******************************************************************************** Trades report produced on 15/11/2023 21:39 from 14/11/2023 21:39 to 15/11/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8435 BITCOIN caleb_strategy_v3 [20231200] 2023-11-15 15:01:11.000 [1] 36765.000000 8440 BITCOIN caleb_strategy_v3 [20231200] 2023-11-15 15:02:10.000 [1] 36805.000000 8443 BITCOIN caleb_strategy_v3 [20231200] 2023-11-15 15:03:09.000 [1] 36790.000000 8445 BITCOIN caleb_strategy_v3 [20231200] 2023-11-15 15:04:08.000 [1] 36810.000000 8428 BITCOIN caleb_strategy_v3 [20231200] 2023-11-15 15:00:33.000 [1] 36770.000000 8412 CAC caleb_strategy_v3 [20231200] 2023-11-15 08:27:04.000 [1] 7238.500000 8411 CAC caleb_strategy_v3 [20231200] 2023-11-15 08:24:42.000 [1] 7238.500000 8410 CAC caleb_strategy_v3 [20231200] 2023-11-15 19:45:00.588 [0] NaN 8409 CAC caleb_strategy_v3 [20231200] 2023-11-15 19:45:00.497 [0] NaN 8407 CAC caleb_strategy_v3 [20231200] 2023-11-15 08:00:10.000 [1] 7212.500000 8430 CAD caleb_strategy_v3 [20231200] 2023-11-15 15:01:08.000 [1] 0.730850 8420 CAD caleb_strategy_v3 [20231200] 2023-11-15 15:00:19.000 [1] 0.730850 8416 COPPER caleb_strategy_v3 [20231200] 2023-11-15 14:00:10.000 [1] 3.701500 8405 DAX caleb_strategy_v3 [20231200] 2023-11-15 08:00:03.000 [1] 15691.000000 8446 DOW caleb_strategy_v3 [20231200] 2023-11-15 15:05:07.000 [-1] 34963.000000 8447 DOW caleb_strategy_v3 [20231200] 2023-11-15 15:06:08.000 [-1] 34959.000000 8431 DOW caleb_strategy_v3 [20231200] 2023-11-15 15:01:08.000 [-1] 34968.000000 8437 DOW caleb_strategy_v3 [20231200] 2023-11-15 15:02:08.000 [-1] 34961.000000 8444 DOW caleb_strategy_v3 [20231200] 2023-11-15 15:04:07.000 [-1] 34971.000000 8422 DOW caleb_strategy_v3 [20231200] 2023-11-15 15:00:21.000 [-1] 34979.000000 8441 DOW caleb_strategy_v3 [20231200] 2023-11-15 15:03:08.000 [-1] 34960.000000 8421 EUR caleb_strategy_v3 [20231200] 2023-11-15 15:00:21.000 [1] 1.085150 8413 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-15 09:04:31.000 [-1] 97.370000 8406 EUROSTX caleb_strategy_v3 [20231200] 2023-11-15 08:00:08.000 [-1] 4310.000000 8414 HEATOIL caleb_strategy_v3 [20240200] 2023-11-15 14:00:08.000 [1] 2.725800 8400 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-15 03:06:15.000 [1] 145.470000 8401 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-15 03:11:18.000 [1] 145.480000 8402 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-15 03:16:20.000 [1] 145.470000 8403 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-15 03:21:23.000 [1] 145.480000 8404 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-15 03:22:37.000 [1] 145.480000 8448 LIVECOW caleb_strategy_v3 [20240200] 2023-11-15 15:30:16.000 [-1] 177.275000 8438 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-15 15:02:09.000 [1] 15921.250000 8425 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-15 15:00:27.000 [1] 15922.250000 8432 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-15 15:01:09.000 [1] 15920.750000 8426 NZD caleb_strategy_v3 [20231200] 2023-11-15 15:00:31.000 [1] 0.601100 8433 NZD caleb_strategy_v3 [20231200] 2023-11-15 15:01:10.000 [1] 0.601150 8439 RUSSELL caleb_strategy_v3 [20231200] 2023-11-15 15:02:09.000 [-1] 1821.600000 8427 RUSSELL caleb_strategy_v3 [20231200] 2023-11-15 15:00:32.000 [-1] 1820.000000 8434 RUSSELL caleb_strategy_v3 [20231200] 2023-11-15 15:01:10.000 [-1] 1820.400000 8442 RUSSELL caleb_strategy_v3 [20231200] 2023-11-15 15:03:08.000 [-1] 1821.400000 8408 SMI caleb_strategy_v3 [20231200] 2023-11-15 08:01:03.000 [1] 10734.000000 8423 SP400 caleb_strategy_v3 [20231200] 2023-11-15 15:00:23.000 [1] 2559.200000 8436 SP500_micro caleb_strategy_v3 [20231200] 2023-11-15 15:02:07.000 [-1] 4522.000000 8429 SP500_micro caleb_strategy_v3 [20231200] 2023-11-15 15:01:07.000 [-1] 4522.500000 8418 SP500_micro caleb_strategy_v3 [20231200] 2023-11-15 15:00:08.000 [-1] 4522.750000 8415 SUGAR11 caleb_strategy_v3 [20240500] 2023-11-15 14:00:09.000 [1] 25.780000 8417 SUGAR11 caleb_strategy_v3 [20240500] 2023-11-15 14:01:04.000 [1] 25.770000 8424 US10U caleb_strategy_v3 [20231200] 2023-11-15 15:00:25.000 [1] 111.640625 8419 US20 caleb_strategy_v3 [20231200] 2023-11-15 15:00:14.000 [1] 114.375000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8400 JGB-SGX-mini caleb_strategy_v3 2023-11-14 2023-11-15 03:01:15.690 2023-11-15 03:06:15.000 97275.7 299.31 8401 JGB-SGX-mini caleb_strategy_v3 2023-11-14 2023-11-15 03:06:18.075 2023-11-15 03:11:18.000 97578.1 299.925 8402 JGB-SGX-mini caleb_strategy_v3 2023-11-14 2023-11-15 03:11:20.625 2023-11-15 03:16:20.000 97880.6 299.375 8403 JGB-SGX-mini caleb_strategy_v3 2023-11-14 2023-11-15 03:16:23.412 2023-11-15 03:21:23.000 98183.4 299.588 8404 JGB-SGX-mini caleb_strategy_v3 2023-11-14 2023-11-15 03:21:25.759 2023-11-15 03:22:37.000 98485.8 71.241 8405 DAX caleb_strategy_v3 2023-11-14 2023-11-15 08:00:03.052 2023-11-15 08:00:03.000 115203 NaN 8406 EUROSTX caleb_strategy_v3 2023-11-14 2023-11-15 08:00:04.442 2023-11-15 08:00:08.000 115204 3.558 8408 SMI caleb_strategy_v3 2023-11-14 2023-11-15 08:01:02.064 2023-11-15 08:01:03.000 115262 0.936 8413 EURIBOR-ICE caleb_strategy_v3 2023-11-13 2023-11-15 09:00:14.303 2023-11-15 09:04:31.000 205214 256.697 8414 HEATOIL caleb_strategy_v3 2023-11-14 2023-11-15 14:00:04.882 2023-11-15 14:00:08.000 136805 3.118 8416 COPPER caleb_strategy_v3 2023-11-14 2023-11-15 14:00:10.615 2023-11-15 14:00:10.000 136811 NaN 8417 SUGAR11 caleb_strategy_v3 2023-11-14 2023-11-15 14:01:04.436 2023-11-15 14:01:04.000 136864 NaN 8415 SUGAR11 caleb_strategy_v3 2023-11-14 2023-11-15 14:00:09.729 2023-11-15 14:00:09.000 136810 NaN 8419 US20 caleb_strategy_v3 2023-11-14 2023-11-15 15:00:09.392 2023-11-15 15:00:14.000 140409 4.608 8421 EUR caleb_strategy_v3 2023-11-14 2023-11-15 15:00:20.695 2023-11-15 15:00:21.000 140421 0.305 8423 SP400 caleb_strategy_v3 2023-11-14 2023-11-15 15:00:22.603 2023-11-15 15:00:23.000 140423 0.397 8424 US10U caleb_strategy_v3 2023-11-14 2023-11-15 15:00:24.427 2023-11-15 15:00:25.000 140424 0.573 8420 CAD caleb_strategy_v3 2023-11-14 2023-11-15 15:00:15.183 2023-11-15 15:00:19.000 140415 3.817 8430 CAD caleb_strategy_v3 2023-11-14 2023-11-15 15:01:08.069 2023-11-15 15:01:08.000 140468 NaN 8433 NZD caleb_strategy_v3 2023-11-14 2023-11-15 15:01:09.876 2023-11-15 15:01:10.000 140470 0.124 8426 NZD caleb_strategy_v3 2023-11-14 2023-11-15 15:00:28.268 2023-11-15 15:00:31.000 140428 2.732 8418 SP500_micro caleb_strategy_v3 2023-11-14 2023-11-15 15:00:08.094 2023-11-15 15:00:08.000 140408 NaN 8436 SP500_micro caleb_strategy_v3 2023-11-14 2023-11-15 15:02:07.515 2023-11-15 15:02:07.000 140528 NaN 8429 SP500_micro caleb_strategy_v3 2023-11-14 2023-11-15 15:01:07.495 2023-11-15 15:01:07.000 140467 NaN 8432 NASDAQ_micro caleb_strategy_v3 2023-11-14 2023-11-15 15:01:09.418 2023-11-15 15:01:09.000 140469 NaN 8425 NASDAQ_micro caleb_strategy_v3 2023-11-14 2023-11-15 15:00:26.154 2023-11-15 15:00:27.000 140426 0.846 8438 NASDAQ_micro caleb_strategy_v3 2023-11-14 2023-11-15 15:02:09.000 2023-11-15 15:02:09.000 140529 0 8442 RUSSELL caleb_strategy_v3 2023-11-14 2023-11-15 15:03:08.513 2023-11-15 15:03:08.000 140589 NaN 8434 RUSSELL caleb_strategy_v3 2023-11-14 2023-11-15 15:01:10.472 2023-11-15 15:01:10.000 140470 NaN 8427 RUSSELL caleb_strategy_v3 2023-11-14 2023-11-15 15:00:32.271 2023-11-15 15:00:32.000 140432 NaN 8439 RUSSELL caleb_strategy_v3 2023-11-14 2023-11-15 15:02:09.643 2023-11-15 15:02:09.000 140530 NaN 8428 BITCOIN caleb_strategy_v3 2023-11-14 2023-11-15 15:00:33.359 2023-11-15 15:00:33.000 140433 NaN 8435 BITCOIN caleb_strategy_v3 2023-11-14 2023-11-15 15:01:10.948 2023-11-15 15:01:11.000 140471 0.052 8440 BITCOIN caleb_strategy_v3 2023-11-14 2023-11-15 15:02:10.052 2023-11-15 15:02:10.000 140530 NaN 8443 BITCOIN caleb_strategy_v3 2023-11-14 2023-11-15 15:03:09.099 2023-11-15 15:03:09.000 140589 NaN 8445 BITCOIN caleb_strategy_v3 2023-11-14 2023-11-15 15:04:07.944 2023-11-15 15:04:08.000 140648 0.056 8422 DOW caleb_strategy_v3 2023-11-14 2023-11-15 15:00:21.767 2023-11-15 15:00:21.000 140422 NaN 8431 DOW caleb_strategy_v3 2023-11-14 2023-11-15 15:01:08.699 2023-11-15 15:01:08.000 140469 NaN 8437 DOW caleb_strategy_v3 2023-11-14 2023-11-15 15:02:08.160 2023-11-15 15:02:08.000 140528 NaN 8441 DOW caleb_strategy_v3 2023-11-14 2023-11-15 15:03:07.650 2023-11-15 15:03:08.000 140588 0.35 8444 DOW caleb_strategy_v3 2023-11-14 2023-11-15 15:04:07.537 2023-11-15 15:04:07.000 140648 NaN 8446 DOW caleb_strategy_v3 2023-11-14 2023-11-15 15:05:07.749 2023-11-15 15:05:07.000 140708 NaN 8447 DOW caleb_strategy_v3 2023-11-14 2023-11-15 15:06:07.701 2023-11-15 15:06:08.000 140768 0.299 8448 LIVECOW caleb_strategy_v3 2023-11-14 2023-11-15 15:30:09.532 2023-11-15 15:30:16.000 142210 6.468 8407 CAC caleb_strategy_v3 2023-11-14 2023-11-15 08:00:10.003 2023-11-15 08:00:10.000 115210 NaN 8409 CAC caleb_strategy_v3 2023-11-14 2023-11-15 08:01:04.256 2023-11-15 19:45:00.497 115264 42236.2 8410 CAC caleb_strategy_v3 2023-11-14 2023-11-15 08:11:06.624 2023-11-15 19:45:00.588 115867 41634 8411 CAC caleb_strategy_v3 2023-11-14 2023-11-15 08:21:08.923 2023-11-15 08:24:42.000 116469 213.077 8412 CAC caleb_strategy_v3 2023-11-14 2023-11-15 08:24:44.851 2023-11-15 08:27:04.000 116685 139.149 ================================================================================================================================================================================================================================= 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 8400 JGB-SGX-mini caleb_strategy_v3 [1] 145.05 None 145.465 145.48 145.45 145.45 145.47 -0.415 -0.015 0.01 -0.02 NaN -0.005 8401 JGB-SGX-mini caleb_strategy_v3 [1] 145.05 None 145.46 145.47 145.45 145.45 145.48 -0.41 -0.01 -0.01 -0.03 NaN -0.02 8402 JGB-SGX-mini caleb_strategy_v3 [1] 145.05 None 145.465 145.48 145.45 145.45 145.47 -0.415 -0.015 0.01 -0.02 NaN -0.005 8403 JGB-SGX-mini caleb_strategy_v3 [1] 145.05 None 145.46 145.47 145.45 145.45 145.48 -0.41 -0.01 -0.01 -0.03 NaN -0.02 8404 JGB-SGX-mini caleb_strategy_v3 [1] 145.05 None 145.465 145.48 145.45 145.45 145.48 -0.415 -0.015 0 -0.03 NaN -0.015 8405 DAX caleb_strategy_v3 [1] 15675 None 15691 15692 15690 15690 15691 -16 -1 1 -1 NaN 0 8406 EUROSTX caleb_strategy_v3 [-1] 4306 None 4310.5 4310 4311 4311 4310 4.5 -0.5 -0 -1 NaN -0.5 8408 SMI caleb_strategy_v3 [1] 10727 None 10734.5 10735 10734 10734 10734 -7.5 -0.5 1 0 NaN 0.5 8413 EURIBOR-ICE caleb_strategy_v3 [-1] 97.225 None 97.3775 97.375 97.38 97.38 97.37 0.1525 -0.0025 -0.005 -0.01 NaN -0.0075 8414 HEATOIL caleb_strategy_v3 [1] 2.7452 None 2.7261 2.7264 2.7258 2.7258 2.7258 0.0191 -0.0003 0.0006 0 NaN 0.0003 8416 COPPER caleb_strategy_v3 [1] 3.682 None 3.701 3.7015 3.7005 3.7005 3.7015 -0.019 -0.0005 0 -0.001 NaN -0.0005 8417 SUGAR11 caleb_strategy_v3 [1] 25.82 None 25.77 25.78 25.76 25.76 25.77 0.05 -0.01 0.01 -0.01 NaN 3.55271e-15 8415 SUGAR11 caleb_strategy_v3 [1] 25.82 None 26 26 26 26 25.78 -0.18 0 0.22 0.22 NaN 0.22 8419 US20 caleb_strategy_v3 [1] 115.406 None 114.391 114.406 114.375 114.375 114.375 1.01562 -0.015625 0.03125 0 NaN 0.015625 8421 EUR caleb_strategy_v3 [1] 1.08985 None 1.08513 1.08515 1.0851 NaN 1.08515 0.004725 -2.5e-05 0 NaN NaN -2.5e-05 8423 SP400 caleb_strategy_v3 [1] 2540.1 None 2558.8 2559.1 2558.5 2558.5 2559.2 -18.7 -0.3 -0.1 -0.7 NaN -0.4 8424 US10U caleb_strategy_v3 [1] 112.422 None 111.633 111.641 111.625 NaN 111.641 0.789062 -0.0078125 0 NaN NaN -0.0078125 8420 CAD caleb_strategy_v3 [1] 0.7304 None 0.730875 0.7309 0.73085 0.73085 0.73085 -0.000475 -2.5e-05 5e-05 0 NaN 2.5e-05 8430 CAD caleb_strategy_v3 [1] 0.7304 None 0.730875 0.7309 0.73085 0.73085 0.73085 -0.000475 -2.5e-05 5e-05 0 NaN 2.5e-05 8433 NZD caleb_strategy_v3 [1] 0.60095 None 0.60105 0.6011 0.601 0.601 0.60115 -0.0001 -5e-05 -5e-05 -0.00015 NaN -0.0001 8426 NZD caleb_strategy_v3 [1] 0.60095 None 0.601 0.60105 0.60095 0.60095 0.6011 -5e-05 -5e-05 -5e-05 -0.00015 NaN -0.0001 8418 SP500_micro caleb_strategy_v3 [-1] 4523.25 None 4522.62 4522.5 4522.75 4522.75 4522.75 -0.625 -0.125 0.25 -0 NaN 0.125 8436 SP500_micro caleb_strategy_v3 [-1] 4523.25 None 4522.62 4522.5 4522.75 4522.75 4522 -0.625 -0.125 -0.5 -0.75 NaN -0.625 8429 SP500_micro caleb_strategy_v3 [-1] 4523.25 None 4522.62 4522.5 4522.75 4522.75 4522.5 -0.625 -0.125 -0 -0.25 NaN -0.125 8432 NASDAQ_micro caleb_strategy_v3 [1] 15902 None 15922 15922.2 15921.8 15921.8 15920.8 -20 -0.25 1.5 1 NaN 1.25 8425 NASDAQ_micro caleb_strategy_v3 [1] 15902 None 15919.8 15920 15919.5 15919.5 15922.2 -17.75 -0.25 -2.25 -2.75 NaN -2.5 8438 NASDAQ_micro caleb_strategy_v3 [1] 15902 None 15920.8 15921 15920.5 15920.5 15921.2 -18.75 -0.25 -0.25 -0.75 NaN -0.5 8442 RUSSELL caleb_strategy_v3 [-1] 1798.1 None 1821.7 1821.6 1821.8 1821.8 1821.4 23.6 -0.1 -0.2 -0.4 NaN -0.3 8434 RUSSELL caleb_strategy_v3 [-1] 1798.1 None 1820.1 1820 1820.2 1820.2 1820.4 22 -0.1 0.4 0.2 NaN 0.3 8427 RUSSELL caleb_strategy_v3 [-1] 1798.1 None 1820.3 1820.2 1820.4 1820.4 1820 22.2 -0.1 -0.2 -0.4 NaN -0.3 8439 RUSSELL caleb_strategy_v3 [-1] 1798.1 None 1820.5 1820.4 1820.6 1820.6 1821.6 22.4 -0.1 1.2 1 NaN 1.1 8428 BITCOIN caleb_strategy_v3 [1] 35950 None 36750 36770 36730 NaN 36770 -800 -20 0 NaN NaN -20 8435 BITCOIN caleb_strategy_v3 [1] 35950 None 36750 36765 36735 NaN 36765 -800 -15 0 NaN NaN -15 8440 BITCOIN caleb_strategy_v3 [1] 35950 None 36785 36805 36765 NaN 36805 -835 -20 0 NaN NaN -20 8443 BITCOIN caleb_strategy_v3 [1] 35950 None 36775 36795 36755 NaN 36790 -825 -20 5 NaN NaN -15 8445 BITCOIN caleb_strategy_v3 [1] 35950 None 36792.5 36810 36775 NaN 36810 -842.5 -17.5 0 NaN NaN -17.5 8422 DOW caleb_strategy_v3 [-1] 34951 None 34980 34979 34981 34981 34979 29 -1 -0 -2 NaN -1 8431 DOW caleb_strategy_v3 [-1] 34951 None 34979.5 34979 34980 34980 34968 28.5 -0.5 -11 -12 NaN -11.5 8437 DOW caleb_strategy_v3 [-1] 34951 None 34969 34968 34970 34970 34961 18 -1 -7 -9 NaN -8 8441 DOW caleb_strategy_v3 [-1] 34951 None 34961.5 34961 34962 34962 34960 10.5 -0.5 -1 -2 NaN -1.5 8444 DOW caleb_strategy_v3 [-1] 34951 None 34960.5 34960 34961 34961 34971 9.5 -0.5 11 10 NaN 10.5 8446 DOW caleb_strategy_v3 [-1] 34951 None 34972 34971 34973 34973 34963 21 -1 -8 -10 NaN -9 8447 DOW caleb_strategy_v3 [-1] 34951 None 34964 34963 34965 34965 34959 13 -1 -4 -6 NaN -5 8448 LIVECOW caleb_strategy_v3 [-1] 176.6 None 177.25 177.225 177.275 177.275 177.275 0.65 -0.025 0.05 -0 NaN 0.025 8407 CAC caleb_strategy_v3 [1] 7201.5 None 7217 7217.5 7216.5 7216.5 7212.5 -15.5 -0.5 5 4 NaN 4.5 8409 CAC caleb_strategy_v3 [1] 7201.5 None 7217 7217.5 7216.5 7216.5 NaN -15.5 -0.5 NaN NaN NaN NaN 8410 CAC caleb_strategy_v3 [1] 7201.5 None 7214 7215 7213 7213 NaN -12.5 -1 NaN NaN NaN NaN 8411 CAC caleb_strategy_v3 [1] 7201.5 None 7233.5 7234 7233 7233 7238.5 -32 -0.5 -4.5 -5.5 NaN -5 8412 CAC caleb_strategy_v3 [1] 7201.5 None 7238 7238.5 7237.5 7237.5 7238.5 -36.5 -0.5 0 -1 NaN -0.5 ============================================================================================================================================================ 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 8400 JGB-SGX-mini caleb_strategy_v3 [1] 4.31323 -962.156 -34.7767 23.1845 -46.369 NaN -11.5922 8401 JGB-SGX-mini caleb_strategy_v3 [1] 4.31323 -950.564 -23.1845 -23.1845 -69.5534 NaN -46.369 8402 JGB-SGX-mini caleb_strategy_v3 [1] 4.31323 -962.156 -34.7767 23.1845 -46.369 NaN -11.5922 8403 JGB-SGX-mini caleb_strategy_v3 [1] 4.31323 -950.564 -23.1845 -23.1845 -69.5534 NaN -46.369 8404 JGB-SGX-mini caleb_strategy_v3 [1] 4.31323 -962.156 -34.7767 0 -69.5534 NaN -34.7767 8405 DAX caleb_strategy_v3 [1] 2243.68 -71.3115 -4.45697 4.45697 -4.45697 NaN 0 8406 EUROSTX caleb_strategy_v3 [-1] 634.698 70.8999 -7.87777 -0 -15.7555 NaN -7.87777 8408 SMI caleb_strategy_v3 [1] 1329.17 -56.4263 -3.76175 7.52351 0 NaN 3.76175 8413 EURIBOR-ICE caleb_strategy_v3 [-1] 1.02118 1493.38 -24.4816 -48.9632 -97.9263 NaN -73.4447 8414 HEATOIL caleb_strategy_v3 [1] 0.925512 206.372 -3.24145 6.4829 0 NaN 3.24145 8416 COPPER caleb_strategy_v3 [1] 0.681212 -278.915 -7.33986 0 -14.6797 NaN -7.33986 8417 SUGAR11 caleb_strategy_v3 [1] 5.64179 88.6244 -17.7249 17.7249 -17.7249 NaN 6.29714e-12 8415 SUGAR11 caleb_strategy_v3 [1] 5.64179 -319.048 0 389.947 389.947 NaN 389.947 8419 US20 caleb_strategy_v3 [1] 19.8896 510.631 -7.85587 15.7117 0 NaN 7.85587 8421 EUR caleb_strategy_v3 [1] 0.0934328 505.711 -2.67572 0 NaN NaN -2.67572 8423 SP400 caleb_strategy_v3 [1] 547.801 -341.365 -5.47644 -1.82548 -12.7784 NaN -7.30192 8424 US10U caleb_strategy_v3 [1] 13.1628 599.465 -5.9353 0 NaN NaN -5.9353 8420 CAD caleb_strategy_v3 [1] 0.0486857 -97.5646 -5.13498 10.27 0 NaN 5.13498 8430 CAD caleb_strategy_v3 [1] 0.0486857 -97.5646 -5.13498 10.27 0 NaN 5.13498 8433 NZD caleb_strategy_v3 [1] 0.0727031 -13.7546 -6.87728 -6.87728 -20.6319 NaN -13.7546 8426 NZD caleb_strategy_v3 [1] 0.0727031 -6.87728 -6.87728 -6.87728 -20.6319 NaN -13.7546 8418 SP500_micro caleb_strategy_v3 [-1] 695.49 -8.98647 -1.79729 3.59459 -0 NaN 1.79729 8436 SP500_micro caleb_strategy_v3 [-1] 695.49 -8.98647 -1.79729 -7.18918 -10.7838 NaN -8.98647 8429 SP500_micro caleb_strategy_v3 [-1] 695.49 -8.98647 -1.79729 -0 -3.59459 NaN -1.79729 8432 NASDAQ_micro caleb_strategy_v3 [1] 3083.9 -64.8529 -0.810662 4.86397 3.24265 NaN 4.05331 8425 NASDAQ_micro caleb_strategy_v3 [1] 3083.9 -57.557 -0.810662 -7.29596 -8.91728 NaN -8.10662 8438 NASDAQ_micro caleb_strategy_v3 [1] 3083.9 -60.7996 -0.810662 -0.810662 -2.43199 NaN -1.62132 8442 RUSSELL caleb_strategy_v3 [-1] 474.083 497.803 -2.10934 -4.21867 -8.43734 NaN -6.32801 8434 RUSSELL caleb_strategy_v3 [-1] 474.083 464.054 -2.10934 8.43734 4.21867 NaN 6.32801 8427 RUSSELL caleb_strategy_v3 [-1] 474.083 468.273 -2.10934 -4.21867 -8.43734 NaN -6.32801 8439 RUSSELL caleb_strategy_v3 [-1] 474.083 472.491 -2.10934 25.312 21.0934 NaN 23.2027 8428 BITCOIN caleb_strategy_v3 [1] 14862.3 -538.273 -13.4568 0 NaN NaN -13.4568 8435 BITCOIN caleb_strategy_v3 [1] 14862.3 -538.273 -10.0926 0 NaN NaN -10.0926 8440 BITCOIN caleb_strategy_v3 [1] 14862.3 -561.823 -13.4568 0 NaN NaN -13.4568 8443 BITCOIN caleb_strategy_v3 [1] 14862.3 -555.094 -13.4568 3.36421 NaN NaN -10.0926 8445 BITCOIN caleb_strategy_v3 [1] 14862.3 -566.869 -11.7747 0 NaN NaN -11.7747 8422 DOW caleb_strategy_v3 [-1] 4562.76 63.558 -2.19165 -0 -4.38331 NaN -2.19165 8431 DOW caleb_strategy_v3 [-1] 4562.76 62.4621 -1.09583 -24.1082 -26.2998 NaN -25.204 8437 DOW caleb_strategy_v3 [-1] 4562.76 39.4498 -2.19165 -15.3416 -19.7249 NaN -17.5332 8441 DOW caleb_strategy_v3 [-1] 4562.76 23.0124 -1.09583 -2.19165 -4.38331 NaN -3.28748 8444 DOW caleb_strategy_v3 [-1] 4562.76 20.8207 -1.09583 24.1082 21.9165 NaN 23.0124 8446 DOW caleb_strategy_v3 [-1] 4562.76 46.0247 -2.19165 -17.5332 -21.9165 NaN -19.7249 8447 DOW caleb_strategy_v3 [-1] 4562.76 28.4915 -2.19165 -8.76662 -13.1499 NaN -10.9583 8448 LIVECOW caleb_strategy_v3 [-1] 28.6467 226.902 -8.72702 17.454 -0 NaN 8.72702 8407 CAC caleb_strategy_v3 [1] 1058.35 -146.454 -4.72434 47.2434 37.7947 NaN 42.519 8409 CAC caleb_strategy_v3 [1] 1058.35 -146.454 -4.72434 NaN NaN NaN NaN 8410 CAC caleb_strategy_v3 [1] 1058.35 -118.108 -9.44868 NaN NaN NaN NaN 8411 CAC caleb_strategy_v3 [1] 1058.35 -302.358 -4.72434 -42.519 -51.9677 NaN -47.2434 8412 CAC caleb_strategy_v3 [1] 1058.35 -344.877 -4.72434 0 -9.44868 NaN -4.72434 ======================================================================================================================================================================= 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 8400 JGB-SGX-mini caleb_strategy_v3 [1] 663.834 -275.491 -9.95751 6.63834 -13.2767 NaN -3.31917 8401 JGB-SGX-mini caleb_strategy_v3 [1] 663.834 -272.172 -6.63834 -6.63834 -19.915 NaN -13.2767 8402 JGB-SGX-mini caleb_strategy_v3 [1] 663.834 -275.491 -9.95751 6.63834 -13.2767 NaN -3.31917 8403 JGB-SGX-mini caleb_strategy_v3 [1] 663.834 -272.172 -6.63834 -6.63834 -19.915 NaN -13.2767 8404 JGB-SGX-mini caleb_strategy_v3 [1] 663.834 -275.491 -9.95751 0 -19.915 NaN -9.95751 8405 DAX caleb_strategy_v3 [1] 1.08725 -17.396 -1.08725 1.08725 -1.08725 NaN 0 8406 EUROSTX caleb_strategy_v3 [-1] 10.8725 48.9263 -5.43625 -0 -10.8725 NaN -5.43625 8408 SMI caleb_strategy_v3 [1] 11.256 -84.42 -5.628 11.256 0 NaN 5.628 8413 EURIBOR-ICE caleb_strategy_v3 [-1] 2718.12 414.514 -6.79531 -13.5906 -27.1812 NaN -20.3859 8414 HEATOIL caleb_strategy_v3 [1] 42000 802.2 -12.6 25.2 0 NaN 12.6 8416 COPPER caleb_strategy_v3 [1] 25000 -475 -12.5 0 -25 NaN -12.5 8417 SUGAR11 caleb_strategy_v3 [1] 1120 56 -11.2 11.2 -11.2 NaN 3.97904e-12 8415 SUGAR11 caleb_strategy_v3 [1] 1120 -201.6 0 246.4 246.4 NaN 246.4 8419 US20 caleb_strategy_v3 [1] 1000 1015.62 -15.625 31.25 0 NaN 15.625 8421 EUR caleb_strategy_v3 [1] 125000 590.625 -3.125 0 NaN NaN -3.125 8423 SP400 caleb_strategy_v3 [1] 100 -1870 -30 -10 -70 NaN -40 8424 US10U caleb_strategy_v3 [1] 1000 789.062 -7.8125 0 NaN NaN -7.8125 8420 CAD caleb_strategy_v3 [1] 100000 -47.5 -2.5 5 0 NaN 2.5 8430 CAD caleb_strategy_v3 [1] 100000 -47.5 -2.5 5 0 NaN 2.5 8433 NZD caleb_strategy_v3 [1] 100000 -10 -5 -5 -15 NaN -10 8426 NZD caleb_strategy_v3 [1] 100000 -5 -5 -5 -15 NaN -10 8418 SP500_micro caleb_strategy_v3 [-1] 5 -3.125 -0.625 1.25 -0 NaN 0.625 8436 SP500_micro caleb_strategy_v3 [-1] 5 -3.125 -0.625 -2.5 -3.75 NaN -3.125 8429 SP500_micro caleb_strategy_v3 [-1] 5 -3.125 -0.625 -0 -1.25 NaN -0.625 8432 NASDAQ_micro caleb_strategy_v3 [1] 2 -40 -0.5 3 2 NaN 2.5 8425 NASDAQ_micro caleb_strategy_v3 [1] 2 -35.5 -0.5 -4.5 -5.5 NaN -5 8438 NASDAQ_micro caleb_strategy_v3 [1] 2 -37.5 -0.5 -0.5 -1.5 NaN -1 8442 RUSSELL caleb_strategy_v3 [-1] 5 118 -0.5 -1 -2 NaN -1.5 8434 RUSSELL caleb_strategy_v3 [-1] 5 110 -0.5 2 1 NaN 1.5 8427 RUSSELL caleb_strategy_v3 [-1] 5 111 -0.5 -1 -2 NaN -1.5 8439 RUSSELL caleb_strategy_v3 [-1] 5 112 -0.5 6 5 NaN 5.5 8428 BITCOIN caleb_strategy_v3 [1] 0.1 -80 -2 0 NaN NaN -2 8435 BITCOIN caleb_strategy_v3 [1] 0.1 -80 -1.5 0 NaN NaN -1.5 8440 BITCOIN caleb_strategy_v3 [1] 0.1 -83.5 -2 0 NaN NaN -2 8443 BITCOIN caleb_strategy_v3 [1] 0.1 -82.5 -2 0.5 NaN NaN -1.5 8445 BITCOIN caleb_strategy_v3 [1] 0.1 -84.25 -1.75 0 NaN NaN -1.75 8422 DOW caleb_strategy_v3 [-1] 0.5 14.5 -0.5 -0 -1 NaN -0.5 8431 DOW caleb_strategy_v3 [-1] 0.5 14.25 -0.25 -5.5 -6 NaN -5.75 8437 DOW caleb_strategy_v3 [-1] 0.5 9 -0.5 -3.5 -4.5 NaN -4 8441 DOW caleb_strategy_v3 [-1] 0.5 5.25 -0.25 -0.5 -1 NaN -0.75 8444 DOW caleb_strategy_v3 [-1] 0.5 4.75 -0.25 5.5 5 NaN 5.25 8446 DOW caleb_strategy_v3 [-1] 0.5 10.5 -0.5 -4 -5 NaN -4.5 8447 DOW caleb_strategy_v3 [-1] 0.5 6.5 -0.5 -2 -3 NaN -2.5 8448 LIVECOW caleb_strategy_v3 [-1] 400 260 -10 20 -0 NaN 10 8407 CAC caleb_strategy_v3 [1] 10.8725 -168.524 -5.43625 54.3625 43.49 NaN 48.9263 8409 CAC caleb_strategy_v3 [1] 10.8725 -168.524 -5.43625 NaN NaN NaN NaN 8410 CAC caleb_strategy_v3 [1] 10.8725 -135.906 -10.8725 NaN NaN NaN NaN 8411 CAC caleb_strategy_v3 [1] 10.8725 -347.92 -5.43625 -48.9263 -59.7988 NaN -54.3625 8412 CAC caleb_strategy_v3 [1] 10.8725 -396.846 -5.43625 0 -10.8725 NaN -5.43625 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -410.250000 CAC -1217.720000 CAD -95.000000 COPPER -475.000000 DAX -17.396000 DOW 64.750000 EUR 590.625000 EURIBOR-ICE 414.514063 EUROSTX 48.926250 HEATOIL 802.200000 JGB-SGX-mini -1370.817844 LIVECOW 260.000000 NASDAQ_micro -113.000000 NZD -15.000000 RUSSELL 451.000000 SMI -84.420000 SP400 -1870.000000 SP500_micro -9.375000 SUGAR11 -145.600000 US10U 789.062500 US20 1015.625000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1386.876031 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -9.250000 CAC -32.617500 CAD -5.000000 COPPER -12.500000 DAX -1.087250 DOW -2.750000 EUR -3.125000 EURIBOR-ICE -6.795312 EUROSTX -5.436250 HEATOIL -12.600000 JGB-SGX-mini -43.149230 LIVECOW -10.000000 NASDAQ_micro -1.500000 NZD -10.000000 RUSSELL -2.000000 SMI -5.628000 SP400 -30.000000 SP500_micro -1.875000 SUGAR11 -11.200000 US10U -7.812500 US20 -15.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -229.951042 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0.500000 CAC 5.436250 CAD 10.000000 COPPER 0.000000 DAX 1.087250 DOW -10.000000 EUR 0.000000 EURIBOR-ICE -13.590625 EUROSTX -0.000000 HEATOIL 25.200000 JGB-SGX-mini 0.000000 LIVECOW 20.000000 NASDAQ_micro -2.000000 NZD -10.000000 RUSSELL 6.000000 SMI 11.256000 SP400 -10.000000 SP500_micro -1.250000 SUGAR11 257.600000 US10U 0.000000 US20 31.250000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 321.488875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0.00000 CAC -27.18125 CAD 0.00000 COPPER -25.00000 DAX -1.08725 DOW -15.50000 EUR 0.00000 EURIBOR-ICE -27.18125 EUROSTX -10.87250 HEATOIL 0.00000 JGB-SGX-mini -86.29846 LIVECOW -0.00000 NASDAQ_micro -5.00000 NZD -30.00000 RUSSELL 2.00000 SMI 0.00000 SP400 -70.00000 SP500_micro -5.00000 SUGAR11 235.20000 US10U 0.00000 US20 0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -65.92071 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 CAC 0 CAD 0 COPPER 0 DAX 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 HEATOIL 0 JGB-SGX-mini 0 LIVECOW 0 NASDAQ_micro 0 NZD 0 RUSSELL 0 SMI 0 SP400 0 SP500_micro 0 SUGAR11 0 US10U 0 US20 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 BITCOIN -8.750000 CAC -10.872500 CAD 5.000000 COPPER -12.500000 DAX 0.000000 DOW -12.750000 EUR -3.125000 EURIBOR-ICE -20.385937 EUROSTX -5.436250 HEATOIL 12.600000 JGB-SGX-mini -43.149230 LIVECOW 10.000000 NASDAQ_micro -3.500000 NZD -20.000000 RUSSELL 4.000000 SMI 5.628000 SP400 -40.000000 SP500_micro -3.125000 SUGAR11 246.400000 US10U -7.812500 US20 15.625000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 107.846583 ******************************************************************************** END OF REPORT 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