******************************************************************************** Trades report produced on 03/11/2023 21:39 from 02/11/2023 21:39 to 03/11/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8167 BUXL caleb_strategy_v3 [20231200] 2023-11-03 08:00:16.000 [1] 122.82000 8178 CAD caleb_strategy_v3 [20231200] 2023-11-03 15:00:59.000 [-1] 0.73035 8175 COPPER caleb_strategy_v3 [20231200] 2023-11-03 14:00:55.000 [1] 3.69850 8194 CORN caleb_strategy_v3 [20241200] 2023-11-03 15:31:08.000 [-1] 516.75000 8195 CORN caleb_strategy_v3 [20241200] 2023-11-03 15:32:13.000 [-1] 517.00000 8191 CORN caleb_strategy_v3 [20241200] 2023-11-03 15:30:09.000 [-1] 516.75000 8190 DOW caleb_strategy_v3 [20231200] 2023-11-03 15:10:03.000 [-1] 34066.00000 8189 DOW caleb_strategy_v3 [20231200] 2023-11-03 15:09:03.000 [-1] 34055.00000 8188 DOW caleb_strategy_v3 [20231200] 2023-11-03 15:09:00.000 [-1] 34057.00000 8185 DOW caleb_strategy_v3 [20231200] 2023-11-03 15:07:58.000 [-1] 34055.00000 8181 DOW caleb_strategy_v3 [20231200] 2023-11-03 15:06:42.000 [-1] 34065.00000 8182 EUR caleb_strategy_v3 [20231200] 2023-11-03 15:06:44.000 [1] 1.07390 8173 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-03 09:06:22.000 [-1] 97.29000 8171 EUROSTX caleb_strategy_v3 [20231200] 2023-11-03 08:01:17.000 [1] 4196.00000 8168 EUROSTX caleb_strategy_v3 [20231200] 2023-11-03 08:00:18.000 [1] 4200.00000 8172 GASOIL caleb_strategy_v3 [20240100] 2023-11-03 09:00:23.000 [1] 858.75000 8177 GAS_US_mini caleb_strategy_v3 [20240100] 2023-11-03 14:01:52.000 [1] 3.80500 8174 GAS_US_mini caleb_strategy_v3 [20240100] 2023-11-03 14:00:54.000 [1] 3.80000 8159 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 03:31:28.000 [-1] 144.14000 8158 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 14:33:54.189 [0] NaN 8157 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 03:13:20.000 [-1] 144.14000 8166 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 04:21:48.000 [-1] 144.16000 8160 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 03:36:31.000 [-1] 144.16000 8161 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 03:41:34.000 [-1] 144.16000 8162 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 03:46:36.000 [-1] 144.16000 8156 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 03:06:16.000 [-1] 144.14000 8163 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 14:33:54.237 [0] NaN 8164 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 14:33:54.284 [0] NaN 8165 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-03 14:33:54.328 [0] NaN 8184 MXP caleb_strategy_v3 [20231200] 2023-11-03 15:07:57.000 [1] 0.05715 8187 MXP caleb_strategy_v3 [20231200] 2023-11-03 15:09:00.000 [1] 0.05715 8180 MXP caleb_strategy_v3 [20231200] 2023-11-03 15:06:41.000 [1] 0.05714 8170 OAT caleb_strategy_v3 [20231200] 2023-11-03 08:00:32.000 [1] 124.33000 8176 PLAT caleb_strategy_v3 [20240100] 2023-11-03 14:00:57.000 [1] 942.20000 8193 REDWHEAT caleb_strategy_v3 [20240300] 2023-11-03 15:30:12.000 [-1] 654.75000 8169 SMI caleb_strategy_v3 [20231200] 2023-11-03 08:00:21.000 [1] 10649.00000 8179 VIX caleb_strategy_v3 [20240100] 2023-11-03 15:06:00.000 [-1] 18.25000 8186 VIX caleb_strategy_v3 [20240100] 2023-11-03 15:08:56.000 [-1] 18.30000 8183 VIX caleb_strategy_v3 [20240100] 2023-11-03 15:07:57.000 [-1] 18.30000 8192 WHEAT caleb_strategy_v3 [20241200] 2023-11-03 15:30:10.000 [-1] 658.25000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8167 BUXL caleb_strategy_v3 2023-11-02 2023-11-03 08:00:16.125 2023-11-03 08:00:16.000 115216 NaN 8169 SMI caleb_strategy_v3 2023-11-02 2023-11-03 08:00:19.374 2023-11-03 08:00:21.000 115219 1.626 8170 OAT caleb_strategy_v3 2023-11-02 2023-11-03 08:00:22.084 2023-11-03 08:00:32.000 115222 9.916 8168 EUROSTX caleb_strategy_v3 2023-11-02 2023-11-03 08:00:17.757 2023-11-03 08:00:18.000 115218 0.243 8171 EUROSTX caleb_strategy_v3 2023-11-02 2023-11-03 08:01:15.140 2023-11-03 08:01:17.000 115275 1.86 8172 GASOIL caleb_strategy_v3 2023-11-02 2023-11-03 09:00:22.195 2023-11-03 09:00:23.000 118822 0.805 8173 EURIBOR-ICE caleb_strategy_v3 2023-11-02 2023-11-03 09:01:21.831 2023-11-03 09:06:22.000 118882 300.169 8175 COPPER caleb_strategy_v3 2023-11-02 2023-11-03 14:00:55.758 2023-11-03 14:00:55.000 136856 NaN 8176 PLAT caleb_strategy_v3 2023-11-02 2023-11-03 14:00:56.854 2023-11-03 14:00:57.000 136857 0.146 8177 GAS_US_mini caleb_strategy_v3 2023-11-02 2023-11-03 14:01:52.499 2023-11-03 14:01:52.000 136912 NaN 8174 GAS_US_mini caleb_strategy_v3 2023-11-02 2023-11-03 14:00:53.300 2023-11-03 14:00:54.000 136853 0.7 8160 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:31:31.073 2023-11-03 03:36:31.000 185491 299.927 8161 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:36:33.784 2023-11-03 03:41:34.000 185794 300.216 8162 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:41:36.384 2023-11-03 03:46:36.000 186096 299.616 8163 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:46:39.092 2023-11-03 14:33:54.237 186399 38835.1 8164 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:56:41.777 2023-11-03 14:33:54.284 187002 38232.5 8165 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 04:06:44.872 2023-11-03 14:33:54.328 187605 37629.5 8166 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 04:16:48.301 2023-11-03 04:21:48.000 188208 299.699 8156 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:01:16.406 2023-11-03 03:06:16.000 183676 299.594 8157 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:06:19.332 2023-11-03 03:13:20.000 183979 420.668 8158 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:13:22.860 2023-11-03 14:33:54.189 184403 40831.3 8159 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-03 03:23:25.677 2023-11-03 03:31:28.000 185006 482.323 8178 CAD caleb_strategy_v3 2023-11-02 2023-11-03 15:00:57.663 2023-11-03 15:00:59.000 140458 1.337 8182 EUR caleb_strategy_v3 2023-11-02 2023-11-03 15:06:43.076 2023-11-03 15:06:44.000 140803 0.924 8186 VIX caleb_strategy_v3 2023-11-02 2023-11-03 15:08:00.647 2023-11-03 15:08:56.000 140881 55.353 8179 VIX caleb_strategy_v3 2023-11-02 2023-11-03 15:01:00.540 2023-11-03 15:06:00.000 140461 299.46 8183 VIX caleb_strategy_v3 2023-11-02 2023-11-03 15:06:46.884 2023-11-03 15:07:57.000 140807 70.116 8184 MXP caleb_strategy_v3 2023-11-02 2023-11-03 15:07:57.588 2023-11-03 15:07:57.000 140878 NaN 8187 MXP caleb_strategy_v3 2023-11-02 2023-11-03 15:08:56.782 2023-11-03 15:09:00.000 140937 3.218 8180 MXP caleb_strategy_v3 2023-11-02 2023-11-03 15:06:01.366 2023-11-03 15:06:41.000 140761 39.634 8181 DOW caleb_strategy_v3 2023-11-02 2023-11-03 15:06:42.178 2023-11-03 15:06:42.000 140802 NaN 8185 DOW caleb_strategy_v3 2023-11-02 2023-11-03 15:07:58.084 2023-11-03 15:07:58.000 140878 NaN 8188 DOW caleb_strategy_v3 2023-11-02 2023-11-03 15:09:00.713 2023-11-03 15:09:00.000 140941 NaN 8189 DOW caleb_strategy_v3 2023-11-02 2023-11-03 15:09:03.078 2023-11-03 15:09:03.000 140943 NaN 8190 DOW caleb_strategy_v3 2023-11-02 2023-11-03 15:10:03.132 2023-11-03 15:10:03.000 141003 NaN 8192 WHEAT caleb_strategy_v3 2023-11-02 2023-11-03 15:30:09.936 2023-11-03 15:30:10.000 142210 0.064 8193 REDWHEAT caleb_strategy_v3 2023-11-02 2023-11-03 15:30:11.732 2023-11-03 15:30:12.000 142212 0.268 8194 CORN caleb_strategy_v3 2023-11-02 2023-11-03 15:31:08.139 2023-11-03 15:31:08.000 142268 NaN 8195 CORN caleb_strategy_v3 2023-11-02 2023-11-03 15:32:08.224 2023-11-03 15:32:13.000 142328 4.776 8191 CORN caleb_strategy_v3 2023-11-02 2023-11-03 15:30:08.191 2023-11-03 15:30:09.000 142208 0.809 =============================================================================================================================================================================================================================== 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 8167 BUXL caleb_strategy_v3 [1] 123.34 None 122.8 122.82 122.78 122.78 122.82 0.54 -0.02 0 -0.04 NaN -0.02 8169 SMI caleb_strategy_v3 [1] 10652 None 10648 10649 10647 10647 10649 4 -1 0 -2 NaN -1 8170 OAT caleb_strategy_v3 [1] 124.48 None 124.325 124.33 124.32 124.32 124.33 0.155 -0.005 0 -0.01 NaN -0.005 8168 EUROSTX caleb_strategy_v3 [1] 4199 None 4198.5 4199 4198 4198 4200 0.5 -0.5 -1 -2 NaN -1.5 8171 EUROSTX caleb_strategy_v3 [1] 4199 None 4196.5 4197 4196 4196 4196 2.5 -0.5 1 0 NaN 0.5 8172 GASOIL caleb_strategy_v3 [1] 854.5 None 858.625 858.75 858.5 NaN 858.75 -4.125 -0.125 0 NaN NaN -0.125 8173 EURIBOR-ICE caleb_strategy_v3 [-1] 97.3 None 97.2925 97.29 97.295 97.295 97.29 -0.0075 -0.0025 -0 -0.005 NaN -0.0025 8175 COPPER caleb_strategy_v3 [1] 3.6885 None 3.69875 3.699 3.6985 3.6985 3.6985 -0.01025 -0.00025 0.0005 0 NaN 0.00025 8176 PLAT caleb_strategy_v3 [1] 931.4 None 942 942.2 941.8 941.8 942.2 -10.6 -0.2 0 -0.4 NaN -0.2 8177 GAS_US_mini caleb_strategy_v3 [1] 3.8 None 3.7975 3.8 3.795 NaN 3.805 0.0025 -0.0025 -0.005 NaN NaN -0.0075 8174 GAS_US_mini caleb_strategy_v3 [1] 3.8 None 3.8 3.805 3.795 3.795 3.8 0 -0.005 0.005 -0.005 NaN 0 8160 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.16 144.14 144.18 144.18 144.16 0.46 -0.02 0.02 -0.02 NaN 0 8161 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.17 144.16 144.18 144.18 144.16 0.47 -0.01 -0 -0.02 NaN -0.01 8162 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.17 144.16 144.18 144.18 144.16 0.47 -0.01 -0 -0.02 NaN -0.01 8163 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.17 144.16 144.18 144.18 NaN 0.47 -0.01 NaN NaN NaN NaN 8164 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.17 144.16 144.18 144.18 NaN 0.47 -0.01 NaN NaN NaN NaN 8165 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.17 144.16 144.18 144.18 NaN 0.47 -0.01 NaN NaN NaN NaN 8166 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.17 144.16 144.18 144.18 144.16 0.47 -0.01 -0 -0.02 NaN -0.01 8156 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.16 144.14 144.18 144.18 144.14 0.46 -0.02 -0 -0.04 NaN -0.02 8157 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.16 144.14 144.18 144.18 144.14 0.46 -0.02 -0 -0.04 NaN -0.02 8158 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.16 144.14 144.18 144.18 NaN 0.46 -0.02 NaN NaN NaN NaN 8159 JGB-SGX-mini caleb_strategy_v3 [-1] 143.7 None 144.16 144.14 144.18 144.18 144.14 0.46 -0.02 -0 -0.04 NaN -0.02 8178 CAD caleb_strategy_v3 [-1] 0.728 None 0.7304 0.73035 0.73045 0.73045 0.73035 0.0024 -5e-05 -0 -0.0001 NaN -5e-05 8182 EUR caleb_strategy_v3 [1] 1.06375 None 1.07383 1.07385 1.0738 1.0738 1.0739 -0.010075 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 8186 VIX caleb_strategy_v3 [-1] 18.65 None 18.275 18.25 18.3 18.3 18.3 -0.375 -0.025 0.05 -0 NaN 0.025 8179 VIX caleb_strategy_v3 [-1] 18.65 None 18.275 18.25 18.3 18.3 18.25 -0.375 -0.025 -0 -0.05 NaN -0.025 8183 VIX caleb_strategy_v3 [-1] 18.65 None 18.275 18.25 18.3 18.3 18.3 -0.375 -0.025 0.05 -0 NaN 0.025 8184 MXP caleb_strategy_v3 [1] 0.05668 None 0.057135 0.05714 0.05713 NaN 0.05715 -0.000455 -5e-06 -1e-05 NaN NaN -1.5e-05 8187 MXP caleb_strategy_v3 [1] 0.05668 None 0.05714 0.05715 0.05713 0.05713 0.05715 -0.00046 -1e-05 0 -2e-05 NaN -1e-05 8180 MXP caleb_strategy_v3 [1] 0.05668 None 0.05714 0.05715 0.05713 0.05713 0.05714 -0.00046 -1e-05 1e-05 -1e-05 NaN -6.93889e-18 8181 DOW caleb_strategy_v3 [-1] 33901 None 34067 34066 34068 34068 34065 166 -1 -1 -3 NaN -2 8185 DOW caleb_strategy_v3 [-1] 33901 None 34066 34065 34067 34067 34055 165 -1 -10 -12 NaN -11 8188 DOW caleb_strategy_v3 [-1] 33901 None 34056.5 34056 34057 34057 34057 155.5 -0.5 1 -0 NaN 0.5 8189 DOW caleb_strategy_v3 [-1] 33901 None 34057.5 34057 34058 34058 34055 156.5 -0.5 -2 -3 NaN -2.5 8190 DOW caleb_strategy_v3 [-1] 33901 None 34056 34055 34057 34057 34066 155 -1 11 9 NaN 10 8192 WHEAT caleb_strategy_v3 [-1] 655.25 None 650 650 650 650 658.25 -5.25 -0 8.25 8.25 NaN 8.25 8193 REDWHEAT caleb_strategy_v3 [-1] 651.75 None 650 650 650 NaN 654.75 -1.75 -0 4.75 NaN NaN 4.75 8194 CORN caleb_strategy_v3 [-1] 510.25 None 516.875 516.75 517 NaN 516.75 6.625 -0.125 -0 NaN NaN -0.125 8195 CORN caleb_strategy_v3 [-1] 510.25 None 517.375 517.25 517.5 517.5 517 7.125 -0.125 -0.25 -0.5 NaN -0.375 8191 CORN caleb_strategy_v3 [-1] 510.25 None 516.875 516.75 517 NaN 516.75 6.625 -0.125 -0 NaN NaN -0.125 ============================================================================================================================================================ 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 8167 BUXL caleb_strategy_v3 [1] 24.1582 223.526 -8.27876 0 -16.5575 NaN -8.27876 8169 SMI caleb_strategy_v3 [1] 1407.47 28.4198 -7.10495 0 -14.2099 NaN -7.10495 8170 OAT caleb_strategy_v3 [1] 10.3772 149.365 -4.81824 0 -9.63648 NaN -4.81824 8168 EUROSTX caleb_strategy_v3 [1] 649.191 7.70189 -7.70189 -15.4038 -30.8076 NaN -23.1057 8171 EUROSTX caleb_strategy_v3 [1] 649.191 38.5095 -7.70189 15.4038 0 NaN 7.70189 8172 GASOIL caleb_strategy_v3 [1] 302.641 -136.3 -4.1303 0 NaN NaN -4.1303 8173 EURIBOR-ICE caleb_strategy_v3 [-1] 1.00092 -74.9312 -24.9771 -0 -49.9541 NaN -24.9771 8175 COPPER caleb_strategy_v3 [1] 0.642658 -159.494 -3.8901 7.78019 0 NaN 3.8901 8176 PLAT caleb_strategy_v3 [1] 228.653 -463.584 -8.74687 0 -17.4937 NaN -8.74687 8177 GAS_US_mini caleb_strategy_v3 [1] 2.0687 12.0849 -12.0849 -24.1698 NaN NaN -36.2547 8174 GAS_US_mini caleb_strategy_v3 [1] 2.0687 0 -24.1698 24.1698 -24.1698 NaN 0 8160 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1101.96 -47.9113 47.9113 -47.9113 NaN 0 8161 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1125.92 -23.9556 -0 -47.9113 NaN -23.9556 8162 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1125.92 -23.9556 -0 -47.9113 NaN -23.9556 8163 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1125.92 -23.9556 NaN NaN NaN NaN 8164 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1125.92 -23.9556 NaN NaN NaN NaN 8165 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1125.92 -23.9556 NaN NaN NaN NaN 8166 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1125.92 -23.9556 -0 -47.9113 NaN -23.9556 8156 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1101.96 -47.9113 -0 -95.8226 NaN -47.9113 8157 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1101.96 -47.9113 -0 -95.8226 NaN -47.9113 8158 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1101.96 -47.9113 NaN NaN NaN NaN 8159 JGB-SGX-mini caleb_strategy_v3 [-1] 4.17438 1101.96 -47.9113 -0 -95.8226 NaN -47.9113 8178 CAD caleb_strategy_v3 [-1] 0.0486623 493.195 -10.2749 -0 -20.5498 NaN -10.2749 8182 EUR caleb_strategy_v3 [1] 0.0829499 -1214.59 -3.01387 -6.02774 -12.0555 NaN -9.0416 8186 VIX caleb_strategy_v3 [-1] 10.8044 -347.079 -23.1386 46.2773 -0 NaN 23.1386 8179 VIX caleb_strategy_v3 [-1] 10.8044 -347.079 -23.1386 -0 -46.2773 NaN -23.1386 8183 VIX caleb_strategy_v3 [-1] 10.8044 -347.079 -23.1386 46.2773 -0 NaN 23.1386 8184 MXP caleb_strategy_v3 [1] 0.00703949 -646.354 -7.10279 -14.2056 NaN NaN -21.3084 8187 MXP caleb_strategy_v3 [1] 0.00703949 -653.457 -14.2056 0 -28.4112 NaN -14.2056 8180 MXP caleb_strategy_v3 [1] 0.00703949 -653.457 -14.2056 14.2056 -14.2056 NaN -9.8571e-12 8181 DOW caleb_strategy_v3 [-1] 4783.16 347.051 -2.09067 -2.09067 -6.27201 NaN -4.18134 8185 DOW caleb_strategy_v3 [-1] 4783.16 344.96 -2.09067 -20.9067 -25.088 NaN -22.9974 8188 DOW caleb_strategy_v3 [-1] 4783.16 325.099 -1.04533 2.09067 -0 NaN 1.04533 8189 DOW caleb_strategy_v3 [-1] 4783.16 327.19 -1.04533 -4.18134 -6.27201 NaN -5.22667 8190 DOW caleb_strategy_v3 [-1] 4783.16 324.054 -2.09067 22.9974 18.816 NaN 20.9067 8192 WHEAT caleb_strategy_v3 [-1] 172.039 -305.164 -0 479.543 479.543 NaN 479.543 8193 REDWHEAT caleb_strategy_v3 [-1] 205.339 -85.225 -0 231.325 NaN NaN 231.325 8194 CORN caleb_strategy_v3 [-1] 92.076 719.514 -13.5757 -0 NaN NaN -13.5757 8195 CORN caleb_strategy_v3 [-1] 92.076 773.817 -13.5757 -27.1515 -54.303 NaN -40.7272 8191 CORN caleb_strategy_v3 [-1] 92.076 719.514 -13.5757 -0 NaN NaN -13.5757 ======================================================================================================================================================================= 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 8167 BUXL caleb_strategy_v3 [1] 1062.7 573.858 -21.254 0 -42.508 NaN -21.254 8169 SMI caleb_strategy_v3 [1] 11.041 44.164 -11.041 0 -22.082 NaN -11.041 8170 OAT caleb_strategy_v3 [1] 1062.7 164.719 -5.3135 0 -10.627 NaN -5.3135 8168 EUROSTX caleb_strategy_v3 [1] 10.627 5.3135 -5.3135 -10.627 -21.254 NaN -15.9405 8171 EUROSTX caleb_strategy_v3 [1] 10.627 26.5675 -5.3135 10.627 0 NaN 5.3135 8172 GASOIL caleb_strategy_v3 [1] 100 -412.5 -12.5 0 NaN NaN -12.5 8173 EURIBOR-ICE caleb_strategy_v3 [-1] 2656.75 -19.9256 -6.64187 -0 -13.2837 NaN -6.64187 8175 COPPER caleb_strategy_v3 [1] 25000 -256.25 -6.25 12.5 0 NaN 6.25 8176 PLAT caleb_strategy_v3 [1] 50 -530 -10 0 -20 NaN -10 8177 GAS_US_mini caleb_strategy_v3 [1] 2500 6.25 -6.25 -12.5 NaN NaN -18.75 8174 GAS_US_mini caleb_strategy_v3 [1] 2500 0 -12.5 12.5 -12.5 NaN 0 8160 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 306.042 -13.3062 13.3062 -13.3062 NaN 0 8161 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 312.695 -6.65309 -0 -13.3062 NaN -6.65309 8162 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 312.695 -6.65309 -0 -13.3062 NaN -6.65309 8163 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 312.695 -6.65309 NaN NaN NaN NaN 8164 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 312.695 -6.65309 NaN NaN NaN NaN 8165 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 312.695 -6.65309 NaN NaN NaN NaN 8166 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 312.695 -6.65309 -0 -13.3062 NaN -6.65309 8156 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 306.042 -13.3062 -0 -26.6124 NaN -13.3062 8157 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 306.042 -13.3062 -0 -26.6124 NaN -13.3062 8158 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 306.042 -13.3062 NaN NaN NaN NaN 8159 JGB-SGX-mini caleb_strategy_v3 [-1] 665.309 306.042 -13.3062 -0 -26.6124 NaN -13.3062 8178 CAD caleb_strategy_v3 [-1] 100000 240 -5 -0 -10 NaN -5 8182 EUR caleb_strategy_v3 [1] 125000 -1259.38 -3.125 -6.25 -12.5 NaN -9.375 8186 VIX caleb_strategy_v3 [-1] 1000 -375 -25 50 -0 NaN 25 8179 VIX caleb_strategy_v3 [-1] 1000 -375 -25 -0 -50 NaN -25 8183 VIX caleb_strategy_v3 [-1] 1000 -375 -25 50 -0 NaN 25 8184 MXP caleb_strategy_v3 [1] 500000 -227.5 -2.5 -5 NaN NaN -7.5 8187 MXP caleb_strategy_v3 [1] 500000 -230 -5 0 -10 NaN -5 8180 MXP caleb_strategy_v3 [1] 500000 -230 -5 5 -5 NaN -3.46945e-12 8181 DOW caleb_strategy_v3 [-1] 0.5 83 -0.5 -0.5 -1.5 NaN -1 8185 DOW caleb_strategy_v3 [-1] 0.5 82.5 -0.5 -5 -6 NaN -5.5 8188 DOW caleb_strategy_v3 [-1] 0.5 77.75 -0.25 0.5 -0 NaN 0.25 8189 DOW caleb_strategy_v3 [-1] 0.5 78.25 -0.25 -1 -1.5 NaN -1.25 8190 DOW caleb_strategy_v3 [-1] 0.5 77.5 -0.5 5.5 4.5 NaN 5 8192 WHEAT caleb_strategy_v3 [-1] 50 -262.5 -0 412.5 412.5 NaN 412.5 8193 REDWHEAT caleb_strategy_v3 [-1] 50 -87.5 -0 237.5 NaN NaN 237.5 8194 CORN caleb_strategy_v3 [-1] 50 331.25 -6.25 -0 NaN NaN -6.25 8195 CORN caleb_strategy_v3 [-1] 50 356.25 -6.25 -12.5 -25 NaN -18.75 8191 CORN caleb_strategy_v3 [-1] 50 331.25 -6.25 -0 NaN NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUXL 573.858000 CAD 240.000000 COPPER -256.250000 CORN 1018.750000 DOW 399.000000 EUR -1259.375000 EURIBOR-ICE -19.925625 EUROSTX 31.881000 GASOIL -412.500000 GAS_US_mini 6.250000 JGB-SGX-mini 3406.384309 MXP -687.500000 OAT 164.718500 PLAT -530.000000 REDWHEAT -87.500000 SMI 44.164000 VIX -1125.000000 WHEAT -262.500000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1244.455184 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUXL -21.254000 CAD -5.000000 COPPER -6.250000 CORN -18.750000 DOW -2.000000 EUR -3.125000 EURIBOR-ICE -6.641875 EUROSTX -10.627000 GASOIL -12.500000 GAS_US_mini -18.750000 JGB-SGX-mini -106.449510 MXP -12.500000 OAT -5.313500 PLAT -10.000000 REDWHEAT -0.000000 SMI -11.041000 VIX -75.000000 WHEAT -0.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -325.201885 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0.000000 CAD -0.000000 COPPER 12.500000 CORN -12.500000 DOW -0.500000 EUR -6.250000 EURIBOR-ICE -0.000000 EUROSTX 0.000000 GASOIL 0.000000 GAS_US_mini 0.000000 JGB-SGX-mini 13.306189 MXP 0.000000 OAT 0.000000 PLAT 0.000000 REDWHEAT 237.500000 SMI 0.000000 VIX 100.000000 WHEAT 412.500000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 756.556189 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL -42.508000 CAD -10.000000 COPPER 0.000000 CORN -25.000000 DOW -4.500000 EUR -12.500000 EURIBOR-ICE -13.283750 EUROSTX -21.254000 GASOIL 0.000000 GAS_US_mini -12.500000 JGB-SGX-mini -133.061887 MXP -15.000000 OAT -10.627000 PLAT -20.000000 REDWHEAT 0.000000 SMI -22.082000 VIX -50.000000 WHEAT 412.500000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 20.183363 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0 CAD 0 COPPER 0 CORN 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 GAS_US_mini 0 JGB-SGX-mini 0 MXP 0 OAT 0 PLAT 0 REDWHEAT 0 SMI 0 VIX 0 WHEAT 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 BUXL -21.254000 CAD -5.000000 COPPER 6.250000 CORN -31.250000 DOW -2.500000 EUR -9.375000 EURIBOR-ICE -6.641875 EUROSTX -10.627000 GASOIL -12.500000 GAS_US_mini -18.750000 JGB-SGX-mini -59.877849 MXP -12.500000 OAT -5.313500 PLAT -10.000000 REDWHEAT 237.500000 SMI -11.041000 VIX 25.000000 WHEAT 412.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 464.619776 ******************************************************************************** END OF REPORT ********************************************************************************