******************************************************************************** Trades report produced on 05/12/2023 21:39 from 04/12/2023 21:39 to 05/12/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8806 AUD caleb_strategy_v3 [20231200] 2023-12-05 15:00:44 [-1] 0.657400 8797 BTP caleb_strategy_v3 [20240300] 2023-12-05 08:00:31 [1] 115.920000 8798 BTP caleb_strategy_v3 [20240300] 2023-12-05 08:01:31 [1] 116.040000 8801 COPPER caleb_strategy_v3 [20240300] 2023-12-05 14:00:42 [-1] 3.804000 8804 COPPER caleb_strategy_v3 [20240300] 2023-12-05 14:01:41 [-1] 3.805000 8827 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:10:26 [1] 36463.000000 8834 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:17:27 [1] 36434.000000 8833 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:16:27 [1] 36429.000000 8832 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:15:27 [1] 36421.000000 8828 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:11:26 [1] 36460.000000 8816 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:02:24 [1] 36509.000000 8829 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:12:27 [1] 36465.000000 8830 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:13:27 [1] 36470.000000 8826 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:09:26 [1] 36474.000000 8820 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:03:26 [1] 36512.000000 8821 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:04:24 [1] 36516.000000 8810 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:01:00 [1] 36511.000000 8831 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:14:27 [1] 36437.000000 8809 DOW caleb_strategy_v3 [20231200] 2023-12-05 15:00:47 [1] 36152.000000 8823 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:06:25 [1] 36477.000000 8824 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:07:25 [1] 36480.000000 8825 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:08:25 [1] 36468.000000 8822 DOW caleb_strategy_v3 [20240300] 2023-12-05 15:05:24 [1] 36477.000000 8808 EUR caleb_strategy_v3 [20231200] 2023-12-05 15:00:46 [-1] 1.083800 8799 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-05 09:00:46 [-1] 97.725000 8800 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-05 09:01:33 [-1] 97.715000 8805 GAS_US_mini caleb_strategy_v3 [20240200] 2023-12-05 14:01:42 [-1] 2.700000 8803 GAS_US_mini caleb_strategy_v3 [20240200] 2023-12-05 14:00:51 [-1] 2.705000 8811 GBP caleb_strategy_v3 [20240300] 2023-12-05 15:01:01 [1] 1.265900 8817 GBP caleb_strategy_v3 [20240300] 2023-12-05 15:02:25 [1] 1.265900 8835 LIVECOW caleb_strategy_v3 [20240200] 2023-12-05 15:30:31 [-1] 168.125000 8807 NASDAQ_micro caleb_strategy_v3 [20240300] 2023-12-05 15:00:45 [-1] 16092.750000 8815 NASDAQ_micro caleb_strategy_v3 [20240300] 2023-12-05 15:02:23 [-1] 16110.250000 8796 NIKKEI caleb_strategy_v3 [20240300] 2023-12-05 03:03:27 [-1] 32710.000000 8795 NIKKEI caleb_strategy_v3 [20240300] 2023-12-05 03:02:23 [-1] 32710.000000 8794 NIKKEI caleb_strategy_v3 [20240300] 2023-12-05 03:01:20 [-1] 32705.000000 8802 PLAT caleb_strategy_v3 [20240100] 2023-12-05 14:00:43 [1] 911.500000 8836 SOYMEAL caleb_strategy_v3 [20240500] 2023-12-05 15:30:34 [-1] 395.500000 8813 US10 caleb_strategy_v3 [20240300] 2023-12-05 15:01:05 [-1] 110.921875 8819 US10 caleb_strategy_v3 [20240300] 2023-12-05 15:02:27 [-1] 110.890625 8812 US10U caleb_strategy_v3 [20240300] 2023-12-05 15:01:04 [1] 115.125000 8818 US10U caleb_strategy_v3 [20240300] 2023-12-05 15:02:26 [1] 115.125000 8814 VIX caleb_strategy_v3 [20240200] 2023-12-05 15:02:21 [1] 16.350000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8794 NIKKEI caleb_strategy_v3 2023-12-04 2023-12-05 03:01:17.921 2023-12-05 03:01:20 97277.9 2.079 8795 NIKKEI caleb_strategy_v3 2023-12-04 2023-12-05 03:02:18.280 2023-12-05 03:02:23 97338.3 4.72 8796 NIKKEI caleb_strategy_v3 2023-12-04 2023-12-05 03:03:18.632 2023-12-05 03:03:27 97398.6 8.368 8797 BTP caleb_strategy_v3 2023-12-04 2023-12-05 08:00:30.974 2023-12-05 08:00:31 115231 0.026 8798 BTP caleb_strategy_v3 2023-12-04 2023-12-05 08:01:30.906 2023-12-05 08:01:31 115291 0.094 8800 EURIBOR-ICE caleb_strategy_v3 2023-12-04 2023-12-05 09:01:32.764 2023-12-05 09:01:33 118893 0.236 8799 EURIBOR-ICE caleb_strategy_v3 2023-12-04 2023-12-05 09:00:32.771 2023-12-05 09:00:46 118833 13.229 8802 PLAT caleb_strategy_v3 2023-12-04 2023-12-05 14:00:43.066 2023-12-05 14:00:43 136843 NaN 8801 COPPER caleb_strategy_v3 2023-12-04 2023-12-05 14:00:42.154 2023-12-05 14:00:42 136842 NaN 8804 COPPER caleb_strategy_v3 2023-12-04 2023-12-05 14:01:41.888 2023-12-05 14:01:41 136902 NaN 8803 GAS_US_mini caleb_strategy_v3 2023-12-04 2023-12-05 14:00:43.985 2023-12-05 14:00:51 136844 7.015 8805 GAS_US_mini caleb_strategy_v3 2023-12-04 2023-12-05 14:01:42.336 2023-12-05 14:01:42 136902 NaN 8806 AUD caleb_strategy_v3 2023-12-04 2023-12-05 15:00:44.080 2023-12-05 15:00:44 140444 NaN 8808 EUR caleb_strategy_v3 2023-12-04 2023-12-05 15:00:46.419 2023-12-05 15:00:46 140446 NaN 8814 VIX caleb_strategy_v3 2023-12-04 2023-12-05 15:01:06.514 2023-12-05 15:02:21 140467 74.486 8815 NASDAQ_micro caleb_strategy_v3 2023-12-04 2023-12-05 15:02:23.727 2023-12-05 15:02:23 140544 NaN 8807 NASDAQ_micro caleb_strategy_v3 2023-12-04 2023-12-05 15:00:45.490 2023-12-05 15:00:45 140445 NaN 8817 GBP caleb_strategy_v3 2023-12-04 2023-12-05 15:02:25.037 2023-12-05 15:02:25 140545 NaN 8811 GBP caleb_strategy_v3 2023-12-04 2023-12-05 15:01:01.255 2023-12-05 15:01:01 140461 NaN 8818 US10U caleb_strategy_v3 2023-12-04 2023-12-05 15:02:26.178 2023-12-05 15:02:26 140546 NaN 8812 US10U caleb_strategy_v3 2023-12-04 2023-12-05 15:01:02.042 2023-12-05 15:01:04 140462 1.958 8819 US10 caleb_strategy_v3 2023-12-04 2023-12-05 15:02:26.817 2023-12-05 15:02:27 140547 0.183 8813 US10 caleb_strategy_v3 2023-12-04 2023-12-05 15:01:05.566 2023-12-05 15:01:05 140466 NaN 8832 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:15:27.445 2023-12-05 15:15:27 141327 NaN 8833 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:16:27.636 2023-12-05 15:16:27 141388 NaN 8834 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:17:27.684 2023-12-05 15:17:27 141448 NaN 8809 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:00:47.746 2023-12-05 15:00:47 140448 NaN 8810 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:00:48.746 2023-12-05 15:01:00 140449 11.254 8816 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:02:24.332 2023-12-05 15:02:24 140544 NaN 8820 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:03:23.956 2023-12-05 15:03:26 140604 2.044 8821 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:04:24.370 2023-12-05 15:04:24 140664 NaN 8822 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:05:24.762 2023-12-05 15:05:24 140725 NaN 8823 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:06:25.126 2023-12-05 15:06:25 140785 NaN 8824 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:07:25.367 2023-12-05 15:07:25 140845 NaN 8825 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:08:25.780 2023-12-05 15:08:25 140906 NaN 8826 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:09:26.108 2023-12-05 15:09:26 140966 NaN 8827 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:10:26.344 2023-12-05 15:10:26 141026 NaN 8828 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:11:26.609 2023-12-05 15:11:26 141087 NaN 8829 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:12:26.893 2023-12-05 15:12:27 141147 0.107 8830 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:13:26.980 2023-12-05 15:13:27 141207 0.02 8831 DOW caleb_strategy_v3 2023-12-04 2023-12-05 15:14:27.344 2023-12-05 15:14:27 141267 NaN 8835 LIVECOW caleb_strategy_v3 2023-12-04 2023-12-05 15:30:31.206 2023-12-05 15:30:31 142231 NaN 8836 SOYMEAL caleb_strategy_v3 2023-12-04 2023-12-05 15:30:32.622 2023-12-05 15:30:34 142233 1.378 ================================================================================================================================================================================================================================= 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 8794 NIKKEI caleb_strategy_v3 [-1] 32950 None 32712.5 32710 32715 32715 32705 -237.5 -2.5 -5 -10 NaN -7.5 8795 NIKKEI caleb_strategy_v3 [-1] 32950 None 32707.5 32705 32710 32710 32710 -242.5 -2.5 5 -0 NaN 2.5 8796 NIKKEI caleb_strategy_v3 [-1] 32950 None 32707.5 32705 32710 32710 32710 -242.5 -2.5 5 -0 NaN 2.5 8797 BTP caleb_strategy_v3 [1] 115.25 None 115.925 115.93 115.92 115.92 115.92 -0.675 -0.005 0.01 0 NaN 0.005 8798 BTP caleb_strategy_v3 [1] 115.25 None 115.92 115.93 115.91 115.91 116.04 -0.67 -0.01 -0.11 -0.13 NaN -0.12 8800 EURIBOR-ICE caleb_strategy_v3 [-1] 97.675 None 97.7275 97.725 97.73 97.73 97.715 0.0525 -0.0025 -0.01 -0.015 NaN -0.0125 8799 EURIBOR-ICE caleb_strategy_v3 [-1] 97.675 None 97.7225 97.72 97.725 97.725 97.725 0.0475 -0.0025 0.005 -1.42109e-14 NaN 0.0025 8802 PLAT caleb_strategy_v3 [1] 924.2 None 911.6 911.7 911.5 911.5 911.5 12.6 -0.1 0.2 0 NaN 0.1 8801 COPPER caleb_strategy_v3 [-1] 3.83 None 3.8045 3.804 3.805 3.805 3.804 -0.0255 -0.0005 -0 -0.001 NaN -0.0005 8804 COPPER caleb_strategy_v3 [-1] 3.83 None 3.80425 3.804 3.8045 3.8045 3.805 -0.02575 -0.00025 0.001 0.0005 NaN 0.00075 8803 GAS_US_mini caleb_strategy_v3 [-1] 2.665 None 2.7075 2.705 2.71 2.71 2.705 0.0425 -0.0025 -0 -0.005 NaN -0.0025 8805 GAS_US_mini caleb_strategy_v3 [-1] 2.665 None 2.7075 2.705 2.71 NaN 2.7 0.0425 -0.0025 -0.005 NaN NaN -0.0075 8806 AUD caleb_strategy_v3 [-1] 0.662 None 0.657525 0.6575 0.65755 0.65755 0.6574 -0.004475 -2.5e-05 -0.0001 -0.00015 NaN -0.000125 8808 EUR caleb_strategy_v3 [-1] 1.08355 None 1.0839 1.08385 1.08395 1.08395 1.0838 0.00035 -5e-05 -5e-05 -0.00015 NaN -0.0001 8814 VIX caleb_strategy_v3 [1] 16.45 None 16.375 16.4 16.35 16.35 16.35 0.075 -0.025 0.05 0 NaN 0.025 8815 NASDAQ_micro caleb_strategy_v3 [-1] 16017.2 None 16092.1 16091.5 16092.8 16092.8 16110.2 74.875 -0.625 18.75 17.5 NaN 18.125 8807 NASDAQ_micro caleb_strategy_v3 [-1] 16017.2 None 16093.6 16092.8 16094.5 16094.5 16092.8 76.375 -0.875 -0 -1.75 NaN -0.875 8817 GBP caleb_strategy_v3 [1] 1.2632 None 1.26575 1.2659 1.2656 1.2656 1.2659 -0.00255 -0.00015 0 -0.0003 NaN -0.00015 8811 GBP caleb_strategy_v3 [1] 1.2632 None 1.2658 1.2659 1.2657 NaN 1.2659 -0.0026 -0.0001 0 NaN NaN -0.0001 8818 US10U caleb_strategy_v3 [1] 114.109 None 115.117 115.125 115.109 NaN 115.125 -1.00781 -0.0078125 0 NaN NaN -0.0078125 8812 US10U caleb_strategy_v3 [1] 114.109 None 115.141 115.156 115.125 115.125 115.125 -1.03125 -0.015625 0.03125 0 NaN 0.015625 8819 US10 caleb_strategy_v3 [-1] 110.234 None 110.914 110.906 110.922 110.922 110.891 0.679688 -0.0078125 -0.015625 -0.03125 NaN -0.0234375 8813 US10 caleb_strategy_v3 [-1] 110.234 None 110.914 110.906 110.922 110.922 110.922 0.679688 -0.0078125 0.015625 -0 NaN 0.0078125 8832 DOW caleb_strategy_v3 [1] 36578 None 36434.5 36436 36433 36433 36421 143.5 -1.5 15 12 NaN 13.5 8833 DOW caleb_strategy_v3 [1] 36578 None 36419.5 36421 36418 36418 36429 158.5 -1.5 -8 -11 NaN -9.5 8834 DOW caleb_strategy_v3 [1] 36578 None 36428 36429 36427 36427 36434 150 -1 -5 -7 NaN -6 8809 DOW caleb_strategy_v3 [1] 36231 None 36149 36150 36148 36148 36152 82 -1 -2 -4 NaN -3 8810 DOW caleb_strategy_v3 [1] 36578 None 36493 36499 36487 36487 36511 85 -6 -12 -24 NaN -18 8816 DOW caleb_strategy_v3 [1] 36578 None 36504 36511 36497 36497 36509 74 -7 2 -12 NaN -5 8820 DOW caleb_strategy_v3 [1] 36578 None 36506.5 36509 36504 36504 36512 71.5 -2.5 -3 -8 NaN -5.5 8821 DOW caleb_strategy_v3 [1] 36578 None 36510 36512 36508 36508 36516 68 -2 -4 -8 NaN -6 8822 DOW caleb_strategy_v3 [1] 36578 None 36514 36516 36512 36512 36477 64 -2 39 35 NaN 37 8823 DOW caleb_strategy_v3 [1] 36578 None 36474.5 36476 36473 36473 36477 103.5 -1.5 -1 -4 NaN -2.5 8824 DOW caleb_strategy_v3 [1] 36578 None 36475.5 36477 36474 36474 36480 102.5 -1.5 -3 -6 NaN -4.5 8825 DOW caleb_strategy_v3 [1] 36578 None 36478.5 36480 36477 36477 36468 99.5 -1.5 12 9 NaN 10.5 8826 DOW caleb_strategy_v3 [1] 36578 None 36466.5 36468 36465 36465 36474 111.5 -1.5 -6 -9 NaN -7.5 8827 DOW caleb_strategy_v3 [1] 36578 None 36472.5 36474 36471 36471 36463 105.5 -1.5 11 8 NaN 9.5 8828 DOW caleb_strategy_v3 [1] 36578 None 36461.5 36463 36460 36460 36460 116.5 -1.5 3 0 NaN 1.5 8829 DOW caleb_strategy_v3 [1] 36578 None 36458.5 36460 36457 36457 36465 119.5 -1.5 -5 -8 NaN -6.5 8830 DOW caleb_strategy_v3 [1] 36578 None 36463 36465 36461 36461 36470 115 -2 -5 -9 NaN -7 8831 DOW caleb_strategy_v3 [1] 36578 None 36468.5 36470 36467 36467 36437 109.5 -1.5 33 30 NaN 31.5 8835 LIVECOW caleb_strategy_v3 [-1] 166.85 None 168.15 168.125 168.175 168.175 168.125 1.3 -0.025 -0 -0.05 NaN -0.025 8836 SOYMEAL caleb_strategy_v3 [-1] 395.3 None 395.65 395.6 395.7 395.7 395.5 0.35 -0.05 -0.1 -0.2 NaN -0.15 ============================================================================================================================================================ 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 8794 NIKKEI caleb_strategy_v3 [-1] 5084.46 -467.11 -4.91695 -9.83389 -19.6678 NaN -14.7508 8795 NIKKEI caleb_strategy_v3 [-1] 5084.46 -476.944 -4.91695 9.83389 -0 NaN 4.91695 8796 NIKKEI caleb_strategy_v3 [-1] 5084.46 -476.944 -4.91695 9.83389 -0 NaN 4.91695 8797 BTP caleb_strategy_v3 [1] 11.4845 -587.751 -4.35371 8.70743 0 NaN 4.35371 8798 BTP caleb_strategy_v3 [1] 11.4845 -583.398 -8.70743 -95.7817 -113.197 NaN -104.489 8800 EURIBOR-ICE caleb_strategy_v3 [-1] 1.10182 476.483 -22.6897 -90.7587 -136.138 NaN -113.448 8799 EURIBOR-ICE caleb_strategy_v3 [-1] 1.10182 431.104 -22.6897 45.3794 -1.28976e-10 NaN 22.6897 8802 PLAT caleb_strategy_v3 [1] 257.072 490.135 -3.88996 7.77993 0 NaN 3.88996 8801 COPPER caleb_strategy_v3 [-1] 0.77173 -330.426 -6.47895 -0 -12.9579 NaN -6.47895 8804 COPPER caleb_strategy_v3 [-1] 0.77173 -333.666 -3.23947 12.9579 6.47895 NaN 9.71842 8803 GAS_US_mini caleb_strategy_v3 [-1] 1.88382 225.605 -13.2709 -0 -26.5418 NaN -13.2709 8805 GAS_US_mini caleb_strategy_v3 [-1] 1.88382 225.605 -13.2709 -26.5418 NaN NaN -39.8127 8806 AUD caleb_strategy_v3 [-1] 0.075813 -590.268 -3.29759 -13.1904 -19.7855 NaN -16.4879 8808 EUR caleb_strategy_v3 [-1] 0.0839324 41.7002 -5.95717 -5.95717 -17.8715 NaN -11.9143 8814 VIX caleb_strategy_v3 [1] 7.74748 96.8057 -32.2686 64.5371 0 NaN 32.2686 8815 NASDAQ_micro caleb_strategy_v3 [-1] 2678.29 279.563 -2.33358 70.0073 65.3402 NaN 67.6738 8807 NASDAQ_micro caleb_strategy_v3 [-1] 2678.29 285.163 -3.26701 -0 -6.53402 NaN -3.26701 8817 GBP caleb_strategy_v3 [1] 0.111558 -228.58 -13.4459 0 -26.8917 NaN -13.4459 8811 GBP caleb_strategy_v3 [1] 0.111558 -233.062 -8.96391 0 NaN NaN -8.96391 8818 US10U caleb_strategy_v3 [1] 11.9825 -841.073 -6.51995 0 NaN NaN -6.51995 8812 US10U caleb_strategy_v3 [1] 11.9825 -860.633 -13.0399 26.0798 0 NaN 13.0399 8819 US10 caleb_strategy_v3 [-1] 8.99402 755.711 -8.68633 -17.3727 -34.7453 NaN -26.059 8813 US10 caleb_strategy_v3 [-1] 8.99402 755.711 -8.68633 17.3727 -0 NaN 8.68633 8832 DOW caleb_strategy_v3 [1] 4051.14 354.221 -3.70266 37.0266 29.6213 NaN 33.3239 8833 DOW caleb_strategy_v3 [1] 4051.14 391.248 -3.70266 -19.7475 -27.1528 NaN -23.4502 8834 DOW caleb_strategy_v3 [1] 4051.14 370.266 -2.46844 -12.3422 -17.2791 NaN -14.8106 8809 DOW caleb_strategy_v3 [1] 4051.14 202.412 -2.46844 -4.93688 -9.87376 NaN -7.40532 8810 DOW caleb_strategy_v3 [1] 4051.14 209.817 -14.8106 -29.6213 -59.2425 NaN -44.4319 8816 DOW caleb_strategy_v3 [1] 4051.14 182.664 -17.2791 4.93688 -29.6213 NaN -12.3422 8820 DOW caleb_strategy_v3 [1] 4051.14 176.493 -6.1711 -7.40532 -19.7475 NaN -13.5764 8821 DOW caleb_strategy_v3 [1] 4051.14 167.854 -4.93688 -9.87376 -19.7475 NaN -14.8106 8822 DOW caleb_strategy_v3 [1] 4051.14 157.98 -4.93688 96.2691 86.3954 NaN 91.3322 8823 DOW caleb_strategy_v3 [1] 4051.14 255.483 -3.70266 -2.46844 -9.87376 NaN -6.1711 8824 DOW caleb_strategy_v3 [1] 4051.14 253.015 -3.70266 -7.40532 -14.8106 NaN -11.108 8825 DOW caleb_strategy_v3 [1] 4051.14 245.61 -3.70266 29.6213 22.216 NaN 25.9186 8826 DOW caleb_strategy_v3 [1] 4051.14 275.231 -3.70266 -14.8106 -22.216 NaN -18.5133 8827 DOW caleb_strategy_v3 [1] 4051.14 260.42 -3.70266 27.1528 19.7475 NaN 23.4502 8828 DOW caleb_strategy_v3 [1] 4051.14 287.573 -3.70266 7.40532 0 NaN 3.70266 8829 DOW caleb_strategy_v3 [1] 4051.14 294.978 -3.70266 -12.3422 -19.7475 NaN -16.0449 8830 DOW caleb_strategy_v3 [1] 4051.14 283.87 -4.93688 -12.3422 -22.216 NaN -17.2791 8831 DOW caleb_strategy_v3 [1] 4051.14 270.294 -3.70266 81.4585 74.0532 NaN 77.7558 8835 LIVECOW caleb_strategy_v3 [-1] 28.8966 449.879 -8.65153 -0 -17.3031 NaN -8.65153 8836 SOYMEAL caleb_strategy_v3 [-1] 103.29 33.8852 -4.84074 -9.68148 -19.363 NaN -14.5222 ======================================================================================================================================================================= 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 8794 NIKKEI caleb_strategy_v3 [-1] 0.681062 -161.752 -1.70266 -3.40531 -6.81062 NaN -5.10797 8795 NIKKEI caleb_strategy_v3 [-1] 0.681062 -165.158 -1.70266 3.40531 -0 NaN 1.70266 8796 NIKKEI caleb_strategy_v3 [-1] 0.681062 -165.158 -1.70266 3.40531 -0 NaN 1.70266 8797 BTP caleb_strategy_v3 [1] 1082.85 -730.924 -5.41425 10.8285 0 NaN 5.41425 8798 BTP caleb_strategy_v3 [1] 1082.85 -725.51 -10.8285 -119.113 -140.771 NaN -129.942 8800 EURIBOR-ICE caleb_strategy_v3 [-1] 2707.12 142.124 -6.76781 -27.0712 -40.6069 NaN -33.8391 8799 EURIBOR-ICE caleb_strategy_v3 [-1] 2707.12 128.588 -6.76781 13.5356 -3.84706e-11 NaN 6.76781 8802 PLAT caleb_strategy_v3 [1] 50 630 -5 10 0 NaN 5 8801 COPPER caleb_strategy_v3 [-1] 25000 -637.5 -12.5 -0 -25 NaN -12.5 8804 COPPER caleb_strategy_v3 [-1] 25000 -643.75 -6.25 25 12.5 NaN 18.75 8803 GAS_US_mini caleb_strategy_v3 [-1] 2500 106.25 -6.25 -0 -12.5 NaN -6.25 8805 GAS_US_mini caleb_strategy_v3 [-1] 2500 106.25 -6.25 -12.5 NaN NaN -18.75 8806 AUD caleb_strategy_v3 [-1] 100000 -447.5 -2.5 -10 -15 NaN -12.5 8808 EUR caleb_strategy_v3 [-1] 125000 43.75 -6.25 -6.25 -18.75 NaN -12.5 8814 VIX caleb_strategy_v3 [1] 1000 75 -25 50 0 NaN 25 8815 NASDAQ_micro caleb_strategy_v3 [-1] 2 149.75 -1.25 37.5 35 NaN 36.25 8807 NASDAQ_micro caleb_strategy_v3 [-1] 2 152.75 -1.75 -0 -3.5 NaN -1.75 8817 GBP caleb_strategy_v3 [1] 62500 -159.375 -9.375 0 -18.75 NaN -9.375 8811 GBP caleb_strategy_v3 [1] 62500 -162.5 -6.25 0 NaN NaN -6.25 8818 US10U caleb_strategy_v3 [1] 1000 -1007.81 -7.8125 0 NaN NaN -7.8125 8812 US10U caleb_strategy_v3 [1] 1000 -1031.25 -15.625 31.25 0 NaN 15.625 8819 US10 caleb_strategy_v3 [-1] 1000 679.688 -7.8125 -15.625 -31.25 NaN -23.4375 8813 US10 caleb_strategy_v3 [-1] 1000 679.688 -7.8125 15.625 -0 NaN 7.8125 8832 DOW caleb_strategy_v3 [1] 0.5 71.75 -0.75 7.5 6 NaN 6.75 8833 DOW caleb_strategy_v3 [1] 0.5 79.25 -0.75 -4 -5.5 NaN -4.75 8834 DOW caleb_strategy_v3 [1] 0.5 75 -0.5 -2.5 -3.5 NaN -3 8809 DOW caleb_strategy_v3 [1] 0.5 41 -0.5 -1 -2 NaN -1.5 8810 DOW caleb_strategy_v3 [1] 0.5 42.5 -3 -6 -12 NaN -9 8816 DOW caleb_strategy_v3 [1] 0.5 37 -3.5 1 -6 NaN -2.5 8820 DOW caleb_strategy_v3 [1] 0.5 35.75 -1.25 -1.5 -4 NaN -2.75 8821 DOW caleb_strategy_v3 [1] 0.5 34 -1 -2 -4 NaN -3 8822 DOW caleb_strategy_v3 [1] 0.5 32 -1 19.5 17.5 NaN 18.5 8823 DOW caleb_strategy_v3 [1] 0.5 51.75 -0.75 -0.5 -2 NaN -1.25 8824 DOW caleb_strategy_v3 [1] 0.5 51.25 -0.75 -1.5 -3 NaN -2.25 8825 DOW caleb_strategy_v3 [1] 0.5 49.75 -0.75 6 4.5 NaN 5.25 8826 DOW caleb_strategy_v3 [1] 0.5 55.75 -0.75 -3 -4.5 NaN -3.75 8827 DOW caleb_strategy_v3 [1] 0.5 52.75 -0.75 5.5 4 NaN 4.75 8828 DOW caleb_strategy_v3 [1] 0.5 58.25 -0.75 1.5 0 NaN 0.75 8829 DOW caleb_strategy_v3 [1] 0.5 59.75 -0.75 -2.5 -4 NaN -3.25 8830 DOW caleb_strategy_v3 [1] 0.5 57.5 -1 -2.5 -4.5 NaN -3.5 8831 DOW caleb_strategy_v3 [1] 0.5 54.75 -0.75 16.5 15 NaN 15.75 8835 LIVECOW caleb_strategy_v3 [-1] 400 520 -10 -0 -20 NaN -10 8836 SOYMEAL caleb_strategy_v3 [-1] 100 35 -5 -10 -20 NaN -15 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -447.50000 BTP -1456.43325 COPPER -1281.25000 DOW 939.75000 EUR 43.75000 EURIBOR-ICE 270.71250 GAS_US_mini 212.50000 GBP -321.87500 LIVECOW 520.00000 NASDAQ_micro 302.50000 NIKKEI -492.06733 PLAT 630.00000 SOYMEAL 35.00000 US10 1359.37500 US10U -2039.06250 VIX 75.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1649.60058 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.500000 BTP -16.242750 COPPER -18.750000 DOW -19.250000 EUR -6.250000 EURIBOR-ICE -13.535625 GAS_US_mini -12.500000 GBP -15.625000 LIVECOW -10.000000 NASDAQ_micro -3.000000 NIKKEI -5.107965 PLAT -5.000000 SOYMEAL -5.000000 US10 -15.625000 US10U -23.437500 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -196.82384 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -10.000000 BTP -108.285000 COPPER 25.000000 DOW 30.500000 EUR -6.250000 EURIBOR-ICE -13.535625 GAS_US_mini -12.500000 GBP 0.000000 LIVECOW -0.000000 NASDAQ_micro 37.500000 NIKKEI 3.405310 PLAT 10.000000 SOYMEAL -10.000000 US10 0.000000 US10U 31.250000 VIX 50.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 27.084685 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -15.000000 BTP -140.770500 COPPER -12.500000 DOW -8.000000 EUR -18.750000 EURIBOR-ICE -40.606875 GAS_US_mini -12.500000 GBP -18.750000 LIVECOW -20.000000 NASDAQ_micro 31.500000 NIKKEI -6.810620 PLAT 0.000000 SOYMEAL -20.000000 US10 -31.250000 US10U 0.000000 VIX 0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -313.437995 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BTP 0 COPPER 0 DOW 0 EUR 0 EURIBOR-ICE 0 GAS_US_mini 0 GBP 0 LIVECOW 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 SOYMEAL 0 US10 0 US10U 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 -12.500000 BTP -124.527750 COPPER 6.250000 DOW 11.250000 EUR -12.500000 EURIBOR-ICE -27.071250 GAS_US_mini -25.000000 GBP -15.625000 LIVECOW -10.000000 NASDAQ_micro 34.500000 NIKKEI -1.702655 PLAT 5.000000 SOYMEAL -15.000000 US10 -15.625000 US10U 7.812500 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -169.739155 ******************************************************************************** END OF REPORT ********************************************************************************