******************************************************************************** Trades report produced on 10/10/2023 21:39 from 09/10/2023 21:39 to 10/10/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7665 BOBL caleb_strategy_v3 [20231200] 2023-10-10 07:00:09 [1] 116.320000 7663 BUXL caleb_strategy_v3 [20231200] 2023-10-10 07:00:02 [1] 122.540000 7684 CAD caleb_strategy_v3 [20231200] 2023-10-10 14:00:07 [-1] 0.735950 7672 COCOA caleb_strategy_v3 [20240300] 2023-10-10 13:00:26 [1] 3459.000000 7689 DOW caleb_strategy_v3 [20231200] 2023-10-10 14:00:38 [1] 33862.000000 7686 EUR caleb_strategy_v3 [20231200] 2023-10-10 14:00:25 [1] 1.062900 7667 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-10 08:01:23 [-1] 97.065000 7664 EUROSTX caleb_strategy_v3 [20231200] 2023-10-10 07:00:07 [1] 4172.000000 7666 EUROSTX caleb_strategy_v3 [20231200] 2023-10-10 07:00:11 [1] 4172.000000 7694 FEEDCOW caleb_strategy_v3 [20240100] 2023-10-10 14:30:04 [-1] 252.850000 7699 FEEDCOW caleb_strategy_v3 [20240100] 2023-10-10 14:30:12 [-1] 252.850000 7702 FEEDCOW caleb_strategy_v3 [20240100] 2023-10-10 14:30:19 [-1] 252.850000 7670 GASOLINE caleb_strategy_v3 [20240100] 2023-10-10 13:00:04 [-1] 2.207600 7678 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-10 13:00:36 [1] 3.640000 7676 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-10 13:00:33 [1] 3.640000 7674 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-10 13:00:30 [1] 3.640000 7671 GAS_US_mini caleb_strategy_v3 [20231200] 2023-10-10 13:00:05 [1] 3.650000 7680 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-10 13:00:41 [1] 1868.100000 7669 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-10 13:00:02 [1] 1867.900000 7675 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-10 13:00:32 [1] 1868.300000 7677 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-10 13:00:35 [1] 1868.300000 7679 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-10 13:00:38 [1] 1868.200000 7673 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-10 13:00:29 [1] 1868.300000 7687 JPY caleb_strategy_v3 [20231200] 2023-10-10 14:00:31 [1] 0.006789 7700 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-10 14:30:12 [-1] 72.850000 7703 LEANHOG caleb_strategy_v3 [20240200] 2023-10-10 14:30:20 [1] 76.975000 7698 LEANHOG _ROLL_PSEUDO_STRATEGY [20240200] 2023-10-10 14:30:09 [1] 76.925000 7701 LEANHOG _ROLL_PSEUDO_STRATEGY [20240200] 2023-10-10 14:30:13 [1] 76.975000 7697 LEANHOG _ROLL_PSEUDO_STRATEGY [20231200] 2023-10-10 14:30:07 [-1] 72.875000 7692 LIVECOW caleb_strategy_v3 [20231200] 2023-10-10 14:30:01 [1] 185.600000 7691 MXP caleb_strategy_v3 [20231200] 2023-10-10 14:00:43 [-1] 0.054770 7682 MXP caleb_strategy_v3 [20231200] 2023-10-10 14:00:02 [-1] 0.054710 7690 MXP caleb_strategy_v3 [20231200] 2023-10-10 14:00:40 [-1] 0.054750 7681 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-10 14:00:01 [1] 15243.000000 7661 NIKKEI caleb_strategy_v3 [20231200] 2023-10-10 02:00:30 [-1] 31690.000000 7662 NIKKEI caleb_strategy_v3 [20231200] 2023-10-10 02:00:39 [-1] 31675.000000 7668 ROBUSTA caleb_strategy_v3 [20240100] 2023-10-10 09:00:04 [-1] 2234.000000 7683 RUSSELL caleb_strategy_v3 [20231200] 2023-10-10 14:00:03 [1] 1785.500000 7693 SOYBEAN caleb_strategy_v3 [20241100] 2023-10-10 14:30:03 [-1] 1248.000000 7696 SOYOIL _ROLL_PSEUDO_STRATEGY [20240300] 2023-10-10 14:30:06 [-1] 51.710000 7695 SOYOIL _ROLL_PSEUDO_STRATEGY [20240100] 2023-10-10 14:30:05 [1] 52.030000 7685 US5 caleb_strategy_v3 [20231200] 2023-10-10 14:00:24 [1] 105.273438 7688 VIX caleb_strategy_v3 [20231200] 2023-10-10 14:00:37 [-1] 18.250000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7661 NIKKEI caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 03:00:29.095 2023-10-10 02:00:30 97229.1 NaN 7662 NIKKEI caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 03:00:32.676 2023-10-10 02:00:39 97232.7 NaN 7663 BUXL caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 08:00:02.392 2023-10-10 07:00:02 115202 NaN 7665 BOBL caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 08:00:08.291 2023-10-10 07:00:09 115208 NaN 7664 EUROSTX caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 08:00:03.648 2023-10-10 07:00:07 115204 NaN 7666 EUROSTX caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 08:00:11.419 2023-10-10 07:00:11 115211 NaN 7667 EURIBOR-ICE caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 09:00:02.432 2023-10-10 08:01:23 118802 NaN 7668 ROBUSTA caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 10:00:02.227 2023-10-10 09:00:04 122402 NaN 7670 GASOLINE caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:03.675 2023-10-10 13:00:04 136804 NaN 7672 COCOA caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:06.667 2023-10-10 13:00:26 136807 NaN 7674 GAS_US_mini caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:29.776 2023-10-10 13:00:30 136830 NaN 7676 GAS_US_mini caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:33.192 2023-10-10 13:00:33 136833 NaN 7678 GAS_US_mini caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:36.169 2023-10-10 13:00:36 136836 NaN 7671 GAS_US_mini caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:05.547 2023-10-10 13:00:05 136806 NaN 7680 GOLD_micro caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:40.840 2023-10-10 13:00:41 136841 NaN 7669 GOLD_micro caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:02.101 2023-10-10 13:00:02 136802 NaN 7673 GOLD_micro caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:29.135 2023-10-10 13:00:29 136829 NaN 7675 GOLD_micro caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:32.496 2023-10-10 13:00:32 136832 NaN 7677 GOLD_micro caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:35.611 2023-10-10 13:00:35 136836 NaN 7679 GOLD_micro caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 14:00:38.363 2023-10-10 13:00:38 136838 NaN 7681 NASDAQ_micro caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:00.991 2023-10-10 14:00:01 140401 NaN 7683 RUSSELL caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:02.811 2023-10-10 14:00:03 140403 NaN 7684 CAD caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:03.860 2023-10-10 14:00:07 140404 NaN 7685 US5 caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:08.455 2023-10-10 14:00:24 140408 NaN 7686 EUR caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:24.713 2023-10-10 14:00:25 140425 NaN 7687 JPY caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:26.229 2023-10-10 14:00:31 140426 NaN 7688 VIX caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:32.128 2023-10-10 14:00:37 140432 NaN 7689 DOW caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:37.861 2023-10-10 14:00:38 140438 NaN 7691 MXP caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:43.028 2023-10-10 14:00:43 140443 NaN 7682 MXP caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:01.858 2023-10-10 14:00:02 140402 NaN 7690 MXP caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:00:40.528 2023-10-10 14:00:40 140441 NaN 7692 LIVECOW caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:30:01.570 2023-10-10 14:30:01 142202 NaN 7693 SOYBEAN caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:30:02.515 2023-10-10 14:30:03 142203 NaN 7696 SOYOIL _ROLL_PSEUDO_STRATEGY 2023-10-09 19:00:00 2023-10-10 15:30:06.488 2023-10-10 14:30:06 73806.5 NaN 7695 SOYOIL _ROLL_PSEUDO_STRATEGY 2023-10-09 19:00:00 2023-10-10 15:30:05.189 2023-10-10 14:30:05 73805.2 NaN 7697 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-10-09 19:00:00 2023-10-10 15:30:07.313 2023-10-10 14:30:07 73807.3 NaN 7698 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-10-09 19:00:00 2023-10-10 15:30:08.640 2023-10-10 14:30:09 73808.6 NaN 7700 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-10-09 19:00:00 2023-10-10 15:30:12.737 2023-10-10 14:30:12 73812.7 NaN 7701 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-10-09 19:00:00 2023-10-10 15:30:13.315 2023-10-10 14:30:13 73813.3 NaN 7699 FEEDCOW caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:30:11.719 2023-10-10 14:30:12 142212 NaN 7694 FEEDCOW caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:30:04.353 2023-10-10 14:30:04 142204 NaN 7702 FEEDCOW caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:30:19.248 2023-10-10 14:30:19 142219 NaN 7703 LEANHOG caleb_strategy_v3 2023-10-09 00:00:00 2023-10-10 15:30:19.855 2023-10-10 14:30:20 142220 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 7661 NIKKEI caleb_strategy_v3 [-1] 31295 None 31692.5 31690 31695 31695 31690 397.5 -2.5 -0 -5 NaN -2.5 7662 NIKKEI caleb_strategy_v3 [-1] 31295 None 31682.5 31680 31685 31685 31675 387.5 -2.5 -5 -10 NaN -7.5 7663 BUXL caleb_strategy_v3 [1] 122.54 None 122.48 122.5 122.46 122.46 122.54 0.06 -0.02 -0.04 -0.08 NaN -0.06 7665 BOBL caleb_strategy_v3 [1] 116.43 None 116.305 116.31 116.3 116.3 116.32 0.125 -0.005 -0.01 -0.02 NaN -0.015 7664 EUROSTX caleb_strategy_v3 [1] 4156 None 4172.5 4173 4172 4172 4172 -16.5 -0.5 1 0 NaN 0.5 7666 EUROSTX caleb_strategy_v3 [1] 4156 None 4171.5 4172 4171 NaN 4172 -15.5 -0.5 0 NaN NaN -0.5 7667 EURIBOR-ICE caleb_strategy_v3 [-1] 97.1 None 97.0625 97.06 97.065 97.065 97.065 -0.0375 -0.0025 0.005 -0 NaN 0.0025 7668 ROBUSTA caleb_strategy_v3 [-1] 2244 None 2234.5 2234 2235 2235 2234 -9.5 -0.5 -0 -1 NaN -0.5 7670 GASOLINE caleb_strategy_v3 [-1] 2.2038 None 2.20835 2.2081 2.2086 2.2086 2.2076 0.00455 -0.00025 -0.0005 -0.001 NaN -0.00075 7672 COCOA caleb_strategy_v3 [1] 3453 None 3458 3459 3457 3457 3459 -5 -1 0 -2 NaN -1 7674 GAS_US_mini caleb_strategy_v3 [1] 3.635 None 3.64 3.645 3.635 3.635 3.64 -0.005 -0.005 0.005 -0.005 NaN -4.44089e-16 7676 GAS_US_mini caleb_strategy_v3 [1] 3.635 None 3.6375 3.64 3.635 3.635 3.64 -0.0025 -0.0025 0 -0.005 NaN -0.0025 7678 GAS_US_mini caleb_strategy_v3 [1] 3.635 None 3.6375 3.64 3.635 NaN 3.64 -0.0025 -0.0025 0 NaN NaN -0.0025 7671 GAS_US_mini caleb_strategy_v3 [1] 3.635 None 3.6475 3.65 3.645 NaN 3.65 -0.0125 -0.0025 0 NaN NaN -0.0025 7680 GOLD_micro caleb_strategy_v3 [1] 1872.4 None 1868.15 1868.2 1868.1 1868.1 1868.1 4.25 -0.05 0.1 2.27374e-13 NaN 0.05 7669 GOLD_micro caleb_strategy_v3 [1] 1872.4 None 1867.95 1868 1867.9 1867.9 1867.9 4.45 -0.05 0.1 0 NaN 0.05 7673 GOLD_micro caleb_strategy_v3 [1] 1872.4 None 1868 1868.1 1867.9 1867.9 1868.3 4.4 -0.1 -0.2 -0.4 NaN -0.3 7675 GOLD_micro caleb_strategy_v3 [1] 1872.4 None 1868.25 1868.3 1868.2 1868.2 1868.3 4.15 -0.05 0 -0.1 NaN -0.05 7677 GOLD_micro caleb_strategy_v3 [1] 1872.4 None 1868.2 1868.3 1868.1 1868.1 1868.3 4.2 -0.1 0 -0.2 NaN -0.1 7679 GOLD_micro caleb_strategy_v3 [1] 1872.4 None 1868.25 1868.3 1868.2 NaN 1868.2 4.15 -0.05 0.1 NaN NaN 0.05 7681 NASDAQ_micro caleb_strategy_v3 [1] 15202.2 None 15241.6 15241.8 15241.5 15241.5 15243 -39.375 -0.125 -1.25 -1.5 NaN -1.375 7683 RUSSELL caleb_strategy_v3 [1] 1773.2 None 1785.35 1785.4 1785.3 1785.3 1785.5 -12.15 -0.05 -0.1 -0.2 NaN -0.15 7684 CAD caleb_strategy_v3 [-1] 0.73695 None 0.735975 0.73595 0.736 0.736 0.73595 -0.000975 -2.5e-05 -0 -5e-05 NaN -2.5e-05 7685 US5 caleb_strategy_v3 [1] 105.539 None 105.262 105.266 105.258 105.258 105.273 0.277344 -0.00390625 -0.007813 -0.0156255 NaN -0.0117192 7686 EUR caleb_strategy_v3 [1] 1.06 None 1.06292 1.06295 1.0629 1.0629 1.0629 -0.002925 -2.5e-05 5e-05 0 NaN 2.5e-05 7687 JPY caleb_strategy_v3 [1] 0.006809 None 0.00678875 0.006789 0.0067885 0.0067885 0.006789 2.025e-05 -2.5e-07 0 -5e-07 NaN -2.5e-07 7688 VIX caleb_strategy_v3 [-1] 18.65 None 18.225 18.2 18.25 18.25 18.25 -0.425 -0.025 0.05 -0 NaN 0.025 7689 DOW caleb_strategy_v3 [1] 33803 None 33862 33863 33861 33861 33862 -59 -1 1 -1 NaN 0 7691 MXP caleb_strategy_v3 [-1] 0.05421 None 0.054755 0.05475 0.05476 0.05476 0.05477 0.000545 -5e-06 2e-05 1e-05 NaN 1.5e-05 7682 MXP caleb_strategy_v3 [-1] 0.05421 None 0.054705 0.0547 0.05471 0.05471 0.05471 0.000495 -5e-06 1e-05 -0 NaN 5e-06 7690 MXP caleb_strategy_v3 [-1] 0.05421 None 0.054715 0.05471 0.05472 0.05472 0.05475 0.000505 -5e-06 4e-05 3e-05 NaN 3.5e-05 7692 LIVECOW caleb_strategy_v3 [1] 185.35 None 185 185 185 185 185.6 0.35 0 -0.6 -0.6 NaN -0.6 7693 SOYBEAN caleb_strategy_v3 [-1] 1248.25 None 1248.25 1248 1248.5 1248.5 1248 -0 -0.25 -0 -0.5 NaN -0.25 7696 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 52.7 None 51.73 51.72 51.74 51.74 51.71 -0.97 -0.01 -0.01 -0.03 NaN -0.02 7695 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 53.22 None 52.015 52.03 52 52 52.03 1.205 -0.015 0 -0.03 NaN -0.015 7697 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 72.375 None 72.5 72.5 72.5 72.5 72.875 0.125 -0 0.375 0.375 NaN 0.375 7698 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 76.65 None 76.925 76.95 76.9 76.9 76.925 -0.275 -0.025 0.025 -0.025 NaN 1.42109e-14 7700 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 72.375 None 72.8875 72.875 72.9 72.9 72.85 0.5125 -0.0125 -0.025 -0.05 NaN -0.0375 7701 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 76.65 None 77.2125 76.925 77.5 77.5 76.975 -0.5625 0.2875 -0.05 0.525 NaN 0.2375 7699 FEEDCOW caleb_strategy_v3 [-1] 251.85 None 252.675 252.85 252.5 252.5 252.85 0.825 0.175 -0 0.35 NaN 0.175 7694 FEEDCOW caleb_strategy_v3 [-1] 251.85 None 252.5 252.5 252.5 252.5 252.85 0.65 -0 0.35 0.35 NaN 0.35 7702 FEEDCOW caleb_strategy_v3 [-1] 251.85 None 252.887 252.85 252.925 252.925 252.85 1.0375 -0.0375 -0 -0.075 NaN -0.0375 7703 LEANHOG caleb_strategy_v3 [1] 76.65 None 76.9375 76.975 76.9 76.9 76.975 -0.2875 -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 7661 NIKKEI caleb_strategy_v3 [-1] 5440.19 730.673 -4.59542 -0 -9.19085 NaN -4.59542 7662 NIKKEI caleb_strategy_v3 [-1] 5440.19 712.291 -4.59542 -9.19085 -18.3817 NaN -13.7863 7663 BUXL caleb_strategy_v3 [1] 27.1882 22.0684 -7.35614 -14.7123 -29.4246 NaN -22.0684 7665 BOBL caleb_strategy_v3 [1] 5.95641 209.858 -8.39432 -16.7886 -33.5773 NaN -25.183 7664 EUROSTX caleb_strategy_v3 [1] 648.032 -254.617 -7.71567 15.4313 0 NaN 7.71567 7666 EUROSTX caleb_strategy_v3 [1] 648.032 -239.186 -7.71567 0 NaN NaN -7.71567 7667 EURIBOR-ICE caleb_strategy_v3 [-1] 1.11062 -337.649 -22.5099 45.0198 -0 NaN 22.5099 7668 ROBUSTA caleb_strategy_v3 [-1] 461.689 -205.766 -10.8298 -0 -21.6596 NaN -10.8298 7670 GASOLINE caleb_strategy_v3 [-1] 0.751764 60.5243 -3.32551 -6.65102 -13.302 NaN -9.97653 7672 COCOA caleb_strategy_v3 [1] 731.573 -68.3459 -13.6692 0 -27.3384 NaN -13.6692 7674 GAS_US_mini caleb_strategy_v3 [1] 1.83471 -27.2522 -27.2522 27.2522 -27.2522 NaN -2.42048e-12 7676 GAS_US_mini caleb_strategy_v3 [1] 1.83471 -13.6261 -13.6261 0 -27.2522 NaN -13.6261 7678 GAS_US_mini caleb_strategy_v3 [1] 1.83471 -13.6261 -13.6261 0 NaN NaN -13.6261 7671 GAS_US_mini caleb_strategy_v3 [1] 1.83471 -68.1305 -13.6261 0 NaN NaN -13.6261 7680 GOLD_micro caleb_strategy_v3 [1] 220.5 192.744 -2.26758 4.53515 1.03117e-11 NaN 2.26758 7669 GOLD_micro caleb_strategy_v3 [1] 220.5 201.814 -2.26758 4.53515 0 NaN 2.26758 7673 GOLD_micro caleb_strategy_v3 [1] 220.5 199.547 -4.53515 -9.0703 -18.1406 NaN -13.6055 7675 GOLD_micro caleb_strategy_v3 [1] 220.5 188.209 -2.26758 0 -4.53515 NaN -2.26758 7677 GOLD_micro caleb_strategy_v3 [1] 220.5 190.476 -4.53515 0 -9.0703 NaN -4.53515 7679 GOLD_micro caleb_strategy_v3 [1] 220.5 188.209 -2.26758 4.53515 NaN NaN 2.26758 7681 NASDAQ_micro caleb_strategy_v3 [1] 2929.22 -134.421 -0.426735 -4.26735 -5.12082 NaN -4.69408 7683 RUSSELL caleb_strategy_v3 [1] 334.802 -362.901 -1.49342 -2.98684 -5.97367 NaN -4.48026 7684 CAD caleb_strategy_v3 [-1] 0.0447517 -217.869 -5.58638 -0 -11.1728 NaN -5.58638 7685 US5 caleb_strategy_v3 [1] 5.22336 530.968 -7.47843 -14.9578 -29.9147 NaN -22.4362 7686 EUR caleb_strategy_v3 [1] 0.0758975 -385.388 -3.29392 6.58783 0 NaN 3.29392 7687 JPY caleb_strategy_v3 [1] 0.00055728 363.372 -4.48607 0 -8.97215 NaN -4.48607 7688 VIX caleb_strategy_v3 [-1] 8.34661 -509.189 -29.9523 59.9045 -0 NaN 29.9523 7689 DOW caleb_strategy_v3 [1] 3998.93 -147.539 -2.50067 2.50067 -2.50067 NaN 0 7691 MXP caleb_strategy_v3 [-1] 0.00724724 752.011 -6.89918 27.5967 13.7984 NaN 20.6975 7682 MXP caleb_strategy_v3 [-1] 0.00724724 683.019 -6.89918 13.7984 -0 NaN 6.89918 7690 MXP caleb_strategy_v3 [-1] 0.00724724 696.817 -6.89918 55.1934 41.3951 NaN 48.2943 7692 LIVECOW caleb_strategy_v3 [1] 20.7916 168.337 0 -288.578 -288.578 NaN -288.578 7693 SOYBEAN caleb_strategy_v3 [-1] 204.097 -0 -12.2491 -0 -24.4981 NaN -12.2491 7696 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 16.1258 -601.519 -6.20122 -6.20122 -18.6037 NaN -12.4024 7695 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 16.1258 747.248 -9.30184 0 -18.6037 NaN -9.30184 7697 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 26.2942 47.5391 -0 142.617 142.617 NaN 142.617 7698 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 26.2942 -104.586 -9.50782 9.50782 -9.50782 NaN 5.40457e-12 7700 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 26.2942 194.91 -4.75391 -9.50782 -19.0156 NaN -14.2617 7701 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 26.2942 -213.926 109.34 -19.0156 199.664 NaN 90.3243 7699 FEEDCOW caleb_strategy_v3 [-1] 31.6271 260.852 55.3323 -0 110.665 NaN 55.3323 7694 FEEDCOW caleb_strategy_v3 [-1] 31.6271 205.52 -0 110.665 110.665 NaN 110.665 7702 FEEDCOW caleb_strategy_v3 [-1] 31.6271 328.041 -11.8569 -0 -23.7138 NaN -11.8569 7703 LEANHOG caleb_strategy_v3 [1] 26.2942 -109.34 -14.2617 0 -28.5234 NaN -14.2617 =========================================================================================================================================================================== 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 7661 NIKKEI caleb_strategy_v3 [-1] 0.672253 267.221 -1.68063 -0 -3.36127 NaN -1.68063 7662 NIKKEI caleb_strategy_v3 [-1] 0.672253 260.498 -1.68063 -3.36127 -6.72253 NaN -5.0419 7663 BUXL caleb_strategy_v3 [1] 1056.85 63.411 -21.137 -42.274 -84.548 NaN -63.411 7665 BOBL caleb_strategy_v3 [1] 1056.85 132.106 -5.28425 -10.5685 -21.137 NaN -15.8527 7664 EUROSTX caleb_strategy_v3 [1] 10.5685 -174.38 -5.28425 10.5685 0 NaN 5.28425 7666 EUROSTX caleb_strategy_v3 [1] 10.5685 -163.812 -5.28425 0 NaN NaN -5.28425 7667 EURIBOR-ICE caleb_strategy_v3 [-1] 2642.12 -99.0797 -6.60531 13.2106 -0 NaN 6.60531 7668 ROBUSTA caleb_strategy_v3 [-1] 10 -95 -5 -0 -10 NaN -5 7670 GASOLINE caleb_strategy_v3 [-1] 42000 191.1 -10.5 -21 -42 NaN -31.5 7672 COCOA caleb_strategy_v3 [1] 10 -50 -10 0 -20 NaN -10 7674 GAS_US_mini caleb_strategy_v3 [1] 2500 -12.5 -12.5 12.5 -12.5 NaN -1.11022e-12 7676 GAS_US_mini caleb_strategy_v3 [1] 2500 -6.25 -6.25 0 -12.5 NaN -6.25 7678 GAS_US_mini caleb_strategy_v3 [1] 2500 -6.25 -6.25 0 NaN NaN -6.25 7671 GAS_US_mini caleb_strategy_v3 [1] 2500 -31.25 -6.25 0 NaN NaN -6.25 7680 GOLD_micro caleb_strategy_v3 [1] 10 42.5 -0.5 1 2.27374e-12 NaN 0.5 7669 GOLD_micro caleb_strategy_v3 [1] 10 44.5 -0.5 1 0 NaN 0.5 7673 GOLD_micro caleb_strategy_v3 [1] 10 44 -1 -2 -4 NaN -3 7675 GOLD_micro caleb_strategy_v3 [1] 10 41.5 -0.5 0 -1 NaN -0.5 7677 GOLD_micro caleb_strategy_v3 [1] 10 42 -1 0 -2 NaN -1 7679 GOLD_micro caleb_strategy_v3 [1] 10 41.5 -0.5 1 NaN NaN 0.5 7681 NASDAQ_micro caleb_strategy_v3 [1] 2 -78.75 -0.25 -2.5 -3 NaN -2.75 7683 RUSSELL caleb_strategy_v3 [1] 5 -60.75 -0.25 -0.5 -1 NaN -0.75 7684 CAD caleb_strategy_v3 [-1] 100000 -97.5 -2.5 -0 -5 NaN -2.5 7685 US5 caleb_strategy_v3 [1] 1000 277.344 -3.90625 -7.813 -15.6255 NaN -11.7192 7686 EUR caleb_strategy_v3 [1] 125000 -365.625 -3.125 6.25 0 NaN 3.125 7687 JPY caleb_strategy_v3 [1] 1.25e+07 253.125 -3.125 0 -6.25 NaN -3.125 7688 VIX caleb_strategy_v3 [-1] 1000 -425 -25 50 -0 NaN 25 7689 DOW caleb_strategy_v3 [1] 0.5 -29.5 -0.5 0.5 -0.5 NaN 0 7691 MXP caleb_strategy_v3 [-1] 500000 272.5 -2.5 10 5 NaN 7.5 7682 MXP caleb_strategy_v3 [-1] 500000 247.5 -2.5 5 -0 NaN 2.5 7690 MXP caleb_strategy_v3 [-1] 500000 252.5 -2.5 20 15 NaN 17.5 7692 LIVECOW caleb_strategy_v3 [1] 400 140 0 -240 -240 NaN -240 7693 SOYBEAN caleb_strategy_v3 [-1] 50 -0 -12.5 -0 -25 NaN -12.5 7696 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600 -582 -6 -6 -18 NaN -12 7695 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600 723 -9 0 -18 NaN -9 7697 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 50 -0 150 150 NaN 150 7698 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -110 -10 10 -10 NaN 5.68434e-12 7700 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 205 -5 -10 -20 NaN -15 7701 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -225 115 -20 210 NaN 95 7699 FEEDCOW caleb_strategy_v3 [-1] 500 412.5 87.5 -0 175 NaN 87.5 7694 FEEDCOW caleb_strategy_v3 [-1] 500 325 -0 175 175 NaN 175 7702 FEEDCOW caleb_strategy_v3 [-1] 500 518.75 -18.75 -0 -37.5 NaN -18.75 7703 LEANHOG caleb_strategy_v3 [1] 400 -115 -15 0 -30 NaN -15 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -80.000000 SOYOIL 141.000000 caleb_strategy_v3 BOBL 132.106250 BUXL 63.411000 CAD -97.500000 COCOA -50.000000 DOW -29.500000 EUR -365.625000 EURIBOR-ICE -99.079687 EUROSTX -338.192000 FEEDCOW 1256.250000 GASOLINE 191.100000 GAS_US_mini -56.250000 GOLD_micro 256.000000 JPY 253.125000 LEANHOG -115.000000 LIVECOW 140.000000 MXP 772.500000 NASDAQ_micro -78.750000 NIKKEI 527.718676 ROBUSTA -95.000000 RUSSELL -60.750000 SOYBEAN -0.000000 US5 277.343750 VIX -425.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 61.000000 caleb_strategy_v3 2058.907988 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 100.000000 SOYOIL -15.000000 caleb_strategy_v3 BOBL -5.284250 BUXL -21.137000 CAD -2.500000 COCOA -10.000000 DOW -0.500000 EUR -3.125000 EURIBOR-ICE -6.605312 EUROSTX -10.568500 FEEDCOW 68.750000 GASOLINE -10.500000 GAS_US_mini -31.250000 GOLD_micro -4.000000 JPY -3.125000 LEANHOG -15.000000 LIVECOW 0.000000 MXP -7.500000 NASDAQ_micro -0.250000 NIKKEI -3.361265 ROBUSTA -5.000000 RUSSELL -0.250000 SOYBEAN -12.500000 US5 -3.906250 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 85.000000 caleb_strategy_v3 -112.612578 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 130.000000 SOYOIL -6.000000 caleb_strategy_v3 BOBL -10.568500 BUXL -42.274000 CAD -0.000000 COCOA 0.000000 DOW 0.500000 EUR 6.250000 EURIBOR-ICE 13.210625 EUROSTX 10.568500 FEEDCOW 175.000000 GASOLINE -21.000000 GAS_US_mini 12.500000 GOLD_micro 1.000000 JPY 0.000000 LEANHOG 0.000000 LIVECOW -240.000000 MXP 35.000000 NASDAQ_micro -2.500000 NIKKEI -3.361265 ROBUSTA -0.000000 RUSSELL -0.500000 SOYBEAN -0.000000 US5 -7.813000 VIX 50.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 124.00000 caleb_strategy_v3 -23.98764 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 330.000000 SOYOIL -36.000000 caleb_strategy_v3 BOBL -21.137000 BUXL -84.548000 CAD -5.000000 COCOA -20.000000 DOW -0.500000 EUR 0.000000 EURIBOR-ICE -0.000000 EUROSTX 0.000000 FEEDCOW 312.500000 GASOLINE -42.000000 GAS_US_mini -25.000000 GOLD_micro -7.000000 JPY -6.250000 LEANHOG -30.000000 LIVECOW -240.000000 MXP 20.000000 NASDAQ_micro -3.000000 NIKKEI -10.083796 ROBUSTA -10.000000 RUSSELL -1.000000 SOYBEAN -25.000000 US5 -15.625500 VIX -0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 294.000000 caleb_strategy_v3 -213.644296 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 SOYOIL 0 caleb_strategy_v3 BOBL 0 BUXL 0 CAD 0 COCOA 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 FEEDCOW 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 LEANHOG 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 ROBUSTA 0 RUSSELL 0 SOYBEAN 0 US5 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 LEANHOG 230.000000 SOYOIL -21.000000 caleb_strategy_v3 BOBL -15.852750 BUXL -63.411000 CAD -2.500000 COCOA -10.000000 DOW 0.000000 EUR 3.125000 EURIBOR-ICE 6.605312 EUROSTX 0.000000 FEEDCOW 243.750000 GASOLINE -31.500000 GAS_US_mini -18.750000 GOLD_micro -3.000000 JPY -3.125000 LEANHOG -15.000000 LIVECOW -240.000000 MXP 27.500000 NASDAQ_micro -2.750000 NIKKEI -6.722531 ROBUSTA -5.000000 RUSSELL -0.750000 SOYBEAN -12.500000 US5 -11.719250 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 209.000000 caleb_strategy_v3 -136.600218 ******************************************************************************** END OF REPORT ********************************************************************************