******************************************************************************** Trades report produced on 07/02/2024 21:37 from 06/02/2024 21:37 to 07/02/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10149 CHF caleb_strategy_v3 [20240300] 2024-02-07 15:01:12 [-1] 1.15265 10152 DOW caleb_strategy_v3 [20240300] 2024-02-07 15:01:59 [-1] 38708.00000 10147 DOW caleb_strategy_v3 [20240300] 2024-02-07 15:00:59 [-1] 38690.00000 10140 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-07 09:00:35 [-1] 97.79000 10141 GASOIL _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-07 09:01:12 [-1] 804.25000 10142 GASOIL _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-07 09:01:23 [1] 786.25000 10144 GAS_US_mini caleb_strategy_v3 [20240400] 2024-02-07 14:00:59 [-1] 2.02000 10145 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-07 14:01:56 [-1] 2052.70000 10146 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-07 14:02:55 [-1] 2052.40000 10143 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-07 14:00:55 [-1] 2052.10000 10163 LEANHOG _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-07 15:31:04 [-1] 82.90000 10164 LEANHOG _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-07 15:31:04 [1] 96.52500 10173 LEANHOG _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-07 15:33:03 [-1] 82.85000 10169 LEANHOG _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-07 15:32:11 [-1] 82.87500 10174 LEANHOG _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-07 15:33:03 [1] 96.47500 10158 LEANHOG _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-07 15:30:09 [1] 96.50000 10170 LEANHOG _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-07 15:32:12 [1] 96.50000 10157 LEANHOG _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-07 15:30:07 [-1] 82.85000 10148 MXP caleb_strategy_v3 [20240300] 2024-02-07 15:01:05 [1] 0.05830 10153 MXP caleb_strategy_v3 [20240300] 2024-02-07 15:02:13 [1] 0.05830 10150 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-07 15:01:12 [-1] 17740.25000 10154 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-07 15:02:14 [-1] 17745.25000 10139 NIKKEI caleb_strategy_v3 [20240300] 2024-02-07 03:01:35 [-1] 36090.00000 10168 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240700] 2024-02-07 15:32:11 [-1] 614.25000 10167 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-07 15:32:02 [1] 622.50000 10162 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240700] 2024-02-07 15:31:03 [-1] 613.75000 10161 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-07 15:31:02 [1] 621.75000 10155 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-07 15:30:04 [1] 621.00000 10156 REDWHEAT _ROLL_PSEUDO_STRATEGY [20240700] 2024-02-07 15:30:06 [-1] 613.25000 10151 RUSSELL caleb_strategy_v3 [20240300] 2024-02-07 15:01:13 [1] 1946.30000 10160 SOYOIL _ROLL_PSEUDO_STRATEGY [20240700] 2024-02-07 15:30:14 [-1] 46.78000 10165 SOYOIL _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-07 15:31:05 [1] 46.84000 10166 SOYOIL _ROLL_PSEUDO_STRATEGY [20240700] 2024-02-07 15:31:06 [-1] 46.94000 10171 SOYOIL _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-07 15:32:13 [1] 46.87000 10172 SOYOIL _ROLL_PSEUDO_STRATEGY [20240700] 2024-02-07 15:32:16 [-1] 46.99000 10159 SOYOIL _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-07 15:30:11 [1] 46.65000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10139 NIKKEI caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 03:01:17.022 2024-02-07 03:01:35 97277.022 17.978 10140 EURIBOR-ICE caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 09:00:30.000 2024-02-07 09:00:35 118830.0 5.0 10141 GASOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 20:00:00 2024-02-07 09:00:35.963 2024-02-07 09:01:12 46835.963 36.037 10142 GASOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 20:00:00 2024-02-07 09:01:13.227 2024-02-07 09:01:23 46873.227 9.773 10144 GAS_US_mini caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 14:00:55.963 2024-02-07 14:00:59 136855.963 3.037 10145 GOLD_micro caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 14:01:55.400 2024-02-07 14:01:56 136915.4 0.6 10146 GOLD_micro caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 14:02:55.408 2024-02-07 14:02:55 136975.408 NaN 10143 GOLD_micro caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 14:00:55.090 2024-02-07 14:00:55 136855.09 NaN 10149 CHF caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:01:05.694 2024-02-07 15:01:12 140465.694 6.306 10151 RUSSELL caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:01:13.594 2024-02-07 15:01:13 140473.594 NaN 10152 DOW caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:01:59.000 2024-02-07 15:01:59 140519.0 0.0 10147 DOW caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:00:59.255 2024-02-07 15:00:59 140459.255 NaN 10153 MXP caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:01:59.634 2024-02-07 15:02:13 140519.634 13.366 10148 MXP caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:01:00.087 2024-02-07 15:01:05 140460.087 4.913 10154 NASDAQ_micro caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:02:13.983 2024-02-07 15:02:14 140533.983 0.017 10150 NASDAQ_micro caleb_strategy_v3 2024-02-06 00:00:00 2024-02-07 15:01:12.715 2024-02-07 15:01:12 140472.715 NaN 10155 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:30:02.952 2024-02-07 15:30:04 73802.952 1.048 10156 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:30:05.079 2024-02-07 15:30:06 73805.079 0.921 10161 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:31:02.776 2024-02-07 15:31:02 73862.776 NaN 10162 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:31:03.402 2024-02-07 15:31:03 73863.402 NaN 10167 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:32:02.889 2024-02-07 15:32:02 73922.889 NaN 10168 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:32:03.580 2024-02-07 15:32:11 73923.58 7.42 10159 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:30:10.411 2024-02-07 15:30:11 73810.411 0.589 10160 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:30:12.430 2024-02-07 15:30:14 73812.43 1.57 10165 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:31:05.230 2024-02-07 15:31:05 73865.23 NaN 10166 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:31:05.634 2024-02-07 15:31:06 73865.634 0.366 10171 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:32:13.103 2024-02-07 15:32:13 73933.103 NaN 10172 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:32:13.769 2024-02-07 15:32:16 73933.769 2.231 10157 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:30:07.471 2024-02-07 15:30:07 73807.471 NaN 10158 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:30:08.527 2024-02-07 15:30:09 73808.527 0.473 10163 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:31:04.083 2024-02-07 15:31:04 73864.083 NaN 10164 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:31:04.685 2024-02-07 15:31:04 73864.685 NaN 10169 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:32:11.844 2024-02-07 15:32:11 73931.844 NaN 10170 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:32:12.522 2024-02-07 15:32:12 73932.522 NaN 10173 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:33:03.220 2024-02-07 15:33:03 73983.22 NaN 10174 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-02-06 19:00:00 2024-02-07 15:33:03.682 2024-02-07 15:33:03 73983.682 NaN ====================================================================================================================================================================================================================================== 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 10139 NIKKEI caleb_strategy_v3 [-1] 35940.0 None 36087.5 36085.0 36090.0 36090.0 36090.0 147.5 -2.5 5.0 -0.0 NaN 2.5 10140 EURIBOR-ICE caleb_strategy_v3 [-1] 97.815 None 97.795 97.79 97.8 97.8 97.79 -0.02 -0.005 -0.0 -0.01 NaN -0.005 10141 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 804.5 None 804.625 804.5 804.75 804.75 804.25 0.125 -0.125 -0.25 -0.5 NaN -0.375 10142 GASOIL _ROLL_PSEUDO_STRATEGY [1] 787.0 None 786.375 786.5 786.25 786.25 786.25 0.625 -0.125 0.25 0.0 NaN 0.125 10144 GAS_US_mini caleb_strategy_v3 [-1] 2.005 None 2.025 2.02 2.03 2.03 2.02 0.02 -0.005 -0.0 -0.01 NaN -0.005 10145 GOLD_micro caleb_strategy_v3 [-1] 2052.7 None 2052.85 2052.8 2052.9 2052.9 2052.7 0.15 -0.05 -0.1 -0.2 NaN -0.15 10146 GOLD_micro caleb_strategy_v3 [-1] 2052.7 None 2052.6 2052.5 2052.7 2052.7 2052.4 -0.1 -0.1 -0.1 -0.3 NaN -0.2 10143 GOLD_micro caleb_strategy_v3 [-1] 2052.7 None 2052.15 2052.1 2052.2 NaN 2052.1 -0.55 -0.05 -0.0 NaN NaN -0.05 10149 CHF caleb_strategy_v3 [-1] 1.15415 None 1.1526 1.15255 1.15265 1.15265 1.15265 -0.00155 -0.00005 0.0001 -0.0 NaN 0.00005 10151 RUSSELL caleb_strategy_v3 [1] 1958.3 None 1946.4 1946.5 1946.3 1946.3 1946.3 11.9 -0.1 0.2 0.0 NaN 0.1 10152 DOW caleb_strategy_v3 [-1] 38554.0 None 38690.5 38690.0 38691.0 38691.0 38708.0 136.5 -0.5 18.0 17.0 NaN 17.5 10147 DOW caleb_strategy_v3 [-1] 38554.0 None 38691.5 38691.0 38692.0 38692.0 38690.0 137.5 -0.5 -1.0 -2.0 NaN -1.5 10153 MXP caleb_strategy_v3 [1] 0.05825 None 0.058305 0.05831 0.0583 0.0583 0.0583 -0.000055 -0.000005 0.00001 0.0 NaN 0.000005 10148 MXP caleb_strategy_v3 [1] 0.05825 None 0.058305 0.05831 0.0583 0.0583 0.0583 -0.000055 -0.000005 0.00001 0.0 NaN 0.000005 10154 NASDAQ_micro caleb_strategy_v3 [-1] 17644.75 None 17740.375 17740.25 17740.5 17740.5 17745.25 95.625 -0.125 5.0 4.75 NaN 4.875 10150 NASDAQ_micro caleb_strategy_v3 [-1] 17644.75 None 17740.25 17740.0 17740.5 17740.5 17740.25 95.5 -0.25 0.25 -0.25 NaN 0.0 10155 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 615.75 None 620.75 621.0 620.5 620.5 621.0 -5.0 -0.25 0.0 -0.5 NaN -0.25 10156 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 609.0 None 625.0 625.0 625.0 625.0 613.25 16.0 -0.0 -11.75 -11.75 NaN -11.75 10161 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 615.75 None 623.0 621.0 625.0 625.0 621.75 -7.25 2.0 -0.75 3.25 NaN 1.25 10162 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 609.0 None 619.125 613.25 625.0 625.0 613.75 10.125 -5.875 0.5 -11.25 NaN -5.375 10167 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 615.75 None 621.5 621.75 621.25 621.25 622.5 -5.75 -0.25 -0.75 -1.25 NaN -1.0 10168 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 609.0 None 619.375 613.75 625.0 625.0 614.25 10.375 -5.625 0.5 -10.75 NaN -5.125 10159 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 46.48 None 46.65 46.66 46.64 46.64 46.65 -0.17 -0.01 0.01 -0.01 NaN 0.0 10160 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 46.62 None 46.785 46.78 46.79 46.79 46.78 0.165 -0.005 -0.0 -0.01 NaN -0.005 10165 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 46.48 None 46.825 46.65 47.0 47.0 46.84 -0.345 0.175 -0.19 0.16 NaN -0.015 10166 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 46.62 None 46.89 46.78 47.0 NaN 46.94 0.27 -0.11 0.16 NaN NaN 0.05 10171 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 46.48 None 46.835 46.84 46.83 46.83 46.87 -0.355 -0.005 -0.03 -0.04 NaN -0.035 10172 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 46.62 None 46.98 46.97 46.99 46.99 46.99 0.36 -0.01 0.02 -0.0 NaN 0.01 10157 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.35 None 82.875 82.85 82.9 82.9 82.85 1.525 -0.025 -0.0 -0.05 NaN -0.025 10158 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 95.275 None 97.5 97.5 97.5 97.5 96.5 -2.225 0.0 1.0 1.0 NaN 1.0 10163 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.35 None 82.675 82.85 82.5 82.5 82.9 1.325 0.175 0.05 0.4 NaN 0.225 10164 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 95.275 None 96.4875 96.5 96.475 96.475 96.525 -1.2125 -0.0125 -0.025 -0.05 NaN -0.0375 10169 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.35 None 82.9125 82.9 82.925 82.925 82.875 1.5625 -0.0125 -0.025 -0.05 NaN -0.0375 10170 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 95.275 None 97.0125 96.525 97.5 97.5 96.5 -1.7375 0.4875 0.025 1.0 NaN 0.5125 10173 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 81.35 None 82.6875 82.875 82.5 82.5 82.85 1.3375 0.1875 -0.025 0.35 NaN 0.1625 10174 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 95.275 None 96.4875 96.5 96.475 96.475 96.475 -1.2125 -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 10139 NIKKEI caleb_strategy_v3 [-1] 5377.179997 274.307351 -4.649277 9.298554 -0.0 NaN 4.649277 10140 EURIBOR-ICE caleb_strategy_v3 [-1] 1.120257 -178.530492 -44.632623 -0.0 -89.265246 NaN -44.632623 10141 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 274.957874 4.546151 -4.546151 -9.092302 -18.184604 NaN -13.638453 10142 GASOIL _ROLL_PSEUDO_STRATEGY [1] 274.957874 22.730755 -4.546151 9.092302 0.0 NaN 4.546151 10144 GAS_US_mini caleb_strategy_v3 [-1] 1.710253 116.941729 -29.235432 -0.0 -58.470865 NaN -29.235432 10145 GOLD_micro caleb_strategy_v3 [-1] 229.61632 6.532637 -2.177546 -4.355091 -8.710182 NaN -6.532637 10146 GOLD_micro caleb_strategy_v3 [-1] 229.61632 -4.355091 -4.355091 -4.355091 -13.065273 NaN -8.710182 10143 GOLD_micro caleb_strategy_v3 [-1] 229.61632 -23.953001 -2.177546 -0.0 NaN NaN -2.177546 10149 CHF caleb_strategy_v3 [-1] 0.087894 -176.347843 -5.68864 11.37728 -0.0 NaN 5.68864 10151 RUSSELL caleb_strategy_v3 [1] 398.088261 298.928684 -2.512006 5.024011 0.0 NaN 2.512006 10152 DOW caleb_strategy_v3 [-1] 3718.427242 367.090684 -1.344655 48.407563 45.718254 NaN 47.062908 10147 DOW caleb_strategy_v3 [-1] 3718.427242 369.779993 -1.344655 -2.689309 -5.378618 NaN -4.033964 10153 MXP caleb_strategy_v3 [1] 0.005351 -102.789281 -9.34448 18.68896 0.0 NaN 9.34448 10148 MXP caleb_strategy_v3 [1] 0.005351 -102.789281 -9.34448 18.68896 0.0 NaN 9.34448 10154 NASDAQ_micro caleb_strategy_v3 [-1] 2779.654633 344.017558 -0.449696 17.987846 17.088454 NaN 17.53815 10150 NASDAQ_micro caleb_strategy_v3 [-1] 2779.654633 343.567862 -0.899392 0.899392 -0.899392 NaN 0.0 10155 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 184.581259 -270.883406 -13.54417 0.0 -27.088341 NaN -13.54417 10156 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 184.581259 866.826899 -0.0 -636.576004 -636.576004 NaN -636.576004 10161 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 184.581259 -392.780939 108.353362 -40.632511 176.074214 NaN 67.720852 10162 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 184.581259 548.538897 -318.288002 27.088341 -609.487664 NaN -291.199662 10167 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 184.581259 -311.515917 -13.54417 -40.632511 -67.720852 NaN -54.176681 10168 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 184.581259 562.083068 -304.743832 27.088341 -582.399323 NaN -277.655491 10159 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 13.34934 -127.347124 -7.491007 7.491007 -7.491007 NaN 0.0 10160 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 13.34934 123.60162 -3.745504 -0.0 -7.491007 NaN -3.745504 10165 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 13.34934 -258.439751 131.092627 -142.329138 119.856116 NaN -11.236511 10166 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 13.34934 202.257196 -82.40108 119.856116 NaN NaN 37.455036 10171 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 13.34934 -265.930758 -3.745504 -22.473022 -29.964029 NaN -26.218525 10172 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 13.34934 269.676262 -7.491007 14.982015 -0.0 NaN 7.491007 10157 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 19.561918 779.575907 -12.779933 -0.0 -25.559866 NaN -12.779933 10158 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 19.561918 -1137.414028 0.0 511.197316 511.197316 NaN 511.197316 10163 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 19.561918 677.336444 89.45953 25.559866 204.478926 NaN 115.019396 10164 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 19.561918 -619.826746 -6.389966 -12.779933 -25.559866 NaN -19.169899 10169 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 19.561918 798.745806 -6.389966 -12.779933 -25.559866 NaN -19.169899 10170 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 19.561918 -888.205336 249.208692 12.779933 511.197316 NaN 261.988624 10173 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 19.561918 683.72641 95.849497 -12.779933 178.919061 NaN 83.069564 10174 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 19.561918 -619.826746 -6.389966 12.779933 0.0 NaN 6.389966 ============================================================================================================================================================================ 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 10139 NIKKEI caleb_strategy_v3 [-1] 0.675724 99.669233 -1.689309 3.378618 -0.0 NaN 1.689309 10140 EURIBOR-ICE caleb_strategy_v3 [-1] 2691.0 -53.82 -13.455 -0.0 -26.91 NaN -13.455 10141 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100.0 12.5 -12.5 -25.0 -50.0 NaN -37.5 10142 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100.0 62.5 -12.5 25.0 0.0 NaN 12.5 10144 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 50.0 -12.5 -0.0 -25.0 NaN -12.5 10145 GOLD_micro caleb_strategy_v3 [-1] 10.0 1.5 -0.5 -1.0 -2.0 NaN -1.5 10146 GOLD_micro caleb_strategy_v3 [-1] 10.0 -1.0 -1.0 -1.0 -3.0 NaN -2.0 10143 GOLD_micro caleb_strategy_v3 [-1] 10.0 -5.5 -0.5 -0.0 NaN NaN -0.5 10149 CHF caleb_strategy_v3 [-1] 125000.0 -193.75 -6.25 12.5 -0.0 NaN 6.25 10151 RUSSELL caleb_strategy_v3 [1] 5.0 59.5 -0.5 1.0 0.0 NaN 0.5 10152 DOW caleb_strategy_v3 [-1] 0.5 68.25 -0.25 9.0 8.5 NaN 8.75 10147 DOW caleb_strategy_v3 [-1] 0.5 68.75 -0.25 -0.5 -1.0 NaN -0.75 10153 MXP caleb_strategy_v3 [1] 500000.0 -27.5 -2.5 5.0 0.0 NaN 2.5 10148 MXP caleb_strategy_v3 [1] 500000.0 -27.5 -2.5 5.0 0.0 NaN 2.5 10154 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 191.25 -0.25 10.0 9.5 NaN 9.75 10150 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 191.0 -0.5 0.5 -0.5 NaN 0.0 10155 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 -250.0 -12.5 0.0 -25.0 NaN -12.5 10156 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 800.0 -0.0 -587.5 -587.5 NaN -587.5 10161 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 -362.5 100.0 -37.5 162.5 NaN 62.5 10162 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 506.25 -293.75 25.0 -562.5 NaN -268.75 10167 REDWHEAT _ROLL_PSEUDO_STRATEGY [1] 50.0 -287.5 -12.5 -37.5 -62.5 NaN -50.0 10168 REDWHEAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 518.75 -281.25 25.0 -537.5 NaN -256.25 10159 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -102.0 -6.0 6.0 -6.0 NaN 0.0 10160 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 99.0 -3.0 -0.0 -6.0 NaN -3.0 10165 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -207.0 105.0 -114.0 96.0 NaN -9.0 10166 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 162.0 -66.0 96.0 NaN NaN 30.0 10171 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -213.0 -3.0 -18.0 -24.0 NaN -21.0 10172 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 216.0 -6.0 12.0 -0.0 NaN 6.0 10157 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 610.0 -10.0 -0.0 -20.0 NaN -10.0 10158 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -890.0 0.0 400.0 400.0 NaN 400.0 10163 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 530.0 70.0 20.0 160.0 NaN 90.0 10164 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -485.0 -5.0 -10.0 -20.0 NaN -15.0 10169 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 625.0 -5.0 -10.0 -20.0 NaN -15.0 10170 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -695.0 195.0 10.0 400.0 NaN 205.0 10173 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 535.0 75.0 -10.0 140.0 NaN 65.0 10174 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -485.0 -5.0 10.0 0.0 NaN 5.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 75.0 LEANHOG -255.0 REDWHEAT 925.0 SOYOIL -45.0 caleb_strategy_v3 CHF -193.75 DOW 137.0 EURIBOR-ICE -53.82 GAS_US_mini 50.0 GOLD_micro -5.0 MXP -55.0 NASDAQ_micro 382.25 NIKKEI 99.669233 RUSSELL 59.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 700.0 caleb_strategy_v3 420.849233 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -25.0 LEANHOG 315.0 REDWHEAT -500.0 SOYOIL 21.0 caleb_strategy_v3 CHF -6.25 DOW -0.5 EURIBOR-ICE -13.455 GAS_US_mini -12.5 GOLD_micro -2.0 MXP -5.0 NASDAQ_micro -0.75 NIKKEI -1.689309 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -189.0 caleb_strategy_v3 -42.644309 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0.0 LEANHOG 410.0 REDWHEAT -612.5 SOYOIL -18.0 caleb_strategy_v3 CHF 12.5 DOW 8.5 EURIBOR-ICE -0.0 GAS_US_mini -0.0 GOLD_micro -2.0 MXP 10.0 NASDAQ_micro 10.5 NIKKEI 3.378618 RUSSELL 1.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -220.5 caleb_strategy_v3 43.878618 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -50.0 LEANHOG 1040.0 REDWHEAT -1612.5 SOYOIL 60.0 caleb_strategy_v3 CHF -0.0 DOW 7.5 EURIBOR-ICE -26.91 GAS_US_mini -25.0 GOLD_micro -5.0 MXP 0.0 NASDAQ_micro 9.0 NIKKEI -0.0 RUSSELL 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -562.5 caleb_strategy_v3 -40.41 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 LEANHOG 0 REDWHEAT 0 SOYOIL 0 caleb_strategy_v3 CHF 0 DOW 0 EURIBOR-ICE 0 GAS_US_mini 0 GOLD_micro 0 MXP 0 NASDAQ_micro 0 NIKKEI 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 GASOIL -25.0 LEANHOG 725.0 REDWHEAT -1112.5 SOYOIL 3.0 caleb_strategy_v3 CHF 6.25 DOW 8.0 EURIBOR-ICE -13.455 GAS_US_mini -12.5 GOLD_micro -4.0 MXP 5.0 NASDAQ_micro 9.75 NIKKEI 1.689309 RUSSELL 0.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -409.5 caleb_strategy_v3 1.234309 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