******************************************************************************** Trades report produced on 31/01/2024 21:37 from 30/01/2024 21:37 to 31/01/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10048 AUD caleb_strategy_v3 [20240300] 2024-01-31 15:01:39 [1] 0.662900 10051 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:01:57 [1] 43525.000000 10058 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:04:49 [1] 43515.000000 10059 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:05:49 [1] 43560.000000 10060 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:06:49 [1] 43600.000000 10061 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:07:49 [1] 43625.000000 10062 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:10:56 [1] 43565.000000 10063 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:11:38 [1] 43555.000000 10064 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:12:14 [1] 43575.000000 10065 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:13:00 [1] 43600.000000 10066 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:14:00 [1] 43615.000000 10054 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:02:49 [1] 43515.000000 10057 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:04:28 [1] 43470.000000 10067 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:15:15 [1] 43565.000000 10043 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:01:25 [1] 43560.000000 10068 BITCOIN caleb_strategy_v3 [20240300] 2024-01-31 15:16:01 [1] 43570.000000 10020 BTP caleb_strategy_v3 [20240300] 2024-01-31 08:00:35 [1] 118.860000 10029 COCOA caleb_strategy_v3 [20240500] 2024-01-31 14:00:51 [1] 4771.000000 10047 DOW caleb_strategy_v3 [20240300] 2024-01-31 15:01:36 [-1] 38611.000000 10024 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-31 09:01:37 [1] 97.910000 10022 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-31 09:00:37 [1] 97.905000 10021 EUROSTX caleb_strategy_v3 [20240300] 2024-01-31 08:00:38 [1] 4686.000000 10070 FEEDCOW caleb_strategy_v3 [20240500] 2024-01-31 15:30:14 [1] 251.625000 10023 GASOIL caleb_strategy_v3 [20240400] 2024-01-31 09:00:39 [1] 808.500000 10027 GASOLINE caleb_strategy_v3 [20240500] 2024-01-31 14:00:48 [1] 2.506300 10032 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-31 14:01:46 [-1] 2.135000 10040 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-31 14:05:54 [-1] 2.145000 10038 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-31 14:05:14 [-1] 2.140000 10036 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-31 14:03:46 [-1] 2.145000 10034 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-31 14:02:59 [-1] 2.140000 10030 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-31 14:00:52 [-1] 2.145000 10042 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-31 14:06:46 [-1] 2060.100000 10041 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-31 14:05:55 [-1] 2059.300000 10039 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-31 14:05:15 [-1] 2059.700000 10037 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-31 14:03:47 [-1] 2059.600000 10035 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-31 14:03:00 [-1] 2059.200000 10031 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-31 14:00:54 [-1] 2059.000000 10033 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-31 14:01:47 [-1] 2060.000000 10050 JPY caleb_strategy_v3 [20240300] 2024-01-31 15:01:45 [1] 0.006873 10069 LIVECOW caleb_strategy_v3 [20240400] 2024-01-31 15:30:14 [1] 180.900000 10072 LIVECOW caleb_strategy_v3 [20240400] 2024-01-31 15:31:03 [1] 180.875000 10019 NIKKEI caleb_strategy_v3 [20240300] 2024-01-31 03:02:19 [-1] 35870.000000 10018 NIKKEI caleb_strategy_v3 [20240300] 2024-01-31 03:01:23 [-1] 35865.000000 10026 PALLAD caleb_strategy_v3 [20240300] 2024-01-31 14:00:46 [-1] 975.000000 10025 ROBUSTA caleb_strategy_v3 [20240500] 2024-01-31 10:00:40 [1] 3194.000000 10053 RUSSELL caleb_strategy_v3 [20240300] 2024-01-31 15:01:58 [1] 1998.100000 10056 RUSSELL caleb_strategy_v3 [20240300] 2024-01-31 15:02:50 [1] 1997.700000 10046 RUSSELL caleb_strategy_v3 [20240300] 2024-01-31 15:01:34 [1] 1999.100000 10071 SOYMEAL caleb_strategy_v3 [20240500] 2024-01-31 15:30:21 [1] 359.100000 10028 SUGAR11 caleb_strategy_v3 [20240500] 2024-01-31 14:00:50 [1] 23.140000 10045 US10 caleb_strategy_v3 [20240300] 2024-01-31 15:01:33 [1] 112.421875 10049 US10U caleb_strategy_v3 [20240300] 2024-01-31 15:01:44 [1] 117.031250 10052 US5 caleb_strategy_v3 [20240300] 2024-01-31 15:01:57 [1] 108.453125 10055 US5 caleb_strategy_v3 [20240300] 2024-01-31 15:02:50 [1] 108.476563 10044 US5 caleb_strategy_v3 [20240300] 2024-01-31 15:01:27 [1] 108.453125 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10018 NIKKEI caleb_strategy_v3 2024-01-30 2024-01-31 03:01:19.026 2024-01-31 03:01:23 97279.026 3.974 10019 NIKKEI caleb_strategy_v3 2024-01-30 2024-01-31 03:02:19.321 2024-01-31 03:02:19 97339.321 NaN 10020 BTP caleb_strategy_v3 2024-01-30 2024-01-31 08:00:34.701 2024-01-31 08:00:35 115234.701 0.299 10021 EUROSTX caleb_strategy_v3 2024-01-30 2024-01-31 08:00:35.754 2024-01-31 08:00:38 115235.754 2.246 10023 GASOIL caleb_strategy_v3 2024-01-30 2024-01-31 09:00:37.970 2024-01-31 09:00:39 118837.97 1.03 10024 EURIBOR-ICE caleb_strategy_v3 2024-01-30 2024-01-31 09:01:36.678 2024-01-31 09:01:37 118896.678 0.322 10022 EURIBOR-ICE caleb_strategy_v3 2024-01-30 2024-01-31 09:00:36.778 2024-01-31 09:00:37 118836.778 0.222 10025 ROBUSTA caleb_strategy_v3 2024-01-30 2024-01-31 10:00:39.070 2024-01-31 10:00:40 122439.07 0.93 10026 PALLAD caleb_strategy_v3 2024-01-30 2024-01-31 14:00:46.318 2024-01-31 14:00:46 136846.318 NaN 10027 GASOLINE caleb_strategy_v3 2024-01-30 2024-01-31 14:00:47.243 2024-01-31 14:00:48 136847.243 0.757 10028 SUGAR11 caleb_strategy_v3 2024-01-30 2024-01-31 14:00:49.126 2024-01-31 14:00:50 136849.126 0.874 10029 COCOA caleb_strategy_v3 2024-01-30 2024-01-31 14:00:51.082 2024-01-31 14:00:51 136851.082 NaN 10030 GAS_US_mini caleb_strategy_v3 2024-01-30 2024-01-31 14:00:52.378 2024-01-31 14:00:52 136852.378 NaN 10032 GAS_US_mini caleb_strategy_v3 2024-01-30 2024-01-31 14:01:45.975 2024-01-31 14:01:46 136905.975 0.025 10034 GAS_US_mini caleb_strategy_v3 2024-01-30 2024-01-31 14:02:46.212 2024-01-31 14:02:59 136966.212 12.788 10036 GAS_US_mini caleb_strategy_v3 2024-01-30 2024-01-31 14:03:46.009 2024-01-31 14:03:46 137026.009 NaN 10038 GAS_US_mini caleb_strategy_v3 2024-01-30 2024-01-31 14:04:46.235 2024-01-31 14:05:14 137086.235 27.765 10040 GAS_US_mini caleb_strategy_v3 2024-01-30 2024-01-31 14:05:46.267 2024-01-31 14:05:54 137146.267 7.733 10031 GOLD_micro caleb_strategy_v3 2024-01-30 2024-01-31 14:00:53.454 2024-01-31 14:00:54 136853.454 0.546 10033 GOLD_micro caleb_strategy_v3 2024-01-30 2024-01-31 14:01:46.934 2024-01-31 14:01:47 136906.934 0.066 10035 GOLD_micro caleb_strategy_v3 2024-01-30 2024-01-31 14:02:59.824 2024-01-31 14:03:00 136979.824 0.176 10037 GOLD_micro caleb_strategy_v3 2024-01-30 2024-01-31 14:03:47.010 2024-01-31 14:03:47 137027.01 NaN 10039 GOLD_micro caleb_strategy_v3 2024-01-30 2024-01-31 14:05:14.828 2024-01-31 14:05:15 137114.828 0.172 10041 GOLD_micro caleb_strategy_v3 2024-01-30 2024-01-31 14:05:54.566 2024-01-31 14:05:55 137154.566 0.434 10042 GOLD_micro caleb_strategy_v3 2024-01-30 2024-01-31 14:06:46.276 2024-01-31 14:06:46 137206.276 NaN 10045 US10 caleb_strategy_v3 2024-01-30 2024-01-31 15:01:27.958 2024-01-31 15:01:33 140487.958 5.042 10047 DOW caleb_strategy_v3 2024-01-30 2024-01-31 15:01:35.378 2024-01-31 15:01:36 140495.378 0.622 10048 AUD caleb_strategy_v3 2024-01-30 2024-01-31 15:01:36.786 2024-01-31 15:01:39 140496.786 2.214 10049 US10U caleb_strategy_v3 2024-01-30 2024-01-31 15:01:40.551 2024-01-31 15:01:44 140500.551 3.449 10050 JPY caleb_strategy_v3 2024-01-30 2024-01-31 15:01:45.278 2024-01-31 15:01:45 140505.278 NaN 10044 US5 caleb_strategy_v3 2024-01-30 2024-01-31 15:01:26.427 2024-01-31 15:01:27 140486.427 0.573 10055 US5 caleb_strategy_v3 2024-01-30 2024-01-31 15:02:50.066 2024-01-31 15:02:50 140570.066 NaN 10052 US5 caleb_strategy_v3 2024-01-30 2024-01-31 15:01:57.519 2024-01-31 15:01:57 140517.519 NaN 10056 RUSSELL caleb_strategy_v3 2024-01-30 2024-01-31 15:02:50.807 2024-01-31 15:02:50 140570.807 NaN 10053 RUSSELL caleb_strategy_v3 2024-01-30 2024-01-31 15:01:58.128 2024-01-31 15:01:58 140518.128 NaN 10046 RUSSELL caleb_strategy_v3 2024-01-30 2024-01-31 15:01:34.558 2024-01-31 15:01:34 140494.558 NaN 10051 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:01:49.449 2024-01-31 15:01:57 140509.449 7.551 10054 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:02:49.494 2024-01-31 15:02:49 140569.494 NaN 10057 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:03:49.542 2024-01-31 15:04:28 140629.542 38.458 10058 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:04:49.564 2024-01-31 15:04:49 140689.564 NaN 10059 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:05:49.589 2024-01-31 15:05:49 140749.589 NaN 10060 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:06:49.632 2024-01-31 15:06:49 140809.632 NaN 10061 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:07:49.684 2024-01-31 15:07:49 140869.684 NaN 10062 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:08:49.775 2024-01-31 15:10:56 140929.775 126.225 10063 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:11:00.287 2024-01-31 15:11:38 141060.287 37.713 10064 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:12:00.231 2024-01-31 15:12:14 141120.231 13.769 10065 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:13:00.377 2024-01-31 15:13:00 141180.377 NaN 10066 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:14:00.426 2024-01-31 15:14:00 141240.426 NaN 10067 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:15:00.867 2024-01-31 15:15:15 141300.867 14.133 10068 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:16:00.952 2024-01-31 15:16:01 141360.952 0.048 10043 BITCOIN caleb_strategy_v3 2024-01-30 2024-01-31 15:00:48.850 2024-01-31 15:01:25 140448.85 36.15 10070 FEEDCOW caleb_strategy_v3 2024-01-30 2024-01-31 15:30:14.846 2024-01-31 15:30:14 142214.846 NaN 10071 SOYMEAL caleb_strategy_v3 2024-01-30 2024-01-31 15:30:15.926 2024-01-31 15:30:21 142215.926 5.074 10072 LIVECOW caleb_strategy_v3 2024-01-30 2024-01-31 15:31:03.517 2024-01-31 15:31:03 142263.517 NaN 10069 LIVECOW caleb_strategy_v3 2024-01-30 2024-01-31 15:30:03.239 2024-01-31 15:30:14 142203.239 10.761 ==================================================================================================================================================================================================================================== 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 10018 NIKKEI caleb_strategy_v3 [-1] 35955.0 None 35862.5 35860.0 35865.0 35865.0 35865.0 -92.5 -2.5 5.0 -0.0 NaN 2.5 10019 NIKKEI caleb_strategy_v3 [-1] 35955.0 None 35867.5 35865.0 35870.0 35870.0 35870.0 -87.5 -2.5 5.0 -0.0 NaN 2.5 10020 BTP caleb_strategy_v3 [1] 118.3 None 118.855 118.86 118.85 NaN 118.86 -0.555 -0.005 0.0 NaN NaN -0.005 10021 EUROSTX caleb_strategy_v3 [1] 4684.0 None 4684.5 4685.0 4684.0 4684.0 4686.0 -0.5 -0.5 -1.0 -2.0 NaN -1.5 10023 GASOIL caleb_strategy_v3 [1] 812.0 None 808.125 808.25 808.0 808.0 808.5 3.875 -0.125 -0.25 -0.5 NaN -0.375 10024 EURIBOR-ICE caleb_strategy_v3 [1] 97.855 None 97.9025 97.905 97.9 97.9 97.91 -0.0475 -0.0025 -0.005 -0.01 NaN -0.0075 10022 EURIBOR-ICE caleb_strategy_v3 [1] 97.855 None 97.9125 97.915 97.91 97.91 97.905 -0.0575 -0.0025 0.01 0.005 NaN 0.0075 10025 ROBUSTA caleb_strategy_v3 [1] 3181.0 None 3192.5 3194.0 3191.0 3191.0 3194.0 -11.5 -1.5 0.0 -3.0 NaN -1.5 10026 PALLAD caleb_strategy_v3 [-1] 982.5 None 976.5 975.5 977.5 977.5 975.0 -6.0 -1.0 -0.5 -2.5 NaN -1.5 10027 GASOLINE caleb_strategy_v3 [1] 2.5131 None 2.5056 2.5061 2.5051 2.5051 2.5063 0.0075 -0.0005 -0.0002 -0.0012 NaN -0.0007 10028 SUGAR11 caleb_strategy_v3 [1] 23.14 None 23.0 23.0 23.0 23.0 23.14 0.14 0.0 -0.14 -0.14 NaN -0.14 10029 COCOA caleb_strategy_v3 [1] 4732.0 None 4771.5 4772.0 4771.0 4771.0 4771.0 -39.5 -0.5 1.0 0.0 NaN 0.5 10030 GAS_US_mini caleb_strategy_v3 [-1] 2.12 None 2.1475 2.145 2.15 2.15 2.145 0.0275 -0.0025 -0.0 -0.005 NaN -0.0025 10032 GAS_US_mini caleb_strategy_v3 [-1] 2.12 None 2.1475 2.145 2.15 NaN 2.135 0.0275 -0.0025 -0.01 NaN NaN -0.0125 10034 GAS_US_mini caleb_strategy_v3 [-1] 2.12 None 2.1375 2.135 2.14 2.14 2.14 0.0175 -0.0025 0.005 -0.0 NaN 0.0025 10036 GAS_US_mini caleb_strategy_v3 [-1] 2.12 None 2.1475 2.145 2.15 NaN 2.145 0.0275 -0.0025 -0.0 NaN NaN -0.0025 10038 GAS_US_mini caleb_strategy_v3 [-1] 2.12 None 2.1475 2.145 2.15 2.15 2.14 0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 10040 GAS_US_mini caleb_strategy_v3 [-1] 2.12 None 2.1475 2.145 2.15 2.15 2.145 0.0275 -0.0025 -0.0 -0.005 NaN -0.0025 10031 GOLD_micro caleb_strategy_v3 [-1] 2054.0 None 2058.95 2058.9 2059.0 2059.0 2059.0 4.95 -0.05 0.1 -0.0 NaN 0.05 10033 GOLD_micro caleb_strategy_v3 [-1] 2054.0 None 2059.0 2058.9 2059.1 2059.1 2060.0 5.0 -0.1 1.1 0.9 NaN 1.0 10035 GOLD_micro caleb_strategy_v3 [-1] 2054.0 None 2060.1 2060.0 2060.2 2060.2 2059.2 6.1 -0.1 -0.8 -1.0 NaN -0.9 10037 GOLD_micro caleb_strategy_v3 [-1] 2054.0 None 2059.2 2059.1 2059.3 2059.3 2059.6 5.2 -0.1 0.5 0.3 NaN 0.4 10039 GOLD_micro caleb_strategy_v3 [-1] 2054.0 None 2059.7 2059.6 2059.8 2059.8 2059.7 5.7 -0.1 0.1 -0.1 NaN 0.0 10041 GOLD_micro caleb_strategy_v3 [-1] 2054.0 None 2059.75 2059.7 2059.8 NaN 2059.3 5.75 -0.05 -0.4 NaN NaN -0.45 10042 GOLD_micro caleb_strategy_v3 [-1] 2054.0 None 2060.0 2059.9 2060.1 2060.1 2060.1 6.0 -0.1 0.2 -0.0 NaN 0.1 10045 US10 caleb_strategy_v3 [1] 111.609375 None 112.398438 112.40625 112.390625 112.390625 112.421875 -0.789062 -0.007812 -0.015625 -0.03125 NaN -0.023438 10047 DOW caleb_strategy_v3 [-1] 38605.0 None 38610.5 38610.0 38611.0 38611.0 38611.0 5.5 -0.5 1.0 -0.0 NaN 0.5 10048 AUD caleb_strategy_v3 [1] 0.66145 None 0.66285 0.6629 0.6628 0.6628 0.6629 -0.0014 -0.00005 0.0 -0.0001 NaN -0.00005 10049 US10U caleb_strategy_v3 [1] 116.015625 None 117.007812 117.015625 117.0 117.0 117.03125 -0.992188 -0.007812 -0.015625 -0.03125 NaN -0.023438 10050 JPY caleb_strategy_v3 [1] 0.006824 None 0.006873 0.006873 0.006872 0.006872 0.006873 -0.000048 -0.0 0.0 -0.000001 NaN -0.0 10044 US5 caleb_strategy_v3 [1] 107.867188 None 108.457031 108.460938 108.453125 108.453125 108.453125 -0.589844 -0.003906 0.007812 0.0 NaN 0.003906 10055 US5 caleb_strategy_v3 [1] 107.867188 None 108.449219 108.453125 108.445312 108.445312 108.476563 -0.582031 -0.003906 -0.023438 -0.03125 NaN -0.027344 10052 US5 caleb_strategy_v3 [1] 107.867188 None 108.457031 108.460938 108.453125 108.453125 108.453125 -0.589844 -0.003906 0.007812 0.0 NaN 0.003906 10056 RUSSELL caleb_strategy_v3 [1] 2005.5 None 1997.95 1998.0 1997.9 1997.9 1997.7 7.55 -0.05 0.3 0.2 NaN 0.25 10053 RUSSELL caleb_strategy_v3 [1] 2005.5 None 1999.0 1999.1 1998.9 1998.9 1998.1 6.5 -0.1 1.0 0.8 NaN 0.9 10046 RUSSELL caleb_strategy_v3 [1] 2005.5 None 1998.9 1999.0 1998.8 1998.8 1999.1 6.6 -0.1 -0.1 -0.3 NaN -0.2 10051 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43547.5 43570.0 43525.0 43525.0 43525.0 707.5 -22.5 45.0 0.0 NaN 22.5 10054 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43532.5 43550.0 43515.0 43515.0 43515.0 722.5 -17.5 35.0 0.0 NaN 17.5 10057 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43492.5 43515.0 43470.0 43470.0 43470.0 762.5 -22.5 45.0 0.0 NaN 22.5 10058 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43440.0 43470.0 43410.0 43410.0 43515.0 815.0 -30.0 -45.0 -105.0 NaN -75.0 10059 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43492.5 43515.0 43470.0 43470.0 43560.0 762.5 -22.5 -45.0 -90.0 NaN -67.5 10060 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43537.5 43560.0 43515.0 43515.0 43600.0 717.5 -22.5 -40.0 -85.0 NaN -62.5 10061 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43575.0 43600.0 43550.0 43550.0 43625.0 680.0 -25.0 -25.0 -75.0 NaN -50.0 10062 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43595.0 43625.0 43565.0 43565.0 43565.0 660.0 -30.0 60.0 0.0 NaN 30.0 10063 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43560.0 43565.0 43555.0 43555.0 43555.0 695.0 -5.0 10.0 0.0 NaN 5.0 10064 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43535.0 43560.0 43510.0 43510.0 43575.0 720.0 -25.0 -15.0 -65.0 NaN -40.0 10065 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43545.0 43575.0 43515.0 43515.0 43600.0 710.0 -30.0 -25.0 -85.0 NaN -55.0 10066 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43575.0 43600.0 43550.0 43550.0 43615.0 680.0 -25.0 -15.0 -65.0 NaN -40.0 10067 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43590.0 43615.0 43565.0 43565.0 43565.0 665.0 -25.0 50.0 0.0 NaN 25.0 10068 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43542.5 43570.0 43515.0 43515.0 43570.0 712.5 -27.5 0.0 -55.0 NaN -27.5 10043 BITCOIN caleb_strategy_v3 [1] 44255.0 None 43585.0 43610.0 43560.0 43560.0 43560.0 670.0 -25.0 50.0 0.0 NaN 25.0 10070 FEEDCOW caleb_strategy_v3 [1] 251.925 None 252.5 252.5 252.5 252.5 251.625 -0.575 0.0 0.875 0.875 NaN 0.875 10071 SOYMEAL caleb_strategy_v3 [1] 361.9 None 359.15 359.2 359.1 359.1 359.1 2.75 -0.05 0.1 0.0 NaN 0.05 10072 LIVECOW caleb_strategy_v3 [1] 181.675 None 180.4625 180.925 180.0 180.0 180.875 1.2125 -0.4625 0.05 -0.875 NaN -0.4125 10069 LIVECOW caleb_strategy_v3 [1] 181.675 None 180.9125 180.925 180.9 180.9 180.9 0.7625 -0.0125 0.025 0.0 NaN 0.0125 ================================================================================================================================================================ 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 10018 NIKKEI caleb_strategy_v3 [-1] 5502.971802 -168.090994 -4.543 9.086 -0.0 NaN 4.543 10019 NIKKEI caleb_strategy_v3 [-1] 5502.971802 -159.004994 -4.543 9.086 -0.0 NaN 4.543 10020 BTP caleb_strategy_v3 [1] 10.969672 -505.94036 -4.558021 0.0 NaN NaN -4.558021 10021 EUROSTX caleb_strategy_v3 [1] 595.284453 -8.399346 -8.399346 -16.798692 -33.597383 NaN -25.198038 10023 GASOIL caleb_strategy_v3 [1] 266.291538 145.517204 -4.694103 -9.388207 -18.776413 NaN -14.08231 10024 EURIBOR-ICE caleb_strategy_v3 [1] 1.052949 -451.114055 -23.742845 -47.48569 -94.97138 NaN -71.228535 10022 EURIBOR-ICE caleb_strategy_v3 [1] 1.052949 -546.085435 -23.742845 94.97138 47.48569 NaN 71.228535 10025 ROBUSTA caleb_strategy_v3 [1] 750.034337 -153.326314 -19.999084 0.0 -39.998169 NaN -19.999084 10026 PALLAD caleb_strategy_v3 [-1] 498.963928 -120.249174 -20.041529 -10.020764 -50.103822 NaN -30.062293 10027 GASOLINE caleb_strategy_v3 [1] 0.722978 103.737662 -6.915844 -2.766338 -16.598026 NaN -9.682182 10028 SUGAR11 caleb_strategy_v3 [1] 6.171167 226.861473 0.0 -226.861473 -226.861473 NaN -226.861473 10029 COCOA caleb_strategy_v3 [1] 929.012256 -425.182765 -5.38206 10.764121 0.0 NaN 5.38206 10030 GAS_US_mini caleb_strategy_v3 [-1] 1.797417 152.99732 -13.908847 -0.0 -27.817694 NaN -13.908847 10032 GAS_US_mini caleb_strategy_v3 [-1] 1.797417 152.99732 -13.908847 -55.635389 NaN NaN -69.544236 10034 GAS_US_mini caleb_strategy_v3 [-1] 1.797417 97.361931 -13.908847 27.817694 -0.0 NaN 13.908847 10036 GAS_US_mini caleb_strategy_v3 [-1] 1.797417 152.99732 -13.908847 -0.0 NaN NaN -13.908847 10038 GAS_US_mini caleb_strategy_v3 [-1] 1.797417 152.99732 -13.908847 -27.817694 -55.635389 NaN -41.726542 10040 GAS_US_mini caleb_strategy_v3 [-1] 1.797417 152.99732 -13.908847 -0.0 -27.817694 NaN -13.908847 10031 GOLD_micro caleb_strategy_v3 [-1] 231.721138 213.618837 -2.157766 4.315532 -0.0 NaN 2.157766 10033 GOLD_micro caleb_strategy_v3 [-1] 231.721138 215.776603 -4.315532 47.470853 38.839789 NaN 43.155321 10035 GOLD_micro caleb_strategy_v3 [-1] 231.721138 263.247455 -4.315532 -34.524256 -43.155321 NaN -38.839789 10037 GOLD_micro caleb_strategy_v3 [-1] 231.721138 224.407667 -4.315532 21.57766 12.946596 NaN 17.262128 10039 GOLD_micro caleb_strategy_v3 [-1] 231.721138 245.985327 -4.315532 4.315532 -4.315532 NaN 0.0 10041 GOLD_micro caleb_strategy_v3 [-1] 231.721138 248.143093 -2.157766 -17.262128 NaN NaN -19.419894 10042 GOLD_micro caleb_strategy_v3 [-1] 231.721138 258.931923 -4.315532 8.631064 -0.0 NaN 4.315532 10045 US10 caleb_strategy_v3 [1] 6.889223 -1145.357751 -11.340176 -22.680352 -45.360703 NaN -34.020527 10047 DOW caleb_strategy_v3 [-1] 3568.52632 15.412525 -1.401139 2.802277 -0.0 NaN 1.401139 10048 AUD caleb_strategy_v3 [1] 0.059836 -233.973276 -8.356188 0.0 -16.712377 NaN -8.356188 10049 US10U caleb_strategy_v3 [1] 9.120396 -1087.877629 -8.565966 -17.131931 -34.263862 NaN -25.697897 10050 JPY caleb_strategy_v3 [1] 0.000658 -729.419577 -7.598121 0.0 -15.196241 NaN -7.598121 10044 US5 caleb_strategy_v3 [1] 4.811886 -1225.805618 -8.117918 16.235836 0.0 NaN 8.117918 10055 US5 caleb_strategy_v3 [1] 4.811886 -1209.569782 -8.117918 -48.708547 -64.944383 NaN -56.826465 10052 US5 caleb_strategy_v3 [1] 4.811886 -1225.805618 -8.117918 16.235836 0.0 NaN 8.117918 10056 RUSSELL caleb_strategy_v3 [1] 407.6397 185.212579 -1.226573 7.35944 4.906293 NaN 6.132867 10053 RUSSELL caleb_strategy_v3 [1] 407.6397 159.454538 -2.453147 24.531467 19.625174 NaN 22.078321 10046 RUSSELL caleb_strategy_v3 [1] 407.6397 161.907685 -2.453147 -2.453147 -7.35944 NaN -4.906293 10051 BITCOIN caleb_strategy_v3 [1] 18922.002384 373.903346 -11.890919 23.781838 0.0 NaN 11.890919 10054 BITCOIN caleb_strategy_v3 [1] 18922.002384 381.830625 -9.248493 18.496985 0.0 NaN 9.248493 10057 BITCOIN caleb_strategy_v3 [1] 18922.002384 402.970037 -11.890919 23.781838 0.0 NaN 11.890919 10058 BITCOIN caleb_strategy_v3 [1] 18922.002384 430.715515 -15.854559 -23.781838 -55.490956 NaN -39.636397 10059 BITCOIN caleb_strategy_v3 [1] 18922.002384 402.970037 -11.890919 -23.781838 -47.563676 NaN -35.672757 10060 BITCOIN caleb_strategy_v3 [1] 18922.002384 379.188199 -11.890919 -21.139412 -44.92125 NaN -33.030331 10061 BITCOIN caleb_strategy_v3 [1] 18922.002384 359.37 -13.212132 -13.212132 -39.636397 NaN -26.424265 10062 BITCOIN caleb_strategy_v3 [1] 18922.002384 348.800294 -15.854559 31.709118 0.0 NaN 15.854559 10063 BITCOIN caleb_strategy_v3 [1] 18922.002384 367.29728 -2.642426 5.284853 0.0 NaN 2.642426 10064 BITCOIN caleb_strategy_v3 [1] 18922.002384 380.509412 -13.212132 -7.927279 -34.351544 NaN -21.139412 10065 BITCOIN caleb_strategy_v3 [1] 18922.002384 375.224559 -15.854559 -13.212132 -44.92125 NaN -29.066691 10066 BITCOIN caleb_strategy_v3 [1] 18922.002384 359.37 -13.212132 -7.927279 -34.351544 NaN -21.139412 10067 BITCOIN caleb_strategy_v3 [1] 18922.002384 351.442721 -13.212132 26.424265 0.0 NaN 13.212132 10068 BITCOIN caleb_strategy_v3 [1] 18922.002384 376.545772 -14.533346 0.0 -29.066691 NaN -14.533346 10043 BITCOIN caleb_strategy_v3 [1] 18922.002384 354.085147 -13.212132 26.424265 0.0 NaN 13.212132 10070 FEEDCOW caleb_strategy_v3 [1] 30.976539 -185.624351 0.0 282.471839 282.471839 NaN 282.471839 10071 SOYMEAL caleb_strategy_v3 [1] 86.959725 316.238351 -5.749788 11.499576 0.0 NaN 5.749788 10072 LIVECOW caleb_strategy_v3 [1] 19.535498 620.66501 -236.748509 25.594433 -447.902585 NaN -211.154076 10069 LIVECOW caleb_strategy_v3 [1] 19.535498 390.315109 -6.398608 12.797217 0.0 NaN 6.398608 ======================================================================================================================================================================== 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 10018 NIKKEI caleb_strategy_v3 [-1] 0.676247 -62.552832 -1.690617 3.381234 -0.0 NaN 1.690617 10019 NIKKEI caleb_strategy_v3 [-1] 0.676247 -59.171598 -1.690617 3.381234 -0.0 NaN 1.690617 10020 BTP caleb_strategy_v3 [1] 1081.6 -600.288 -5.408 0.0 NaN NaN -5.408 10021 EUROSTX caleb_strategy_v3 [1] 10.816 -5.408 -5.408 -10.816 -21.632 NaN -16.224 10023 GASOIL caleb_strategy_v3 [1] 100.0 387.5 -12.5 -25.0 -50.0 NaN -37.5 10024 EURIBOR-ICE caleb_strategy_v3 [1] 2704.0 -128.44 -6.76 -13.52 -27.04 NaN -20.28 10022 EURIBOR-ICE caleb_strategy_v3 [1] 2704.0 -155.48 -6.76 27.04 13.52 NaN 20.28 10025 ROBUSTA caleb_strategy_v3 [1] 10.0 -115.0 -15.0 0.0 -30.0 NaN -15.0 10026 PALLAD caleb_strategy_v3 [-1] 100.0 -600.0 -100.0 -50.0 -250.0 NaN -150.0 10027 GASOLINE caleb_strategy_v3 [1] 42000.0 315.0 -21.0 -8.4 -50.4 NaN -29.4 10028 SUGAR11 caleb_strategy_v3 [1] 1120.0 156.8 0.0 -156.8 -156.8 NaN -156.8 10029 COCOA caleb_strategy_v3 [1] 10.0 -395.0 -5.0 10.0 0.0 NaN 5.0 10030 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 68.75 -6.25 -0.0 -12.5 NaN -6.25 10032 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 68.75 -6.25 -25.0 NaN NaN -31.25 10034 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 43.75 -6.25 12.5 -0.0 NaN 6.25 10036 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 68.75 -6.25 -0.0 NaN NaN -6.25 10038 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 68.75 -6.25 -12.5 -25.0 NaN -18.75 10040 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 68.75 -6.25 -0.0 -12.5 NaN -6.25 10031 GOLD_micro caleb_strategy_v3 [-1] 10.0 49.5 -0.5 1.0 -0.0 NaN 0.5 10033 GOLD_micro caleb_strategy_v3 [-1] 10.0 50.0 -1.0 11.0 9.0 NaN 10.0 10035 GOLD_micro caleb_strategy_v3 [-1] 10.0 61.0 -1.0 -8.0 -10.0 NaN -9.0 10037 GOLD_micro caleb_strategy_v3 [-1] 10.0 52.0 -1.0 5.0 3.0 NaN 4.0 10039 GOLD_micro caleb_strategy_v3 [-1] 10.0 57.0 -1.0 1.0 -1.0 NaN 0.0 10041 GOLD_micro caleb_strategy_v3 [-1] 10.0 57.5 -0.5 -4.0 NaN NaN -4.5 10042 GOLD_micro caleb_strategy_v3 [-1] 10.0 60.0 -1.0 2.0 -0.0 NaN 1.0 10045 US10 caleb_strategy_v3 [1] 1000.0 -789.0625 -7.8125 -15.625 -31.25 NaN -23.4375 10047 DOW caleb_strategy_v3 [-1] 0.5 2.75 -0.25 0.5 -0.0 NaN 0.25 10048 AUD caleb_strategy_v3 [1] 100000.0 -140.0 -5.0 0.0 -10.0 NaN -5.0 10049 US10U caleb_strategy_v3 [1] 1000.0 -992.1875 -7.8125 -15.625 -31.25 NaN -23.4375 10050 JPY caleb_strategy_v3 [1] 12500000.0 -600.0 -6.25 0.0 -12.5 NaN -6.25 10044 US5 caleb_strategy_v3 [1] 1000.0 -589.84375 -3.90625 7.8125 0.0 NaN 3.90625 10055 US5 caleb_strategy_v3 [1] 1000.0 -582.03125 -3.90625 -23.438 -31.2505 NaN -27.34425 10052 US5 caleb_strategy_v3 [1] 1000.0 -589.84375 -3.90625 7.8125 0.0 NaN 3.90625 10056 RUSSELL caleb_strategy_v3 [1] 5.0 37.75 -0.25 1.5 1.0 NaN 1.25 10053 RUSSELL caleb_strategy_v3 [1] 5.0 32.5 -0.5 5.0 4.0 NaN 4.5 10046 RUSSELL caleb_strategy_v3 [1] 5.0 33.0 -0.5 -0.5 -1.5 NaN -1.0 10051 BITCOIN caleb_strategy_v3 [1] 0.1 70.75 -2.25 4.5 0.0 NaN 2.25 10054 BITCOIN caleb_strategy_v3 [1] 0.1 72.25 -1.75 3.5 0.0 NaN 1.75 10057 BITCOIN caleb_strategy_v3 [1] 0.1 76.25 -2.25 4.5 0.0 NaN 2.25 10058 BITCOIN caleb_strategy_v3 [1] 0.1 81.5 -3.0 -4.5 -10.5 NaN -7.5 10059 BITCOIN caleb_strategy_v3 [1] 0.1 76.25 -2.25 -4.5 -9.0 NaN -6.75 10060 BITCOIN caleb_strategy_v3 [1] 0.1 71.75 -2.25 -4.0 -8.5 NaN -6.25 10061 BITCOIN caleb_strategy_v3 [1] 0.1 68.0 -2.5 -2.5 -7.5 NaN -5.0 10062 BITCOIN caleb_strategy_v3 [1] 0.1 66.0 -3.0 6.0 0.0 NaN 3.0 10063 BITCOIN caleb_strategy_v3 [1] 0.1 69.5 -0.5 1.0 0.0 NaN 0.5 10064 BITCOIN caleb_strategy_v3 [1] 0.1 72.0 -2.5 -1.5 -6.5 NaN -4.0 10065 BITCOIN caleb_strategy_v3 [1] 0.1 71.0 -3.0 -2.5 -8.5 NaN -5.5 10066 BITCOIN caleb_strategy_v3 [1] 0.1 68.0 -2.5 -1.5 -6.5 NaN -4.0 10067 BITCOIN caleb_strategy_v3 [1] 0.1 66.5 -2.5 5.0 0.0 NaN 2.5 10068 BITCOIN caleb_strategy_v3 [1] 0.1 71.25 -2.75 0.0 -5.5 NaN -2.75 10043 BITCOIN caleb_strategy_v3 [1] 0.1 67.0 -2.5 5.0 0.0 NaN 2.5 10070 FEEDCOW caleb_strategy_v3 [1] 500.0 -287.5 0.0 437.5 437.5 NaN 437.5 10071 SOYMEAL caleb_strategy_v3 [1] 100.0 275.0 -5.0 10.0 0.0 NaN 5.0 10072 LIVECOW caleb_strategy_v3 [1] 400.0 485.0 -185.0 20.0 -350.0 NaN -165.0 10069 LIVECOW caleb_strategy_v3 [1] 400.0 305.0 -5.0 10.0 0.0 NaN 5.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -140.0 BITCOIN 1068.0 BTP -600.288 COCOA -395.0 DOW 2.75 EURIBOR-ICE -283.92 EUROSTX -5.408 FEEDCOW -287.5 GASOIL 387.5 GASOLINE 315.0 GAS_US_mini 387.5 GOLD_micro 387.0 JPY -600.0 LIVECOW 790.0 NIKKEI -121.724429 PALLAD -600.0 ROBUSTA -115.0 RUSSELL 103.25 SOYMEAL 275.0 SUGAR11 156.8 US10 -789.0625 US10U -992.1875 US5 -1761.71875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2819.009179 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 BITCOIN -35.5 BTP -5.408 COCOA -5.0 DOW -0.25 EURIBOR-ICE -13.52 EUROSTX -5.408 FEEDCOW 0.0 GASOIL -12.5 GASOLINE -21.0 GAS_US_mini -37.5 GOLD_micro -6.0 JPY -6.25 LIVECOW -190.0 NIKKEI -3.381234 PALLAD -100.0 ROBUSTA -15.0 RUSSELL -1.25 SOYMEAL -5.0 SUGAR11 0.0 US10 -7.8125 US10U -7.8125 US5 -11.71875 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -495.310984 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 0.0 BITCOIN 8.5 BTP 0.0 COCOA 10.0 DOW 0.5 EURIBOR-ICE 13.52 EUROSTX -10.816 FEEDCOW 437.5 GASOIL -25.0 GASOLINE -8.4 GAS_US_mini -25.0 GOLD_micro 8.0 JPY 0.0 LIVECOW 30.0 NIKKEI 6.762468 PALLAD -50.0 ROBUSTA 0.0 RUSSELL 6.0 SOYMEAL 10.0 SUGAR11 -156.8 US10 -15.625 US10U -15.625 US5 -7.813 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 215.703468 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -10.0 BITCOIN -62.5 BTP 0 COCOA 0.0 DOW -0.0 EURIBOR-ICE -13.52 EUROSTX -21.632 FEEDCOW 437.5 GASOIL -50.0 GASOLINE -50.4 GAS_US_mini -50.0 GOLD_micro 1.0 JPY -12.5 LIVECOW -350.0 NIKKEI -0.0 PALLAD -250.0 ROBUSTA -30.0 RUSSELL 3.5 SOYMEAL 0.0 SUGAR11 -156.8 US10 -31.25 US10U -31.25 US5 -31.2505 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -709.1025 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BITCOIN 0 BTP 0 COCOA 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 FEEDCOW 0 GASOIL 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 LIVECOW 0 NIKKEI 0 PALLAD 0 ROBUSTA 0 RUSSELL 0 SOYMEAL 0 SUGAR11 0 US10 0 US10U 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 BITCOIN -27.0 BTP -5.408 COCOA 5.0 DOW 0.25 EURIBOR-ICE 0.0 EUROSTX -16.224 FEEDCOW 437.5 GASOIL -37.5 GASOLINE -29.4 GAS_US_mini -62.5 GOLD_micro 2.0 JPY -6.25 LIVECOW -160.0 NIKKEI 3.381234 PALLAD -150.0 ROBUSTA -15.0 RUSSELL 4.75 SOYMEAL 5.0 SUGAR11 -156.8 US10 -23.4375 US10U -23.4375 US5 -19.53175 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -279.607516 ******************************************************************************** END OF REPORT ********************************************************************************