06 20:00:00 2023-10-09 14:00:17.851 2023-10-09 13:00:19 237618 NaN 7626 CRUDE_W _ROLL_PSEUDO_STRATEGY 2023-10-06 20:00:00 2023-10-09 14:00:20.155 2023-10-09 13:00:20 237620 NaN 7628 GOLD_micro caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:25.491 2023-10-09 13:00:25 309625 NaN 7623 GOLD_micro caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:15.631 2023-10-09 13:00:15 309616 NaN 7629 CRUDE_W caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:26.016 2023-10-09 13:00:27 309626 NaN 7621 GAS_US_mini caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:03.392 2023-10-09 13:00:05 309603 NaN 7627 GAS_US_mini caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:24.862 2023-10-09 13:00:24 309625 NaN 7630 GAS_US_mini caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:30.426 2023-10-09 13:00:31 309630 NaN 7631 GAS_US_mini caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:33.368 2023-10-09 13:00:33 309633 NaN 7632 GAS_US_mini caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 14:00:35.950 2023-10-09 13:00:36 309636 NaN 7633 JPY caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:00:01.339 2023-10-09 14:00:34 313201 NaN 7634 US30 caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:00:35.474 2023-10-09 14:00:37 313235 NaN 7635 NZD caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:00:38.702 2023-10-09 14:00:39 313239 NaN 7636 RUSSELL caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:00:39.774 2023-10-09 14:00:39 313240 NaN 7638 VIX caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:00:50.691 2023-10-09 14:01:19 313251 NaN 7639 NASDAQ_micro caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:20.407 2023-10-09 14:01:20 313280 NaN 7641 AUD caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:22.157 2023-10-09 14:01:25 313282 NaN 7642 SP500_micro caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:26.235 2023-10-09 14:01:27 313286 NaN 7643 EUR caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:27.854 2023-10-09 14:01:30 313288 NaN 7640 DOW caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:21.323 2023-10-09 14:01:21 313281 NaN 7649 DOW caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:58.425 2023-10-09 14:01:58 313318 NaN 7652 DOW caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:05.990 2023-10-09 14:02:06 313326 NaN 7646 DOW caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:54.381 2023-10-09 14:01:54 313314 NaN 7650 BITCOIN caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:58.913 2023-10-09 14:01:59 313319 NaN 7653 BITCOIN caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:06.428 2023-10-09 14:02:06 313326 NaN 7655 BITCOIN caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:10.008 2023-10-09 14:02:15 313330 NaN 7644 BITCOIN caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:30.996 2023-10-09 14:01:39 313291 NaN 7647 BITCOIN caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:55.101 2023-10-09 14:01:55 313315 NaN 7648 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:57.500 2023-10-09 14:01:58 313318 NaN 7651 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:01.468 2023-10-09 14:02:05 313321 NaN 7654 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:08.808 2023-10-09 14:02:09 313329 NaN 7656 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:17.749 2023-10-09 14:02:19 313338 NaN 7657 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:21.497 2023-10-09 14:02:31 313341 NaN 7658 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:02:34.228 2023-10-09 14:02:42 313354 NaN 7637 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:00:40.798 2023-10-09 14:00:49 313241 NaN 7645 MXP caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:01:53.750 2023-10-09 14:01:53 313314 NaN 7659 REDWHEAT caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:30:00.903 2023-10-09 14:30:01 315001 NaN 7660 LEANHOG caleb_strategy_v3 2023-10-06 00:00:00 2023-10-09 15:30:02.795 2023-10-09 14:30:03 315003 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 7613 BOBL caleb_strategy_v3 [1] 115.71 None 115.975 115.98 115.97 115.97 115.97 -0.265 -0.005 0.01 0 NaN 0.005 7614 EUROSTX caleb_strategy_v3 [1] 4186 None 4146.5 4147 4146 4146 4146 39.5 -0.5 1 0 NaN 0.5 7615 EUROSTX caleb_strategy_v3 [1] 4186 None 4146.5 4147 4146 4146 4146 39.5 -0.5 1 0 NaN 0.5 7616 EURIBOR-ICE caleb_strategy_v3 [-1] 96.96 None 97.0175 97.015 97.02 97.02 97.01 0.0575 -0.0025 -0.005 -0.01 NaN -0.0075 7617 EURIBOR-ICE caleb_strategy_v3 [-1] 96.96 None 97.0125 97.01 97.015 97.015 97.01 0.0525 -0.0025 -0 -0.005 NaN -0.0025 7618 EURIBOR-ICE caleb_strategy_v3 [-1] 96.96 None 97.0125 97.01 97.015 NaN 97.005 0.0525 -0.0025 -0.005 NaN NaN -0.0075 7619 EURIBOR-ICE caleb_strategy_v3 [-1] 96.96 None 97.01 97.005 97.015 97.015 97.005 0.05 -0.005 -0 -0.01 NaN -0.005 7620 COPPER caleb_strategy_v3 [1] 3.634 None 3.65275 3.653 3.6525 3.6525 3.6525 -0.01875 -0.00025 0.0005 0 NaN 0.00025 7622 COCOA caleb_strategy_v3 [1] 3478 None 3458.5 3459 3458 3458 3460 19.5 -0.5 -1 -2 NaN -1.5 7624 GASOLINE caleb_strategy_v3 [-1] 2.1479 None 2.2106 2.2103 2.2109 2.2109 2.2102 0.0627 -0.0003 -0.0001 -0.0007 NaN -0.0004 7625 CRUDE_W _ROLL_PSEUDO_STRATEGY [1] 81.3 None 84.38 84.39 84.37 84.37 84.37 -3.08 -0.01 0.02 0 NaN 0.01 7626 CRUDE_W _ROLL_PSEUDO_STRATEGY [-1] 72.91 None 75.08 75.07 75.09 NaN 75.06 2.17 -0.01 -0.01 NaN NaN -0.02 7628 GOLD_micro caleb_strategy_v3 [1] 1845.7 None 1862.55 1862.6 1862.5 1862.5 1862.3 -16.85 -0.05 0.3 0.2 NaN 0.25 7623 GOLD_micro caleb_strategy_v3 [1] 1845.7 None 1862.5 1862.6 1862.4 1862.4 1862.6 -16.8 -0.1 0 -0.2 NaN -0.1 7629 CRUDE_W caleb_strategy_v3 [-1] 72.91 None 75.065 75.06 75.07 75.07 75.07 2.155 -0.005 0.01 -1.42109e-14 NaN 0.005 7621 GAS_US_mini caleb_strategy_v3 [1] 3.64 None 3.64 3.645 3.635 3.635 3.645 4.44089e-16 -0.005 0 -0.01 NaN -0.005 7627 GAS_US_mini caleb_strategy_v3 [1] 3.64 None 3.6425 3.645 3.64 NaN 3.65 -0.0025 -0.0025 -0.005 NaN NaN -0.0075 7630 GAS_US_mini caleb_strategy_v3 [1] 3.64 None 3.65 3.655 3.645 3.645 3.655 -0.01 -0.005 0 -0.01 NaN -0.005 7631 GAS_US_mini caleb_strategy_v3 [1] 3.64 None 3.66 3.665 3.655 3.655 3.665 -0.02 -0.005 0 -0.01 NaN -0.005 7632 GAS_US_mini caleb_strategy_v3 [1] 3.64 None 3.665 3.67 3.66 3.66 3.665 -0.025 -0.005 0.005 -0.005 NaN 0 7633 JPY caleb_strategy_v3 [1] 0.006772 None 0.00679275 0.006793 0.0067925 0.0067925 0.006794 -2.075e-05 -2.5e-07 -1e-06 -1.5e-06 NaN -1.25e-06 7634 US30 caleb_strategy_v3 [-1] 114.281 None 114.547 114.531 114.562 114.562 114.562 0.265625 -0.015625 0.03125 -0 NaN 0.015625 7635 NZD caleb_strategy_v3 [1] 0.59995 None 0.600175 0.6002 0.60015 0.60015 0.60025 -0.000225 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 7636 RUSSELL caleb_strategy_v3 [1] 1762.3 None 1752.7 1752.8 1752.6 1752.6 1752.9 9.6 -0.1 -0.1 -0.3 NaN -0.2 7638 VIX caleb_strategy_v3 [1] 18.45 None 19.125 19.15 19.1 19.1 19.15 -0.675 -0.025 0 -0.05 NaN -0.025 7639 NASDAQ_micro caleb_strategy_v3 [-1] 15137.8 None 15040 15039.8 15040.2 15040.2 15037.2 -97.75 -0.25 -2.5 -3 NaN -2.75 7641 AUD caleb_strategy_v3 [1] 0.6409 None 0.639675 0.6397 0.63965 0.63965 0.6397 0.001225 -2.5e-05 0 -5e-05 NaN -2.5e-05 7642 SP500_micro caleb_strategy_v3 [1] 4349.25 None 4334.38 4334.5 4334.25 4334.25 4334.75 14.875 -0.125 -0.25 -0.5 NaN -0.375 7643 EUR caleb_strategy_v3 [1] 1.06245 None 1.05863 1.05865 1.0586 1.0586 1.0586 0.003825 -2.5e-05 5e-05 0 NaN 2.5e-05 7640 DOW caleb_strategy_v3 [1] 33709 None 33597.5 33598 33597 33597 33597 111.5 -0.5 1 0 NaN 0.5 7649 DOW caleb_strategy_v3 [1] 33709 None 33603.5 33604 33603 33603 33600 105.5 -0.5 4 3 NaN 3.5 7652 DOW caleb_strategy_v3 [1] 33709 None 33599 33600 33598 33598 33599 110 -1 1 -1 NaN 0 7646 DOW caleb_strategy_v3 [1] 33709 None 33596 33597 33595 33595 33604 113 -1 -7 -9 NaN -8 7650 BITCOIN caleb_strategy_v3 [1] 28095 None 27627.5 27630 27625 27625 27630 467.5 -2.5 0 -5 NaN -2.5 7653 BITCOIN caleb_strategy_v3 [1] 28095 None 27627.5 27630 27625 NaN 27645 467.5 -2.5 -15 NaN NaN -17.5 7655 BITCOIN caleb_strategy_v3 [1] 28095 None 27640 27645 27635 27635 27650 455 -5 -5 -15 NaN -10 7644 BITCOIN caleb_strategy_v3 [1] 28095 None 27630 27635 27625 27625 27640 465 -5 -5 -15 NaN -10 7647 BITCOIN caleb_strategy_v3 [1] 28095 None 27635 27640 27630 27630 27630 460 -5 10 0 NaN 5 7648 MXP caleb_strategy_v3 [-1] 0.0545 None 0.054165 0.05416 0.05417 NaN 0.05415 -0.000335 -5e-06 -1e-05 NaN NaN -1.5e-05 7651 MXP caleb_strategy_v3 [-1] 0.0545 None 0.054155 0.05415 0.05416 0.05416 0.05416 -0.000345 -5e-06 1e-05 -6.93889e-18 NaN 5e-06 7654 MXP caleb_strategy_v3 [-1] 0.0545 None 0.05416 0.05415 0.05417 0.05417 0.05416 -0.00034 -1e-05 1e-05 -1e-05 NaN 0 7656 MXP caleb_strategy_v3 [-1] 0.0545 None 0.05416 0.05415 0.05417 0.05417 0.05415 -0.00034 -1e-05 -0 -2e-05 NaN -1e-05 7657 MXP caleb_strategy_v3 [-1] 0.0545 None 0.05416 0.05415 0.05417 0.05417 0.05415 -0.00034 -1e-05 -0 -2e-05 NaN -1e-05 7658 MXP caleb_strategy_v3 [-1] 0.0545 None 0.054155 0.05415 0.05416 0.05416 0.05414 -0.000345 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 7637 MXP caleb_strategy_v3 [-1] 0.0545 None 0.05417 0.05416 0.05418 0.05418 0.05418 -0.00033 -1e-05 2e-05 -6.93889e-18 NaN 1e-05 7645 MXP caleb_strategy_v3 [-1] 0.0545 None 0.054165 0.05416 0.05417 0.05417 0.05416 -0.000335 -5e-06 -0 -1e-05 NaN -5e-06 7659 REDWHEAT caleb_strategy_v3 [1] 682 None 700 700 700 700 690 -18 0 10 10 NaN 10 7660 LEANHOG caleb_strategy_v3 [1] 77.35 None 77.5 77.5 77.5 77.5 76.55 -0.15 0 0.95 0.95 NaN 0.95 =================================================================================================================================================================== 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 7613 BOBL caleb_strategy_v3 [1] 6.09414 -434.844 -8.2046 16.4092 0 NaN 8.2046 7614 EUROSTX caleb_strategy_v3 [1] 597.208 661.411 -8.3723 16.7446 0 NaN 8.3723 7615 EUROSTX caleb_strategy_v3 [1] 597.208 661.411 -8.3723 16.7446 0 NaN 8.3723 7616 EURIBOR-ICE caleb_strategy_v3 [-1] 1.15097 499.579 -21.7208 -43.4417 -86.8834 NaN -65.1625 7617 EURIBOR-ICE caleb_strategy_v3 [-1] 1.15097 456.138 -21.7208 -0 -43.4417 NaN -21.7208 7618 EURIBOR-ICE caleb_strategy_v3 [-1] 1.15097 456.138 -21.7208 -43.4417 NaN NaN -65.1625 7619 EURIBOR-ICE caleb_strategy_v3 [-1] 1.15097 434.417 -43.4417 -0 -86.8834 NaN -43.4417 7620 COPPER caleb_strategy_v3 [1] 0.755752 -248.097 -3.30796 6.61592 0 NaN 3.30796 7622 COCOA caleb_strategy_v3 [1] 734.193 265.598 -6.8102 -13.6204 -27.2408 NaN -20.4306 7624 GASOLINE caleb_strategy_v3 [-1] 0.762213 822.605 -3.93591 -1.31197 -9.18379 NaN -5.24788 7625 CRUDE_W _ROLL_PSEUDO_STRATEGY [1] 27.7253 -1110.9 -3.60682 7.21364 0 NaN 3.60682 7626 CRUDE_W _ROLL_PSEUDO_STRATEGY [-1] 27.7253 782.68 -3.60682 -3.60682 NaN NaN -7.21364 7628 GOLD_micro caleb_strategy_v3 [1] 220.635 -763.704 -2.26618 13.5971 9.06474 NaN 11.3309 7623 GOLD_micro caleb_strategy_v3 [1] 220.635 -761.438 -4.53237 0 -9.06474 NaN -4.53237 7629 CRUDE_W caleb_strategy_v3 [-1] 27.7253 777.27 -1.80341 3.60682 -5.1256e-12 NaN 1.80341 7621 GAS_US_mini caleb_strategy_v3 [1] 1.86666 2.37905e-12 -26.7858 0 -53.5716 NaN -26.7858 7627 GAS_US_mini caleb_strategy_v3 [1] 1.86666 -13.3929 -13.3929 -26.7858 NaN NaN -40.1787 7630 GAS_US_mini caleb_strategy_v3 [1] 1.86666 -53.5716 -26.7858 0 -53.5716 NaN -26.7858 7631 GAS_US_mini caleb_strategy_v3 [1] 1.86666 -107.143 -26.7858 0 -53.5716 NaN -26.7858 7632 GAS_US_mini caleb_strategy_v3 [1] 1.86666 -133.929 -26.7858 26.7858 -26.7858 NaN 0 7633 JPY caleb_strategy_v3 [1] 0.000564218 -367.766 -4.43091 -17.7237 -26.5855 NaN -22.1546 7634 US30 caleb_strategy_v3 [-1] 23.1518 114.732 -6.74894 13.4979 -0 NaN 6.74894 7635 NZD caleb_strategy_v3 [1] 0.055875 -40.2684 -4.47427 -8.94854 -17.8971 NaN -13.4228 7636 RUSSELL caleb_strategy_v3 [1] 327.609 293.032 -3.05242 -3.05242 -9.15725 NaN -6.10483 7638 VIX caleb_strategy_v3 [1] 8.27549 -815.661 -30.2097 0 -60.4194 NaN -30.2097 7639 NASDAQ_micro caleb_strategy_v3 [-1] 2969.45 -329.185 -0.841906 -8.41906 -10.1029 NaN -9.26096 7641 AUD caleb_strategy_v3 [1] 0.0677985 180.682 -3.6874 0 -7.37479 NaN -3.6874 7642 SP500_micro caleb_strategy_v3 [1] 639.653 232.548 -1.95418 -3.90837 -7.81674 NaN -5.86255 7643 EUR caleb_strategy_v3 [1] 0.0764286 500.467 -3.27103 6.54206 0 NaN 3.27103 7640 DOW caleb_strategy_v3 [1] 4031.89 276.545 -1.24011 2.48022 0 NaN 1.24011 7649 DOW caleb_strategy_v3 [1] 4031.89 261.664 -1.24011 9.9209 7.44067 NaN 8.68078 7652 DOW caleb_strategy_v3 [1] 4031.89 272.825 -2.48022 2.48022 -2.48022 NaN 0 7646 DOW caleb_strategy_v3 [1] 4031.89 280.265 -2.48022 -17.3616 -22.322 NaN -19.8418 7650 BITCOIN caleb_strategy_v3 [1] 11653.2 401.177 -2.14533 0 -4.29066 NaN -2.14533 7653 BITCOIN caleb_strategy_v3 [1] 11653.2 401.177 -2.14533 -12.872 NaN NaN -15.0173 7655 BITCOIN caleb_strategy_v3 [1] 11653.2 390.45 -4.29066 -4.29066 -12.872 NaN -8.58132 7644 BITCOIN caleb_strategy_v3 [1] 11653.2 399.031 -4.29066 -4.29066 -12.872 NaN -8.58132 7647 BITCOIN caleb_strategy_v3 [1] 11653.2 394.741 -4.29066 8.58132 0 NaN 4.29066 7648 MXP caleb_strategy_v3 [-1] 0.00693931 -482.757 -7.20532 -14.4106 NaN NaN -21.616 7651 MXP caleb_strategy_v3 [-1] 0.00693931 -497.167 -7.20532 14.4106 -9.99939e-12 NaN 7.20532 7654 MXP caleb_strategy_v3 [-1] 0.00693931 -489.962 -14.4106 14.4106 -14.4106 NaN 0 7656 MXP caleb_strategy_v3 [-1] 0.00693931 -489.962 -14.4106 -0 -28.8213 NaN -14.4106 7657 MXP caleb_strategy_v3 [-1] 0.00693931 -489.962 -14.4106 -0 -28.8213 NaN -14.4106 7658 MXP caleb_strategy_v3 [-1] 0.00693931 -497.167 -7.20532 -14.4106 -28.8213 NaN -21.616 7637 MXP caleb_strategy_v3 [-1] 0.00693931 -475.551 -14.4106 28.8213 -9.99939e-12 NaN 14.4106 7645 MXP caleb_strategy_v3 [-1] 0.00693931 -482.757 -7.20532 -0 -14.4106 NaN -7.20532 7659 REDWHEAT caleb_strategy_v3 [1] 246.425 -730.445 0 405.803 405.803 NaN 405.803 7660 LEANHOG caleb_strategy_v3 [1] 26.7256 -56.1261 0 355.465 355.465 NaN 355.465 ============================================================================================================================================================================= 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 7613 BOBL caleb_strategy_v3 [1] 1055.3 -279.655 -5.2765 10.553 0 NaN 5.2765 7614 EUROSTX caleb_strategy_v3 [1] 10.553 416.843 -5.2765 10.553 0 NaN 5.2765 7615 EUROSTX caleb_strategy_v3 [1] 10.553 416.843 -5.2765 10.553 0 NaN 5.2765 7616 EURIBOR-ICE caleb_strategy_v3 [-1] 2638.25 151.699 -6.59562 -13.1912 -26.3825 NaN -19.7869 7617 EURIBOR-ICE caleb_strategy_v3 [-1] 2638.25 138.508 -6.59562 -0 -13.1912 NaN -6.59562 7618 EURIBOR-ICE caleb_strategy_v3 [-1] 2638.25 138.508 -6.59562 -13.1913 NaN NaN -19.7869 7619 EURIBOR-ICE caleb_strategy_v3 [-1] 2638.25 131.912 -13.1912 -0 -26.3825 NaN -13.1912 7620 COPPER caleb_strategy_v3 [1] 25000 -468.75 -6.25 12.5 0 NaN 6.25 7622 COCOA caleb_strategy_v3 [1] 10 195 -5 -10 -20 NaN -15 7624 GASOLINE caleb_strategy_v3 [-1] 42000 2633.4 -12.6 -4.2 -29.4 NaN -16.8 7625 CRUDE_W _ROLL_PSEUDO_STRATEGY [1] 1000 -3080 -10 20 0 NaN 10 7626 CRUDE_W _ROLL_PSEUDO_STRATEGY [-1] 1000 2170 -10 -10 NaN NaN -20 7628 GOLD_micro caleb_strategy_v3 [1] 10 -168.5 -0.5 3 2 NaN 2.5 7623 GOLD_micro caleb_strategy_v3 [1] 10 -168 -1 0 -2 NaN -1 7629 CRUDE_W caleb_strategy_v3 [-1] 1000 2155 -5 10 -1.42109e-11 NaN 5 7621 GAS_US_mini caleb_strategy_v3 [1] 2500 1.11022e-12 -12.5 0 -25 NaN -12.5 7627 GAS_US_mini caleb_strategy_v3 [1] 2500 -6.25 -6.25 -12.5 NaN NaN -18.75 7630 GAS_US_mini caleb_strategy_v3 [1] 2500 -25 -12.5 0 -25 NaN -12.5 7631 GAS_US_mini caleb_strategy_v3 [1] 2500 -50 -12.5 0 -25 NaN -12.5 7632 GAS_US_mini caleb_strategy_v3 [1] 2500 -62.5 -12.5 12.5 -12.5 NaN 0 7633 JPY caleb_strategy_v3 [1] 1.25e+07 -259.375 -3.125 -12.5 -18.75 NaN -15.625 7634 US30 caleb_strategy_v3 [-1] 1000 265.625 -15.625 31.25 -0 NaN 15.625 7635 NZD caleb_strategy_v3 [1] 100000 -22.5 -2.5 -5 -10 NaN -7.5 7636 RUSSELL caleb_strategy_v3 [1] 5 48 -0.5 -0.5 -1.5 NaN -1 7638 VIX caleb_strategy_v3 [1] 1000 -675 -25 0 -50 NaN -25 7639 NASDAQ_micro caleb_strategy_v3 [-1] 2 -195.5 -0.5 -5 -6 NaN -5.5 7641 AUD caleb_strategy_v3 [1] 100000 122.5 -2.5 0 -5 NaN -2.5 7642 SP500_micro caleb_strategy_v3 [1] 5 74.375 -0.625 -1.25 -2.5 NaN -1.875 7643 EUR caleb_strategy_v3 [1] 125000 478.125 -3.125 6.25 0 NaN 3.125 7640 DOW caleb_strategy_v3 [1] 0.5 55.75 -0.25 0.5 0 NaN 0.25 7649 DOW caleb_strategy_v3 [1] 0.5 52.75 -0.25 2 1.5 NaN 1.75 7652 DOW caleb_strategy_v3 [1] 0.5 55 -0.5 0.5 -0.5 NaN 0 7646 DOW caleb_strategy_v3 [1] 0.5 56.5 -0.5 -3.5 -4.5 NaN -4 7650 BITCOIN caleb_strategy_v3 [1] 0.1 46.75 -0.25 0 -0.5 NaN -0.25 7653 BITCOIN caleb_strategy_v3 [1] 0.1 46.75 -0.25 -1.5 NaN NaN -1.75 7655 BITCOIN caleb_strategy_v3 [1] 0.1 45.5 -0.5 -0.5 -1.5 NaN -1 7644 BITCOIN caleb_strategy_v3 [1] 0.1 46.5 -0.5 -0.5 -1.5 NaN -1 7647 BITCOIN caleb_strategy_v3 [1] 0.1 46 -0.5 1 0 NaN 0.5 7648 MXP caleb_strategy_v3 [-1] 500000 -167.5 -2.5 -5 NaN NaN -7.5 7651 MXP caleb_strategy_v3 [-1] 500000 -172.5 -2.5 5 -3.46945e-12 NaN 2.5 7654 MXP caleb_strategy_v3 [-1] 500000 -170 -5 5 -5 NaN 0 7656 MXP caleb_strategy_v3 [-1] 500000 -170 -5 -0 -10 NaN -5 7657 MXP caleb_strategy_v3 [-1] 500000 -170 -5 -0 -10 NaN -5 7658 MXP caleb_strategy_v3 [-1] 500000 -172.5 -2.5 -5 -10 NaN -7.5 7637 MXP caleb_strategy_v3 [-1] 500000 -165 -5 10 -3.46945e-12 NaN 5 7645 MXP caleb_strategy_v3 [-1] 500000 -167.5 -2.5 -0 -5 NaN -2.5 7659 REDWHEAT caleb_strategy_v3 [1] 50 -900 0 500 500 NaN 500 7660 LEANHOG caleb_strategy_v3 [1] 400 -60 0 380 380 NaN 380 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W -910.000000 caleb_strategy_v3 AUD 122.500000 BITCOIN 231.500000 BOBL -279.654500 COCOA 195.000000 COPPER -468.750000 CRUDE_W 2155.000000 DOW 220.000000 EUR 478.125000 EURIBOR-ICE 560.628125 EUROSTX 833.687000 GASOLINE 2633.400000 GAS_US_mini -143.750000 GOLD_micro -336.500000 JPY -259.375000 LEANHOG -60.000000 MXP -1355.000000 NASDAQ_micro -195.500000 NZD -22.500000 REDWHEAT -900.000000 RUSSELL 48.000000 SP500_micro 74.375000 US30 265.625000 VIX -675.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -910.000000 caleb_strategy_v3 3121.810625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W -20.000000 caleb_strategy_v3 AUD -2.500000 BITCOIN -2.000000 BOBL -5.276500 COCOA -5.000000 COPPER -6.250000 CRUDE_W -5.000000 DOW -1.500000 EUR -3.125000 EURIBOR-ICE -32.978125 EUROSTX -10.553000 GASOLINE -12.600000 GAS_US_mini -56.250000 GOLD_micro -1.500000 JPY -3.125000 LEANHOG 0.000000 MXP -30.000000 NASDAQ_micro -0.500000 NZD -2.500000 REDWHEAT 0.000000 RUSSELL -0.500000 SP500_micro -0.625000 US30 -15.625000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -20.000000 caleb_strategy_v3 -222.407625 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W 10.0000 caleb_strategy_v3 AUD 0.0000 BITCOIN -1.5000 BOBL 10.5530 COCOA -10.0000 COPPER 12.5000 CRUDE_W 10.0000 DOW -0.5000 EUR 6.2500 EURIBOR-ICE -26.3825 EUROSTX 21.1060 GASOLINE -4.2000 GAS_US_mini 0.0000 GOLD_micro 3.0000 JPY -12.5000 LEANHOG 380.0000 MXP 10.0000 NASDAQ_micro -5.0000 NZD -5.0000 REDWHEAT 500.0000 RUSSELL -0.5000 SP500_micro -1.2500 US30 31.2500 VIX 0.0000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.0000 caleb_strategy_v3 917.8265 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W 0.000000e+00 caleb_strategy_v3 AUD -5.000000e+00 BITCOIN -3.500000e+00 BOBL 0.000000e+00 COCOA -2.000000e+01 COPPER 0.000000e+00 CRUDE_W -1.421085e-11 DOW -3.500000e+00 EUR 0.000000e+00 EURIBOR-ICE -6.595625e+01 EUROSTX 0.000000e+00 GASOLINE -2.940000e+01 GAS_US_mini -8.750000e+01 GOLD_micro 2.273737e-12 JPY -1.875000e+01 LEANHOG 3.800000e+02 MXP -4.000000e+01 NASDAQ_micro -6.000000e+00 NZD -1.000000e+01 REDWHEAT 5.000000e+02 RUSSELL -1.500000e+00 SP500_micro -2.500000e+00 US30 -0.000000e+00 VIX -5.000000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.00000 caleb_strategy_v3 536.39375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W 0 caleb_strategy_v3 AUD 0 BITCOIN 0 BOBL 0 COCOA 0 COPPER 0 CRUDE_W 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NZD 0 REDWHEAT 0 RUSSELL 0 SP500_micro 0 US30 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W -10.000000 caleb_strategy_v3 AUD -2.500000 BITCOIN -3.500000 BOBL 5.276500 COCOA -15.000000 COPPER 6.250000 CRUDE_W 5.000000 DOW -2.000000 EUR 3.125000 EURIBOR-ICE -59.360625 EUROSTX 10.553000 GASOLINE -16.800000 GAS_US_mini -56.250000 GOLD_micro 1.500000 JPY -15.625000 LEANHOG 380.000000 MXP -20.000000 NASDAQ_micro -5.500000 NZD -7.500000 REDWHEAT 500.000000 RUSSELL -1.000000 SP500_micro -1.875000 US30 15.625000 VIX -25.000000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.000000 caleb_strategy_v3 695.418875 ******************************************************************************** END OF REPORT ********************************************************************************