******************************************************************************** Trades report produced on 04/12/2023 21:39 from 03/12/2023 21:39 to 04/12/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8781 AUD caleb_strategy_v3 [20231200] 2023-12-04 15:03:39 [1] 0.664000 8771 AUD caleb_strategy_v3 [20231200] 2023-12-04 15:00:27 [1] 0.663700 8752 BTP caleb_strategy_v3 [20240300] 2023-12-04 08:01:57 [1] 115.370000 8750 BTP caleb_strategy_v3 [20240300] 2023-12-04 08:01:03 [1] 115.450000 8748 BUXL caleb_strategy_v3 [20240300] 2023-12-04 08:00:59 [1] 131.660000 8783 CHF caleb_strategy_v3 [20231200] 2023-12-04 15:03:44 [1] 1.148300 8774 CHF caleb_strategy_v3 [20231200] 2023-12-04 15:02:49 [1] 1.148250 8760 COCOA caleb_strategy_v3 [20240300] 2023-12-04 14:00:51 [1] 4227.000000 8757 COFFEE caleb_strategy_v3 [20240300] 2023-12-04 14:00:15 [1] 177.900000 8756 COPPER caleb_strategy_v3 [20240300] 2023-12-04 14:00:14 [1] 3.857000 8768 COPPER caleb_strategy_v3 [20240300] 2023-12-04 14:03:13 [1] 3.855000 8766 COPPER caleb_strategy_v3 [20240300] 2023-12-04 14:02:14 [1] 3.856500 8764 COPPER caleb_strategy_v3 [20240300] 2023-12-04 14:01:20 [1] 3.857500 8762 CRUDE_W caleb_strategy_v3 [20241200] 2023-12-04 14:00:56 [-1] 72.040000 8769 DOW caleb_strategy_v3 [20231200] 2023-12-04 15:00:25 [1] 36223.000000 8786 DOW caleb_strategy_v3 [20231200] 2023-12-04 15:04:38 [1] 36187.000000 8779 DOW caleb_strategy_v3 [20231200] 2023-12-04 15:03:38 [1] 36189.000000 8778 EUR caleb_strategy_v3 [20231200] 2023-12-04 15:03:22 [1] 1.084550 8754 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-04 09:01:01 [-1] 97.665000 8753 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-04 09:00:25 [-1] 97.665000 8755 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-04 09:02:15 [-1] 97.675000 8788 FEEDCOW caleb_strategy_v3 [20240300] 2023-12-04 15:30:45 [1] 214.250000 8761 GAS_US_mini caleb_strategy_v3 [20240200] 2023-12-04 14:00:54 [-1] 2.650000 8765 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-04 14:01:21 [-1] 2075.500000 8758 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-04 14:00:18 [-1] 2075.600000 8767 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-04 14:02:15 [-1] 2074.000000 8763 HEATOIL caleb_strategy_v3 [20240300] 2023-12-04 14:00:57 [-1] 2.602900 8743 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-12-04 03:06:17 [1] 145.760000 8744 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-12-04 03:11:20 [1] 145.750000 8745 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-12-04 03:14:29 [1] 145.750000 8747 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-12-04 03:20:32 [1] 145.740000 8746 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-12-04 03:15:17 [1] 145.750000 8772 JPY caleb_strategy_v3 [20231200] 2023-12-04 15:00:28 [-1] 0.006831 8782 JPY caleb_strategy_v3 [20231200] 2023-12-04 15:03:39 [-1] 0.006838 8790 LEANHOG caleb_strategy_v3 [20240200] 2023-12-04 15:30:50 [1] 71.825000 8791 LIVECOW caleb_strategy_v3 [20240200] 2023-12-04 15:31:44 [-1] 167.725000 8787 LIVECOW caleb_strategy_v3 [20240200] 2023-12-04 15:30:44 [-1] 167.850000 8785 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-12-04 15:03:45 [-1] 15849.250000 8777 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-12-04 15:03:19 [-1] 15837.750000 8749 OAT caleb_strategy_v3 [20240300] 2023-12-04 08:01:01 [-1] 127.700000 8776 RUSSELL caleb_strategy_v3 [20231200] 2023-12-04 15:03:18 [1] 1869.400000 8751 SMI caleb_strategy_v3 [20231200] 2023-12-04 08:01:04 [1] 10927.000000 8792 SOYMEAL caleb_strategy_v3 [20240300] 2023-12-04 15:31:45 [-1] 405.200000 8789 SOYMEAL caleb_strategy_v3 [20240300] 2023-12-04 15:30:50 [-1] 405.200000 8793 SOYMEAL caleb_strategy_v3 [20240300] 2023-12-04 15:32:51 [-1] 405.300000 8780 SP500_micro caleb_strategy_v3 [20231200] 2023-12-04 15:03:38 [1] 4570.000000 8770 SP500_micro caleb_strategy_v3 [20231200] 2023-12-04 15:00:26 [1] 4570.500000 8759 SUGAR11 caleb_strategy_v3 [20240500] 2023-12-04 14:00:19 [-1] 24.400000 8784 US5 caleb_strategy_v3 [20240300] 2023-12-04 15:03:45 [-1] 107.351563 8775 US5 caleb_strategy_v3 [20240300] 2023-12-04 15:03:17 [-1] 107.351563 8773 VIX caleb_strategy_v3 [20240200] 2023-12-04 15:02:46 [-1] 16.700000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8743 JGB-SGX-mini caleb_strategy_v3 2023-12-01 2023-12-04 03:01:16.802 2023-12-04 03:06:17 270077 300.198 8744 JGB-SGX-mini caleb_strategy_v3 2023-12-01 2023-12-04 03:06:19.784 2023-12-04 03:11:20 270380 300.216 8745 JGB-SGX-mini caleb_strategy_v3 2023-12-01 2023-12-04 03:11:22.186 2023-12-04 03:14:29 270682 186.814 8746 JGB-SGX-mini caleb_strategy_v3 2023-12-01 2023-12-04 03:14:32.500 2023-12-04 03:15:17 270872 44.5 8747 JGB-SGX-mini caleb_strategy_v3 2023-12-01 2023-12-04 03:15:32.464 2023-12-04 03:20:32 270932 299.536 8748 BUXL caleb_strategy_v3 2023-12-01 2023-12-04 08:00:57.540 2023-12-04 08:00:59 288058 1.46 8749 OAT caleb_strategy_v3 2023-12-01 2023-12-04 08:01:00.336 2023-12-04 08:01:01 288060 0.664 8751 SMI caleb_strategy_v3 2023-12-01 2023-12-04 08:01:04.107 2023-12-04 08:01:04 288064 NaN 8752 BTP caleb_strategy_v3 2023-12-01 2023-12-04 08:01:57.546 2023-12-04 08:01:57 288118 NaN 8750 BTP caleb_strategy_v3 2023-12-01 2023-12-04 08:01:01.915 2023-12-04 08:01:03 288062 1.085 8753 EURIBOR-ICE caleb_strategy_v3 2023-12-01 2023-12-04 09:00:01.790 2023-12-04 09:00:25 291602 23.21 8754 EURIBOR-ICE caleb_strategy_v3 2023-12-01 2023-12-04 09:01:00.587 2023-12-04 09:01:01 291661 0.413 8755 EURIBOR-ICE caleb_strategy_v3 2023-12-01 2023-12-04 09:02:00.682 2023-12-04 09:02:15 291721 14.318 8757 COFFEE caleb_strategy_v3 2023-12-01 2023-12-04 14:00:15.792 2023-12-04 14:00:15 309616 NaN 8759 SUGAR11 caleb_strategy_v3 2023-12-01 2023-12-04 14:00:19.639 2023-12-04 14:00:19 309620 NaN 8760 COCOA caleb_strategy_v3 2023-12-01 2023-12-04 14:00:20.791 2023-12-04 14:00:51 309621 30.209 8761 GAS_US_mini caleb_strategy_v3 2023-12-01 2023-12-04 14:00:52.711 2023-12-04 14:00:54 309653 1.289 8762 CRUDE_W caleb_strategy_v3 2023-12-01 2023-12-04 14:00:55.014 2023-12-04 14:00:56 309655 0.986 8763 HEATOIL caleb_strategy_v3 2023-12-01 2023-12-04 14:00:57.493 2023-12-04 14:00:57 309657 NaN 8765 GOLD_micro caleb_strategy_v3 2023-12-01 2023-12-04 14:01:20.843 2023-12-04 14:01:21 309681 0.157 8758 GOLD_micro caleb_strategy_v3 2023-12-01 2023-12-04 14:00:16.773 2023-12-04 14:00:18 309617 1.227 8767 GOLD_micro caleb_strategy_v3 2023-12-01 2023-12-04 14:02:14.874 2023-12-04 14:02:15 309735 0.126 8766 COPPER caleb_strategy_v3 2023-12-01 2023-12-04 14:02:13.780 2023-12-04 14:02:14 309734 0.22 8768 COPPER caleb_strategy_v3 2023-12-01 2023-12-04 14:03:13.782 2023-12-04 14:03:13 309794 NaN 8756 COPPER caleb_strategy_v3 2023-12-01 2023-12-04 14:00:14.454 2023-12-04 14:00:14 309614 NaN 8764 COPPER caleb_strategy_v3 2023-12-01 2023-12-04 14:01:13.835 2023-12-04 14:01:20 309674 6.165 8773 VIX caleb_strategy_v3 2023-12-01 2023-12-04 15:00:29.730 2023-12-04 15:02:46 313230 136.27 8776 RUSSELL caleb_strategy_v3 2023-12-01 2023-12-04 15:03:18.567 2023-12-04 15:03:18 313399 NaN 8778 EUR caleb_strategy_v3 2023-12-01 2023-12-04 15:03:20.479 2023-12-04 15:03:22 313400 1.521 8770 SP500_micro caleb_strategy_v3 2023-12-01 2023-12-04 15:00:26.684 2023-12-04 15:00:26 313227 NaN 8780 SP500_micro caleb_strategy_v3 2023-12-01 2023-12-04 15:03:38.747 2023-12-04 15:03:38 313419 NaN 8771 AUD caleb_strategy_v3 2023-12-01 2023-12-04 15:00:27.681 2023-12-04 15:00:27 313228 NaN 8781 AUD caleb_strategy_v3 2023-12-01 2023-12-04 15:03:39.194 2023-12-04 15:03:39 313419 NaN 8772 JPY caleb_strategy_v3 2023-12-01 2023-12-04 15:00:28.466 2023-12-04 15:00:28 313228 NaN 8782 JPY caleb_strategy_v3 2023-12-01 2023-12-04 15:03:39.774 2023-12-04 15:03:39 313420 NaN 8774 CHF caleb_strategy_v3 2023-12-01 2023-12-04 15:02:47.162 2023-12-04 15:02:49 313367 1.838 8783 CHF caleb_strategy_v3 2023-12-01 2023-12-04 15:03:40.226 2023-12-04 15:03:44 313420 3.774 8784 US5 caleb_strategy_v3 2023-12-01 2023-12-04 15:03:44.991 2023-12-04 15:03:45 313425 0.009 8775 US5 caleb_strategy_v3 2023-12-01 2023-12-04 15:02:50.099 2023-12-04 15:03:17 313370 26.901 8785 NASDAQ_micro caleb_strategy_v3 2023-12-01 2023-12-04 15:03:45.487 2023-12-04 15:03:45 313425 NaN 8777 NASDAQ_micro caleb_strategy_v3 2023-12-01 2023-12-04 15:03:19.582 2023-12-04 15:03:19 313400 NaN 8769 DOW caleb_strategy_v3 2023-12-01 2023-12-04 15:00:25.802 2023-12-04 15:00:25 313226 NaN 8786 DOW caleb_strategy_v3 2023-12-01 2023-12-04 15:04:38.384 2023-12-04 15:04:38 313478 NaN 8779 DOW caleb_strategy_v3 2023-12-01 2023-12-04 15:03:38.123 2023-12-04 15:03:38 313418 NaN 8788 FEEDCOW caleb_strategy_v3 2023-12-01 2023-12-04 15:30:45.398 2023-12-04 15:30:45 315045 NaN 8790 LEANHOG caleb_strategy_v3 2023-12-01 2023-12-04 15:30:50.702 2023-12-04 15:30:50 315051 NaN 8787 LIVECOW caleb_strategy_v3 2023-12-01 2023-12-04 15:30:44.670 2023-12-04 15:30:44 315045 NaN 8791 LIVECOW caleb_strategy_v3 2023-12-01 2023-12-04 15:31:44.334 2023-12-04 15:31:44 315104 NaN 8792 SOYMEAL caleb_strategy_v3 2023-12-01 2023-12-04 15:31:44.968 2023-12-04 15:31:45 315105 0.032 8793 SOYMEAL caleb_strategy_v3 2023-12-01 2023-12-04 15:32:44.469 2023-12-04 15:32:51 315164 6.531 8789 SOYMEAL caleb_strategy_v3 2023-12-01 2023-12-04 15:30:46.443 2023-12-04 15:30:50 315046 3.557 ==================================================================================================================================================================================================================================== 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 8743 JGB-SGX-mini caleb_strategy_v3 [1] 146.19 None 145.725 145.76 145.69 145.69 145.76 0.465 -0.035 0 -0.07 NaN -0.035 8744 JGB-SGX-mini caleb_strategy_v3 [1] 146.19 None 145.725 145.76 145.69 145.69 145.75 0.465 -0.035 0.01 -0.06 NaN -0.025 8745 JGB-SGX-mini caleb_strategy_v3 [1] 146.19 None 145.715 145.75 145.68 145.68 145.75 0.475 -0.035 0 -0.07 NaN -0.035 8746 JGB-SGX-mini caleb_strategy_v3 [1] 146.19 None 145.725 145.75 145.7 145.7 145.75 0.465 -0.025 0 -0.05 NaN -0.025 8747 JGB-SGX-mini caleb_strategy_v3 [1] 146.19 None 145.715 145.74 145.69 145.69 145.74 0.475 -0.025 0 -0.05 NaN -0.025 8748 BUXL caleb_strategy_v3 [1] 131.84 None 131.61 131.62 131.6 131.6 131.66 0.23 -0.01 -0.04 -0.06 NaN -0.05 8749 OAT caleb_strategy_v3 [-1] 127.83 None 127.695 127.69 127.7 127.7 127.7 -0.135 -0.005 0.01 -0 NaN 0.005 8751 SMI caleb_strategy_v3 [1] 10911 None 10926 10927 10925 10925 10927 -15 -1 0 -2 NaN -1 8752 BTP caleb_strategy_v3 [1] 115.67 None 115.455 115.46 115.45 115.45 115.37 0.215 -0.005 0.09 0.08 NaN 0.085 8750 BTP caleb_strategy_v3 [1] 115.67 None 115.46 115.47 115.45 115.45 115.45 0.21 -0.01 0.02 0 NaN 0.01 8753 EURIBOR-ICE caleb_strategy_v3 [-1] 97.655 None 97.665 97.66 97.67 97.67 97.665 0.01 -0.005 0.005 -0.005 NaN 1.42109e-14 8754 EURIBOR-ICE caleb_strategy_v3 [-1] 97.655 None 97.6675 97.665 97.67 NaN 97.665 0.0125 -0.0025 -0 NaN NaN -0.0025 8755 EURIBOR-ICE caleb_strategy_v3 [-1] 97.655 None 97.675 97.67 97.68 97.68 97.675 0.02 -0.005 0.005 -0.005 NaN -1.42109e-14 8757 COFFEE caleb_strategy_v3 [1] 183.95 None 177.875 177.9 177.85 177.85 177.9 6.075 -0.025 0 -0.05 NaN -0.025 8759 SUGAR11 caleb_strategy_v3 [-1] 24.22 None 24.405 24.4 24.41 24.41 24.4 0.185 -0.005 -0 -0.01 NaN -0.005 8760 COCOA caleb_strategy_v3 [1] 4202 None 4225.5 4226 4225 4225 4227 -23.5 -0.5 -1 -2 NaN -1.5 8761 GAS_US_mini caleb_strategy_v3 [-1] 2.745 None 2.65 2.645 2.655 2.655 2.65 -0.095 -0.005 0.005 -0.005 NaN 0 8762 CRUDE_W caleb_strategy_v3 [-1] 72.33 None 72.025 72.01 72.04 72.04 72.04 -0.305 -0.015 0.03 -0 NaN 0.015 8763 HEATOIL caleb_strategy_v3 [-1] 2.6049 None 2.60335 2.6029 2.6038 2.6038 2.6029 -0.00155 -0.00045 -0 -0.0009 NaN -0.00045 8765 GOLD_micro caleb_strategy_v3 [-1] 2088.6 None 2075.7 2075.6 2075.8 2075.8 2075.5 -12.9 -0.1 -0.1 -0.3 NaN -0.2 8758 GOLD_micro caleb_strategy_v3 [-1] 2088.6 None 2075.75 2075.7 2075.8 2075.8 2075.6 -12.85 -0.05 -0.1 -0.2 NaN -0.15 8767 GOLD_micro caleb_strategy_v3 [-1] 2088.6 None 2075.55 2075.5 2075.6 2075.6 2074 -13.05 -0.05 -1.5 -1.6 NaN -1.55 8766 COPPER caleb_strategy_v3 [1] 3.9145 None 3.85575 3.856 3.8555 3.8555 3.8565 0.05875 -0.00025 -0.0005 -0.001 NaN -0.00075 8768 COPPER caleb_strategy_v3 [1] 3.9145 None 3.85475 3.855 3.8545 NaN 3.855 0.05975 -0.00025 0 NaN NaN -0.00025 8756 COPPER caleb_strategy_v3 [1] 3.9145 None 3.85675 3.857 3.8565 NaN 3.857 0.05775 -0.00025 0 NaN NaN -0.00025 8764 COPPER caleb_strategy_v3 [1] 3.9145 None 3.85675 3.857 3.8565 3.8565 3.8575 0.05775 -0.00025 -0.0005 -0.001 NaN -0.00075 8773 VIX caleb_strategy_v3 [-1] 16.25 None 16.675 16.65 16.7 16.7 16.7 0.425 -0.025 0.05 -0 NaN 0.025 8776 RUSSELL caleb_strategy_v3 [1] 1857.3 None 1869.5 1869.6 1869.4 1869.4 1869.4 -12.2 -0.1 0.2 0 NaN 0.1 8778 EUR caleb_strategy_v3 [1] 1.08805 None 1.08458 1.0846 1.08455 1.08455 1.08455 0.003475 -2.5e-05 5e-05 2.22045e-16 NaN 2.5e-05 8770 SP500_micro caleb_strategy_v3 [1] 4598.5 None 4570.38 4570.5 4570.25 4570.25 4570.5 28.125 -0.125 0 -0.25 NaN -0.125 8780 SP500_micro caleb_strategy_v3 [1] 4598.5 None 4570.38 4570.5 4570.25 4570.25 4570 28.125 -0.125 0.5 0.25 NaN 0.375 8771 AUD caleb_strategy_v3 [1] 0.66755 None 0.663725 0.66375 0.6637 0.6637 0.6637 0.003825 -2.5e-05 5e-05 1.11022e-16 NaN 2.5e-05 8781 AUD caleb_strategy_v3 [1] 0.66755 None 0.663725 0.66375 0.6637 0.6637 0.664 0.003825 -2.5e-05 -0.00025 -0.0003 NaN -0.000275 8772 JPY caleb_strategy_v3 [-1] 0.0068255 None 0.00683025 0.00683 0.0068305 0.0068305 0.006831 4.75e-06 -2.5e-07 1e-06 5e-07 NaN 7.5e-07 8782 JPY caleb_strategy_v3 [-1] 0.0068255 None 0.00683025 0.00683 0.0068305 0.0068305 0.006838 4.75e-06 -2.5e-07 8e-06 7.5e-06 NaN 7.75e-06 8774 CHF caleb_strategy_v3 [1] 1.15185 None 1.14815 1.1482 1.1481 1.1481 1.14825 0.0037 -5e-05 -5e-05 -0.00015 NaN -0.0001 8783 CHF caleb_strategy_v3 [1] 1.15185 None 1.14823 1.14825 1.1482 1.1482 1.1483 0.003625 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 8784 US5 caleb_strategy_v3 [-1] 107.508 None 107.348 107.344 107.352 107.352 107.352 -0.160156 -0.00390625 0.007813 5e-07 NaN 0.00390675 8775 US5 caleb_strategy_v3 [-1] 107.508 None 107.348 107.344 107.352 107.352 107.352 -0.160156 -0.00390625 0.007813 5e-07 NaN 0.00390675 8785 NASDAQ_micro caleb_strategy_v3 [-1] 16018.5 None 15837.8 15837.5 15838 15838 15849.2 -180.75 -0.25 11.75 11.25 NaN 11.5 8777 NASDAQ_micro caleb_strategy_v3 [-1] 16018.5 None 15837.5 15837.2 15837.8 15837.8 15837.8 -181 -0.25 0.5 -0 NaN 0.25 8769 DOW caleb_strategy_v3 [1] 36256 None 36221 36222 36220 36220 36223 35 -1 -1 -3 NaN -2 8786 DOW caleb_strategy_v3 [1] 36256 None 36188.5 36189 36188 36188 36187 67.5 -0.5 2 1 NaN 1.5 8779 DOW caleb_strategy_v3 [1] 36256 None 36222 36223 36221 36221 36189 34 -1 34 32 NaN 33 8788 FEEDCOW caleb_strategy_v3 [1] 216.725 None 214.175 214.25 214.1 214.1 214.25 2.55 -0.075 0 -0.15 NaN -0.075 8790 LEANHOG caleb_strategy_v3 [1] 69.925 None 71.8125 71.825 71.8 71.8 71.825 -1.8875 -0.0125 0 -0.025 NaN -0.0125 8787 LIVECOW caleb_strategy_v3 [-1] 169 None 167.825 167.8 167.85 167.85 167.85 -1.175 -0.025 0.05 -0 NaN 0.025 8791 LIVECOW caleb_strategy_v3 [-1] 169 None 167.5 167.5 167.5 167.5 167.725 -1.5 -0 0.225 0.225 NaN 0.225 8792 SOYMEAL caleb_strategy_v3 [-1] 404.7 None 405.15 405.1 405.2 405.2 405.2 0.45 -0.05 0.1 -5.68434e-14 NaN 0.05 8793 SOYMEAL caleb_strategy_v3 [-1] 404.7 None 405.3 405.2 405.4 405.4 405.3 0.6 -0.1 0.1 -0.1 NaN 5.68434e-14 8789 SOYMEAL caleb_strategy_v3 [-1] 404.7 None 405.15 405.1 405.2 405.2 405.2 0.45 -0.05 0.1 -5.68434e-14 NaN 0.05 ============================================================================================================================================================ 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 8743 JGB-SGX-mini caleb_strategy_v3 [1] 5.21608 891.474 -67.1002 0 -134.2 NaN -67.1002 8744 JGB-SGX-mini caleb_strategy_v3 [1] 5.21608 891.474 -67.1002 19.1715 -115.029 NaN -47.9287 8745 JGB-SGX-mini caleb_strategy_v3 [1] 5.21608 910.646 -67.1002 0 -134.2 NaN -67.1002 8746 JGB-SGX-mini caleb_strategy_v3 [1] 5.21608 891.474 -47.9287 0 -95.8574 NaN -47.9287 8747 JGB-SGX-mini caleb_strategy_v3 [1] 5.21608 910.646 -47.9287 0 -95.8574 NaN -47.9287 8748 BUXL caleb_strategy_v3 [1] 24.0083 95.8002 -4.16523 -16.6609 -24.9914 NaN -20.8261 8749 OAT caleb_strategy_v3 [-1] 10.6016 -127.339 -4.71626 9.43251 -0 NaN 4.71626 8751 SMI caleb_strategy_v3 [1] 1172.47 -127.935 -8.52897 0 -17.0579 NaN -8.52897 8752 BTP caleb_strategy_v3 [1] 11.3529 189.379 -4.40417 79.2751 70.4667 NaN 74.8709 8750 BTP caleb_strategy_v3 [1] 11.3529 184.975 -8.80834 17.6167 0 NaN 8.80834 8753 EURIBOR-ICE caleb_strategy_v3 [-1] 1.0993 90.9666 -45.4833 45.4833 -45.4833 NaN 1.29271e-10 8754 EURIBOR-ICE caleb_strategy_v3 [-1] 1.0993 113.708 -22.7417 -0 NaN NaN -22.7417 8755 EURIBOR-ICE caleb_strategy_v3 [-1] 1.0993 181.933 -45.4833 45.4833 -45.4833 NaN -1.29271e-10 8757 COFFEE caleb_strategy_v3 [1] 64.9848 934.835 -3.84706 0 -7.69411 NaN -3.84706 8759 SUGAR11 caleb_strategy_v3 [-1] 6.01806 307.408 -8.30833 -0 -16.6167 NaN -8.30833 8760 COCOA caleb_strategy_v3 [1] 758.656 -309.758 -6.59061 -13.1812 -26.3624 NaN -19.7718 8761 GAS_US_mini caleb_strategy_v3 [-1] 1.89713 -500.755 -26.3555 26.3555 -26.3555 NaN 0 8762 CRUDE_W caleb_strategy_v3 [-1] 22.049 -138.328 -6.80304 13.6061 -0 NaN 6.80304 8763 HEATOIL caleb_strategy_v3 [-1] 0.940741 -16.4764 -4.78346 -0 -9.56693 NaN -4.78346 8765 GOLD_micro caleb_strategy_v3 [-1] 262.558 -491.32 -3.80869 -3.80869 -11.4261 NaN -7.61737 8758 GOLD_micro caleb_strategy_v3 [-1] 262.558 -489.416 -1.90434 -3.80869 -7.61737 NaN -5.71303 8767 GOLD_micro caleb_strategy_v3 [-1] 262.558 -497.034 -1.90434 -57.1303 -60.939 NaN -59.0346 8766 COPPER caleb_strategy_v3 [1] 0.767927 765.047 -3.25552 -6.51104 -13.0221 NaN -9.76656 8768 COPPER caleb_strategy_v3 [1] 0.767927 778.069 -3.25552 0 NaN NaN -3.25552 8756 COPPER caleb_strategy_v3 [1] 0.767927 752.025 -3.25552 0 NaN NaN -3.25552 8764 COPPER caleb_strategy_v3 [1] 0.767927 752.025 -3.25552 -6.51104 -13.0221 NaN -9.76656 8773 VIX caleb_strategy_v3 [-1] 7.90068 537.929 -31.6429 63.2857 -0 NaN 31.6429 8776 RUSSELL caleb_strategy_v3 [1] 431.56 -282.695 -2.31718 4.63435 0 NaN 2.31718 8778 EUR caleb_strategy_v3 [1] 0.0840692 413.35 -2.97374 5.94748 2.64121e-11 NaN 2.97374 8770 SP500_micro caleb_strategy_v3 [1] 601.691 467.433 -2.07748 0 -4.15496 NaN -2.07748 8780 SP500_micro caleb_strategy_v3 [1] 601.691 467.433 -2.07748 8.30992 4.15496 NaN 6.23244 8771 AUD caleb_strategy_v3 [1] 0.0735465 520.079 -3.39921 6.79842 1.50955e-11 NaN 3.39921 8781 AUD caleb_strategy_v3 [1] 0.0735465 520.079 -3.39921 -33.9921 -40.7905 NaN -37.3913 8772 JPY caleb_strategy_v3 [-1] 0.000663664 71.5724 -3.76697 15.0679 7.53394 NaN 11.3009 8782 JPY caleb_strategy_v3 [-1] 0.000663664 71.5724 -3.76697 120.543 113.009 NaN 116.776 8774 CHF caleb_strategy_v3 [1] 0.0799575 462.746 -6.25332 -6.25332 -18.76 NaN -12.5066 8783 CHF caleb_strategy_v3 [1] 0.0799575 453.366 -3.12666 -6.25332 -12.5066 NaN -9.37998 8784 US5 caleb_strategy_v3 [-1] 6.17151 -259.509 -6.32949 12.6598 0.000810174 NaN 6.3303 8775 US5 caleb_strategy_v3 [-1] 6.17151 -259.509 -6.32949 12.6598 0.000810174 NaN 6.3303 8785 NASDAQ_micro caleb_strategy_v3 [-1] 2763.25 -654.121 -0.904732 42.5224 40.7129 NaN 41.6177 8777 NASDAQ_micro caleb_strategy_v3 [-1] 2763.25 -655.026 -0.904732 1.80946 -0 NaN 0.904732 8769 DOW caleb_strategy_v3 [1] 4110.68 85.1441 -2.43269 -2.43269 -7.29806 NaN -4.86538 8786 DOW caleb_strategy_v3 [1] 4110.68 164.206 -1.21634 4.86538 2.43269 NaN 3.64903 8779 DOW caleb_strategy_v3 [1] 4110.68 82.7114 -2.43269 82.7114 77.846 NaN 80.2787 8788 FEEDCOW caleb_strategy_v3 [1] 47.6143 535.554 -15.7516 0 -31.5032 NaN -15.7516 8790 LEANHOG caleb_strategy_v3 [1] 22.9995 -820.669 -5.4349 0 -10.8698 NaN -5.4349 8787 LIVECOW caleb_strategy_v3 [-1] 28.7621 -408.523 -8.69199 17.384 -0 NaN 8.69199 8791 LIVECOW caleb_strategy_v3 [-1] 28.7621 -521.519 -0 78.2279 78.2279 NaN 78.2279 8792 SOYMEAL caleb_strategy_v3 [-1] 103.792 43.3558 -4.81732 9.63463 -5.47665e-12 NaN 4.81732 8793 SOYMEAL caleb_strategy_v3 [-1] 103.792 57.8078 -9.63463 9.63463 -9.63463 NaN 5.47665e-12 8789 SOYMEAL caleb_strategy_v3 [-1] 103.792 43.3558 -4.81732 9.63463 -5.47665e-12 NaN 4.81732 ======================================================================================================================================================================= 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 8743 JGB-SGX-mini caleb_strategy_v3 [1] 681.733 317.006 -23.8607 0 -47.7213 NaN -23.8607 8744 JGB-SGX-mini caleb_strategy_v3 [1] 681.733 317.006 -23.8607 6.81733 -40.904 NaN -17.0433 8745 JGB-SGX-mini caleb_strategy_v3 [1] 681.733 323.823 -23.8607 0 -47.7213 NaN -23.8607 8746 JGB-SGX-mini caleb_strategy_v3 [1] 681.733 317.006 -17.0433 0 -34.0866 NaN -17.0433 8747 JGB-SGX-mini caleb_strategy_v3 [1] 681.733 323.823 -17.0433 0 -34.0866 NaN -17.0433 8748 BUXL caleb_strategy_v3 [1] 1086.7 249.941 -10.867 -43.468 -65.202 NaN -54.335 8749 OAT caleb_strategy_v3 [-1] 1086.7 -146.705 -5.4335 10.867 -0 NaN 5.4335 8751 SMI caleb_strategy_v3 [1] 11.485 -172.275 -11.485 0 -22.97 NaN -11.485 8752 BTP caleb_strategy_v3 [1] 1086.7 233.641 -5.4335 97.803 86.936 NaN 92.3695 8750 BTP caleb_strategy_v3 [1] 1086.7 228.207 -10.867 21.734 0 NaN 10.867 8753 EURIBOR-ICE caleb_strategy_v3 [-1] 2716.75 27.1675 -13.5837 13.5838 -13.5837 NaN 3.86073e-11 8754 EURIBOR-ICE caleb_strategy_v3 [-1] 2716.75 33.9594 -6.79187 -0 NaN NaN -6.79187 8755 EURIBOR-ICE caleb_strategy_v3 [-1] 2716.75 54.335 -13.5838 13.5837 -13.5838 NaN -3.86073e-11 8757 COFFEE caleb_strategy_v3 [1] 375 2278.12 -9.375 0 -18.75 NaN -9.375 8759 SUGAR11 caleb_strategy_v3 [-1] 1120 207.2 -5.6 -0 -11.2 NaN -5.6 8760 COCOA caleb_strategy_v3 [1] 10 -235 -5 -10 -20 NaN -15 8761 GAS_US_mini caleb_strategy_v3 [-1] 2500 -237.5 -12.5 12.5 -12.5 NaN 0 8762 CRUDE_W caleb_strategy_v3 [-1] 1000 -305 -15 30 -0 NaN 15 8763 HEATOIL caleb_strategy_v3 [-1] 42000 -65.1 -18.9 -0 -37.8 NaN -18.9 8765 GOLD_micro caleb_strategy_v3 [-1] 10 -129 -1 -1 -3 NaN -2 8758 GOLD_micro caleb_strategy_v3 [-1] 10 -128.5 -0.5 -1 -2 NaN -1.5 8767 GOLD_micro caleb_strategy_v3 [-1] 10 -130.5 -0.5 -15 -16 NaN -15.5 8766 COPPER caleb_strategy_v3 [1] 25000 1468.75 -6.25 -12.5 -25 NaN -18.75 8768 COPPER caleb_strategy_v3 [1] 25000 1493.75 -6.25 0 NaN NaN -6.25 8756 COPPER caleb_strategy_v3 [1] 25000 1443.75 -6.25 0 NaN NaN -6.25 8764 COPPER caleb_strategy_v3 [1] 25000 1443.75 -6.25 -12.5 -25 NaN -18.75 8773 VIX caleb_strategy_v3 [-1] 1000 425 -25 50 -0 NaN 25 8776 RUSSELL caleb_strategy_v3 [1] 5 -61 -0.5 1 0 NaN 0.5 8778 EUR caleb_strategy_v3 [1] 125000 434.375 -3.125 6.25 2.77556e-11 NaN 3.125 8770 SP500_micro caleb_strategy_v3 [1] 5 140.625 -0.625 0 -1.25 NaN -0.625 8780 SP500_micro caleb_strategy_v3 [1] 5 140.625 -0.625 2.5 1.25 NaN 1.875 8771 AUD caleb_strategy_v3 [1] 100000 382.5 -2.5 5 1.11022e-11 NaN 2.5 8781 AUD caleb_strategy_v3 [1] 100000 382.5 -2.5 -25 -30 NaN -27.5 8772 JPY caleb_strategy_v3 [-1] 1.25e+07 59.375 -3.125 12.5 6.25 NaN 9.375 8782 JPY caleb_strategy_v3 [-1] 1.25e+07 59.375 -3.125 100 93.75 NaN 96.875 8774 CHF caleb_strategy_v3 [1] 125000 462.5 -6.25 -6.25 -18.75 NaN -12.5 8783 CHF caleb_strategy_v3 [1] 125000 453.125 -3.125 -6.25 -12.5 NaN -9.375 8784 US5 caleb_strategy_v3 [-1] 1000 -160.156 -3.90625 7.813 0.0005 NaN 3.90675 8775 US5 caleb_strategy_v3 [-1] 1000 -160.156 -3.90625 7.813 0.0005 NaN 3.90675 8785 NASDAQ_micro caleb_strategy_v3 [-1] 2 -361.5 -0.5 23.5 22.5 NaN 23 8777 NASDAQ_micro caleb_strategy_v3 [-1] 2 -362 -0.5 1 -0 NaN 0.5 8769 DOW caleb_strategy_v3 [1] 0.5 17.5 -0.5 -0.5 -1.5 NaN -1 8786 DOW caleb_strategy_v3 [1] 0.5 33.75 -0.25 1 0.5 NaN 0.75 8779 DOW caleb_strategy_v3 [1] 0.5 17 -0.5 17 16 NaN 16.5 8788 FEEDCOW caleb_strategy_v3 [1] 500 1275 -37.5 0 -75 NaN -37.5 8790 LEANHOG caleb_strategy_v3 [1] 400 -755 -5 0 -10 NaN -5 8787 LIVECOW caleb_strategy_v3 [-1] 400 -470 -10 20 -0 NaN 10 8791 LIVECOW caleb_strategy_v3 [-1] 400 -600 -0 90 90 NaN 90 8792 SOYMEAL caleb_strategy_v3 [-1] 100 45 -5 10 -5.68434e-12 NaN 5 8793 SOYMEAL caleb_strategy_v3 [-1] 100 60 -10 10 -10 NaN 5.68434e-12 8789 SOYMEAL caleb_strategy_v3 [-1] 100 45 -5 10 -5.68434e-12 NaN 5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 765.000000 BTP 461.847500 BUXL 249.941000 CHF 915.625000 COCOA -235.000000 COFFEE 2278.125000 COPPER 5850.000000 CRUDE_W -305.000000 DOW 68.250000 EUR 434.375000 EURIBOR-ICE 115.461875 FEEDCOW 1275.000000 GAS_US_mini -237.500000 GOLD_micro -388.000000 HEATOIL -65.100000 JGB-SGX-mini 1598.663803 JPY 118.750000 LEANHOG -755.000000 LIVECOW -1070.000000 NASDAQ_micro -723.500000 OAT -146.704500 RUSSELL -61.000000 SMI -172.275000 SOYMEAL 150.000000 SP500_micro 281.250000 SUGAR11 207.200000 US5 -320.312500 VIX 425.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 10715.097178 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.000000 BTP -16.300500 BUXL -10.867000 CHF -9.375000 COCOA -5.000000 COFFEE -9.375000 COPPER -25.000000 CRUDE_W -15.000000 DOW -1.250000 EUR -3.125000 EURIBOR-ICE -33.959375 FEEDCOW -37.500000 GAS_US_mini -12.500000 GOLD_micro -2.000000 HEATOIL -18.900000 JGB-SGX-mini -105.668610 JPY -6.250000 LEANHOG -5.000000 LIVECOW -10.000000 NASDAQ_micro -1.000000 OAT -5.433500 RUSSELL -0.500000 SMI -11.485000 SOYMEAL -20.000000 SP500_micro -1.250000 SUGAR11 -5.600000 US5 -7.812500 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -410.151485 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -20.00000 BTP 119.53700 BUXL -43.46800 CHF -12.50000 COCOA -10.00000 COFFEE 0.00000 COPPER -25.00000 CRUDE_W 30.00000 DOW 17.50000 EUR 6.25000 EURIBOR-ICE 27.16750 FEEDCOW 0.00000 GAS_US_mini 12.50000 GOLD_micro -17.00000 HEATOIL -0.00000 JGB-SGX-mini 6.81733 JPY 112.50000 LEANHOG 0.00000 LIVECOW 110.00000 NASDAQ_micro 24.50000 OAT 10.86700 RUSSELL 1.00000 SMI 0.00000 SOYMEAL 30.00000 SP500_micro 2.50000 SUGAR11 -0.00000 US5 15.62600 VIX 50.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 448.79683 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -3.000000e+01 BTP 8.693600e+01 BUXL -6.520200e+01 CHF -3.125000e+01 COCOA -2.000000e+01 COFFEE -1.875000e+01 COPPER -5.000000e+01 CRUDE_W -0.000000e+00 DOW 1.500000e+01 EUR 2.775558e-11 EURIBOR-ICE -2.716750e+01 FEEDCOW -7.500000e+01 GAS_US_mini -1.250000e+01 GOLD_micro -2.100000e+01 HEATOIL -3.780000e+01 JGB-SGX-mini -2.045199e+02 JPY 1.000000e+02 LEANHOG -1.000000e+01 LIVECOW 9.000000e+01 NASDAQ_micro 2.250000e+01 OAT -0.000000e+00 RUSSELL 0.000000e+00 SMI -2.297000e+01 SOYMEAL -1.000000e+01 SP500_micro 0.000000e+00 SUGAR11 -1.120000e+01 US5 1.000000e-03 VIX -0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -332.92239 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BTP 0 BUXL 0 CHF 0 COCOA 0 COFFEE 0 COPPER 0 CRUDE_W 0 DOW 0 EUR 0 EURIBOR-ICE 0 FEEDCOW 0 GAS_US_mini 0 GOLD_micro 0 HEATOIL 0 JGB-SGX-mini 0 JPY 0 LEANHOG 0 LIVECOW 0 NASDAQ_micro 0 OAT 0 RUSSELL 0 SMI 0 SOYMEAL 0 SP500_micro 0 SUGAR11 0 US5 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 AUD -25.000000 BTP 103.236500 BUXL -54.335000 CHF -21.875000 COCOA -15.000000 COFFEE -9.375000 COPPER -50.000000 CRUDE_W 15.000000 DOW 16.250000 EUR 3.125000 EURIBOR-ICE -6.791875 FEEDCOW -37.500000 GAS_US_mini 0.000000 GOLD_micro -19.000000 HEATOIL -18.900000 JGB-SGX-mini -98.851280 JPY 106.250000 LEANHOG -5.000000 LIVECOW 100.000000 NASDAQ_micro 23.500000 OAT 5.433500 RUSSELL 0.500000 SMI -11.485000 SOYMEAL 10.000000 SP500_micro 1.250000 SUGAR11 -5.600000 US5 7.813500 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 38.645345 ******************************************************************************** END OF REPORT ********************************************************************************