******************************************************************************** Trades report produced on 17/01/2024 21:36 from 16/01/2024 21:36 to 17/01/2024 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9797 AUD caleb_strategy_v3 [20240300] 2024-01-17 15:00:28 [-1] 0.653900 9782 COPPER caleb_strategy_v3 [20240300] 2024-01-17 14:00:07 [-1] 3.749500 9810 CORN caleb_strategy_v3 [20241200] 2024-01-17 15:31:09 [-1] 479.500000 9805 CORN caleb_strategy_v3 [20241200] 2024-01-17 15:30:09 [-1] 479.500000 9790 COTTON2 _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-17 14:03:05 [1] 81.950000 9789 COTTON2 _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-17 14:02:06 [-1] 82.820000 9788 COTTON2 _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-17 14:02:05 [1] 81.940000 9787 COTTON2 _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-17 14:01:06 [-1] 82.830000 9786 COTTON2 _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-17 14:01:05 [1] 81.940000 9785 COTTON2 _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-17 14:00:11 [-1] 82.800000 9791 COTTON2 _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-17 14:03:06 [-1] 82.830000 9784 COTTON2 _ROLL_PSEUDO_STRATEGY [20240300] 2024-01-17 14:00:10 [1] 81.920000 9803 DOW caleb_strategy_v3 [20240300] 2024-01-17 15:02:08 [1] 37452.000000 9800 DOW caleb_strategy_v3 [20240300] 2024-01-17 15:01:08 [1] 37444.000000 9804 DOW caleb_strategy_v3 [20240300] 2024-01-17 15:03:08 [1] 37470.000000 9794 DOW caleb_strategy_v3 [20240300] 2024-01-17 15:00:16 [1] 37435.000000 9798 EUR caleb_strategy_v3 [20240300] 2024-01-17 15:00:29 [-1] 1.087500 9776 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-17 09:01:36 [1] 97.825000 9778 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-17 09:02:42 [1] 97.830000 9779 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-17 09:03:54 [1] 97.825000 9777 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-17 09:02:25 [1] 97.825000 9775 EUROSTX caleb_strategy_v3 [20240300] 2024-01-17 08:00:31 [-1] 4420.000000 9809 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240500] 2024-01-17 15:30:43 [-1] 238.600000 9808 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-17 15:30:41 [1] 233.825000 9781 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-17 14:00:06 [1] 2.420000 9802 JPY caleb_strategy_v3 [20240300] 2024-01-17 15:01:13 [-1] 0.006807 9796 JPY caleb_strategy_v3 [20240300] 2024-01-17 15:00:21 [-1] 0.006804 9807 LEANHOG caleb_strategy_v3 [20240400] 2024-01-17 15:30:13 [1] 76.950000 9801 MXP caleb_strategy_v3 [20240300] 2024-01-17 15:01:12 [-1] 0.057000 9795 MXP caleb_strategy_v3 [20240300] 2024-01-17 15:00:18 [-1] 0.057010 9799 NZD caleb_strategy_v3 [20240300] 2024-01-17 15:01:07 [1] 0.609200 9792 NZD caleb_strategy_v3 [20240300] 2024-01-17 15:00:13 [1] 0.609150 9783 PLAT caleb_strategy_v3 [20240400] 2024-01-17 14:00:08 [-1] 900.600000 9780 ROBUSTA caleb_strategy_v3 [20240500] 2024-01-17 10:01:01 [1] 2968.000000 9774 SMI caleb_strategy_v3 [20240300] 2024-01-17 08:00:30 [-1] 11074.000000 9806 SOYMEAL caleb_strategy_v3 [20240500] 2024-01-17 15:30:12 [-1] 361.300000 9811 SOYMEAL caleb_strategy_v3 [20240500] 2024-01-17 15:31:11 [-1] 361.400000 9793 US30 caleb_strategy_v3 [20240300] 2024-01-17 15:00:15 [-1] 126.375000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9774 SMI caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 08:00:29.295 2024-01-17 08:00:30 115229.295 0.705 9775 EUROSTX caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 08:00:30.902 2024-01-17 08:00:31 115230.902 0.098 9776 EURIBOR-ICE caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 09:00:30.574 2024-01-17 09:01:36 118830.574 65.426 9777 EURIBOR-ICE caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 09:01:39.805 2024-01-17 09:02:25 118899.805 45.195 9778 EURIBOR-ICE caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 09:02:40.138 2024-01-17 09:02:42 118960.138 1.862 9779 EURIBOR-ICE caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 09:03:40.282 2024-01-17 09:03:54 119020.282 13.718 9780 ROBUSTA caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 10:00:48.110 2024-01-17 10:01:01 122448.11 12.89 9781 GAS_US_mini caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 14:00:06.399 2024-01-17 14:00:06 136806.399 NaN 9782 COPPER caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 14:00:07.394 2024-01-17 14:00:07 136807.394 NaN 9783 PLAT caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 14:00:08.930 2024-01-17 14:00:08 136808.93 NaN 9784 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:00:10.134 2024-01-17 14:00:10 68410.134 NaN 9785 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:00:11.206 2024-01-17 14:00:11 68411.206 NaN 9786 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:01:05.519 2024-01-17 14:01:05 68465.519 NaN 9787 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:01:06.098 2024-01-17 14:01:06 68466.098 NaN 9788 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:02:05.672 2024-01-17 14:02:05 68525.672 NaN 9789 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:02:06.410 2024-01-17 14:02:06 68526.41 NaN 9790 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:03:05.666 2024-01-17 14:03:05 68585.666 NaN 9791 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 14:03:06.255 2024-01-17 14:03:06 68586.255 NaN 9793 US30 caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:00:14.558 2024-01-17 15:00:15 140414.558 0.442 9797 AUD caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:00:22.658 2024-01-17 15:00:28 140422.658 5.342 9798 EUR caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:00:29.065 2024-01-17 15:00:29 140429.065 NaN 9792 NZD caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:00:08.031 2024-01-17 15:00:13 140408.031 4.969 9799 NZD caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:01:07.865 2024-01-17 15:01:07 140467.865 NaN 9801 MXP caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:01:09.212 2024-01-17 15:01:12 140469.212 2.788 9795 MXP caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:00:17.658 2024-01-17 15:00:18 140417.658 0.342 9802 JPY caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:01:12.987 2024-01-17 15:01:13 140472.987 0.013 9796 JPY caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:00:19.426 2024-01-17 15:00:21 140419.426 1.574 9800 DOW caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:01:08.516 2024-01-17 15:01:08 140468.516 NaN 9794 DOW caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:00:16.094 2024-01-17 15:00:16 140416.094 NaN 9803 DOW caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:02:08.080 2024-01-17 15:02:08 140528.08 NaN 9804 DOW caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:03:08.097 2024-01-17 15:03:08 140588.097 NaN 9807 LEANHOG caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:30:13.090 2024-01-17 15:30:13 142213.09 NaN 9808 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 15:30:13.958 2024-01-17 15:30:41 73813.958 27.042 9809 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-01-16 19:00:00 2024-01-17 15:30:41.997 2024-01-17 15:30:43 73841.997 1.003 9810 CORN caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:31:09.350 2024-01-17 15:31:09 142269.35 NaN 9805 CORN caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:30:09.313 2024-01-17 15:30:09 142209.313 NaN 9811 SOYMEAL caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:31:10.048 2024-01-17 15:31:11 142270.048 0.952 9806 SOYMEAL caleb_strategy_v3 2024-01-16 00:00:00 2024-01-17 15:30:10.358 2024-01-17 15:30:12 142210.358 1.642 ====================================================================================================================================================================================================================================== 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 9774 SMI caleb_strategy_v3 [-1] 11142.0 None 11076.0 11075.0 11077.0 11077.0 11074.0 -66.0 -1.0 -1.0 -3.0 NaN -2.0 9775 EUROSTX caleb_strategy_v3 [-1] 4455.0 None 4419.5 4419.0 4420.0 4420.0 4420.0 -35.5 -0.5 1.0 -0.0 NaN 0.5 9776 EURIBOR-ICE caleb_strategy_v3 [1] 97.87 None 97.8275 97.83 97.825 97.825 97.825 0.0425 -0.0025 0.005 0.0 NaN 0.0025 9777 EURIBOR-ICE caleb_strategy_v3 [1] 97.87 None 97.8275 97.83 97.825 97.825 97.825 0.0425 -0.0025 0.005 0.0 NaN 0.0025 9778 EURIBOR-ICE caleb_strategy_v3 [1] 97.87 None 97.8225 97.825 97.82 97.82 97.83 0.0475 -0.0025 -0.005 -0.01 NaN -0.0075 9779 EURIBOR-ICE caleb_strategy_v3 [1] 97.87 None 97.8275 97.83 97.825 97.825 97.825 0.0425 -0.0025 0.005 0.0 NaN 0.0025 9780 ROBUSTA caleb_strategy_v3 [1] 2991.0 None 2965.5 2967.0 2964.0 2964.0 2968.0 25.5 -1.5 -1.0 -4.0 NaN -2.5 9781 GAS_US_mini caleb_strategy_v3 [1] 2.45 None 2.415 2.42 2.41 NaN 2.42 0.035 -0.005 0.0 NaN NaN -0.005 9782 COPPER caleb_strategy_v3 [-1] 3.767 None 3.74925 3.749 3.7495 3.7495 3.7495 -0.01775 -0.00025 0.0005 -0.0 NaN 0.00025 9783 PLAT caleb_strategy_v3 [-1] 905.5 None 900.75 900.6 900.9 NaN 900.6 -4.75 -0.15 -0.0 NaN NaN -0.15 9784 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 81.25 None 81.91 81.92 81.9 81.9 81.92 -0.66 -0.01 0.0 -0.02 NaN -0.01 9785 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 82.24 None 83.0 83.0 83.0 83.0 82.8 0.76 -0.0 -0.2 -0.2 NaN -0.2 9786 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 81.25 None 81.96 81.92 82.0 82.0 81.94 -0.71 0.04 -0.02 0.06 NaN 0.02 9787 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 82.24 None 82.9 82.8 83.0 83.0 82.83 0.66 -0.1 0.03 -0.17 NaN -0.07 9788 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 81.25 None 81.935 81.94 81.93 81.93 81.94 -0.685 -0.005 0.0 -0.01 NaN -0.005 9789 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 82.24 None 82.915 82.83 83.0 83.0 82.82 0.675 -0.085 -0.01 -0.18 NaN -0.095 9790 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 81.25 None 81.97 81.94 82.0 82.0 81.95 -0.72 0.03 -0.01 0.05 NaN 0.02 9791 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 82.24 None 82.91 82.82 83.0 83.0 82.83 0.67 -0.09 0.01 -0.17 NaN -0.08 9793 US30 caleb_strategy_v3 [-1] 127.0625 None 126.421875 126.40625 126.4375 126.4375 126.375 -0.640625 -0.015625 -0.03125 -0.0625 NaN -0.046875 9797 AUD caleb_strategy_v3 [-1] 0.65985 None 0.653975 0.65395 0.654 0.654 0.6539 -0.005875 -0.000025 -0.00005 -0.0001 NaN -0.000075 9798 EUR caleb_strategy_v3 [-1] 1.0902 None 1.087525 1.0875 1.08755 NaN 1.0875 -0.002675 -0.000025 -0.0 NaN NaN -0.000025 9792 NZD caleb_strategy_v3 [1] 0.61385 None 0.60915 0.6092 0.6091 0.6091 0.60915 0.0047 -0.00005 0.00005 -0.00005 NaN 0.0 9799 NZD caleb_strategy_v3 [1] 0.61385 None 0.609125 0.60915 0.6091 NaN 0.6092 0.004725 -0.000025 -0.00005 NaN NaN -0.000075 9801 MXP caleb_strategy_v3 [-1] 0.05754 None 0.057015 0.05701 0.05702 0.05702 0.057 -0.000525 -0.000005 -0.00001 -0.00002 NaN -0.000015 9795 MXP caleb_strategy_v3 [-1] 0.05754 None 0.057025 0.05702 0.05703 0.05703 0.05701 -0.000515 -0.000005 -0.00001 -0.00002 NaN -0.000015 9802 JPY caleb_strategy_v3 [-1] 0.00686 None 0.006804 0.006804 0.006804 0.006804 0.006807 -0.000055 -0.0 0.000003 0.000002 NaN 0.000003 9796 JPY caleb_strategy_v3 [-1] 0.00686 None 0.006805 0.006804 0.006805 0.006805 0.006804 -0.000055 -0.0 -0.0 -0.000001 NaN -0.000001 9800 DOW caleb_strategy_v3 [1] 37480.0 None 37435.0 37436.0 37434.0 37434.0 37444.0 45.0 -1.0 -8.0 -10.0 NaN -9.0 9794 DOW caleb_strategy_v3 [1] 37480.0 None 37431.0 37432.0 37430.0 37430.0 37435.0 49.0 -1.0 -3.0 -5.0 NaN -4.0 9803 DOW caleb_strategy_v3 [1] 37480.0 None 37443.0 37444.0 37442.0 37442.0 37452.0 37.0 -1.0 -8.0 -10.0 NaN -9.0 9804 DOW caleb_strategy_v3 [1] 37480.0 None 37452.0 37453.0 37451.0 37451.0 37470.0 28.0 -1.0 -17.0 -19.0 NaN -18.0 9807 LEANHOG caleb_strategy_v3 [1] 77.55 None 77.5 77.5 77.5 77.5 76.95 0.05 0.0 0.55 0.55 NaN 0.55 9808 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 233.95 None 233.725 233.775 233.675 233.675 233.825 0.225 -0.05 -0.05 -0.15 NaN -0.1 9809 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 238.725 None 237.5 237.5 237.5 NaN 238.6 -1.225 -0.0 1.1 NaN NaN 1.1 9810 CORN caleb_strategy_v3 [-1] 477.0 None 477.25 479.5 475.0 475.0 479.5 0.25 2.25 -0.0 4.5 NaN 2.25 9805 CORN caleb_strategy_v3 [-1] 477.0 None 479.625 479.5 479.75 479.75 479.5 2.625 -0.125 -0.0 -0.25 NaN -0.125 9811 SOYMEAL caleb_strategy_v3 [-1] 367.4 None 361.35 361.3 361.4 361.4 361.4 -6.05 -0.05 0.1 -0.0 NaN 0.05 9806 SOYMEAL caleb_strategy_v3 [-1] 367.4 None 361.4 361.3 361.5 361.5 361.3 -6.0 -0.1 -0.0 -0.2 NaN -0.1 ================================================================================================================================================================== 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 9774 SMI caleb_strategy_v3 [-1] 1097.368824 -601.438628 -9.112706 -9.112706 -27.338119 NaN -18.225413 9775 EUROSTX caleb_strategy_v3 [-1] 526.973695 -673.657914 -9.48814 18.976279 -0.0 NaN 9.48814 9776 EURIBOR-ICE caleb_strategy_v3 [1] 1.104889 384.654156 -22.626715 45.25343 0.0 NaN 22.626715 9777 EURIBOR-ICE caleb_strategy_v3 [1] 1.104889 384.654156 -22.626715 45.25343 0.0 NaN 22.626715 9778 EURIBOR-ICE caleb_strategy_v3 [1] 1.104889 429.907586 -22.626715 -45.25343 -90.50686 NaN -67.880145 9779 EURIBOR-ICE caleb_strategy_v3 [1] 1.104889 384.654156 -22.626715 45.25343 0.0 NaN 22.626715 9780 ROBUSTA caleb_strategy_v3 [1] 875.99283 291.098273 -17.123428 -11.415619 -45.662474 NaN -28.539046 9781 GAS_US_mini caleb_strategy_v3 [1] 1.811605 193.19887 -27.599839 0.0 NaN NaN -27.599839 9782 COPPER caleb_strategy_v3 [-1] 0.708733 -250.446769 -3.527419 7.054839 -0.0 NaN 3.527419 9783 PLAT caleb_strategy_v3 [-1] 229.192626 -207.249251 -6.544713 -0.0 NaN NaN -6.544713 9784 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 17.355745 -380.277542 -5.761781 0.0 -11.523562 NaN -5.761781 9785 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 17.355745 437.895352 -0.0 -115.235619 -115.235619 NaN -115.235619 9786 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 17.355745 -409.086447 23.047124 -11.523562 34.570686 NaN 11.523562 9787 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 17.355745 380.277542 -57.617809 17.285343 -97.950276 NaN -40.332467 9788 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 17.355745 -394.681995 -2.88089 0.0 -5.761781 NaN -2.88089 9789 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 17.355745 388.920214 -48.975138 -5.761781 -103.712057 NaN -54.736919 9790 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 17.355745 -414.848228 17.285343 -5.761781 28.808905 NaN 11.523562 9791 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 17.355745 386.039323 -51.856029 5.761781 -97.950276 NaN -46.094248 9793 US30 caleb_strategy_v3 [-1] 20.912425 -306.337024 -7.471635 -14.943269 -29.886539 NaN -22.414904 9797 AUD caleb_strategy_v3 [-1] 0.066545 -882.858689 -3.756845 -7.513691 -15.027382 NaN -11.270536 9798 EUR caleb_strategy_v3 [-1] 0.076141 -351.32003 -3.283365 -0.0 NaN NaN -3.283365 9792 NZD caleb_strategy_v3 [1] 0.062116 756.643218 -8.049396 8.049396 -8.049396 NaN 0.0 9799 NZD caleb_strategy_v3 [1] 0.062116 760.667916 -4.024698 -8.049396 NaN NaN -12.074094 9801 MXP caleb_strategy_v3 [-1] 0.006349 -826.844191 -7.874707 -15.749413 -31.498826 NaN -23.62412 9795 MXP caleb_strategy_v3 [-1] 0.006349 -811.094778 -7.874707 -15.749413 -31.498826 NaN -23.62412 9802 JPY caleb_strategy_v3 [-1] 0.000759 -728.313582 -3.295537 39.546439 32.955366 NaN 36.250902 9796 JPY caleb_strategy_v3 [-1] 0.000759 -721.722508 -3.295537 -6.591073 -13.182146 NaN -9.88661 9800 DOW caleb_strategy_v3 [1] 3656.313476 123.074786 -2.734995 -21.879962 -27.349953 NaN -24.614957 9794 DOW caleb_strategy_v3 [1] 3656.313476 134.014767 -2.734995 -8.204986 -13.674976 NaN -10.939981 9803 DOW caleb_strategy_v3 [1] 3656.313476 101.194824 -2.734995 -21.879962 -27.349953 NaN -24.614957 9804 DOW caleb_strategy_v3 [1] 3656.313476 76.579867 -2.734995 -46.494919 -51.96491 NaN -49.229915 9807 LEANHOG caleb_strategy_v3 [1] 20.114271 24.857973 0.0 273.437706 273.437706 NaN 273.437706 9808 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 33.038427 68.102515 -15.133892 -15.133892 -45.401677 NaN -30.267785 9809 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 33.038427 -370.780362 -0.0 332.945631 NaN NaN 332.945631 9810 CORN caleb_strategy_v3 [-1] 73.492931 34.016877 306.151895 -0.0 612.30379 NaN 306.151895 9805 CORN caleb_strategy_v3 [-1] 73.492931 357.177211 -17.008439 -0.0 -34.016877 NaN -17.008439 9811 SOYMEAL caleb_strategy_v3 [-1] 83.810666 -721.865159 -5.965828 11.931656 -0.0 NaN 5.965828 9806 SOYMEAL caleb_strategy_v3 [-1] 83.810666 -715.899331 -11.931656 -0.0 -23.863311 NaN -11.931656 ============================================================================================================================================================================ 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 9774 SMI caleb_strategy_v3 [-1] 11.5925 -765.105 -11.5925 -11.5925 -34.7775 NaN -23.185 9775 EUROSTX caleb_strategy_v3 [-1] 10.8635 -385.65425 -5.43175 10.8635 -0.0 NaN 5.43175 9776 EURIBOR-ICE caleb_strategy_v3 [1] 2715.875 115.424688 -6.789687 13.579375 0.0 NaN 6.789687 9777 EURIBOR-ICE caleb_strategy_v3 [1] 2715.875 115.424688 -6.789687 13.579375 0.0 NaN 6.789687 9778 EURIBOR-ICE caleb_strategy_v3 [1] 2715.875 129.004063 -6.789688 -13.579375 -27.15875 NaN -20.369063 9779 EURIBOR-ICE caleb_strategy_v3 [1] 2715.875 115.424688 -6.789687 13.579375 0.0 NaN 6.789687 9780 ROBUSTA caleb_strategy_v3 [1] 10.0 255.0 -15.0 -10.0 -40.0 NaN -25.0 9781 GAS_US_mini caleb_strategy_v3 [1] 2500.0 87.5 -12.5 0.0 NaN NaN -12.5 9782 COPPER caleb_strategy_v3 [-1] 25000.0 -443.75 -6.25 12.5 -0.0 NaN 6.25 9783 PLAT caleb_strategy_v3 [-1] 50.0 -237.5 -7.5 -0.0 NaN NaN -7.5 9784 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -330.0 -5.0 0.0 -10.0 NaN -5.0 9785 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 380.0 -0.0 -100.0 -100.0 NaN -100.0 9786 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -355.0 20.0 -10.0 30.0 NaN 10.0 9787 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 330.0 -50.0 15.0 -85.0 NaN -35.0 9788 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -342.5 -2.5 0.0 -5.0 NaN -2.5 9789 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 337.5 -42.5 -5.0 -90.0 NaN -47.5 9790 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -360.0 15.0 -5.0 25.0 NaN 10.0 9791 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 335.0 -45.0 5.0 -85.0 NaN -40.0 9793 US30 caleb_strategy_v3 [-1] 1000.0 -640.625 -15.625 -31.25 -62.5 NaN -46.875 9797 AUD caleb_strategy_v3 [-1] 100000.0 -587.5 -2.5 -5.0 -10.0 NaN -7.5 9798 EUR caleb_strategy_v3 [-1] 125000.0 -334.375 -3.125 -0.0 NaN NaN -3.125 9792 NZD caleb_strategy_v3 [1] 100000.0 470.0 -5.0 5.0 -5.0 NaN 0.0 9799 NZD caleb_strategy_v3 [1] 100000.0 472.5 -2.5 -5.0 NaN NaN -7.5 9801 MXP caleb_strategy_v3 [-1] 500000.0 -262.5 -2.5 -5.0 -10.0 NaN -7.5 9795 MXP caleb_strategy_v3 [-1] 500000.0 -257.5 -2.5 -5.0 -10.0 NaN -7.5 9802 JPY caleb_strategy_v3 [-1] 12500000.0 -690.625 -3.125 37.5 31.25 NaN 34.375 9796 JPY caleb_strategy_v3 [-1] 12500000.0 -684.375 -3.125 -6.25 -12.5 NaN -9.375 9800 DOW caleb_strategy_v3 [1] 0.5 22.5 -0.5 -4.0 -5.0 NaN -4.5 9794 DOW caleb_strategy_v3 [1] 0.5 24.5 -0.5 -1.5 -2.5 NaN -2.0 9803 DOW caleb_strategy_v3 [1] 0.5 18.5 -0.5 -4.0 -5.0 NaN -4.5 9804 DOW caleb_strategy_v3 [1] 0.5 14.0 -0.5 -8.5 -9.5 NaN -9.0 9807 LEANHOG caleb_strategy_v3 [1] 400.0 20.0 0.0 220.0 220.0 NaN 220.0 9808 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 112.5 -25.0 -25.0 -75.0 NaN -50.0 9809 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 -612.5 -0.0 550.0 NaN NaN 550.0 9810 CORN caleb_strategy_v3 [-1] 50.0 12.5 112.5 -0.0 225.0 NaN 112.5 9805 CORN caleb_strategy_v3 [-1] 50.0 131.25 -6.25 -0.0 -12.5 NaN -6.25 9811 SOYMEAL caleb_strategy_v3 [-1] 100.0 -605.0 -5.0 10.0 -0.0 NaN 5.0 9806 SOYMEAL caleb_strategy_v3 [-1] 100.0 -600.0 -10.0 -0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -5.0 FEEDCOW -500.0 caleb_strategy_v3 AUD -587.5 COPPER -443.75 CORN 143.75 DOW 79.5 EUR -334.375 EURIBOR-ICE 475.278125 EUROSTX -385.65425 GAS_US_mini 87.5 JPY -1375.0 LEANHOG 20.0 MXP -520.0 NZD 942.5 PLAT -237.5 ROBUSTA 255.0 SMI -765.105 SOYMEAL -1205.0 US30 -640.625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -505.0 caleb_strategy_v3 -4490.981125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -110.0 FEEDCOW -25.0 caleb_strategy_v3 AUD -2.5 COPPER -6.25 CORN 106.25 DOW -2.0 EUR -3.125 EURIBOR-ICE -27.15875 EUROSTX -5.43175 GAS_US_mini -12.5 JPY -6.25 LEANHOG 0.0 MXP -5.0 NZD -7.5 PLAT -7.5 ROBUSTA -15.0 SMI -11.5925 SOYMEAL -15.0 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -135.0 caleb_strategy_v3 -36.183 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -100.0 FEEDCOW 525.0 caleb_strategy_v3 AUD -5.0 COPPER 12.5 CORN -0.0 DOW -18.0 EUR -0.0 EURIBOR-ICE 27.15875 EUROSTX 10.8635 GAS_US_mini 0.0 JPY 31.25 LEANHOG 220.0 MXP -10.0 NZD 0.0 PLAT -0.0 ROBUSTA -10.0 SMI -11.5925 SOYMEAL 10.0 US30 -31.25 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 425.0 caleb_strategy_v3 225.92975 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -320.0 FEEDCOW -75.0 caleb_strategy_v3 AUD -10.0 COPPER -0.0 CORN 212.5 DOW -22.0 EUR 0 EURIBOR-ICE -27.15875 EUROSTX -0.0 GAS_US_mini 0 JPY 18.75 LEANHOG 220.0 MXP -20.0 NZD -5.0 PLAT 0 ROBUSTA -40.0 SMI -34.7775 SOYMEAL -20.0 US30 -62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -395.0 caleb_strategy_v3 209.81375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 0 FEEDCOW 0 caleb_strategy_v3 AUD 0 COPPER 0 CORN 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 JPY 0 LEANHOG 0 MXP 0 NZD 0 PLAT 0 ROBUSTA 0 SMI 0 SOYMEAL 0 US30 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 COTTON2 -210.0 FEEDCOW 500.0 caleb_strategy_v3 AUD -7.5 COPPER 6.25 CORN 106.25 DOW -20.0 EUR -3.125 EURIBOR-ICE -0.0 EUROSTX 5.43175 GAS_US_mini -12.5 JPY 25.0 LEANHOG 220.0 MXP -15.0 NZD -7.5 PLAT -7.5 ROBUSTA -25.0 SMI -23.185 SOYMEAL -5.0 US30 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 290.0 caleb_strategy_v3 189.74675 ******************************************************************************** END OF REPORT ********************************************************************************