******************************************************************************** Trades report produced on 24/01/2024 21:37 from 23/01/2024 21:37 to 24/01/2024 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9928 CHF caleb_strategy_v3 [20240300] 2024-01-24 15:00:44 [-1] 1.16480 9890 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-24 09:05:15 [-1] 97.78000 9892 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-24 09:06:25 [-1] 97.78500 9889 EUROSTX caleb_strategy_v3 [20240300] 2024-01-24 08:00:32 [-1] 4545.00000 9891 GASOIL caleb_strategy_v3 [20240400] 2024-01-24 09:06:06 [1] 774.00000 9913 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:10:39 [1] 2033.50000 9914 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:10:39 [-1] 2052.60000 9915 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:11:34 [1] 2032.90000 9916 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:11:36 [-1] 2052.00000 9917 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:12:34 [1] 2033.30000 9918 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:12:35 [-1] 2052.40000 9921 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:14:34 [1] 2034.30000 9920 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:13:56 [-1] 2052.80000 9912 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:09:54 [-1] 2052.70000 9922 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:14:35 [-1] 2053.20000 9923 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:15:37 [1] 2034.30000 9924 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:15:44 [-1] 2053.40000 9925 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-24 14:16:40 [-1] 2053.40000 9919 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:13:45 [1] 2033.70000 9911 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:09:33 [1] 2033.80000 9910 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:08:37 [-1] 2052.90000 9898 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:02:34 [-1] 2054.00000 9894 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:00:37 [-1] 2054.10000 9895 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:01:34 [1] 2035.40000 9896 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:01:34 [-1] 2054.50000 9897 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:02:33 [1] 2034.90000 9909 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:08:35 [1] 2033.80000 9899 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:03:36 [1] 2035.20000 9900 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:03:36 [-1] 2054.30000 9901 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:04:33 [1] 2034.10000 9902 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:04:35 [-1] 2053.40000 9903 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:05:35 [1] 2033.80000 9904 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:05:36 [-1] 2052.90000 9905 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:06:40 [1] 2033.80000 9906 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:06:40 [-1] 2052.90000 9907 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:07:35 [1] 2033.10000 9908 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240400] 2024-01-24 14:07:39 [-1] 2052.30000 9893 GOLD_micro _ROLL_PSEUDO_STRATEGY [20240200] 2024-01-24 14:00:34 [1] 2034.90000 9926 JPY caleb_strategy_v3 [20240300] 2024-01-24 15:00:41 [1] 0.00686 9930 MXP caleb_strategy_v3 [20240300] 2024-01-24 15:00:53 [-1] 0.05765 9932 MXP caleb_strategy_v3 [20240300] 2024-01-24 15:01:42 [-1] 0.05763 9927 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-24 15:00:42 [1] 17668.75000 9929 RUSSELL caleb_strategy_v3 [20240300] 2024-01-24 15:00:44 [1] 1994.20000 9931 RUSSELL caleb_strategy_v3 [20240300] 2024-01-24 15:01:41 [1] 1991.60000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9889 EUROSTX caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 08:00:31.178 2024-01-24 08:00:32 115231.178 0.822 9891 GASOIL caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 09:05:16.367 2024-01-24 09:06:06 119116.367 49.633 9890 EURIBOR-ICE caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 09:00:33.002 2024-01-24 09:05:15 118833.002 281.998 9892 EURIBOR-ICE caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 09:06:09.599 2024-01-24 09:06:25 119169.599 15.401 9893 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:00:33.858 2024-01-24 14:00:34 64833.858 0.142 9894 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:00:35.642 2024-01-24 14:00:37 64835.642 1.358 9895 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:01:33.581 2024-01-24 14:01:34 64893.581 0.419 9896 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:01:34.528 2024-01-24 14:01:34 64894.528 NaN 9897 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:02:33.639 2024-01-24 14:02:33 64953.639 NaN 9898 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:02:34.345 2024-01-24 14:02:34 64954.345 NaN 9899 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:03:33.783 2024-01-24 14:03:36 65013.783 2.217 9900 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:03:36.445 2024-01-24 14:03:36 65016.445 NaN 9901 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:04:33.611 2024-01-24 14:04:33 65073.611 NaN 9902 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:04:34.373 2024-01-24 14:04:35 65074.373 0.627 9903 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:05:33.801 2024-01-24 14:05:35 65133.801 1.199 9904 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:05:35.552 2024-01-24 14:05:36 65135.552 0.448 9905 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:06:33.822 2024-01-24 14:06:40 65193.822 6.178 9906 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:06:40.441 2024-01-24 14:06:40 65200.441 NaN 9907 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:07:33.840 2024-01-24 14:07:35 65253.84 1.16 9908 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:07:36.061 2024-01-24 14:07:39 65256.061 2.939 9909 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:08:33.867 2024-01-24 14:08:35 65313.867 1.133 9910 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:08:36.181 2024-01-24 14:08:37 65316.181 0.819 9911 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:09:33.868 2024-01-24 14:09:33 65373.868 NaN 9912 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:09:34.491 2024-01-24 14:09:54 65374.491 19.509 9913 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:10:33.866 2024-01-24 14:10:39 65433.866 5.134 9914 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:10:39.576 2024-01-24 14:10:39 65439.576 NaN 9915 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:11:33.751 2024-01-24 14:11:34 65493.751 0.249 9916 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:11:35.075 2024-01-24 14:11:36 65495.075 0.925 9917 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:12:33.910 2024-01-24 14:12:34 65553.91 0.09 9918 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:12:34.870 2024-01-24 14:12:35 65554.87 0.13 9919 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:13:33.900 2024-01-24 14:13:45 65613.9 11.1 9920 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:13:45.750 2024-01-24 14:13:56 65625.75 10.25 9921 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:14:33.938 2024-01-24 14:14:34 65673.938 0.062 9922 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:14:34.745 2024-01-24 14:14:35 65674.745 0.255 9923 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:15:33.948 2024-01-24 14:15:37 65733.948 3.052 9924 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-01-23 20:00:00 2024-01-24 14:15:38.162 2024-01-24 14:15:44 65738.162 5.838 9925 GOLD_micro caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 14:16:34.331 2024-01-24 14:16:40 137794.331 5.669 9926 JPY caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 15:00:41.282 2024-01-24 15:00:41 140441.282 NaN 9927 NASDAQ_micro caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 15:00:42.467 2024-01-24 15:00:42 140442.467 NaN 9928 CHF caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 15:00:43.454 2024-01-24 15:00:44 140443.454 0.546 9929 RUSSELL caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 15:00:44.831 2024-01-24 15:00:44 140444.831 NaN 9931 RUSSELL caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 15:01:41.131 2024-01-24 15:01:41 140501.131 NaN 9930 MXP caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 15:00:45.623 2024-01-24 15:00:53 140445.623 7.377 9932 MXP caleb_strategy_v3 2024-01-23 00:00:00 2024-01-24 15:01:41.700 2024-01-24 15:01:42 140501.7 0.3 ==================================================================================================================================================================================================================================== 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 9889 EUROSTX caleb_strategy_v3 [-1] 4498.0 None 4546.5 4546.0 4547.0 4547.0 4545.0 48.5 -0.5 -1.0 -2.0 NaN -1.5 9891 GASOIL caleb_strategy_v3 [1] 771.75 None 773.625 773.75 773.5 773.5 774.0 -1.875 -0.125 -0.25 -0.5 NaN -0.375 9890 EURIBOR-ICE caleb_strategy_v3 [-1] 97.755 None 97.7875 97.785 97.79 97.79 97.78 0.0325 -0.0025 -0.005 -0.01 NaN -0.0075 9892 EURIBOR-ICE caleb_strategy_v3 [-1] 97.755 None 97.7825 97.78 97.785 97.785 97.785 0.0275 -0.0025 0.005 -0.0 NaN 0.0025 9893 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2034.9 2035.0 2034.8 2034.8 2034.9 -4.5 -0.1 0.1 -0.1 NaN 0.0 9894 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2054.2 2054.1 2054.3 2054.3 2054.1 4.3 -0.1 -0.0 -0.2 NaN -0.1 9895 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2034.85 2034.9 2034.8 NaN 2035.4 -4.45 -0.05 -0.5 NaN NaN -0.55 9896 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2054.2 2054.1 2054.3 2054.3 2054.5 4.3 -0.1 0.4 0.2 NaN 0.3 9897 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2034.8 2034.9 2034.7 2034.7 2034.9 -4.4 -0.1 0.0 -0.2 NaN -0.1 9898 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2054.6 2054.5 2054.7 2054.7 2054.0 4.7 -0.1 -0.5 -0.7 NaN -0.6 9899 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2035.25 2035.3 2035.2 2035.2 2035.2 -4.85 -0.05 0.1 0.0 NaN 0.05 9900 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2054.1 2054.0 2054.2 NaN 2054.3 4.2 -0.1 0.3 NaN NaN 0.2 9901 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.95 2034.0 2033.9 NaN 2034.1 -3.55 -0.05 -0.1 NaN NaN -0.15 9902 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2053.3 2053.2 2053.4 2053.4 2053.4 3.4 -0.1 0.2 -0.0 NaN 0.1 9903 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.6 2033.7 2033.5 2033.5 2033.8 -3.2 -0.1 -0.1 -0.3 NaN -0.2 9904 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2052.95 2052.8 2053.1 2053.1 2052.9 3.05 -0.15 0.1 -0.2 NaN -0.05 9905 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.9 2034.0 2033.8 2033.8 2033.8 -3.5 -0.1 0.2 0.0 NaN 0.1 9906 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2053.0 2052.9 2053.1 NaN 2052.9 3.1 -0.1 -0.0 NaN NaN -0.1 9907 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2032.95 2033.0 2032.9 2032.9 2033.1 -2.55 -0.05 -0.1 -0.2 NaN -0.15 9908 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2052.3 2052.2 2052.4 2052.4 2052.3 2.4 -0.1 0.1 -0.1 NaN 0.0 9909 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.7 2033.8 2033.6 2033.6 2033.8 -3.3 -0.1 0.0 -0.2 NaN -0.1 9910 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2053.05 2052.9 2053.2 2053.2 2052.9 3.15 -0.15 -0.0 -0.3 NaN -0.15 9911 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.85 2033.9 2033.8 2033.8 2033.8 -3.45 -0.05 0.1 0.0 NaN 0.05 9912 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2053.1 2053.0 2053.2 2053.2 2052.7 3.2 -0.1 -0.3 -0.5 NaN -0.4 9913 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.6 2033.7 2033.5 2033.5 2033.5 -3.2 -0.1 0.2 0.0 NaN 0.1 9914 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2052.7 2052.6 2052.8 2052.8 2052.6 2.8 -0.1 -0.0 -0.2 NaN -0.1 9915 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2032.75 2032.8 2032.7 2032.7 2032.9 -2.35 -0.05 -0.1 -0.2 NaN -0.15 9916 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2052.05 2051.9 2052.2 2052.2 2052.0 2.15 -0.15 0.1 -0.2 NaN -0.05 9917 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.3 2033.4 2033.2 2033.2 2033.3 -2.9 -0.1 0.1 -0.1 NaN 0.0 9918 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2052.55 2052.4 2052.7 2052.7 2052.4 2.65 -0.15 -0.0 -0.3 NaN -0.15 9919 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2033.55 2033.6 2033.5 2033.5 2033.7 -3.15 -0.05 -0.1 -0.2 NaN -0.15 9920 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2052.9 2052.8 2053.0 2053.0 2052.8 3.0 -0.1 -0.0 -0.2 NaN -0.1 9921 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2034.2 2034.3 2034.1 2034.1 2034.3 -3.8 -0.1 0.0 -0.2 NaN -0.1 9922 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2053.45 2053.3 2053.6 2053.6 2053.2 3.55 -0.15 -0.1 -0.4 NaN -0.25 9923 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 2030.4 None 2034.4 2034.5 2034.3 2034.3 2034.3 -4.0 -0.1 0.2 0.0 NaN 0.1 9924 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 2049.9 None 2053.6 2053.5 2053.7 2053.7 2053.4 3.7 -0.1 -0.1 -0.3 NaN -0.2 9925 GOLD_micro caleb_strategy_v3 [-1] 2049.9 None 2053.3 2053.2 2053.4 2053.4 2053.4 3.4 -0.1 0.2 -0.0 NaN 0.1 9926 JPY caleb_strategy_v3 [1] 0.006797 None 0.00686 0.006861 0.00686 0.00686 0.00686 -0.000063 -0.0 0.000001 0.0 NaN 0.0 9927 NASDAQ_micro caleb_strategy_v3 [1] 17505.75 None 17669.0 17669.25 17668.75 17668.75 17668.75 -163.25 -0.25 0.5 0.0 NaN 0.25 9928 CHF caleb_strategy_v3 [-1] 1.1546 None 1.16485 1.1648 1.1649 1.1649 1.1648 0.01025 -0.00005 -0.0 -0.0001 NaN -0.00005 9929 RUSSELL caleb_strategy_v3 [1] 1996.4 None 1994.1 1994.2 1994.0 1994.0 1994.2 2.3 -0.1 0.0 -0.2 NaN -0.1 9931 RUSSELL caleb_strategy_v3 [1] 1996.4 None 1994.2 1994.3 1994.1 1994.1 1991.6 2.2 -0.1 2.7 2.5 NaN 2.6 9930 MXP caleb_strategy_v3 [-1] 0.05721 None 0.057665 0.05766 0.05767 0.05767 0.05765 0.000455 -0.000005 -0.00001 -0.00002 NaN -0.000015 9932 MXP caleb_strategy_v3 [-1] 0.05721 None 0.057655 0.05765 0.05766 0.05766 0.05763 0.000445 -0.000005 -0.00002 -0.00003 NaN -0.000025 =================================================================================================================================================================== 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 9889 EUROSTX caleb_strategy_v3 [-1] 627.430855 772.993543 -7.969006 -15.938011 -31.876022 NaN -23.907017 9891 GASOIL caleb_strategy_v3 [1] 250.628162 -74.812024 -4.987468 -9.974936 -19.949873 NaN -14.962405 9890 EURIBOR-ICE caleb_strategy_v3 [-1] 1.027956 316.161476 -24.320114 -48.640227 -97.280454 NaN -72.960341 9892 EURIBOR-ICE caleb_strategy_v3 [-1] 1.027956 267.521249 -24.320114 48.640227 -0.0 NaN 24.320114 9893 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -179.150772 -3.981128 3.981128 -3.981128 NaN 0.0 9894 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 171.188516 -3.981128 -0.0 -7.962257 NaN -3.981128 9895 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -177.160208 -1.990564 -19.905641 NaN NaN -21.896206 9896 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 171.188516 -3.981128 15.924513 7.962257 NaN 11.943385 9897 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -175.169644 -3.981128 0.0 -7.962257 NaN -3.981128 9898 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 187.113029 -3.981128 -19.905641 -27.867898 NaN -23.88677 9899 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -193.084721 -1.990564 3.981128 0.0 NaN 1.990564 9900 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 167.207388 -3.981128 11.943385 NaN NaN 7.962257 9901 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -141.330054 -1.990564 -3.981128 NaN NaN -5.971692 9902 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 135.358361 -3.981128 7.962257 -0.0 NaN 3.981128 9903 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -127.396105 -3.981128 -3.981128 -11.943385 NaN -7.962257 9904 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 121.424412 -5.971692 3.981128 -7.962257 NaN -1.990564 9905 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -139.33949 -3.981128 7.962257 0.0 NaN 3.981128 9906 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 123.414977 -3.981128 -0.0 NaN NaN -3.981128 9907 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -101.518771 -1.990564 -3.981128 -7.962257 NaN -5.971692 9908 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 95.547079 -3.981128 3.981128 -3.981128 NaN 0.0 9909 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -131.377233 -3.981128 0.0 -7.962257 NaN -3.981128 9910 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 125.405541 -5.971692 -0.0 -11.943385 NaN -5.971692 9911 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -137.348925 -1.990564 3.981128 0.0 NaN 1.990564 9912 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 127.396105 -3.981128 -11.943385 -19.905641 NaN -15.924513 9913 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -127.396105 -3.981128 7.962257 0.0 NaN 3.981128 9914 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 111.471592 -3.981128 -0.0 -7.962257 NaN -3.981128 9915 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -93.556514 -1.990564 -3.981128 -7.962257 NaN -5.971692 9916 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 85.594258 -5.971692 3.981128 -7.962257 NaN -1.990564 9917 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -115.45272 -3.981128 3.981128 -3.981128 NaN 0.0 9918 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 105.499899 -5.971692 -0.0 -11.943385 NaN -5.971692 9919 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -125.405541 -1.990564 -3.981128 -7.962257 NaN -5.971692 9920 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 119.433848 -3.981128 -0.0 -7.962257 NaN -3.981128 9921 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -151.282874 -3.981128 0.0 -7.962257 NaN -3.981128 9922 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 141.330054 -5.971692 -3.981128 -15.924513 NaN -9.952821 9923 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 251.185074 -159.245131 -3.981128 7.962257 0.0 NaN 3.981128 9924 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 251.185074 147.301746 -3.981128 -3.981128 -11.943385 NaN -7.962257 9925 GOLD_micro caleb_strategy_v3 [-1] 251.185074 135.358361 -3.981128 7.962257 -0.0 NaN 3.981128 9926 JPY caleb_strategy_v3 [1] 0.000702 -894.454626 -3.563564 7.127128 0.0 NaN 3.563564 9927 NASDAQ_micro caleb_strategy_v3 [1] 2591.639273 -629.910195 -0.96464 1.929281 0.0 NaN 0.96464 9928 CHF caleb_strategy_v3 [-1] 0.083025 1234.575121 -6.022318 -0.0 -12.044635 NaN -6.022318 9929 RUSSELL caleb_strategy_v3 [1] 402.282659 57.17373 -2.485814 0.0 -4.971629 NaN -2.485814 9931 RUSSELL caleb_strategy_v3 [1] 402.282659 54.687915 -2.485814 67.116987 62.145358 NaN 64.631173 9930 MXP caleb_strategy_v3 [-1] 0.006177 736.607849 -8.094592 -16.189183 -32.378367 NaN -24.283775 9932 MXP caleb_strategy_v3 [-1] 0.006177 720.418666 -8.094592 -32.378367 -48.56755 NaN -40.472959 =========================================================================================================================================================================== 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 9889 EUROSTX caleb_strategy_v3 [-1] 10.8665 527.02525 -5.43325 -10.8665 -21.733 NaN -16.29975 9891 GASOIL caleb_strategy_v3 [1] 100.0 -187.5 -12.5 -25.0 -50.0 NaN -37.5 9890 EURIBOR-ICE caleb_strategy_v3 [-1] 2716.625 88.290312 -6.791562 -13.583125 -27.16625 NaN -20.374687 9892 EURIBOR-ICE caleb_strategy_v3 [-1] 2716.625 74.707188 -6.791562 13.583125 -0.0 NaN 6.791562 9893 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -45.0 -1.0 1.0 -1.0 NaN 0.0 9894 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 43.0 -1.0 -0.0 -2.0 NaN -1.0 9895 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -44.5 -0.5 -5.0 NaN NaN -5.5 9896 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 43.0 -1.0 4.0 2.0 NaN 3.0 9897 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -44.0 -1.0 0.0 -2.0 NaN -1.0 9898 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 47.0 -1.0 -5.0 -7.0 NaN -6.0 9899 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -48.5 -0.5 1.0 0.0 NaN 0.5 9900 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 42.0 -1.0 3.0 NaN NaN 2.0 9901 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -35.5 -0.5 -1.0 NaN NaN -1.5 9902 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 34.0 -1.0 2.0 -0.0 NaN 1.0 9903 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -32.0 -1.0 -1.0 -3.0 NaN -2.0 9904 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 30.5 -1.5 1.0 -2.0 NaN -0.5 9905 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -35.0 -1.0 2.0 0.0 NaN 1.0 9906 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 31.0 -1.0 -0.0 NaN NaN -1.0 9907 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -25.5 -0.5 -1.0 -2.0 NaN -1.5 9908 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 24.0 -1.0 1.0 -1.0 NaN 0.0 9909 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -33.0 -1.0 0.0 -2.0 NaN -1.0 9910 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 31.5 -1.5 -0.0 -3.0 NaN -1.5 9911 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -34.5 -0.5 1.0 0.0 NaN 0.5 9912 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 32.0 -1.0 -3.0 -5.0 NaN -4.0 9913 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -32.0 -1.0 2.0 0.0 NaN 1.0 9914 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 28.0 -1.0 -0.0 -2.0 NaN -1.0 9915 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -23.5 -0.5 -1.0 -2.0 NaN -1.5 9916 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 21.5 -1.5 1.0 -2.0 NaN -0.5 9917 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -29.0 -1.0 1.0 -1.0 NaN 0.0 9918 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 26.5 -1.5 -0.0 -3.0 NaN -1.5 9919 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -31.5 -0.5 -1.0 -2.0 NaN -1.5 9920 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 30.0 -1.0 -0.0 -2.0 NaN -1.0 9921 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -38.0 -1.0 0.0 -2.0 NaN -1.0 9922 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 35.5 -1.5 -1.0 -4.0 NaN -2.5 9923 GOLD_micro _ROLL_PSEUDO_STRATEGY [1] 10.0 -40.0 -1.0 2.0 0.0 NaN 1.0 9924 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1] 10.0 37.0 -1.0 -1.0 -3.0 NaN -2.0 9925 GOLD_micro caleb_strategy_v3 [-1] 10.0 34.0 -1.0 2.0 -0.0 NaN 1.0 9926 JPY caleb_strategy_v3 [1] 12500000.0 -784.375 -3.125 6.25 0.0 NaN 3.125 9927 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -326.5 -0.5 1.0 0.0 NaN 0.5 9928 CHF caleb_strategy_v3 [-1] 125000.0 1281.25 -6.25 -0.0 -12.5 NaN -6.25 9929 RUSSELL caleb_strategy_v3 [1] 5.0 11.5 -0.5 0.0 -1.0 NaN -0.5 9931 RUSSELL caleb_strategy_v3 [1] 5.0 11.0 -0.5 13.5 12.5 NaN 13.0 9930 MXP caleb_strategy_v3 [-1] 500000.0 227.5 -2.5 -5.0 -10.0 NaN -7.5 9932 MXP caleb_strategy_v3 [-1] 500000.0 222.5 -2.5 -10.0 -15.0 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GOLD_micro -35.0 caleb_strategy_v3 CHF 1281.25 EURIBOR-ICE 162.9975 EUROSTX 527.02525 GASOIL -187.5 GOLD_micro 34.0 JPY -784.375 MXP 450.0 NASDAQ_micro -326.5 RUSSELL 22.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.0 caleb_strategy_v3 1179.39775 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GOLD_micro -31.0 caleb_strategy_v3 CHF -6.25 EURIBOR-ICE -13.583125 EUROSTX -5.43325 GASOIL -12.5 GOLD_micro -1.0 JPY -3.125 MXP -5.0 NASDAQ_micro -0.5 RUSSELL -1.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -31.0 caleb_strategy_v3 -48.391375 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GOLD_micro 2.0 caleb_strategy_v3 CHF -0.0 EURIBOR-ICE 0.0 EUROSTX -10.8665 GASOIL -25.0 GOLD_micro 2.0 JPY 6.25 MXP -15.0 NASDAQ_micro 1.0 RUSSELL 13.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 2.0 caleb_strategy_v3 -28.1165 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GOLD_micro -51.0 caleb_strategy_v3 CHF -12.5 EURIBOR-ICE -27.16625 EUROSTX -21.733 GASOIL -50.0 GOLD_micro -0.0 JPY 0.0 MXP -25.0 NASDAQ_micro 0.0 RUSSELL 11.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -51.0 caleb_strategy_v3 -124.89925 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GOLD_micro 0 caleb_strategy_v3 CHF 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 GOLD_micro 0 JPY 0 MXP 0 NASDAQ_micro 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 GOLD_micro -29.0 caleb_strategy_v3 CHF -6.25 EURIBOR-ICE -13.583125 EUROSTX -16.29975 GASOIL -37.5 GOLD_micro 1.0 JPY 3.125 MXP -20.0 NASDAQ_micro 0.5 RUSSELL 12.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -29.0 caleb_strategy_v3 -76.507875 ******************************************************************************** END OF REPORT ********************************************************************************