******************************************************************************** Trades report produced on 08/01/2024 21:36 from 07/01/2024 21:36 to 08/01/2024 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9576 BOBL caleb_strategy_v3 [20240300] 2024-01-08 08:02:26 [-1] 118.3000 9577 BOBL caleb_strategy_v3 [20240300] 2024-01-08 08:03:32 [-1] 118.2900 9574 BOBL caleb_strategy_v3 [20240300] 2024-01-08 08:00:30 [-1] 118.3000 9575 BOBL caleb_strategy_v3 [20240300] 2024-01-08 08:01:27 [-1] 118.2900 9599 CANOLA _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-08 14:15:02 [-1] 624.2000 9598 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-08 14:12:46 [1] 616.5000 9597 CANOLA _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-08 14:12:42 [-1] 624.2000 9596 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-08 14:12:42 [1] 616.5000 9595 CANOLA _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-08 14:07:26 [-1] 624.5000 9594 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-08 14:07:26 [1] 616.9000 9592 CANOLA _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-08 14:07:12 [-1] 624.7000 9591 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-08 14:07:11 [1] 616.6000 9588 CANOLA _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-08 14:05:48 [-1] 624.3000 9601 CANOLA _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-08 14:18:44 [-1] 624.3000 9600 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-08 14:17:00 [1] 616.5000 9587 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-08 14:04:18 [1] 616.8000 9593 COPPER caleb_strategy_v3 [20240300] 2024-01-08 14:07:16 [-1] 3.8105 9584 COPPER caleb_strategy_v3 [20240300] 2024-01-08 14:00:46 [-1] 3.8090 9590 COPPER caleb_strategy_v3 [20240300] 2024-01-08 14:05:52 [-1] 3.8100 9585 CRUDE_W caleb_strategy_v3 [20241200] 2024-01-08 14:00:47 [-1] 69.3700 9605 EUR caleb_strategy_v3 [20240300] 2024-01-08 15:01:05 [-1] 1.0990 9580 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-08 09:02:16 [-1] 97.9000 9581 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-08 09:06:05 [-1] 97.9050 9578 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-08 09:01:59 [-1] 97.9000 9579 GASOIL caleb_strategy_v3 [20240400] 2024-01-08 09:02:12 [1] 744.7500 9586 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-08 14:00:48 [1] 2.4600 9603 GBP caleb_strategy_v3 [20240300] 2024-01-08 15:01:03 [1] 1.2733 9583 GOLD_micro caleb_strategy_v3 [20240200] 2024-01-08 14:00:35 [1] 2026.4000 9610 LEANHOG caleb_strategy_v3 [20240400] 2024-01-08 15:31:00 [1] 77.1750 9602 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-08 15:00:56 [-1] 16624.5000 9589 PLAT caleb_strategy_v3 [20240400] 2024-01-08 14:05:52 [1] 957.9000 9582 PLAT caleb_strategy_v3 [20240400] 2024-01-08 14:00:34 [1] 956.9000 9609 RUSSELL caleb_strategy_v3 [20240300] 2024-01-08 15:04:56 [-1] 1971.0000 9604 RUSSELL caleb_strategy_v3 [20240300] 2024-01-08 15:01:04 [-1] 1972.2000 9606 RUSSELL caleb_strategy_v3 [20240300] 2024-01-08 15:01:56 [-1] 1968.5000 9607 RUSSELL caleb_strategy_v3 [20240300] 2024-01-08 15:02:56 [-1] 1967.2000 9608 RUSSELL caleb_strategy_v3 [20240300] 2024-01-08 15:03:56 [-1] 1968.9000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9576 BOBL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 08:02:26.798 2024-01-08 08:02:26 288146.798 NaN 9577 BOBL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 08:03:26.830 2024-01-08 08:03:32 288206.83 5.17 9574 BOBL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 08:00:26.886 2024-01-08 08:00:30 288026.886 3.114 9575 BOBL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 08:01:26.799 2024-01-08 08:01:27 288086.799 0.201 9579 GASOIL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 09:01:59.766 2024-01-08 09:02:12 291719.766 12.234 9578 EURIBOR-ICE caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 09:00:28.154 2024-01-08 09:01:59 291628.154 90.846 9580 EURIBOR-ICE caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 09:02:16.102 2024-01-08 09:02:16 291736.102 NaN 9581 EURIBOR-ICE caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 09:03:16.107 2024-01-08 09:06:05 291796.107 168.893 9583 GOLD_micro caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:00:35.330 2024-01-08 14:00:35 309635.33 NaN 9585 CRUDE_W caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:00:47.382 2024-01-08 14:00:47 309647.382 NaN 9586 GAS_US_mini caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:00:48.620 2024-01-08 14:00:48 309648.62 NaN 9589 PLAT caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:05:51.728 2024-01-08 14:05:52 309951.728 0.272 9582 PLAT caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:00:34.442 2024-01-08 14:00:34 309634.442 NaN 9584 COPPER caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:00:36.198 2024-01-08 14:00:46 309636.198 9.802 9593 COPPER caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:07:16.282 2024-01-08 14:07:16 310036.282 NaN 9590 COPPER caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 14:05:52.874 2024-01-08 14:05:52 309952.874 NaN 9600 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:15:05.764 2024-01-08 14:17:00 242105.764 114.236 9601 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:17:00.575 2024-01-08 14:18:44 242220.575 103.425 9587 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:00:49.582 2024-01-08 14:04:18 241249.582 208.418 9588 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:04:19.342 2024-01-08 14:05:48 241459.342 88.658 9591 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:05:53.523 2024-01-08 14:07:11 241553.523 77.477 9592 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:07:11.781 2024-01-08 14:07:12 241631.781 0.219 9594 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:07:16.904 2024-01-08 14:07:26 241636.904 9.096 9595 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:07:26.787 2024-01-08 14:07:26 241646.787 NaN 9596 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:08:16.615 2024-01-08 14:12:42 241696.615 265.385 9597 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:12:42.588 2024-01-08 14:12:42 241962.588 NaN 9598 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:12:46.137 2024-01-08 14:12:46 241966.137 NaN 9599 CANOLA _ROLL_PSEUDO_STRATEGY 2024-01-05 19:00:00 2024-01-08 14:12:46.739 2024-01-08 14:15:02 241966.739 135.261 9602 NASDAQ_micro caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:00:56.677 2024-01-08 15:00:56 313256.677 NaN 9603 GBP caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:00:57.582 2024-01-08 15:01:03 313257.582 5.418 9605 EUR caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:01:05.182 2024-01-08 15:01:05 313265.182 NaN 9604 RUSSELL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:01:04.438 2024-01-08 15:01:04 313264.438 NaN 9606 RUSSELL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:01:56.580 2024-01-08 15:01:56 313316.58 NaN 9607 RUSSELL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:02:56.642 2024-01-08 15:02:56 313376.642 NaN 9608 RUSSELL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:03:56.653 2024-01-08 15:03:56 313436.653 NaN 9609 RUSSELL caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:04:56.749 2024-01-08 15:04:56 313496.749 NaN 9610 LEANHOG caleb_strategy_v3 2024-01-05 00:00:00 2024-01-08 15:30:59.074 2024-01-08 15:31:00 315059.074 0.926 ================================================================================================================================================================================================================================== 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 9576 BOBL caleb_strategy_v3 [-1] 118.32 None 118.295 118.29 118.3 118.3 118.3 -0.025 -0.005 0.01 -0.0 NaN 0.005 9577 BOBL caleb_strategy_v3 [-1] 118.32 None 118.305 118.3 118.31 118.31 118.29 -0.015 -0.005 -0.01 -0.02 NaN -0.015 9574 BOBL caleb_strategy_v3 [-1] 118.32 None 118.315 118.31 118.32 118.32 118.3 -0.005 -0.005 -0.01 -0.02 NaN -0.015 9575 BOBL caleb_strategy_v3 [-1] 118.32 None 118.305 118.3 118.31 118.31 118.29 -0.015 -0.005 -0.01 -0.02 NaN -0.015 9579 GASOIL caleb_strategy_v3 [1] 745.25 None 744.875 745.0 744.75 744.75 744.75 0.375 -0.125 0.25 0.0 NaN 0.125 9578 EURIBOR-ICE caleb_strategy_v3 [-1] 97.905 None 97.8975 97.895 97.9 97.9 97.9 -0.0075 -0.0025 0.005 -0.0 NaN 0.0025 9580 EURIBOR-ICE caleb_strategy_v3 [-1] 97.905 None 97.8975 97.895 97.9 97.9 97.9 -0.0075 -0.0025 0.005 -0.0 NaN 0.0025 9581 EURIBOR-ICE caleb_strategy_v3 [-1] 97.905 None 97.9025 97.9 97.905 97.905 97.905 -0.0025 -0.0025 0.005 -0.0 NaN 0.0025 9583 GOLD_micro caleb_strategy_v3 [1] 2051.8 None 2026.45 2026.5 2026.4 2026.4 2026.4 25.35 -0.05 0.1 0.0 NaN 0.05 9585 CRUDE_W caleb_strategy_v3 [-1] 71.47 None 69.36 69.35 69.37 69.37 69.37 -2.11 -0.01 0.02 -0.0 NaN 0.01 9586 GAS_US_mini caleb_strategy_v3 [1] 2.605 None 2.4575 2.46 2.455 NaN 2.46 0.1475 -0.0025 0.0 NaN NaN -0.0025 9589 PLAT caleb_strategy_v3 [1] 972.6 None 956.8 956.9 956.7 956.7 957.9 15.8 -0.1 -1.0 -1.2 NaN -1.1 9582 PLAT caleb_strategy_v3 [1] 972.6 None 956.65 956.8 956.5 956.5 956.9 15.95 -0.15 -0.1 -0.4 NaN -0.25 9584 COPPER caleb_strategy_v3 [-1] 3.8035 None 3.80875 3.8085 3.809 3.809 3.809 0.00525 -0.00025 0.0005 -0.0 NaN 0.00025 9593 COPPER caleb_strategy_v3 [-1] 3.8035 None 3.81025 3.81 3.8105 3.8105 3.8105 0.00675 -0.00025 0.0005 -0.0 NaN 0.00025 9590 COPPER caleb_strategy_v3 [-1] 3.8035 None 3.80875 3.8085 3.809 3.809 3.81 0.00525 -0.00025 0.0015 0.001 NaN 0.00125 9600 CANOLA _ROLL_PSEUDO_STRATEGY [1] 619.9 None 616.65 616.8 616.5 616.5 616.5 3.25 -0.15 0.3 0.0 NaN 0.15 9601 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 628.0 None 624.5 624.3 624.7 624.7 624.3 -3.5 -0.2 -0.0 -0.4 NaN -0.2 9587 CANOLA _ROLL_PSEUDO_STRATEGY [1] 619.9 None 615.45 615.6 615.3 615.3 616.8 4.45 -0.15 -1.2 -1.5 NaN -1.35 9588 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 628.0 None 624.6 624.4 624.8 624.8 624.3 -3.4 -0.2 -0.1 -0.5 NaN -0.3 9591 CANOLA _ROLL_PSEUDO_STRATEGY [1] 619.9 None 616.7 616.8 616.6 616.6 616.6 3.2 -0.1 0.2 0.0 NaN 0.1 9592 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 628.0 None 624.45 624.2 624.7 624.7 624.7 -3.55 -0.25 0.5 -0.0 NaN 0.25 9594 CANOLA _ROLL_PSEUDO_STRATEGY [1] 619.9 None 616.6 616.8 616.4 616.4 616.9 3.3 -0.2 -0.1 -0.5 NaN -0.3 9595 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 628.0 None 624.45 624.2 624.7 624.7 624.5 -3.55 -0.25 0.3 -0.2 NaN 0.05 9596 CANOLA _ROLL_PSEUDO_STRATEGY [1] 619.9 None 616.7 616.9 616.5 616.5 616.5 3.2 -0.2 0.4 0.0 NaN 0.2 9597 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 628.0 None 624.65 624.4 624.9 NaN 624.2 -3.35 -0.25 -0.2 NaN NaN -0.45 9598 CANOLA _ROLL_PSEUDO_STRATEGY [1] 619.9 None 616.65 616.8 616.5 616.5 616.5 3.25 -0.15 0.3 0.0 NaN 0.15 9599 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 628.0 None 624.5 624.4 624.6 624.6 624.2 -3.5 -0.1 -0.2 -0.4 NaN -0.3 9602 NASDAQ_micro caleb_strategy_v3 [-1] 16424.5 None 16624.75 16624.5 16625.0 16625.0 16624.5 200.25 -0.25 -0.0 -0.5 NaN -0.25 9603 GBP caleb_strategy_v3 [1] 1.2727 None 1.27335 1.2734 1.2733 1.2733 1.2733 -0.00065 -0.00005 0.0001 0.0 NaN 0.00005 9605 EUR caleb_strategy_v3 [-1] 1.0976 None 1.09905 1.099 1.0991 1.0991 1.099 0.00145 -0.00005 -0.0 -0.0001 NaN -0.00005 9604 RUSSELL caleb_strategy_v3 [-1] 1967.7 None 1972.15 1972.1 1972.2 1972.2 1972.2 4.45 -0.05 0.1 -0.0 NaN 0.05 9606 RUSSELL caleb_strategy_v3 [-1] 1967.7 None 1972.25 1972.2 1972.3 1972.3 1968.5 4.55 -0.05 -3.7 -3.8 NaN -3.75 9607 RUSSELL caleb_strategy_v3 [-1] 1967.7 None 1968.6 1968.5 1968.7 1968.7 1967.2 0.9 -0.1 -1.3 -1.5 NaN -1.4 9608 RUSSELL caleb_strategy_v3 [-1] 1967.7 None 1967.25 1967.2 1967.3 1967.3 1968.9 -0.45 -0.05 1.7 1.6 NaN 1.65 9609 RUSSELL caleb_strategy_v3 [-1] 1967.7 None 1968.95 1968.9 1969.0 1969.0 1971.0 1.25 -0.05 2.1 2.0 NaN 2.05 9610 LEANHOG caleb_strategy_v3 [1] 76.225 None 77.15 77.175 77.125 77.125 77.175 -0.925 -0.025 0.0 -0.05 NaN -0.025 ================================================================================================================================================================== 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 9576 BOBL caleb_strategy_v3 [-1] 5.427977 -46.057678 -9.211536 18.423071 -0.0 NaN 9.211536 9577 BOBL caleb_strategy_v3 [-1] 5.427977 -27.634607 -9.211536 -18.423071 -36.846143 NaN -27.634607 9574 BOBL caleb_strategy_v3 [-1] 5.427977 -9.211536 -9.211536 -18.423071 -36.846143 NaN -27.634607 9575 BOBL caleb_strategy_v3 [-1] 5.427977 -27.634607 -9.211536 -18.423071 -36.846143 NaN -27.634607 9579 GASOIL caleb_strategy_v3 [1] 283.742754 13.216197 -4.405399 8.810798 0.0 NaN 4.405399 9578 EURIBOR-ICE caleb_strategy_v3 [-1] 1.10739 -67.726795 -22.575598 45.151197 -0.0 NaN 22.575598 9580 EURIBOR-ICE caleb_strategy_v3 [-1] 1.10739 -67.726795 -22.575598 45.151197 -0.0 NaN 22.575598 9581 EURIBOR-ICE caleb_strategy_v3 [-1] 1.10739 -22.575598 -22.575598 45.151197 -0.0 NaN 22.575598 9583 GOLD_micro caleb_strategy_v3 [1] 266.152137 952.462764 -1.878625 3.75725 0.0 NaN 1.878625 9585 CRUDE_W caleb_strategy_v3 [-1] 22.129514 -953.477796 -4.518852 9.037704 -0.0 NaN 4.518852 9586 GAS_US_mini caleb_strategy_v3 [1] 1.780396 828.4675 -14.041822 0.0 NaN NaN -14.041822 9589 PLAT caleb_strategy_v3 [1] 243.180864 649.722176 -4.112166 -41.121657 -49.345988 NaN -45.233822 9582 PLAT caleb_strategy_v3 [1] 243.180864 655.890424 -6.168249 -4.112166 -16.448663 NaN -10.280414 9584 COPPER caleb_strategy_v3 [-1] 0.714688 73.458651 -3.498031 6.996062 -0.0 NaN 3.498031 9593 COPPER caleb_strategy_v3 [-1] 0.714688 94.446838 -3.498031 6.996062 -0.0 NaN 3.498031 9590 COPPER caleb_strategy_v3 [-1] 0.714688 73.458651 -3.498031 20.988186 13.992124 NaN 17.490155 9600 CANOLA _ROLL_PSEUDO_STRATEGY [1] 143.605411 226.314592 -10.445289 20.890578 0.0 NaN 10.445289 9601 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 143.605411 -243.723407 -13.927052 -0.0 -27.854104 NaN -13.927052 9587 CANOLA _ROLL_PSEUDO_STRATEGY [1] 143.605411 309.876904 -10.445289 -83.562311 -104.452889 NaN -94.0076 9588 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 143.605411 -236.759881 -13.927052 -6.963526 -34.81763 NaN -20.890578 9591 CANOLA _ROLL_PSEUDO_STRATEGY [1] 143.605411 222.832829 -6.963526 13.927052 0.0 NaN 6.963526 9592 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 143.605411 -247.20517 -17.408815 34.81763 -0.0 NaN 17.408815 9594 CANOLA _ROLL_PSEUDO_STRATEGY [1] 143.605411 229.796355 -13.927052 -6.963526 -34.81763 NaN -20.890578 9595 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 143.605411 -247.20517 -17.408815 20.890578 -13.927052 NaN 3.481763 9596 CANOLA _ROLL_PSEUDO_STRATEGY [1] 143.605411 222.832829 -13.927052 27.854104 0.0 NaN 13.927052 9597 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 143.605411 -233.278118 -17.408815 -13.927052 NaN NaN -31.335867 9598 CANOLA _ROLL_PSEUDO_STRATEGY [1] 143.605411 226.314592 -10.445289 20.890578 0.0 NaN 10.445289 9599 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 143.605411 -243.723407 -6.963526 -13.927052 -27.854104 NaN -20.890578 9602 NASDAQ_micro caleb_strategy_v3 [-1] 2639.420721 758.689202 -0.947178 -0.0 -1.894355 NaN -0.947178 9603 GBP caleb_strategy_v3 [1] 0.101711 -63.906257 -4.915866 9.831732 0.0 NaN 4.915866 9605 EUR caleb_strategy_v3 [-1] 0.080236 180.716444 -6.231602 -0.0 -12.463203 NaN -6.231602 9604 RUSSELL caleb_strategy_v3 [-1] 448.184545 99.289457 -1.115612 2.231224 -0.0 NaN 1.115612 9606 RUSSELL caleb_strategy_v3 [-1] 448.184545 101.52068 -1.115612 -82.555279 -84.786502 NaN -83.670891 9607 RUSSELL caleb_strategy_v3 [-1] 448.184545 20.081014 -2.231224 -29.005909 -33.468356 NaN -31.237132 9608 RUSSELL caleb_strategy_v3 [-1] 448.184545 -10.040507 -1.115612 37.930804 35.69958 NaN 36.815192 9609 RUSSELL caleb_strategy_v3 [-1] 448.184545 27.890297 -1.115612 46.855699 44.624475 NaN 45.740087 9610 LEANHOG caleb_strategy_v3 [1] 21.978379 -420.868169 -11.374815 0.0 -22.749631 NaN -11.374815 =========================================================================================================================================================================== 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 9576 BOBL caleb_strategy_v3 [-1] 1094.75 -27.36875 -5.47375 10.9475 -0.0 NaN 5.47375 9577 BOBL caleb_strategy_v3 [-1] 1094.75 -16.42125 -5.47375 -10.9475 -21.895 NaN -16.42125 9574 BOBL caleb_strategy_v3 [-1] 1094.75 -5.47375 -5.47375 -10.9475 -21.895 NaN -16.42125 9575 BOBL caleb_strategy_v3 [-1] 1094.75 -16.42125 -5.47375 -10.9475 -21.895 NaN -16.42125 9579 GASOIL caleb_strategy_v3 [1] 100.0 37.5 -12.5 25.0 0.0 NaN 12.5 9578 EURIBOR-ICE caleb_strategy_v3 [-1] 2736.875 -20.526562 -6.842188 13.684375 -0.0 NaN 6.842187 9580 EURIBOR-ICE caleb_strategy_v3 [-1] 2736.875 -20.526562 -6.842188 13.684375 -0.0 NaN 6.842187 9581 EURIBOR-ICE caleb_strategy_v3 [-1] 2736.875 -6.842187 -6.842187 13.684375 -0.0 NaN 6.842187 9583 GOLD_micro caleb_strategy_v3 [1] 10.0 253.5 -0.5 1.0 0.0 NaN 0.5 9585 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -2110.0 -10.0 20.0 -0.0 NaN 10.0 9586 GAS_US_mini caleb_strategy_v3 [1] 2500.0 368.75 -6.25 0.0 NaN NaN -6.25 9589 PLAT caleb_strategy_v3 [1] 50.0 790.0 -5.0 -50.0 -60.0 NaN -55.0 9582 PLAT caleb_strategy_v3 [1] 50.0 797.5 -7.5 -5.0 -20.0 NaN -12.5 9584 COPPER caleb_strategy_v3 [-1] 25000.0 131.25 -6.25 12.5 -0.0 NaN 6.25 9593 COPPER caleb_strategy_v3 [-1] 25000.0 168.75 -6.25 12.5 -0.0 NaN 6.25 9590 COPPER caleb_strategy_v3 [-1] 25000.0 131.25 -6.25 37.5 25.0 NaN 31.25 9600 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.9639 48.632674 -2.244585 4.48917 0.0 NaN 2.244585 9601 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.9639 -52.373649 -2.99278 -0.0 -5.98556 NaN -2.99278 9587 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.9639 66.589353 -2.244585 -17.95668 -22.445849 NaN -20.201264 9588 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.9639 -50.877259 -2.99278 -1.49639 -7.48195 NaN -4.48917 9591 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.9639 47.884479 -1.49639 2.99278 0.0 NaN 1.49639 9592 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.9639 -53.121844 -3.740975 7.48195 -0.0 NaN 3.740975 9594 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.9639 49.380869 -2.99278 -1.49639 -7.48195 NaN -4.48917 9595 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.9639 -53.121844 -3.740975 4.48917 -2.99278 NaN 0.748195 9596 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.9639 47.884479 -2.99278 5.98556 0.0 NaN 2.99278 9597 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.9639 -50.129064 -3.740975 -2.99278 NaN NaN -6.733755 9598 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.9639 48.632674 -2.244585 4.48917 0.0 NaN 2.244585 9599 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.9639 -52.373649 -1.49639 -2.99278 -5.98556 NaN -4.48917 9602 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 400.5 -0.5 -0.0 -1.0 NaN -0.5 9603 GBP caleb_strategy_v3 [1] 62500.0 -40.625 -3.125 6.25 0.0 NaN 3.125 9605 EUR caleb_strategy_v3 [-1] 125000.0 181.25 -6.25 -0.0 -12.5 NaN -6.25 9604 RUSSELL caleb_strategy_v3 [-1] 5.0 22.25 -0.25 0.5 -0.0 NaN 0.25 9606 RUSSELL caleb_strategy_v3 [-1] 5.0 22.75 -0.25 -18.5 -19.0 NaN -18.75 9607 RUSSELL caleb_strategy_v3 [-1] 5.0 4.5 -0.5 -6.5 -7.5 NaN -7.0 9608 RUSSELL caleb_strategy_v3 [-1] 5.0 -2.25 -0.25 8.5 8.0 NaN 8.25 9609 RUSSELL caleb_strategy_v3 [-1] 5.0 6.25 -0.25 10.5 10.0 NaN 10.25 9610 LEANHOG caleb_strategy_v3 [1] 400.0 -370.0 -10.0 0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -2.99278 caleb_strategy_v3 BOBL -65.685 COPPER 431.25 CRUDE_W -2110.0 EUR 181.25 EURIBOR-ICE -47.895312 GASOIL 37.5 GAS_US_mini 368.75 GBP -40.625 GOLD_micro 253.5 LEANHOG -370.0 NASDAQ_micro 400.5 PLAT 1587.5 RUSSELL 53.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.99278 caleb_strategy_v3 679.544688 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -32.920579 caleb_strategy_v3 BOBL -21.895 COPPER -18.75 CRUDE_W -10.0 EUR -6.25 EURIBOR-ICE -20.526563 GASOIL -12.5 GAS_US_mini -6.25 GBP -3.125 GOLD_micro -0.5 LEANHOG -10.0 NASDAQ_micro -0.5 PLAT -12.5 RUSSELL -1.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -32.920579 caleb_strategy_v3 -124.296563 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 2.99278 caleb_strategy_v3 BOBL -21.895 COPPER 62.5 CRUDE_W 20.0 EUR -0.0 EURIBOR-ICE 41.053125 GASOIL 25.0 GAS_US_mini 0.0 GBP 6.25 GOLD_micro 1.0 LEANHOG 0.0 NASDAQ_micro -0.0 PLAT -55.0 RUSSELL -5.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 2.99278 caleb_strategy_v3 73.408125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -52.373649 caleb_strategy_v3 BOBL -65.685 COPPER 25.0 CRUDE_W -0.0 EUR -12.5 EURIBOR-ICE -0.0 GASOIL 0.0 GAS_US_mini 0 GBP 0.0 GOLD_micro 0.0 LEANHOG -20.0 NASDAQ_micro -1.0 PLAT -80.0 RUSSELL -8.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -52.373649 caleb_strategy_v3 -162.685 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 0 caleb_strategy_v3 BOBL 0 COPPER 0 CRUDE_W 0 EUR 0 EURIBOR-ICE 0 GASOIL 0 GAS_US_mini 0 GBP 0 GOLD_micro 0 LEANHOG 0 NASDAQ_micro 0 PLAT 0 RUSSELL 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 CANOLA -29.927799 caleb_strategy_v3 BOBL -43.79 COPPER 43.75 CRUDE_W 10.0 EUR -6.25 EURIBOR-ICE 20.526562 GASOIL 12.5 GAS_US_mini -6.25 GBP 3.125 GOLD_micro 0.5 LEANHOG -10.0 NASDAQ_micro -0.5 PLAT -67.5 RUSSELL -7.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -29.927799 caleb_strategy_v3 -50.888438 ******************************************************************************** END OF REPORT ********************************************************************************