******************************************************************************** Trades report produced on 12/12/2023 11:44 from 11/12/2023 11:44 to 12/12/2023 11:44 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 8969 AUD _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 15:01:33.000 [1] 0.65790 8979 AUD _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 15:04:33.000 [1] 0.65780 8978 AUD _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-11 15:04:32.000 [-1] 0.65595 8976 AUD _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 15:03:31.000 [1] 0.65780 8975 AUD _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-11 15:03:30.000 [-1] 0.65595 8973 AUD _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 15:02:33.000 [1] 0.65790 8972 AUD _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-11 15:02:31.000 [-1] 0.65595 8968 AUD _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-11 15:01:32.000 [-1] 0.65600 8963 AUD _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 15:01:04.000 [1] 0.65800 8962 AUD _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-11 15:01:03.000 [-1] 0.65615 8984 BTP caleb_strategy_v3 [20240300] 2023-12-12 09:32:57.000 [-1] 116.48000 8960 CHF _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-11 15:00:59.000 [1] 1.13680 8961 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 15:01:00.000 [-1] 1.14805 8966 CHF _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-11 15:01:30.000 [1] 1.13685 8967 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 15:01:31.000 [-1] 1.14795 8954 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2023-12-11 14:03:35.000 [1] 4218.00000 8946 COCOA _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 14:00:56.000 [-1] 4281.00000 8947 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2023-12-11 14:01:05.000 [1] 4207.00000 8953 COCOA _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 14:03:22.000 [-1] 4291.00000 8950 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2023-12-11 14:01:26.000 [1] 4208.00000 8951 COCOA _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 14:02:22.000 [-1] 4289.00000 8952 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2023-12-11 14:02:23.000 [1] 4215.00000 8949 COCOA _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 14:01:23.000 [-1] 4280.00000 8955 COCOA _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-11 14:04:22.000 [-1] 4294.00000 8956 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2023-12-11 14:04:32.000 [1] 4220.00000 8983 DAX caleb_strategy_v3 [20240300] 2023-12-12 09:32:42.000 [-1] 17010.00000 8970 DOW caleb_strategy_v3 [20240300] 2023-12-11 15:02:29.000 [-1] 36671.00000 8957 DOW caleb_strategy_v3 [20240300] 2023-12-11 15:00:30.000 [-1] 36676.00000 8981 DOW caleb_strategy_v3 [20240300] 2023-12-11 15:06:29.000 [-1] 36674.00000 8980 DOW caleb_strategy_v3 [20240300] 2023-12-11 15:05:29.000 [-1] 36673.00000 8964 DOW caleb_strategy_v3 [20240300] 2023-12-11 15:01:29.000 [-1] 36673.00000 8977 DOW caleb_strategy_v3 [20240300] 2023-12-11 15:04:29.000 [-1] 36669.00000 8974 DOW caleb_strategy_v3 [20240300] 2023-12-11 15:03:29.000 [-1] 36653.00000 8985 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-12 09:32:59.000 [-1] 97.75000 8989 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-12 09:35:27.000 [-1] 97.75500 8987 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-12 09:34:48.000 [-1] 97.75500 8944 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-11 14:00:24.000 [1] 2009.50000 8948 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-11 14:01:22.000 [1] 2008.70000 8971 MXP caleb_strategy_v3 [20231200] 2023-12-11 15:02:30.000 [-1] 0.05729 8965 MXP caleb_strategy_v3 [20231200] 2023-12-11 15:01:30.000 [-1] 0.05732 8959 MXP caleb_strategy_v3 [20231200] 2023-12-11 15:00:55.000 [-1] 0.05733 8958 NASDAQ_micro caleb_strategy_v3 [20240300] 2023-12-11 15:00:31.000 [1] 16364.00000 8993 NIKKEI caleb_strategy_v3 [20240300] 2023-12-12 09:47:09.267 [-1] 32890.00000 8945 PLAT caleb_strategy_v3 [20240100] 2023-12-11 14:00:49.000 [1] 926.90000 8994 ROBUSTA caleb_strategy_v3 [20240300] 2023-12-12 10:01:09.000 [1] 2674.00000 8986 SMI caleb_strategy_v3 [20240300] 2023-12-12 09:33:01.000 [1] 11108.00000 8988 SMI caleb_strategy_v3 [20240300] 2023-12-12 09:34:58.000 [1] 11106.00000 8990 SMI caleb_strategy_v3 [20240300] 2023-12-12 09:35:28.000 [1] 11107.00000 8991 SMI caleb_strategy_v3 [20240300] 2023-12-12 09:36:00.000 [1] 11105.00000 8992 SMI caleb_strategy_v3 [20240300] 2023-12-12 09:37:00.000 [1] 11103.00000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8945 PLAT caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 14:00:24.656 2023-12-11 14:00:49.000 309624.656 24.344 8944 GOLD_micro caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 14:00:23.020 2023-12-11 14:00:24.000 309623.02 0.98 8948 GOLD_micro caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 14:01:22.649 2023-12-11 14:01:22.000 309682.649 NaN 8946 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:00:50.678 2023-12-11 14:00:56.000 244850.678 5.322 8947 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:00:57.468 2023-12-11 14:01:05.000 244857.468 7.532 8949 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:01:23.107 2023-12-11 14:01:23.000 244883.107 NaN 8950 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:01:23.800 2023-12-11 14:01:26.000 244883.8 2.2 8951 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:02:22.677 2023-12-11 14:02:22.000 244942.677 NaN 8952 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:02:23.106 2023-12-11 14:02:23.000 244943.106 NaN 8953 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:03:22.541 2023-12-11 14:03:22.000 245002.541 NaN 8954 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:03:23.138 2023-12-11 14:03:35.000 245003.138 11.862 8955 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:04:22.708 2023-12-11 14:04:22.000 245062.708 NaN 8956 COCOA _ROLL_PSEUDO_STRATEGY 2023-12-08 18:00:00 2023-12-11 14:04:23.238 2023-12-11 14:04:32.000 245063.238 8.762 8958 NASDAQ_micro caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:00:31.017 2023-12-11 15:00:31.000 313231.017 NaN 8960 CHF _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:00:56.106 2023-12-11 15:00:59.000 237656.106 2.894 8961 CHF _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:01:00.539 2023-12-11 15:01:00.000 237660.539 NaN 8966 CHF _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:01:30.794 2023-12-11 15:01:30.000 237690.794 NaN 8967 CHF _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:01:31.286 2023-12-11 15:01:31.000 237691.286 NaN 8971 MXP caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:02:30.477 2023-12-11 15:02:30.000 313350.477 NaN 8965 MXP caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:01:30.247 2023-12-11 15:01:30.000 313290.247 NaN 8959 MXP caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:00:32.178 2023-12-11 15:00:55.000 313232.178 22.822 8962 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:01:01.534 2023-12-11 15:01:03.000 237661.534 1.466 8963 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:01:03.977 2023-12-11 15:01:04.000 237663.977 0.023 8968 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:01:32.093 2023-12-11 15:01:32.000 237692.093 NaN 8969 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:01:32.591 2023-12-11 15:01:33.000 237692.591 0.409 8972 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:02:31.212 2023-12-11 15:02:31.000 237751.212 NaN 8973 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:02:31.789 2023-12-11 15:02:33.000 237751.789 1.211 8975 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:03:30.270 2023-12-11 15:03:30.000 237810.27 NaN 8976 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:03:30.777 2023-12-11 15:03:31.000 237810.777 0.223 8978 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:04:30.095 2023-12-11 15:04:32.000 237870.095 1.905 8979 AUD _ROLL_PSEUDO_STRATEGY 2023-12-08 21:00:00 2023-12-11 15:04:32.988 2023-12-11 15:04:33.000 237872.988 0.012 8964 DOW caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:01:29.645 2023-12-11 15:01:29.000 313289.645 NaN 8970 DOW caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:02:29.774 2023-12-11 15:02:29.000 313349.774 NaN 8974 DOW caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:03:29.681 2023-12-11 15:03:29.000 313409.681 NaN 8977 DOW caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:04:29.643 2023-12-11 15:04:29.000 313469.643 NaN 8980 DOW caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:05:29.706 2023-12-11 15:05:29.000 313529.706 NaN 8981 DOW caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:06:29.825 2023-12-11 15:06:29.000 313589.825 NaN 8957 DOW caleb_strategy_v3 2023-12-08 00:00:00 2023-12-11 15:00:30.157 2023-12-11 15:00:30.000 313230.157 NaN 8983 DAX caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:32:42.398 2023-12-12 09:32:42.000 120762.398 NaN 8984 BTP caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:32:43.694 2023-12-12 09:32:57.000 120763.694 13.306 8985 EURIBOR-ICE caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:32:58.982 2023-12-12 09:32:59.000 120778.982 0.018 8987 EURIBOR-ICE caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:33:41.084 2023-12-12 09:34:48.000 120821.084 66.916 8989 EURIBOR-ICE caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:35:00.579 2023-12-12 09:35:27.000 120900.579 26.421 8992 SMI caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:37:00.607 2023-12-12 09:37:00.000 121020.607 NaN 8986 SMI caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:33:01.210 2023-12-12 09:33:01.000 120781.21 NaN 8988 SMI caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:34:48.429 2023-12-12 09:34:58.000 120888.429 9.571 8990 SMI caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:35:28.231 2023-12-12 09:35:28.000 120928.231 NaN 8991 SMI caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 09:36:00.530 2023-12-12 09:36:00.000 120960.53 NaN 8993 NIKKEI caleb_strategy_v3 NaT NaT 2023-12-12 09:47:09.267 NaN NaN 8994 ROBUSTA caleb_strategy_v3 2023-12-11 00:00:00 2023-12-12 10:00:53.418 2023-12-12 10:01:09.000 122453.418 15.582 ==================================================================================================================================================================================================================================== 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 8945 PLAT caleb_strategy_v3 [1] 921.7 None 927.05 927.2 926.9 926.9 926.9 -5.35 -0.15 0.3 0.0 NaN 0.15 8944 GOLD_micro caleb_strategy_v3 [1] 2020.7 None 2009.55 2009.6 2009.5 2009.5 2009.5 11.15 -0.05 0.1 0.0 NaN 0.05 8948 GOLD_micro caleb_strategy_v3 [1] 2020.7 None 2009.55 2009.6 2009.5 2009.5 2008.7 11.15 -0.05 0.9 0.8 NaN 0.85 8946 COCOA _ROLL_PSEUDO_STRATEGY [-1] 4289.0 None 4281.0 4280.0 4282.0 4282.0 4281.0 -8.0 -1.0 1.0 -1.0 NaN 0.0 8947 COCOA _ROLL_PSEUDO_STRATEGY [1] 4221.0 None 4208.0 4209.0 4207.0 4207.0 4207.0 13.0 -1.0 2.0 0.0 NaN 1.0 8949 COCOA _ROLL_PSEUDO_STRATEGY [-1] 4289.0 None 4281.5 4281.0 4282.0 4282.0 4280.0 -7.5 -0.5 -1.0 -2.0 NaN -1.5 8950 COCOA _ROLL_PSEUDO_STRATEGY [1] 4221.0 None 4207.0 4208.0 4206.0 4206.0 4208.0 14.0 -1.0 0.0 -2.0 NaN -1.0 8951 COCOA _ROLL_PSEUDO_STRATEGY [-1] 4289.0 None 4280.5 4280.0 4281.0 4281.0 4289.0 -8.5 -0.5 9.0 8.0 NaN 8.5 8952 COCOA _ROLL_PSEUDO_STRATEGY [1] 4221.0 None 4207.0 4208.0 4206.0 NaN 4215.0 14.0 -1.0 -7.0 NaN NaN -8.0 8953 COCOA _ROLL_PSEUDO_STRATEGY [-1] 4289.0 None 4290.0 4289.0 4291.0 4291.0 4291.0 1.0 -1.0 2.0 -0.0 NaN 1.0 8954 COCOA _ROLL_PSEUDO_STRATEGY [1] 4221.0 None 4216.0 4217.0 4215.0 4215.0 4218.0 5.0 -1.0 -1.0 -3.0 NaN -2.0 8955 COCOA _ROLL_PSEUDO_STRATEGY [-1] 4289.0 None 4291.5 4291.0 4292.0 4292.0 4294.0 2.5 -0.5 3.0 2.0 NaN 2.5 8956 COCOA _ROLL_PSEUDO_STRATEGY [1] 4221.0 None 4218.5 4220.0 4217.0 4217.0 4220.0 2.5 -1.5 0.0 -3.0 NaN -1.5 8958 NASDAQ_micro caleb_strategy_v3 [1] 16303.25 None 16364.25 16364.5 16364.0 16364.0 16364.0 -61.0 -0.25 0.5 0.0 NaN 0.25 8960 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1374 None 1.1367 1.13675 1.13665 1.13665 1.1368 0.0007 -0.00005 -0.00005 -0.00015 NaN -0.0001 8961 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.14865 None 1.148 1.14795 1.14805 1.14805 1.14805 -0.00065 -0.00005 0.0001 -0.0 NaN 0.00005 8966 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1374 None 1.13675 1.1368 1.1367 1.1367 1.13685 0.00065 -0.00005 -0.00005 -0.00015 NaN -0.0001 8967 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.14865 None 1.1481 1.14805 1.14815 NaN 1.14795 -0.00055 -0.00005 -0.0001 NaN NaN -0.00015 8971 MXP caleb_strategy_v3 [-1] 0.05758 None 0.057325 0.05732 0.05733 0.05733 0.05729 -0.000255 -0.000005 -0.00003 -0.00004 NaN -0.000035 8965 MXP caleb_strategy_v3 [-1] 0.05758 None 0.057335 0.05733 0.05734 0.05734 0.05732 -0.000245 -0.000005 -0.00001 -0.00002 NaN -0.000015 8959 MXP caleb_strategy_v3 [-1] 0.05758 None 0.057325 0.05732 0.05733 0.05733 0.05733 -0.000255 -0.000005 0.00001 -0.0 NaN 0.000005 8962 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.6578 None 0.656125 0.6561 0.65615 0.65615 0.65615 -0.001675 -0.000025 0.00005 -0.0 NaN 0.000025 8963 AUD _ROLL_PSEUDO_STRATEGY [1] 0.6596 None 0.657975 0.658 0.65795 NaN 0.658 0.001625 -0.000025 0.0 NaN NaN -0.000025 8968 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.6578 None 0.65615 0.6561 0.6562 0.6562 0.656 -0.00165 -0.00005 -0.0001 -0.0002 NaN -0.00015 8969 AUD _ROLL_PSEUDO_STRATEGY [1] 0.6596 None 0.657875 0.6579 0.65785 NaN 0.6579 0.001725 -0.000025 0.0 NaN NaN -0.000025 8972 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.6578 None 0.65605 0.656 0.6561 0.6561 0.65595 -0.00175 -0.00005 -0.00005 -0.00015 NaN -0.0001 8973 AUD _ROLL_PSEUDO_STRATEGY [1] 0.6596 None 0.65785 0.6579 0.6578 0.6578 0.6579 0.00175 -0.00005 0.0 -0.0001 NaN -0.00005 8975 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.6578 None 0.656025 0.656 0.65605 0.65605 0.65595 -0.001775 -0.000025 -0.00005 -0.0001 NaN -0.000075 8976 AUD _ROLL_PSEUDO_STRATEGY [1] 0.6596 None 0.657775 0.6578 0.65775 NaN 0.6578 0.001825 -0.000025 0.0 NaN NaN -0.000025 8978 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.6578 None 0.655975 0.65595 0.656 0.656 0.65595 -0.001825 -0.000025 -0.0 -0.00005 NaN -0.000025 8979 AUD _ROLL_PSEUDO_STRATEGY [1] 0.6596 None 0.6578 0.65785 0.65775 0.65775 0.6578 0.0018 -0.00005 0.00005 -0.00005 NaN -0.0 8964 DOW caleb_strategy_v3 [-1] 36643.0 None 36676.5 36676.0 36677.0 36677.0 36673.0 33.5 -0.5 -3.0 -4.0 NaN -3.5 8970 DOW caleb_strategy_v3 [-1] 36643.0 None 36674.0 36673.0 36675.0 36675.0 36671.0 31.0 -1.0 -2.0 -4.0 NaN -3.0 8974 DOW caleb_strategy_v3 [-1] 36643.0 None 36672.0 36671.0 36673.0 36673.0 36653.0 29.0 -1.0 -18.0 -20.0 NaN -19.0 8977 DOW caleb_strategy_v3 [-1] 36643.0 None 36654.0 36653.0 36655.0 36655.0 36669.0 11.0 -1.0 16.0 14.0 NaN 15.0 8980 DOW caleb_strategy_v3 [-1] 36643.0 None 36670.0 36669.0 36671.0 36671.0 36673.0 27.0 -1.0 4.0 2.0 NaN 3.0 8981 DOW caleb_strategy_v3 [-1] 36643.0 None 36673.5 36673.0 36674.0 36674.0 36674.0 30.5 -0.5 1.0 -0.0 NaN 0.5 8957 DOW caleb_strategy_v3 [-1] 36643.0 None 36677.0 36676.0 36678.0 36678.0 36676.0 34.0 -1.0 -0.0 -2.0 NaN -1.0 8983 DAX caleb_strategy_v3 [-1] 17025.0 None 17012.5 17010.0 17015.0 NaN 17010.0 -12.5 -2.5 -0.0 NaN NaN -2.5 8984 BTP caleb_strategy_v3 [-1] 115.88 None 116.495 116.49 116.5 116.5 116.48 0.615 -0.005 -0.01 -0.02 NaN -0.015 8985 EURIBOR-ICE caleb_strategy_v3 [-1] 97.74 None 97.755 97.75 97.76 97.76 97.75 0.015 -0.005 -0.0 -0.01 NaN -0.005 8987 EURIBOR-ICE caleb_strategy_v3 [-1] 97.74 None 97.7525 97.75 97.755 97.755 97.755 0.0125 -0.0025 0.005 -0.0 NaN 0.0025 8989 EURIBOR-ICE caleb_strategy_v3 [-1] 97.74 None 97.7525 97.75 97.755 97.755 97.755 0.0125 -0.0025 0.005 -0.0 NaN 0.0025 8992 SMI caleb_strategy_v3 [1] 11077.0 None 11104.5 11105.0 11104.0 11104.0 11103.0 -27.5 -0.5 2.0 1.0 NaN 1.5 8986 SMI caleb_strategy_v3 [1] 11077.0 None 11108.5 11109.0 11108.0 11108.0 11108.0 -31.5 -0.5 1.0 0.0 NaN 0.5 8988 SMI caleb_strategy_v3 [1] 11077.0 None 11106.0 11107.0 11105.0 11105.0 11106.0 -29.0 -1.0 1.0 -1.0 NaN 0.0 8990 SMI caleb_strategy_v3 [1] 11077.0 None 11105.5 11106.0 11105.0 11105.0 11107.0 -28.5 -0.5 -1.0 -2.0 NaN -1.5 8991 SMI caleb_strategy_v3 [1] 11077.0 None 11106.5 11107.0 11106.0 11106.0 11105.0 -29.5 -0.5 2.0 1.0 NaN 1.5 8993 NIKKEI caleb_strategy_v3 [-1] NaN None NaN NaN NaN NaN 32890.0 NaN NaN NaN NaN NaN NaN 8994 ROBUSTA caleb_strategy_v3 [1] 2616.0 None 2671.5 2672.0 2671.0 2671.0 2674.0 -55.5 -0.5 -2.0 -3.0 NaN -2.5 ================================================================================================================================================================== 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 8945 PLAT caleb_strategy_v3 [1] 251.120728 -213.044938 -5.973223 11.946445 0.0 NaN 5.973223 8944 GOLD_micro caleb_strategy_v3 [1] 293.048582 380.482987 -1.706202 3.412403 0.0 NaN 1.706202 8948 GOLD_micro caleb_strategy_v3 [1] 293.048582 380.482987 -1.706202 30.711631 27.299228 NaN 29.00543 8946 COCOA _ROLL_PSEUDO_STRATEGY [-1] 771.870918 -103.644273 -12.955534 12.955534 -12.955534 NaN 0.0 8947 COCOA _ROLL_PSEUDO_STRATEGY [1] 771.870918 168.421943 -12.955534 25.911068 0.0 NaN 12.955534 8949 COCOA _ROLL_PSEUDO_STRATEGY [-1] 771.870918 -97.166506 -6.477767 -12.955534 -25.911068 NaN -19.433301 8950 COCOA _ROLL_PSEUDO_STRATEGY [1] 771.870918 181.377477 -12.955534 0.0 -25.911068 NaN -12.955534 8951 COCOA _ROLL_PSEUDO_STRATEGY [-1] 771.870918 -110.12204 -6.477767 116.599807 103.644273 NaN 110.12204 8952 COCOA _ROLL_PSEUDO_STRATEGY [1] 771.870918 181.377477 -12.955534 -90.688739 NaN NaN -103.644273 8953 COCOA _ROLL_PSEUDO_STRATEGY [-1] 771.870918 12.955534 -12.955534 25.911068 -0.0 NaN 12.955534 8954 COCOA _ROLL_PSEUDO_STRATEGY [1] 771.870918 64.77767 -12.955534 -12.955534 -38.866602 NaN -25.911068 8955 COCOA _ROLL_PSEUDO_STRATEGY [-1] 771.870918 32.388835 -6.477767 38.866602 25.911068 NaN 32.388835 8956 COCOA _ROLL_PSEUDO_STRATEGY [1] 771.870918 32.388835 -19.433301 0.0 -38.866602 NaN -19.433301 8958 NASDAQ_micro caleb_strategy_v3 [1] 2609.071205 -233.799675 -0.958195 1.916391 0.0 NaN 0.958195 8960 CHF _ROLL_PSEUDO_STRATEGY [1] 0.077203 90.669645 -6.476403 -6.476403 -19.42921 NaN -12.952806 8961 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.077203 -84.193242 -6.476403 12.952806 -0.0 NaN 6.476403 8966 CHF _ROLL_PSEUDO_STRATEGY [1] 0.077203 84.193242 -6.476403 -6.476403 -19.42921 NaN -12.952806 8967 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.077203 -71.240435 -6.476403 -12.952806 NaN NaN -19.42921 8971 MXP caleb_strategy_v3 [-1] 0.006881 -370.598797 -7.266643 -43.599859 -58.133145 NaN -50.866502 8965 MXP caleb_strategy_v3 [-1] 0.006881 -356.065511 -7.266643 -14.533286 -29.066572 NaN -21.799929 8959 MXP caleb_strategy_v3 [-1] 0.006881 -370.598797 -7.266643 14.533286 -0.0 NaN 7.266643 8962 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.072607 -230.692632 -3.443174 6.886347 -0.0 NaN 3.443174 8963 AUD _ROLL_PSEUDO_STRATEGY [1] 0.072607 223.806285 -3.443174 0.0 NaN NaN -3.443174 8968 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.072607 -227.249459 -6.886347 -13.772694 -27.545389 NaN -20.659042 8969 AUD _ROLL_PSEUDO_STRATEGY [1] 0.072607 237.578979 -3.443174 0.0 NaN NaN -3.443174 8972 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.072607 -241.022153 -6.886347 -6.886347 -20.659042 NaN -13.772694 8973 AUD _ROLL_PSEUDO_STRATEGY [1] 0.072607 241.022153 -6.886347 0.0 -13.772694 NaN -6.886347 8975 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.072607 -244.465327 -3.443174 -6.886347 -13.772694 NaN -10.329521 8976 AUD _ROLL_PSEUDO_STRATEGY [1] 0.072607 251.351674 -3.443174 0.0 NaN NaN -3.443174 8978 AUD _ROLL_PSEUDO_STRATEGY [-1] 0.072607 -251.351674 -3.443174 -0.0 -6.886347 NaN -3.443174 8979 AUD _ROLL_PSEUDO_STRATEGY [1] 0.072607 247.9085 -6.886347 6.886347 -6.886347 NaN -0.0 8964 DOW caleb_strategy_v3 [-1] 3781.522198 88.588664 -1.322219 -7.933313 -10.577751 NaN -9.255532 8970 DOW caleb_strategy_v3 [-1] 3781.522198 81.97757 -2.644438 -5.288875 -10.577751 NaN -7.933313 8974 DOW caleb_strategy_v3 [-1] 3781.522198 76.688694 -2.644438 -47.599879 -52.888755 NaN -50.244317 8977 DOW caleb_strategy_v3 [-1] 3781.522198 29.088815 -2.644438 42.311004 37.022128 NaN 39.666566 8980 DOW caleb_strategy_v3 [-1] 3781.522198 71.399819 -2.644438 10.577751 5.288875 NaN 7.933313 8981 DOW caleb_strategy_v3 [-1] 3781.522198 80.655351 -1.322219 2.644438 -0.0 NaN 1.322219 8957 DOW caleb_strategy_v3 [-1] 3781.522198 89.910883 -2.644438 -0.0 -5.288875 NaN -2.644438 8983 DAX caleb_strategy_v3 [-1] 1855.820508 -67.355652 -13.47113 -0.0 NaN NaN -13.47113 8984 BTP caleb_strategy_v3 [-1] 11.423048 538.385187 -4.377115 -8.754231 -17.508461 NaN -13.131346 8985 EURIBOR-ICE caleb_strategy_v3 [-1] 1.088734 137.774647 -45.924882 -0.0 -91.849765 NaN -45.924882 8987 EURIBOR-ICE caleb_strategy_v3 [-1] 1.088734 114.812206 -22.962441 45.924882 -0.0 NaN 22.962441 8989 EURIBOR-ICE caleb_strategy_v3 [-1] 1.088734 114.812206 -22.962441 45.924882 -0.0 NaN 22.962441 8992 SMI caleb_strategy_v3 [1] 1123.127936 -244.851892 -4.451853 17.80741 8.903705 NaN 13.355558 8986 SMI caleb_strategy_v3 [1] 1123.127936 -280.466713 -4.451853 8.903705 0.0 NaN 4.451853 8988 SMI caleb_strategy_v3 [1] 1123.127936 -258.20745 -8.903705 8.903705 -8.903705 NaN 0.0 8990 SMI caleb_strategy_v3 [1] 1123.127936 -253.755597 -4.451853 -8.903705 -17.80741 NaN -13.355558 8991 SMI caleb_strategy_v3 [1] 1123.127936 -262.659302 -4.451853 17.80741 8.903705 NaN 13.355558 8993 NIKKEI caleb_strategy_v3 [-1] 5293.938525 NaN NaN NaN NaN NaN NaN 8994 ROBUSTA caleb_strategy_v3 [1] 619.177451 -896.350472 -8.075229 -32.300918 -48.451377 NaN -40.376147 =========================================================================================================================================================================== 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 8945 PLAT caleb_strategy_v3 [1] 50.0 -267.5 -7.5 15.0 0.0 NaN 7.5 8944 GOLD_micro caleb_strategy_v3 [1] 10.0 111.5 -0.5 1.0 0.0 NaN 0.5 8948 GOLD_micro caleb_strategy_v3 [1] 10.0 111.5 -0.5 9.0 8.0 NaN 8.5 8946 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 -80.0 -10.0 10.0 -10.0 NaN 0.0 8947 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 130.0 -10.0 20.0 0.0 NaN 10.0 8949 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 -75.0 -5.0 -10.0 -20.0 NaN -15.0 8950 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 140.0 -10.0 0.0 -20.0 NaN -10.0 8951 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 -85.0 -5.0 90.0 80.0 NaN 85.0 8952 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 140.0 -10.0 -70.0 NaN NaN -80.0 8953 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 10.0 -10.0 20.0 -0.0 NaN 10.0 8954 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 50.0 -10.0 -10.0 -30.0 NaN -20.0 8955 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 25.0 -5.0 30.0 20.0 NaN 25.0 8956 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 25.0 -15.0 0.0 -30.0 NaN -15.0 8958 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -122.0 -0.5 1.0 0.0 NaN 0.5 8960 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 87.5 -6.25 -6.25 -18.75 NaN -12.5 8961 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -81.25 -6.25 12.5 -0.0 NaN 6.25 8966 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 81.25 -6.25 -6.25 -18.75 NaN -12.5 8967 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -68.75 -6.25 -12.5 NaN NaN -18.75 8971 MXP caleb_strategy_v3 [-1] 500000.0 -127.5 -2.5 -15.0 -20.0 NaN -17.5 8965 MXP caleb_strategy_v3 [-1] 500000.0 -122.5 -2.5 -5.0 -10.0 NaN -7.5 8959 MXP caleb_strategy_v3 [-1] 500000.0 -127.5 -2.5 5.0 -0.0 NaN 2.5 8962 AUD _ROLL_PSEUDO_STRATEGY [-1] 100000.0 -167.5 -2.5 5.0 -0.0 NaN 2.5 8963 AUD _ROLL_PSEUDO_STRATEGY [1] 100000.0 162.5 -2.5 0.0 NaN NaN -2.5 8968 AUD _ROLL_PSEUDO_STRATEGY [-1] 100000.0 -165.0 -5.0 -10.0 -20.0 NaN -15.0 8969 AUD _ROLL_PSEUDO_STRATEGY [1] 100000.0 172.5 -2.5 0.0 NaN NaN -2.5 8972 AUD _ROLL_PSEUDO_STRATEGY [-1] 100000.0 -175.0 -5.0 -5.0 -15.0 NaN -10.0 8973 AUD _ROLL_PSEUDO_STRATEGY [1] 100000.0 175.0 -5.0 0.0 -10.0 NaN -5.0 8975 AUD _ROLL_PSEUDO_STRATEGY [-1] 100000.0 -177.5 -2.5 -5.0 -10.0 NaN -7.5 8976 AUD _ROLL_PSEUDO_STRATEGY [1] 100000.0 182.5 -2.5 0.0 NaN NaN -2.5 8978 AUD _ROLL_PSEUDO_STRATEGY [-1] 100000.0 -182.5 -2.5 -0.0 -5.0 NaN -2.5 8979 AUD _ROLL_PSEUDO_STRATEGY [1] 100000.0 180.0 -5.0 5.0 -5.0 NaN -0.0 8964 DOW caleb_strategy_v3 [-1] 0.5 16.75 -0.25 -1.5 -2.0 NaN -1.75 8970 DOW caleb_strategy_v3 [-1] 0.5 15.5 -0.5 -1.0 -2.0 NaN -1.5 8974 DOW caleb_strategy_v3 [-1] 0.5 14.5 -0.5 -9.0 -10.0 NaN -9.5 8977 DOW caleb_strategy_v3 [-1] 0.5 5.5 -0.5 8.0 7.0 NaN 7.5 8980 DOW caleb_strategy_v3 [-1] 0.5 13.5 -0.5 2.0 1.0 NaN 1.5 8981 DOW caleb_strategy_v3 [-1] 0.5 15.25 -0.25 0.5 -0.0 NaN 0.25 8957 DOW caleb_strategy_v3 [-1] 0.5 17.0 -0.5 -0.0 -1.0 NaN -0.5 8983 DAX caleb_strategy_v3 [-1] 1.0782 -13.4775 -2.6955 -0.0 NaN NaN -2.6955 8984 BTP caleb_strategy_v3 [-1] 1078.2 663.093 -5.391 -10.782 -21.564 NaN -16.173 8985 EURIBOR-ICE caleb_strategy_v3 [-1] 2695.5 40.4325 -13.4775 -0.0 -26.955 NaN -13.4775 8987 EURIBOR-ICE caleb_strategy_v3 [-1] 2695.5 33.69375 -6.73875 13.4775 -0.0 NaN 6.73875 8989 EURIBOR-ICE caleb_strategy_v3 [-1] 2695.5 33.69375 -6.73875 13.4775 -0.0 NaN 6.73875 8992 SMI caleb_strategy_v3 [1] 11.4125 -313.84375 -5.70625 22.825 11.4125 NaN 17.11875 8986 SMI caleb_strategy_v3 [1] 11.4125 -359.49375 -5.70625 11.4125 0.0 NaN 5.70625 8988 SMI caleb_strategy_v3 [1] 11.4125 -330.9625 -11.4125 11.4125 -11.4125 NaN 0.0 8990 SMI caleb_strategy_v3 [1] 11.4125 -325.25625 -5.70625 -11.4125 -22.825 NaN -17.11875 8991 SMI caleb_strategy_v3 [1] 11.4125 -336.66875 -5.70625 22.825 11.4125 NaN 17.11875 8993 NIKKEI caleb_strategy_v3 [-1] 0.688269 NaN NaN NaN NaN NaN NaN 8994 ROBUSTA caleb_strategy_v3 [1] 10.0 -555.0 -5.0 -20.0 -30.0 NaN -25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD 5.0 CHF 18.75 COCOA 280.0 caleb_strategy_v3 BTP 663.093 DAX -13.4775 DOW 98.0 EURIBOR-ICE 107.82 GOLD_micro 223.0 MXP -377.5 NASDAQ_micro -122.0 NIKKEI 0 PLAT -267.5 ROBUSTA -555.0 SMI -1666.225 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 303.75 caleb_strategy_v3 -1909.7895 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD -35.0 CHF -25.0 COCOA -90.0 caleb_strategy_v3 BTP -5.391 DAX -2.6955 DOW -3.0 EURIBOR-ICE -26.955 GOLD_micro -1.0 MXP -7.5 NASDAQ_micro -0.5 NIKKEI 0 PLAT -7.5 ROBUSTA -5.0 SMI -34.2375 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -150.0 caleb_strategy_v3 -93.779 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD -10.0 CHF -12.5 COCOA 80.0 caleb_strategy_v3 BTP -10.782 DAX -0.0 DOW -1.0 EURIBOR-ICE 26.955 GOLD_micro 10.0 MXP -15.0 NASDAQ_micro 1.0 NIKKEI 0 PLAT 15.0 ROBUSTA -20.0 SMI 57.0625 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 57.5 caleb_strategy_v3 63.2355 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD -65.0 CHF -37.5 COCOA -10.0 caleb_strategy_v3 BTP -21.564 DAX 0 DOW -7.0 EURIBOR-ICE -26.955 GOLD_micro 8.0 MXP -30.0 NASDAQ_micro 0.0 NIKKEI 0 PLAT 0.0 ROBUSTA -30.0 SMI -11.4125 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -112.5 caleb_strategy_v3 -118.9315 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD 0 CHF 0 COCOA 0 caleb_strategy_v3 BTP 0 DAX 0 DOW 0 EURIBOR-ICE 0 GOLD_micro 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 ROBUSTA 0 SMI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD -45.0 CHF -37.5 COCOA -10.0 caleb_strategy_v3 BTP -16.173 DAX -2.6955 DOW -4.0 EURIBOR-ICE 0.0 GOLD_micro 9.0 MXP -22.5 NASDAQ_micro 0.5 NIKKEI 0 PLAT 7.5 ROBUSTA -25.0 SMI 22.825 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -92.5 caleb_strategy_v3 -30.5435 ******************************************************************************** END OF REPORT ********************************************************************************