******************************************************************************** Trades report produced on 05/02/2024 21:37 from 04/02/2024 21:37 to 05/02/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10077 BUND caleb_strategy_v3 [20240300] 2024-02-05 08:01:03 [1] 134.560000 10085 COCOA caleb_strategy_v3 [20240500] 2024-02-05 14:00:06 [1] 5022.000000 10086 COPPER caleb_strategy_v3 [20240300] 2024-02-05 14:00:08 [-1] 3.781500 10084 CRUDE_W caleb_strategy_v3 [20241200] 2024-02-05 14:00:02 [-1] 70.400000 10083 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-05 09:04:34 [-1] 97.805000 10080 EUROSTX caleb_strategy_v3 [20240300] 2024-02-05 08:03:56 [-1] 4671.000000 10081 EUROSTX caleb_strategy_v3 [20240300] 2024-02-05 08:04:56 [-1] 4673.000000 10076 EUROSTX caleb_strategy_v3 [20240300] 2024-02-05 08:01:01 [-1] 4673.000000 10078 EUROSTX caleb_strategy_v3 [20240300] 2024-02-05 08:02:00 [-1] 4674.000000 10079 EUROSTX caleb_strategy_v3 [20240300] 2024-02-05 08:02:56 [-1] 4672.000000 10082 GASOIL caleb_strategy_v3 [20240400] 2024-02-05 09:01:03 [-1] 783.750000 10087 GASOLINE caleb_strategy_v3 [20240500] 2024-02-05 14:00:14 [-1] 2.391700 10098 GBP caleb_strategy_v3 [20240300] 2024-02-05 15:00:05 [1] 1.253900 10097 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:09:01 [1] 2032.700000 10093 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:05:03 [1] 2031.700000 10092 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:04:05 [1] 2031.100000 10091 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:03:02 [1] 2031.500000 10094 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:06:03 [1] 2032.400000 10089 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:01:02 [1] 2031.600000 10088 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:00:15 [1] 2031.600000 10095 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:07:06 [1] 2032.600000 10090 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:02:01 [1] 2031.600000 10096 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-05 14:08:03 [1] 2033.000000 10074 JGB-SGX-mini caleb_strategy_v3 [20240300] 2024-02-05 03:05:20 [-1] 146.330000 10114 LIVECOW caleb_strategy_v3 [20240400] 2024-02-05 15:30:10 [1] 183.475000 10105 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-05 15:02:04 [1] 17685.250000 10099 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-05 15:00:06 [1] 17693.500000 10102 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-05 15:01:04 [1] 17683.750000 10075 NIKKEI caleb_strategy_v3 [20240300] 2024-02-05 03:05:47 [1] 36420.000000 10110 RUSSELL caleb_strategy_v3 [20240300] 2024-02-05 15:04:04 [-1] 1933.600000 10112 RUSSELL caleb_strategy_v3 [20240300] 2024-02-05 15:05:04 [-1] 1933.500000 10113 RUSSELL caleb_strategy_v3 [20240300] 2024-02-05 15:06:04 [-1] 1933.600000 10100 RUSSELL caleb_strategy_v3 [20240300] 2024-02-05 15:00:07 [-1] 1937.700000 10103 RUSSELL caleb_strategy_v3 [20240300] 2024-02-05 15:01:05 [-1] 1937.400000 10106 RUSSELL caleb_strategy_v3 [20240300] 2024-02-05 15:02:05 [-1] 1937.800000 10108 RUSSELL caleb_strategy_v3 [20240300] 2024-02-05 15:03:04 [-1] 1935.400000 10104 US5 caleb_strategy_v3 [20240300] 2024-02-05 15:01:05 [-1] 107.375000 10107 US5 caleb_strategy_v3 [20240300] 2024-02-05 15:02:05 [-1] 107.398438 10109 US5 caleb_strategy_v3 [20240300] 2024-02-05 15:03:05 [-1] 107.375000 10101 US5 caleb_strategy_v3 [20240300] 2024-02-05 15:00:08 [-1] 107.406250 10111 US5 caleb_strategy_v3 [20240300] 2024-02-05 15:04:05 [-1] 107.335938 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10074 JGB-SGX-mini caleb_strategy_v3 2024-02-01 2024-02-05 03:00:20.295 2024-02-05 03:05:20 356420.295 299.705 10075 NIKKEI caleb_strategy_v3 2024-02-02 2024-02-05 03:05:35.222 2024-02-05 03:05:47 270335.222 11.778 10077 BUND caleb_strategy_v3 2024-02-02 2024-02-05 08:01:01.850 2024-02-05 08:01:03 288061.85 1.15 10080 EUROSTX caleb_strategy_v3 2024-02-02 2024-02-05 08:03:56.272 2024-02-05 08:03:56 288236.272 NaN 10081 EUROSTX caleb_strategy_v3 2024-02-02 2024-02-05 08:04:56.276 2024-02-05 08:04:56 288296.276 NaN 10076 EUROSTX caleb_strategy_v3 2024-02-02 2024-02-05 08:00:57.278 2024-02-05 08:01:01 288057.278 3.722 10078 EUROSTX caleb_strategy_v3 2024-02-02 2024-02-05 08:01:56.235 2024-02-05 08:02:00 288116.235 3.765 10079 EUROSTX caleb_strategy_v3 2024-02-02 2024-02-05 08:02:56.241 2024-02-05 08:02:56 288176.241 NaN 10082 GASOIL caleb_strategy_v3 2024-02-02 2024-02-05 09:00:59.970 2024-02-05 09:01:03 291659.97 3.03 10083 EURIBOR-ICE caleb_strategy_v3 2024-02-02 2024-02-05 09:01:58.518 2024-02-05 09:04:34 291718.518 155.482 10084 CRUDE_W caleb_strategy_v3 2024-02-02 2024-02-05 14:00:02.319 2024-02-05 14:00:02 309602.319 NaN 10085 COCOA caleb_strategy_v3 2024-02-02 2024-02-05 14:00:04.045 2024-02-05 14:00:06 309604.045 1.955 10086 COPPER caleb_strategy_v3 2024-02-02 2024-02-05 14:00:07.771 2024-02-05 14:00:08 309607.771 0.229 10087 GASOLINE caleb_strategy_v3 2024-02-02 2024-02-05 14:00:09.270 2024-02-05 14:00:14 309609.27 4.73 10088 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:00:15.286 2024-02-05 14:00:15 309615.286 NaN 10089 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:01:01.808 2024-02-05 14:01:02 309661.808 0.192 10090 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:02:01.811 2024-02-05 14:02:01 309721.811 NaN 10091 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:03:01.632 2024-02-05 14:03:02 309781.632 0.368 10092 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:04:01.725 2024-02-05 14:04:05 309841.725 3.275 10093 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:05:01.732 2024-02-05 14:05:03 309901.732 1.268 10094 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:06:01.877 2024-02-05 14:06:03 309961.877 1.123 10095 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:07:01.880 2024-02-05 14:07:06 310021.88 4.12 10096 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:08:01.890 2024-02-05 14:08:03 310081.89 1.11 10097 GOLD_micro caleb_strategy_v3 2024-02-02 2024-02-05 14:09:01.787 2024-02-05 14:09:01 310141.787 NaN 10098 GBP caleb_strategy_v3 2024-02-02 2024-02-05 15:00:04.659 2024-02-05 15:00:05 313204.659 0.341 10105 NASDAQ_micro caleb_strategy_v3 2024-02-02 2024-02-05 15:02:04.476 2024-02-05 15:02:04 313324.476 NaN 10099 NASDAQ_micro caleb_strategy_v3 2024-02-02 2024-02-05 15:00:06.170 2024-02-05 15:00:06 313206.17 NaN 10102 NASDAQ_micro caleb_strategy_v3 2024-02-02 2024-02-05 15:01:04.454 2024-02-05 15:01:04 313264.454 NaN 10101 US5 caleb_strategy_v3 2024-02-02 2024-02-05 15:00:08.201 2024-02-05 15:00:08 313208.201 NaN 10104 US5 caleb_strategy_v3 2024-02-02 2024-02-05 15:01:05.774 2024-02-05 15:01:05 313265.774 NaN 10107 US5 caleb_strategy_v3 2024-02-02 2024-02-05 15:02:05.823 2024-02-05 15:02:05 313325.823 NaN 10109 US5 caleb_strategy_v3 2024-02-02 2024-02-05 15:03:04.920 2024-02-05 15:03:05 313384.92 0.08 10111 US5 caleb_strategy_v3 2024-02-02 2024-02-05 15:04:05.442 2024-02-05 15:04:05 313445.442 NaN 10112 RUSSELL caleb_strategy_v3 2024-02-02 2024-02-05 15:05:04.627 2024-02-05 15:05:04 313504.627 NaN 10113 RUSSELL caleb_strategy_v3 2024-02-02 2024-02-05 15:06:04.653 2024-02-05 15:06:04 313564.653 NaN 10100 RUSSELL caleb_strategy_v3 2024-02-02 2024-02-05 15:00:07.146 2024-02-05 15:00:07 313207.146 NaN 10103 RUSSELL caleb_strategy_v3 2024-02-02 2024-02-05 15:01:05.030 2024-02-05 15:01:05 313265.03 NaN 10106 RUSSELL caleb_strategy_v3 2024-02-02 2024-02-05 15:02:05.194 2024-02-05 15:02:05 313325.194 NaN 10108 RUSSELL caleb_strategy_v3 2024-02-02 2024-02-05 15:03:04.368 2024-02-05 15:03:04 313384.368 NaN 10110 RUSSELL caleb_strategy_v3 2024-02-02 2024-02-05 15:04:04.719 2024-02-05 15:04:04 313444.719 NaN 10114 LIVECOW caleb_strategy_v3 2024-02-02 2024-02-05 15:30:06.430 2024-02-05 15:30:10 315006.43 3.57 ==================================================================================================================================================================================================================================== 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 10074 JGB-SGX-mini caleb_strategy_v3 [-1] 146.67 None 146.345 146.33 146.36 146.36 146.33 -0.325 -0.015 -0.0 -0.03 NaN -0.015 10075 NIKKEI caleb_strategy_v3 [1] 36410.0 None 36417.5 36420.0 36415.0 36415.0 36420.0 -7.5 -2.5 0.0 -5.0 NaN -2.5 10077 BUND caleb_strategy_v3 [1] 135.08 None 134.565 134.57 134.56 134.56 134.56 0.515 -0.005 0.01 0.0 NaN 0.005 10080 EUROSTX caleb_strategy_v3 [-1] 4684.0 None 4672.5 4672.0 4673.0 4673.0 4671.0 -11.5 -0.5 -1.0 -2.0 NaN -1.5 10081 EUROSTX caleb_strategy_v3 [-1] 4684.0 None 4671.5 4671.0 4672.0 4672.0 4673.0 -12.5 -0.5 2.0 1.0 NaN 1.5 10076 EUROSTX caleb_strategy_v3 [-1] 4684.0 None 4674.5 4674.0 4675.0 4675.0 4673.0 -9.5 -0.5 -1.0 -2.0 NaN -1.5 10078 EUROSTX caleb_strategy_v3 [-1] 4684.0 None 4673.5 4673.0 4674.0 4674.0 4674.0 -10.5 -0.5 1.0 -0.0 NaN 0.5 10079 EUROSTX caleb_strategy_v3 [-1] 4684.0 None 4673.5 4673.0 4674.0 4674.0 4672.0 -10.5 -0.5 -1.0 -2.0 NaN -1.5 10082 GASOIL caleb_strategy_v3 [-1] 780.25 None 783.625 783.5 783.75 783.75 783.75 3.375 -0.125 0.25 -0.0 NaN 0.125 10083 EURIBOR-ICE caleb_strategy_v3 [-1] 97.845 None 97.8025 97.8 97.805 97.805 97.805 -0.0425 -0.0025 0.005 -0.0 NaN 0.0025 10084 CRUDE_W caleb_strategy_v3 [-1] 70.01 None 70.39 70.38 70.4 70.4 70.4 0.38 -0.01 0.02 -0.0 NaN 0.01 10085 COCOA caleb_strategy_v3 [1] 4942.0 None 5022.0 5023.0 5021.0 5021.0 5022.0 -80.0 -1.0 1.0 -1.0 NaN 0.0 10086 COPPER caleb_strategy_v3 [-1] 3.8225 None 3.782 3.7815 3.7825 3.7825 3.7815 -0.0405 -0.0005 -0.0 -0.001 NaN -0.0005 10087 GASOLINE caleb_strategy_v3 [-1] 2.3727 None 2.39135 2.391 2.3917 2.3917 2.3917 0.01865 -0.00035 0.0007 -0.0 NaN 0.00035 10088 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2031.55 2031.6 2031.5 2031.5 2031.6 22.95 -0.05 0.0 -0.1 NaN -0.05 10089 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2031.55 2031.6 2031.5 2031.5 2031.6 22.95 -0.05 0.0 -0.1 NaN -0.05 10090 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2031.55 2031.6 2031.5 2031.5 2031.6 22.95 -0.05 0.0 -0.1 NaN -0.05 10091 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2031.55 2031.6 2031.5 NaN 2031.5 22.95 -0.05 0.1 NaN NaN 0.05 10092 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2031.1 2031.2 2031.0 2031.0 2031.1 23.4 -0.1 0.1 -0.1 NaN 0.0 10093 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2031.75 2031.8 2031.7 2031.7 2031.7 22.75 -0.05 0.1 0.0 NaN 0.05 10094 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2032.3 2032.4 2032.2 2032.2 2032.4 22.2 -0.1 0.0 -0.2 NaN -0.1 10095 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2032.4 2032.5 2032.3 2032.3 2032.6 22.1 -0.1 -0.1 -0.3 NaN -0.2 10096 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2033.05 2033.1 2033.0 2033.0 2033.0 21.45 -0.05 0.1 0.0 NaN 0.05 10097 GOLD_micro caleb_strategy_v3 [1] 2054.5 None 2032.6 2032.7 2032.5 2032.5 2032.7 21.9 -0.1 0.0 -0.2 NaN -0.1 10098 GBP caleb_strategy_v3 [1] 1.2643 None 1.2537 1.2538 1.2536 1.2536 1.2539 0.0106 -0.0001 -0.0001 -0.0003 NaN -0.0002 10105 NASDAQ_micro caleb_strategy_v3 [1] 17766.5 None 17683.5 17683.75 17683.25 17683.25 17685.25 83.0 -0.25 -1.5 -2.0 NaN -1.75 10099 NASDAQ_micro caleb_strategy_v3 [1] 17766.5 None 17695.75 17696.5 17695.0 17695.0 17693.5 70.75 -0.75 3.0 1.5 NaN 2.25 10102 NASDAQ_micro caleb_strategy_v3 [1] 17766.5 None 17692.875 17693.5 17692.25 17692.25 17683.75 73.625 -0.625 9.75 8.5 NaN 9.125 10101 US5 caleb_strategy_v3 [-1] 107.867188 None 107.410156 107.40625 107.414062 107.414062 107.40625 -0.457031 -0.003906 -0.0 -0.007812 NaN -0.003906 10104 US5 caleb_strategy_v3 [-1] 107.867188 None 107.410156 107.40625 107.414062 107.414062 107.375 -0.457031 -0.003906 -0.03125 -0.039062 NaN -0.035156 10107 US5 caleb_strategy_v3 [-1] 107.867188 None 107.378906 107.375 107.382812 107.382812 107.398438 -0.488281 -0.003906 0.023438 0.015625 NaN 0.019532 10109 US5 caleb_strategy_v3 [-1] 107.867188 None 107.402344 107.398438 107.40625 107.40625 107.375 -0.464844 -0.003906 -0.023438 -0.03125 NaN -0.027344 10111 US5 caleb_strategy_v3 [-1] 107.867188 None 107.382812 107.375 107.390625 107.390625 107.335938 -0.484375 -0.007812 -0.039062 -0.054687 NaN -0.046875 10112 RUSSELL caleb_strategy_v3 [-1] 1978.5 None 1933.7 1933.6 1933.8 1933.8 1933.5 -44.8 -0.1 -0.1 -0.3 NaN -0.2 10113 RUSSELL caleb_strategy_v3 [-1] 1978.5 None 1933.6 1933.5 1933.7 1933.7 1933.6 -44.9 -0.1 0.1 -0.1 NaN 0.0 10100 RUSSELL caleb_strategy_v3 [-1] 1978.5 None 1937.85 1937.7 1938.0 1938.0 1937.7 -40.65 -0.15 -0.0 -0.3 NaN -0.15 10103 RUSSELL caleb_strategy_v3 [-1] 1978.5 None 1937.8 1937.7 1937.9 1937.9 1937.4 -40.7 -0.1 -0.3 -0.5 NaN -0.4 10106 RUSSELL caleb_strategy_v3 [-1] 1978.5 None 1937.45 1937.4 1937.5 1937.5 1937.8 -41.05 -0.05 0.4 0.3 NaN 0.35 10108 RUSSELL caleb_strategy_v3 [-1] 1978.5 None 1937.75 1937.7 1937.8 1937.8 1935.4 -40.75 -0.05 -2.3 -2.4 NaN -2.35 10110 RUSSELL caleb_strategy_v3 [-1] 1978.5 None 1935.45 1935.4 1935.5 1935.5 1933.6 -43.05 -0.05 -1.8 -1.9 NaN -1.85 10114 LIVECOW caleb_strategy_v3 [1] 183.925 None 183.475 183.5 183.45 183.45 183.475 0.45 -0.025 0.025 -0.025 NaN 0.0 ================================================================================================================================================================ 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 10074 JGB-SGX-mini caleb_strategy_v3 [-1] 5.225131 -621.993932 -28.707412 -0.0 -57.414824 NaN -28.707412 10075 NIKKEI caleb_strategy_v3 [1] 5294.004317 -14.16697 -4.722323 0.0 -9.444647 NaN -4.722323 10077 BUND caleb_strategy_v3 [1] 11.640179 442.433053 -4.295467 8.590933 0.0 NaN 4.295467 10080 EUROSTX caleb_strategy_v3 [-1] 562.505031 -204.442616 -8.888809 -17.777619 -35.555238 NaN -26.666428 10081 EUROSTX caleb_strategy_v3 [-1] 562.505031 -222.220235 -8.888809 35.555238 17.777619 NaN 26.666428 10076 EUROSTX caleb_strategy_v3 [-1] 562.505031 -168.887378 -8.888809 -17.777619 -35.555238 NaN -26.666428 10078 EUROSTX caleb_strategy_v3 [-1] 562.505031 -186.664997 -8.888809 17.777619 -0.0 NaN 8.888809 10079 EUROSTX caleb_strategy_v3 [-1] 562.505031 -186.664997 -8.888809 -17.777619 -35.555238 NaN -26.666428 10082 GASOIL caleb_strategy_v3 [-1] 272.480193 123.862214 -4.587489 9.174979 -0.0 NaN 4.587489 10083 EURIBOR-ICE caleb_strategy_v3 [-1] 1.136646 -373.906927 -21.994525 43.98905 -0.0 NaN 21.994525 10084 CRUDE_W caleb_strategy_v3 [-1] 19.780717 192.106287 -5.055429 10.110857 -0.0 NaN 5.055429 10085 COCOA caleb_strategy_v3 [1] 1014.915634 -788.242858 -9.853036 9.853036 -9.853036 NaN 0.0 10086 COPPER caleb_strategy_v3 [-1] 0.698455 -579.851322 -7.158658 -0.0 -14.317317 NaN -7.158658 10087 GASOLINE caleb_strategy_v3 [-1] 0.734548 253.897619 -4.764835 9.529669 -0.0 NaN 4.764835 10088 GOLD_micro caleb_strategy_v3 [1] 235.945396 972.682681 -2.119134 0.0 -4.238269 NaN -2.119134 10089 GOLD_micro caleb_strategy_v3 [1] 235.945396 972.682681 -2.119134 0.0 -4.238269 NaN -2.119134 10090 GOLD_micro caleb_strategy_v3 [1] 235.945396 972.682681 -2.119134 0.0 -4.238269 NaN -2.119134 10091 GOLD_micro caleb_strategy_v3 [1] 235.945396 972.682681 -2.119134 4.238269 NaN NaN 2.119134 10092 GOLD_micro caleb_strategy_v3 [1] 235.945396 991.75489 -4.238269 4.238269 -4.238269 NaN 0.0 10093 GOLD_micro caleb_strategy_v3 [1] 235.945396 964.206143 -2.119134 4.238269 0.0 NaN 2.119134 10094 GOLD_micro caleb_strategy_v3 [1] 235.945396 940.895665 -4.238269 0.0 -8.476538 NaN -4.238269 10095 GOLD_micro caleb_strategy_v3 [1] 235.945396 936.657396 -4.238269 -4.238269 -12.714806 NaN -8.476538 10096 GOLD_micro caleb_strategy_v3 [1] 235.945396 909.108649 -2.119134 4.238269 0.0 NaN 2.119134 10097 GOLD_micro caleb_strategy_v3 [1] 235.945396 928.180859 -4.238269 0.0 -8.476538 NaN -4.238269 10098 GBP caleb_strategy_v3 [1] 0.097066 1092.038049 -10.302246 -10.302246 -30.906737 NaN -20.604491 10105 NASDAQ_micro caleb_strategy_v3 [1] 2816.990933 294.640636 -0.887472 -5.324831 -7.099774 NaN -6.212303 10099 NASDAQ_micro caleb_strategy_v3 [1] 2816.990933 251.154518 -2.662415 10.649662 5.324831 NaN 7.987246 10102 NASDAQ_micro caleb_strategy_v3 [1] 2816.990933 261.360444 -2.218679 34.6114 30.174041 NaN 32.392721 10101 US5 caleb_strategy_v3 [-1] 5.888149 -776.188311 -6.634088 -0.0 -13.268176 NaN -6.634088 10104 US5 caleb_strategy_v3 [-1] 5.888149 -776.188311 -6.634088 -53.072705 -66.340881 NaN -59.706793 10107 US5 caleb_strategy_v3 [-1] 5.888149 -829.261016 -6.634088 39.805378 26.537202 NaN 33.17129 10109 US5 caleb_strategy_v3 [-1] 5.888149 -789.456488 -6.634088 -39.804529 -53.072705 NaN -46.438617 10111 US5 caleb_strategy_v3 [-1] 5.888149 -822.626928 -13.268176 -66.340032 -92.876385 NaN -79.608208 10112 RUSSELL caleb_strategy_v3 [-1] 407.680318 -1098.900241 -2.452902 -2.452902 -7.358707 NaN -4.905805 10113 RUSSELL caleb_strategy_v3 [-1] 407.680318 -1101.353143 -2.452902 2.452902 -2.452902 NaN 0.0 10100 RUSSELL caleb_strategy_v3 [-1] 407.680318 -997.104795 -3.679353 -0.0 -7.358707 NaN -3.679353 10103 RUSSELL caleb_strategy_v3 [-1] 407.680318 -998.331246 -2.452902 -7.358707 -12.264512 NaN -9.811609 10106 RUSSELL caleb_strategy_v3 [-1] 407.680318 -1006.916404 -1.226451 9.811609 7.358707 NaN 8.585158 10108 RUSSELL caleb_strategy_v3 [-1] 407.680318 -999.557697 -1.226451 -56.416753 -58.869656 NaN -57.643205 10110 RUSSELL caleb_strategy_v3 [-1] 407.680318 -1055.97445 -1.226451 -44.152242 -46.605144 NaN -45.378693 10114 LIVECOW caleb_strategy_v3 [1] 20.226103 222.484781 -12.360266 12.360266 -12.360266 NaN 0.0 ========================================================================================================================================================================= 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 10074 JGB-SGX-mini caleb_strategy_v3 [-1] 674.136095 -219.094231 -10.112041 -0.0 -20.224083 NaN -10.112041 10075 NIKKEI caleb_strategy_v3 [1] 0.674136 -5.056021 -1.68534 0.0 -3.37068 NaN -1.68534 10077 BUND caleb_strategy_v3 [1] 1077.75 555.04125 -5.38875 10.7775 0.0 NaN 5.38875 10080 EUROSTX caleb_strategy_v3 [-1] 10.7775 -123.94125 -5.38875 -10.7775 -21.555 NaN -16.16625 10081 EUROSTX caleb_strategy_v3 [-1] 10.7775 -134.71875 -5.38875 21.555 10.7775 NaN 16.16625 10076 EUROSTX caleb_strategy_v3 [-1] 10.7775 -102.38625 -5.38875 -10.7775 -21.555 NaN -16.16625 10078 EUROSTX caleb_strategy_v3 [-1] 10.7775 -113.16375 -5.38875 10.7775 -0.0 NaN 5.38875 10079 EUROSTX caleb_strategy_v3 [-1] 10.7775 -113.16375 -5.38875 -10.7775 -21.555 NaN -16.16625 10082 GASOIL caleb_strategy_v3 [-1] 100.0 337.5 -12.5 25.0 -0.0 NaN 12.5 10083 EURIBOR-ICE caleb_strategy_v3 [-1] 2694.375 -114.510937 -6.735938 13.471875 -0.0 NaN 6.735937 10084 CRUDE_W caleb_strategy_v3 [-1] 1000.0 380.0 -10.0 20.0 -0.0 NaN 10.0 10085 COCOA caleb_strategy_v3 [1] 10.0 -800.0 -10.0 10.0 -10.0 NaN 0.0 10086 COPPER caleb_strategy_v3 [-1] 25000.0 -1012.5 -12.5 -0.0 -25.0 NaN -12.5 10087 GASOLINE caleb_strategy_v3 [-1] 42000.0 783.3 -14.7 29.4 -0.0 NaN 14.7 10088 GOLD_micro caleb_strategy_v3 [1] 10.0 229.5 -0.5 0.0 -1.0 NaN -0.5 10089 GOLD_micro caleb_strategy_v3 [1] 10.0 229.5 -0.5 0.0 -1.0 NaN -0.5 10090 GOLD_micro caleb_strategy_v3 [1] 10.0 229.5 -0.5 0.0 -1.0 NaN -0.5 10091 GOLD_micro caleb_strategy_v3 [1] 10.0 229.5 -0.5 1.0 NaN NaN 0.5 10092 GOLD_micro caleb_strategy_v3 [1] 10.0 234.0 -1.0 1.0 -1.0 NaN 0.0 10093 GOLD_micro caleb_strategy_v3 [1] 10.0 227.5 -0.5 1.0 0.0 NaN 0.5 10094 GOLD_micro caleb_strategy_v3 [1] 10.0 222.0 -1.0 0.0 -2.0 NaN -1.0 10095 GOLD_micro caleb_strategy_v3 [1] 10.0 221.0 -1.0 -1.0 -3.0 NaN -2.0 10096 GOLD_micro caleb_strategy_v3 [1] 10.0 214.5 -0.5 1.0 0.0 NaN 0.5 10097 GOLD_micro caleb_strategy_v3 [1] 10.0 219.0 -1.0 0.0 -2.0 NaN -1.0 10098 GBP caleb_strategy_v3 [1] 62500.0 662.5 -6.25 -6.25 -18.75 NaN -12.5 10105 NASDAQ_micro caleb_strategy_v3 [1] 2.0 166.0 -0.5 -3.0 -4.0 NaN -3.5 10099 NASDAQ_micro caleb_strategy_v3 [1] 2.0 141.5 -1.5 6.0 3.0 NaN 4.5 10102 NASDAQ_micro caleb_strategy_v3 [1] 2.0 147.25 -1.25 19.5 17.0 NaN 18.25 10101 US5 caleb_strategy_v3 [-1] 1000.0 -457.03125 -3.90625 -0.0 -7.8125 NaN -3.90625 10104 US5 caleb_strategy_v3 [-1] 1000.0 -457.03125 -3.90625 -31.25 -39.0625 NaN -35.15625 10107 US5 caleb_strategy_v3 [-1] 1000.0 -488.28125 -3.90625 23.438 15.6255 NaN 19.53175 10109 US5 caleb_strategy_v3 [-1] 1000.0 -464.84375 -3.90625 -23.4375 -31.25 NaN -27.34375 10111 US5 caleb_strategy_v3 [-1] 1000.0 -484.375 -7.8125 -39.062 -54.687 NaN -46.8745 10112 RUSSELL caleb_strategy_v3 [-1] 5.0 -224.0 -0.5 -0.5 -1.5 NaN -1.0 10113 RUSSELL caleb_strategy_v3 [-1] 5.0 -224.5 -0.5 0.5 -0.5 NaN 0.0 10100 RUSSELL caleb_strategy_v3 [-1] 5.0 -203.25 -0.75 -0.0 -1.5 NaN -0.75 10103 RUSSELL caleb_strategy_v3 [-1] 5.0 -203.5 -0.5 -1.5 -2.5 NaN -2.0 10106 RUSSELL caleb_strategy_v3 [-1] 5.0 -205.25 -0.25 2.0 1.5 NaN 1.75 10108 RUSSELL caleb_strategy_v3 [-1] 5.0 -203.75 -0.25 -11.5 -12.0 NaN -11.75 10110 RUSSELL caleb_strategy_v3 [-1] 5.0 -215.25 -0.25 -9.0 -9.5 NaN -9.25 10114 LIVECOW caleb_strategy_v3 [1] 400.0 180.0 -10.0 10.0 -10.0 NaN 0.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUND 555.04125 COCOA -800.0 COPPER -1012.5 CRUDE_W 380.0 EURIBOR-ICE -114.510937 EUROSTX -587.37375 GASOIL 337.5 GASOLINE 783.3 GBP 662.5 GOLD_micro 2256.0 JGB-SGX-mini -219.094231 LIVECOW 180.0 NASDAQ_micro 454.75 NIKKEI -5.056021 RUSSELL -1479.5 US5 -2351.5625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -960.506189 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUND -5.38875 COCOA -10.0 COPPER -12.5 CRUDE_W -10.0 EURIBOR-ICE -6.735938 EUROSTX -26.94375 GASOIL -12.5 GASOLINE -14.7 GBP -6.25 GOLD_micro -7.0 JGB-SGX-mini -10.112041 LIVECOW -10.0 NASDAQ_micro -3.25 NIKKEI -1.68534 RUSSELL -3.0 US5 -23.4375 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -163.503319 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUND 10.7775 COCOA 10.0 COPPER -0.0 CRUDE_W 20.0 EURIBOR-ICE 13.471875 EUROSTX 0.0 GASOIL 25.0 GASOLINE 29.4 GBP -6.25 GOLD_micro 3.0 JGB-SGX-mini -0.0 LIVECOW 10.0 NASDAQ_micro 22.5 NIKKEI 0.0 RUSSELL -20.0 US5 -70.3115 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 47.587875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0.0 COCOA -10.0 COPPER -25.0 CRUDE_W -0.0 EURIBOR-ICE -0.0 EUROSTX -53.8875 GASOIL -0.0 GASOLINE -0.0 GBP -18.75 GOLD_micro -11.0 JGB-SGX-mini -20.224083 LIVECOW -10.0 NASDAQ_micro 16.0 NIKKEI -3.37068 RUSSELL -26.0 US5 -117.1865 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -279.418763 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0 COCOA 0 COPPER 0 CRUDE_W 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 GASOLINE 0 GBP 0 GOLD_micro 0 JGB-SGX-mini 0 LIVECOW 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 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 BUND 5.38875 COCOA 0.0 COPPER -12.5 CRUDE_W 10.0 EURIBOR-ICE 6.735937 EUROSTX -26.94375 GASOIL 12.5 GASOLINE 14.7 GBP -12.5 GOLD_micro -4.0 JGB-SGX-mini -10.112041 LIVECOW 0.0 NASDAQ_micro 19.25 NIKKEI -1.68534 RUSSELL -23.0 US5 -93.749 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -115.915444 ******************************************************************************** END OF REPORT ********************************************************************************