******************************************************************************** Trades report produced on 13/02/2024 21:37 from 12/02/2024 21:37 to 13/02/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10294 BITCOIN caleb_strategy_v3 [20240300] 2024-02-13 15:04:39.000 [1] 49510.00000 10296 BITCOIN caleb_strategy_v3 [20240300] 2024-02-13 15:05:14.000 [1] 49515.00000 10288 BITCOIN caleb_strategy_v3 [20240300] 2024-02-13 15:00:52.000 [1] 49565.00000 10254 BUND caleb_strategy_v3 [20240300] 2024-02-13 08:00:30.000 [-1] 133.43000 10257 BUXL caleb_strategy_v3 [20240300] 2024-02-13 08:10:40.000 [-1] 132.92000 10263 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:18:45.000 [1] 7702.50000 10262 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:17:45.000 [1] 7702.50000 10261 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:16:45.000 [1] 7699.50000 10260 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:15:44.000 [1] 7701.00000 10259 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:14:44.000 [1] 7702.50000 10258 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:14:40.000 [1] 7702.50000 10255 CAC caleb_strategy_v3 [20240300] 2024-02-13 19:45:12.716 [0] NaN 10264 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:19:45.000 [1] 7703.50000 10265 CAC caleb_strategy_v3 [20240300] 2024-02-13 08:20:46.000 [1] 7698.00000 10272 COPPER caleb_strategy_v3 [20240300] 2024-02-13 14:00:18.000 [-1] 3.72200 10274 COTTON2 caleb_strategy_v3 [20240500] 2024-02-13 14:00:21.000 [1] 91.36000 10266 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-13 09:01:21.000 [-1] 97.70500 10268 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-13 09:01:53.000 [-1] 97.71000 10267 GASOIL caleb_strategy_v3 [20240500] 2024-02-13 09:01:26.000 [1] 826.50000 10271 GAS_US_mini caleb_strategy_v3 [20240400] 2024-02-13 14:00:17.000 [1] 1.77500 10275 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:01:12.000 [1] 2016.30000 10270 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:00:14.000 [1] 2016.20000 10277 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:02:12.000 [1] 2016.00000 10279 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:03:12.000 [1] 2015.80000 10280 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:04:12.000 [1] 2015.40000 10284 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:08:13.000 [1] 2014.70000 10281 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:05:13.000 [1] 2015.70000 10282 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:06:13.000 [1] 2015.60000 10285 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:09:13.000 [1] 2014.40000 10283 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-13 14:07:13.000 [1] 2015.90000 10302 LEANHOG caleb_strategy_v3 [20240600] 2024-02-13 15:31:13.000 [-1] 94.17500 10300 LEANHOG caleb_strategy_v3 [20240600] 2024-02-13 15:30:24.000 [-1] 94.07500 10293 MXP caleb_strategy_v3 [20240300] 2024-02-13 15:04:06.000 [1] 0.05783 10287 MXP caleb_strategy_v3 [20240300] 2024-02-13 15:00:39.000 [1] 0.05784 10289 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-13 15:00:53.000 [-1] 17670.25000 10278 PLAT caleb_strategy_v3 [20240400] 2024-02-13 14:02:13.000 [-1] 885.00000 10276 PLAT caleb_strategy_v3 [20240400] 2024-02-13 14:01:13.000 [-1] 884.70000 10273 PLAT caleb_strategy_v3 [20240400] 2024-02-13 14:00:19.000 [-1] 884.00000 10269 ROBUSTA caleb_strategy_v3 [20240500] 2024-02-13 10:00:10.000 [-1] 3180.00000 10298 RUSSELL caleb_strategy_v3 [20240300] 2024-02-13 15:06:07.000 [1] 1977.40000 10299 RUSSELL caleb_strategy_v3 [20240300] 2024-02-13 15:07:07.000 [1] 1978.40000 10297 RUSSELL caleb_strategy_v3 [20240300] 2024-02-13 15:05:14.000 [1] 1978.20000 10295 RUSSELL caleb_strategy_v3 [20240300] 2024-02-13 15:04:40.000 [1] 1979.20000 10290 RUSSELL caleb_strategy_v3 [20240300] 2024-02-13 15:00:54.000 [1] 1977.60000 10256 SMI caleb_strategy_v3 [20240300] 2024-02-13 08:10:32.000 [-1] 11136.00000 10301 SOYOIL caleb_strategy_v3 [20240700] 2024-02-13 15:30:25.000 [-1] 47.30000 10286 US10U caleb_strategy_v3 [20240300] 2024-02-13 15:00:34.000 [-1] 113.84375 10292 US30 caleb_strategy_v3 [20240300] 2024-02-13 15:03:48.000 [-1] 124.43750 10291 VIX caleb_strategy_v3 [20240500] 2024-02-13 15:03:38.000 [1] 16.90000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10254 BUND caleb_strategy_v3 2024-02-12 2024-02-13 08:00:29.542 2024-02-13 08:00:30.000 115229.542 0.458 10256 SMI caleb_strategy_v3 2024-02-12 2024-02-13 08:10:32.278 2024-02-13 08:10:32.000 115832.278 NaN 10257 BUXL caleb_strategy_v3 2024-02-12 2024-02-13 08:10:33.675 2024-02-13 08:10:40.000 115833.675 6.325 10267 GASOIL caleb_strategy_v3 2024-02-12 2024-02-13 09:01:22.050 2024-02-13 09:01:26.000 118882.05 3.95 10266 EURIBOR-ICE caleb_strategy_v3 2024-02-12 2024-02-13 09:00:53.138 2024-02-13 09:01:21.000 118853.138 27.862 10268 EURIBOR-ICE caleb_strategy_v3 2024-02-12 2024-02-13 09:01:53.138 2024-02-13 09:01:53.000 118913.138 NaN 10269 ROBUSTA caleb_strategy_v3 2024-02-12 2024-02-13 10:00:01.439 2024-02-13 10:00:10.000 122401.439 8.561 10271 GAS_US_mini caleb_strategy_v3 2024-02-12 2024-02-13 14:00:15.294 2024-02-13 14:00:17.000 136815.294 1.706 10272 COPPER caleb_strategy_v3 2024-02-12 2024-02-13 14:00:18.586 2024-02-13 14:00:18.000 136818.586 NaN 10274 COTTON2 caleb_strategy_v3 2024-02-09 2024-02-13 14:00:20.926 2024-02-13 14:00:21.000 396020.926 0.074 10273 PLAT caleb_strategy_v3 2024-02-12 2024-02-13 14:00:19.590 2024-02-13 14:00:19.000 136819.59 NaN 10276 PLAT caleb_strategy_v3 2024-02-12 2024-02-13 14:01:13.481 2024-02-13 14:01:13.000 136873.481 NaN 10278 PLAT caleb_strategy_v3 2024-02-12 2024-02-13 14:02:13.361 2024-02-13 14:02:13.000 136933.361 NaN 10275 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:01:12.776 2024-02-13 14:01:12.000 136872.776 NaN 10277 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:02:12.918 2024-02-13 14:02:12.000 136932.918 NaN 10279 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:03:12.933 2024-02-13 14:03:12.000 136992.933 NaN 10280 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:04:12.811 2024-02-13 14:04:12.000 137052.811 NaN 10281 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:05:13.276 2024-02-13 14:05:13.000 137113.276 NaN 10282 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:06:13.274 2024-02-13 14:06:13.000 137173.274 NaN 10283 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:07:13.289 2024-02-13 14:07:13.000 137233.289 NaN 10284 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:08:13.320 2024-02-13 14:08:13.000 137293.32 NaN 10285 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:09:13.152 2024-02-13 14:09:13.000 137353.152 NaN 10270 GOLD_micro caleb_strategy_v3 2024-02-12 2024-02-13 14:00:13.735 2024-02-13 14:00:14.000 136813.735 0.265 10286 US10U caleb_strategy_v3 2024-02-12 2024-02-13 15:00:17.207 2024-02-13 15:00:34.000 140417.207 16.793 10289 NASDAQ_micro caleb_strategy_v3 2024-02-12 2024-02-13 15:00:53.451 2024-02-13 15:00:53.000 140453.451 NaN 10291 VIX caleb_strategy_v3 2024-02-12 2024-02-13 15:00:56.203 2024-02-13 15:03:38.000 140456.203 161.797 10292 US30 caleb_strategy_v3 2024-02-12 2024-02-13 15:03:39.363 2024-02-13 15:03:48.000 140619.363 8.637 10293 MXP caleb_strategy_v3 2024-02-12 2024-02-13 15:04:06.795 2024-02-13 15:04:06.000 140646.795 NaN 10287 MXP caleb_strategy_v3 2024-02-12 2024-02-13 15:00:35.452 2024-02-13 15:00:39.000 140435.452 3.548 10288 BITCOIN caleb_strategy_v3 2024-02-12 2024-02-13 15:00:40.210 2024-02-13 15:00:52.000 140440.21 11.79 10296 BITCOIN caleb_strategy_v3 2024-02-12 2024-02-13 15:05:07.227 2024-02-13 15:05:14.000 140707.227 6.773 10294 BITCOIN caleb_strategy_v3 2024-02-12 2024-02-13 15:04:07.432 2024-02-13 15:04:39.000 140647.432 31.568 10290 RUSSELL caleb_strategy_v3 2024-02-12 2024-02-13 15:00:54.734 2024-02-13 15:00:54.000 140454.734 NaN 10295 RUSSELL caleb_strategy_v3 2024-02-12 2024-02-13 15:04:40.319 2024-02-13 15:04:40.000 140680.319 NaN 10297 RUSSELL caleb_strategy_v3 2024-02-12 2024-02-13 15:05:14.698 2024-02-13 15:05:14.000 140714.698 NaN 10298 RUSSELL caleb_strategy_v3 2024-02-12 2024-02-13 15:06:07.369 2024-02-13 15:06:07.000 140767.369 NaN 10299 RUSSELL caleb_strategy_v3 2024-02-12 2024-02-13 15:07:07.380 2024-02-13 15:07:07.000 140827.38 NaN 10301 SOYOIL caleb_strategy_v3 2024-02-12 2024-02-13 15:30:25.673 2024-02-13 15:30:25.000 142225.673 NaN 10300 LEANHOG caleb_strategy_v3 2024-02-12 2024-02-13 15:30:13.455 2024-02-13 15:30:24.000 142213.455 10.545 10302 LEANHOG caleb_strategy_v3 2024-02-12 2024-02-13 15:31:13.135 2024-02-13 15:31:13.000 142273.135 NaN 10255 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:00:31.514 2024-02-13 19:45:12.716 115231.514 42281.202 10258 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:10:44.269 2024-02-13 08:14:40.000 115844.269 235.731 10259 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:14:44.562 2024-02-13 08:14:44.000 116084.562 NaN 10260 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:15:44.796 2024-02-13 08:15:44.000 116144.796 NaN 10261 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:16:45.227 2024-02-13 08:16:45.000 116205.227 NaN 10262 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:17:45.188 2024-02-13 08:17:45.000 116265.188 NaN 10263 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:18:45.242 2024-02-13 08:18:45.000 116325.242 NaN 10264 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:19:45.370 2024-02-13 08:19:45.000 116385.37 NaN 10265 CAC caleb_strategy_v3 2024-02-12 2024-02-13 08:20:45.882 2024-02-13 08:20:46.000 116445.882 0.118 ==================================================================================================================================================================================================================================== 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 10254 BUND caleb_strategy_v3 [-1] 133.6 None 133.425 133.42 133.43 133.43 133.43 -0.175 -0.005 0.01 -0.0 NaN 0.005 10256 SMI caleb_strategy_v3 [-1] 11108.0 None 11137.5 11137.0 11138.0 11138.0 11136.0 29.5 -0.5 -1.0 -2.0 NaN -1.5 10257 BUXL caleb_strategy_v3 [-1] 133.3 None 132.95 132.94 132.96 132.96 132.92 -0.35 -0.01 -0.02 -0.04 NaN -0.03 10267 GASOIL caleb_strategy_v3 [1] 824.5 None 826.125 826.25 826.0 826.0 826.5 -1.625 -0.125 -0.25 -0.5 NaN -0.375 10266 EURIBOR-ICE caleb_strategy_v3 [-1] 97.705 None 97.7125 97.71 97.715 97.715 97.705 0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 10268 EURIBOR-ICE caleb_strategy_v3 [-1] 97.705 None 97.7075 97.705 97.71 97.71 97.71 0.0025 -0.0025 0.005 -0.0 NaN 0.0025 10269 ROBUSTA caleb_strategy_v3 [-1] 3187.0 None 3181.5 3180.0 3183.0 3183.0 3180.0 -5.5 -1.5 -0.0 -3.0 NaN -1.5 10271 GAS_US_mini caleb_strategy_v3 [1] 1.785 None 1.7775 1.78 1.775 1.775 1.775 0.0075 -0.0025 0.005 0.0 NaN 0.0025 10272 COPPER caleb_strategy_v3 [-1] 3.7205 None 3.72225 3.722 3.7225 NaN 3.722 0.00175 -0.00025 -0.0 NaN NaN -0.00025 10274 COTTON2 caleb_strategy_v3 [1] 92.22 None 91.34 91.36 91.32 91.32 91.36 0.88 -0.02 0.0 -0.04 NaN -0.02 10273 PLAT caleb_strategy_v3 [-1] 895.4 None 884.15 884.0 884.3 884.3 884.0 -11.25 -0.15 -0.0 -0.3 NaN -0.15 10276 PLAT caleb_strategy_v3 [-1] 895.4 None 884.1 884.0 884.2 884.2 884.7 -11.3 -0.1 0.7 0.5 NaN 0.6 10278 PLAT caleb_strategy_v3 [-1] 895.4 None 884.75 884.6 884.9 884.9 885.0 -10.65 -0.15 0.4 0.1 NaN 0.25 10275 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2016.15 2016.2 2016.1 2016.1 2016.3 17.25 -0.05 -0.1 -0.2 NaN -0.15 10277 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2016.25 2016.3 2016.2 2016.2 2016.0 17.15 -0.05 0.3 0.2 NaN 0.25 10279 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2015.95 2016.0 2015.9 2015.9 2015.8 17.45 -0.05 0.2 0.1 NaN 0.15 10280 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2015.75 2015.8 2015.7 2015.7 2015.4 17.65 -0.05 0.4 0.3 NaN 0.35 10281 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2015.35 2015.4 2015.3 2015.3 2015.7 18.05 -0.05 -0.3 -0.4 NaN -0.35 10282 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2015.65 2015.7 2015.6 2015.6 2015.6 17.75 -0.05 0.1 0.0 NaN 0.05 10283 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2015.5 2015.6 2015.4 2015.4 2015.9 17.9 -0.1 -0.3 -0.5 NaN -0.4 10284 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2015.85 2015.9 2015.8 2015.8 2014.7 17.55 -0.05 1.2 1.1 NaN 1.15 10285 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2014.65 2014.7 2014.6 2014.6 2014.4 18.75 -0.05 0.3 0.2 NaN 0.25 10270 GOLD_micro caleb_strategy_v3 [1] 2033.4 None 2016.05 2016.1 2016.0 2016.0 2016.2 17.35 -0.05 -0.1 -0.2 NaN -0.15 10286 US10U caleb_strategy_v3 [-1] 114.8125 None 113.835938 113.828125 113.84375 113.84375 113.84375 -0.976562 -0.007812 0.015625 -0.0 NaN 0.007812 10289 NASDAQ_micro caleb_strategy_v3 [-1] 17974.25 None 17670.5 17670.25 17670.75 17670.75 17670.25 -303.75 -0.25 -0.0 -0.5 NaN -0.25 10291 VIX caleb_strategy_v3 [1] 16.4 None 16.825 16.85 16.8 16.8 16.9 -0.425 -0.025 -0.05 -0.1 NaN -0.075 10292 US30 caleb_strategy_v3 [-1] 126.03125 None 124.421875 124.40625 124.4375 124.4375 124.4375 -1.609375 -0.015625 0.03125 -0.0 NaN 0.015625 10293 MXP caleb_strategy_v3 [1] 0.05818 None 0.057835 0.05784 0.05783 0.05783 0.05783 0.000345 -0.000005 0.00001 0.0 NaN 0.000005 10287 MXP caleb_strategy_v3 [1] 0.05818 None 0.057825 0.05783 0.05782 0.05782 0.05784 0.000355 -0.000005 -0.00001 -0.00002 NaN -0.000015 10288 BITCOIN caleb_strategy_v3 [1] 50510.0 None 49515.0 49545.0 49485.0 49485.0 49565.0 995.0 -30.0 -20.0 -80.0 NaN -50.0 10296 BITCOIN caleb_strategy_v3 [1] 50510.0 None 49475.0 49505.0 49445.0 49445.0 49515.0 1035.0 -30.0 -10.0 -70.0 NaN -40.0 10294 BITCOIN caleb_strategy_v3 [1] 50510.0 None 49535.0 49560.0 49510.0 49510.0 49510.0 975.0 -25.0 50.0 0.0 NaN 25.0 10290 RUSSELL caleb_strategy_v3 [1] 2056.7 None 1977.7 1977.8 1977.6 1977.6 1977.6 79.0 -0.1 0.2 0.0 NaN 0.1 10295 RUSSELL caleb_strategy_v3 [1] 2056.7 None 1977.5 1977.6 1977.4 1977.4 1979.2 79.2 -0.1 -1.6 -1.8 NaN -1.7 10297 RUSSELL caleb_strategy_v3 [1] 2056.7 None 1979.1 1979.2 1979.0 1979.0 1978.2 77.6 -0.1 1.0 0.8 NaN 0.9 10298 RUSSELL caleb_strategy_v3 [1] 2056.7 None 1978.1 1978.2 1978.0 1978.0 1977.4 78.6 -0.1 0.8 0.6 NaN 0.7 10299 RUSSELL caleb_strategy_v3 [1] 2056.7 None 1977.4 1977.5 1977.3 1977.3 1978.4 79.3 -0.1 -0.9 -1.1 NaN -1.0 10301 SOYOIL caleb_strategy_v3 [-1] 47.75 None 47.31 47.3 47.32 NaN 47.3 -0.44 -0.01 -0.0 NaN NaN -0.01 10300 LEANHOG caleb_strategy_v3 [-1] 94.875 None 94.075 94.05 94.1 94.1 94.075 -0.8 -0.025 0.025 -0.025 NaN 0.0 10302 LEANHOG caleb_strategy_v3 [-1] 94.875 None 94.5375 94.075 95.0 95.0 94.175 -0.3375 -0.4625 0.1 -0.825 NaN -0.3625 10255 CAC caleb_strategy_v3 [1] 7708.0 None 7700.25 7700.5 7700.0 7700.0 NaN 7.75 -0.25 NaN NaN NaN NaN 10258 CAC caleb_strategy_v3 [1] 7708.0 None 7696.5 7697.0 7696.0 7696.0 7702.5 11.5 -0.5 -5.5 -6.5 NaN -6.0 10259 CAC caleb_strategy_v3 [1] 7708.0 None 7701.75 7702.5 7701.0 7701.0 7702.5 6.25 -0.75 0.0 -1.5 NaN -0.75 10260 CAC caleb_strategy_v3 [1] 7708.0 None 7704.75 7705.5 7704.0 7704.0 7701.0 3.25 -0.75 4.5 3.0 NaN 3.75 10261 CAC caleb_strategy_v3 [1] 7708.0 None 7704.75 7705.5 7704.0 7704.0 7699.5 3.25 -0.75 6.0 4.5 NaN 5.25 10262 CAC caleb_strategy_v3 [1] 7708.0 None 7704.75 7705.5 7704.0 7704.0 7702.5 3.25 -0.75 3.0 1.5 NaN 2.25 10263 CAC caleb_strategy_v3 [1] 7708.0 None 7704.75 7705.5 7704.0 7704.0 7702.5 3.25 -0.75 3.0 1.5 NaN 2.25 10264 CAC caleb_strategy_v3 [1] 7708.0 None 7704.75 7705.5 7704.0 7704.0 7703.5 3.25 -0.75 2.0 0.5 NaN 1.25 10265 CAC caleb_strategy_v3 [1] 7708.0 None 7704.75 7705.5 7704.0 7704.0 7698.0 3.25 -0.75 7.5 6.0 NaN 6.75 ================================================================================================================================================================ 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 10254 BUND caleb_strategy_v3 [-1] 10.927437 -160.147341 -4.575638 9.151277 -0.0 NaN 4.575638 10256 SMI caleb_strategy_v3 [-1] 1236.861957 238.50681 -4.042488 -8.084977 -16.169953 NaN -12.127465 10257 BUXL caleb_strategy_v3 [-1] 24.284515 -144.124763 -4.11785 -8.235701 -16.471401 NaN -12.353551 10267 GASOIL caleb_strategy_v3 [1] 259.92349 -62.518397 -4.809107 -9.618215 -19.23643 NaN -14.427322 10266 EURIBOR-ICE caleb_strategy_v3 [-1] 1.092438 68.653761 -22.884587 -45.769174 -91.538348 NaN -68.653761 10268 EURIBOR-ICE caleb_strategy_v3 [-1] 1.092438 22.884587 -22.884587 45.769174 -0.0 NaN 22.884587 10269 ROBUSTA caleb_strategy_v3 [-1] 736.365054 -74.691214 -20.370331 -0.0 -40.740662 NaN -20.370331 10271 GAS_US_mini caleb_strategy_v3 [1] 1.660133 45.177112 -15.059037 30.118075 0.0 NaN 15.059037 10272 COPPER caleb_strategy_v3 [-1] 0.662661 26.408681 -3.772669 -0.0 NaN NaN -3.772669 10274 COTTON2 caleb_strategy_v3 [1] 18.500669 475.658485 -10.81042 0.0 -21.62084 NaN -10.81042 10273 PLAT caleb_strategy_v3 [-1] 242.722232 -463.492772 -6.179904 -0.0 -12.359807 NaN -6.179904 10276 PLAT caleb_strategy_v3 [-1] 242.722232 -465.55274 -4.119936 28.83955 20.599679 NaN 24.719614 10278 PLAT caleb_strategy_v3 [-1] 242.722232 -438.773157 -6.179904 16.479743 4.119936 NaN 10.299839 10275 GOLD_micro caleb_strategy_v3 [1] 235.421893 732.727095 -2.123847 -4.247693 -8.495387 NaN -6.37154 10277 GOLD_micro caleb_strategy_v3 [1] 235.421893 728.479402 -2.123847 12.74308 8.495387 NaN 10.619233 10279 GOLD_micro caleb_strategy_v3 [1] 235.421893 741.222482 -2.123847 8.495387 4.247693 NaN 6.37154 10280 GOLD_micro caleb_strategy_v3 [1] 235.421893 749.717868 -2.123847 16.990773 12.74308 NaN 14.866927 10281 GOLD_micro caleb_strategy_v3 [1] 235.421893 766.708641 -2.123847 -12.74308 -16.990773 NaN -14.866927 10282 GOLD_micro caleb_strategy_v3 [1] 235.421893 753.965562 -2.123847 4.247693 0.0 NaN 2.123847 10283 GOLD_micro caleb_strategy_v3 [1] 235.421893 760.337102 -4.247693 -12.74308 -21.238467 NaN -16.990773 10284 GOLD_micro caleb_strategy_v3 [1] 235.421893 745.470175 -2.123847 50.97232 46.724626 NaN 48.848473 10285 GOLD_micro caleb_strategy_v3 [1] 235.421893 796.442495 -2.123847 12.74308 8.495387 NaN 10.619233 10270 GOLD_micro caleb_strategy_v3 [1] 235.421893 736.974788 -2.123847 -4.247693 -8.495387 NaN -6.37154 10286 US10U caleb_strategy_v3 [-1] 11.005037 -887.37773 -7.099022 14.198044 -0.0 NaN 7.099022 10289 NASDAQ_micro caleb_strategy_v3 [-1] 2960.269958 -1026.088851 -0.844518 -0.0 -1.689035 NaN -0.844518 10291 VIX caleb_strategy_v3 [1] 7.027733 -604.74691 -35.573348 -71.146695 -142.293391 NaN -106.720043 10292 US30 caleb_strategy_v3 [-1] 21.206983 -758.889175 -7.367856 14.735712 -0.0 NaN 7.367856 10293 MXP caleb_strategy_v3 [1] 0.005318 648.689163 -9.401292 18.802584 0.0 NaN 9.401292 10287 MXP caleb_strategy_v3 [1] 0.005318 667.491747 -9.401292 -18.802584 -37.605169 NaN -28.203877 10288 BITCOIN caleb_strategy_v3 [1] 19016.184091 523.238519 -15.776036 -10.517357 -42.069429 NaN -26.293393 10296 BITCOIN caleb_strategy_v3 [1] 19016.184091 544.273233 -15.776036 -5.258679 -36.81075 NaN -21.034714 10294 BITCOIN caleb_strategy_v3 [1] 19016.184091 512.721162 -13.146696 26.293393 0.0 NaN 13.146696 10290 RUSSELL caleb_strategy_v3 [1] 517.619722 1526.216963 -1.93192 3.86384 0.0 NaN 1.93192 10295 RUSSELL caleb_strategy_v3 [1] 517.619722 1530.080803 -1.93192 -30.910723 -34.774564 NaN -32.842644 10297 RUSSELL caleb_strategy_v3 [1] 517.619722 1499.17008 -1.93192 19.319202 15.455362 NaN 17.387282 10298 RUSSELL caleb_strategy_v3 [1] 517.619722 1518.489282 -1.93192 15.455362 11.591521 NaN 13.523441 10299 RUSSELL caleb_strategy_v3 [1] 517.619722 1532.012724 -1.93192 -17.387282 -21.251122 NaN -19.319202 10301 SOYOIL caleb_strategy_v3 [-1] 13.278489 -331.363007 -7.530977 -0.0 NaN NaN -7.530977 10300 LEANHOG caleb_strategy_v3 [-1] 18.387254 -435.084001 -13.596375 13.596375 -13.596375 NaN 0.0 10302 LEANHOG caleb_strategy_v3 [-1] 18.387254 -183.551063 -251.532938 54.3855 -448.680376 NaN -197.147438 10255 CAC caleb_strategy_v3 [1] 985.266944 78.658886 -2.537383 NaN NaN NaN NaN 10258 CAC caleb_strategy_v3 [1] 985.266944 116.719637 -5.074767 -55.822435 -65.971969 NaN -60.897202 10259 CAC caleb_strategy_v3 [1] 985.266944 63.434585 -7.61215 0.0 -15.2243 NaN -7.61215 10260 CAC caleb_strategy_v3 [1] 985.266944 32.985984 -7.61215 45.672901 30.448601 NaN 38.060751 10261 CAC caleb_strategy_v3 [1] 985.266944 32.985984 -7.61215 60.897202 45.672901 NaN 53.285052 10262 CAC caleb_strategy_v3 [1] 985.266944 32.985984 -7.61215 30.448601 15.2243 NaN 22.836451 10263 CAC caleb_strategy_v3 [1] 985.266944 32.985984 -7.61215 30.448601 15.2243 NaN 22.836451 10264 CAC caleb_strategy_v3 [1] 985.266944 32.985984 -7.61215 20.299067 5.074767 NaN 12.686917 10265 CAC caleb_strategy_v3 [1] 985.266944 32.985984 -7.61215 76.121502 60.897202 NaN 68.509352 ======================================================================================================================================================================== 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 10254 BUND caleb_strategy_v3 [-1] 1077.35 -188.53625 -5.38675 10.7735 -0.0 NaN 5.38675 10256 SMI caleb_strategy_v3 [-1] 11.4165 336.78675 -5.70825 -11.4165 -22.833 NaN -17.12475 10257 BUXL caleb_strategy_v3 [-1] 1077.35 -377.0725 -10.7735 -21.547 -43.094 NaN -32.3205 10267 GASOIL caleb_strategy_v3 [1] 100.0 -162.5 -12.5 -25.0 -50.0 NaN -37.5 10266 EURIBOR-ICE caleb_strategy_v3 [-1] 2693.375 20.200313 -6.733438 -13.466875 -26.93375 NaN -20.200313 10268 EURIBOR-ICE caleb_strategy_v3 [-1] 2693.375 6.733437 -6.733437 13.466875 -0.0 NaN 6.733437 10269 ROBUSTA caleb_strategy_v3 [-1] 10.0 -55.0 -15.0 -0.0 -30.0 NaN -15.0 10271 GAS_US_mini caleb_strategy_v3 [1] 2500.0 18.75 -6.25 12.5 0.0 NaN 6.25 10272 COPPER caleb_strategy_v3 [-1] 25000.0 43.75 -6.25 -0.0 NaN NaN -6.25 10274 COTTON2 caleb_strategy_v3 [1] 500.0 440.0 -10.0 0.0 -20.0 NaN -10.0 10273 PLAT caleb_strategy_v3 [-1] 50.0 -562.5 -7.5 -0.0 -15.0 NaN -7.5 10276 PLAT caleb_strategy_v3 [-1] 50.0 -565.0 -5.0 35.0 25.0 NaN 30.0 10278 PLAT caleb_strategy_v3 [-1] 50.0 -532.5 -7.5 20.0 5.0 NaN 12.5 10275 GOLD_micro caleb_strategy_v3 [1] 10.0 172.5 -0.5 -1.0 -2.0 NaN -1.5 10277 GOLD_micro caleb_strategy_v3 [1] 10.0 171.5 -0.5 3.0 2.0 NaN 2.5 10279 GOLD_micro caleb_strategy_v3 [1] 10.0 174.5 -0.5 2.0 1.0 NaN 1.5 10280 GOLD_micro caleb_strategy_v3 [1] 10.0 176.5 -0.5 4.0 3.0 NaN 3.5 10281 GOLD_micro caleb_strategy_v3 [1] 10.0 180.5 -0.5 -3.0 -4.0 NaN -3.5 10282 GOLD_micro caleb_strategy_v3 [1] 10.0 177.5 -0.5 1.0 0.0 NaN 0.5 10283 GOLD_micro caleb_strategy_v3 [1] 10.0 179.0 -1.0 -3.0 -5.0 NaN -4.0 10284 GOLD_micro caleb_strategy_v3 [1] 10.0 175.5 -0.5 12.0 11.0 NaN 11.5 10285 GOLD_micro caleb_strategy_v3 [1] 10.0 187.5 -0.5 3.0 2.0 NaN 2.5 10270 GOLD_micro caleb_strategy_v3 [1] 10.0 173.5 -0.5 -1.0 -2.0 NaN -1.5 10286 US10U caleb_strategy_v3 [-1] 1000.0 -976.5625 -7.8125 15.625 -0.0 NaN 7.8125 10289 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -607.5 -0.5 -0.0 -1.0 NaN -0.5 10291 VIX caleb_strategy_v3 [1] 1000.0 -425.0 -25.0 -50.0 -100.0 NaN -75.0 10292 US30 caleb_strategy_v3 [-1] 1000.0 -1609.375 -15.625 31.25 -0.0 NaN 15.625 10293 MXP caleb_strategy_v3 [1] 500000.0 172.5 -2.5 5.0 0.0 NaN 2.5 10287 MXP caleb_strategy_v3 [1] 500000.0 177.5 -2.5 -5.0 -10.0 NaN -7.5 10288 BITCOIN caleb_strategy_v3 [1] 0.1 99.5 -3.0 -2.0 -8.0 NaN -5.0 10296 BITCOIN caleb_strategy_v3 [1] 0.1 103.5 -3.0 -1.0 -7.0 NaN -4.0 10294 BITCOIN caleb_strategy_v3 [1] 0.1 97.5 -2.5 5.0 0.0 NaN 2.5 10290 RUSSELL caleb_strategy_v3 [1] 5.0 395.0 -0.5 1.0 0.0 NaN 0.5 10295 RUSSELL caleb_strategy_v3 [1] 5.0 396.0 -0.5 -8.0 -9.0 NaN -8.5 10297 RUSSELL caleb_strategy_v3 [1] 5.0 388.0 -0.5 5.0 4.0 NaN 4.5 10298 RUSSELL caleb_strategy_v3 [1] 5.0 393.0 -0.5 4.0 3.0 NaN 3.5 10299 RUSSELL caleb_strategy_v3 [1] 5.0 396.5 -0.5 -4.5 -5.5 NaN -5.0 10301 SOYOIL caleb_strategy_v3 [-1] 600.0 -264.0 -6.0 -0.0 NaN NaN -6.0 10300 LEANHOG caleb_strategy_v3 [-1] 400.0 -320.0 -10.0 10.0 -10.0 NaN 0.0 10302 LEANHOG caleb_strategy_v3 [-1] 400.0 -135.0 -185.0 40.0 -330.0 NaN -145.0 10255 CAC caleb_strategy_v3 [1] 10.7735 83.494625 -2.693375 NaN NaN NaN NaN 10258 CAC caleb_strategy_v3 [1] 10.7735 123.89525 -5.38675 -59.25425 -70.02775 NaN -64.641 10259 CAC caleb_strategy_v3 [1] 10.7735 67.334375 -8.080125 0.0 -16.16025 NaN -8.080125 10260 CAC caleb_strategy_v3 [1] 10.7735 35.013875 -8.080125 48.48075 32.3205 NaN 40.400625 10261 CAC caleb_strategy_v3 [1] 10.7735 35.013875 -8.080125 64.641 48.48075 NaN 56.560875 10262 CAC caleb_strategy_v3 [1] 10.7735 35.013875 -8.080125 32.3205 16.16025 NaN 24.240375 10263 CAC caleb_strategy_v3 [1] 10.7735 35.013875 -8.080125 32.3205 16.16025 NaN 24.240375 10264 CAC caleb_strategy_v3 [1] 10.7735 35.013875 -8.080125 21.547 5.38675 NaN 13.466875 10265 CAC caleb_strategy_v3 [1] 10.7735 35.013875 -8.080125 80.80125 64.641 NaN 72.721125 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 300.5 BUND -188.53625 BUXL -377.0725 CAC 484.8075 COPPER 43.75 COTTON2 440.0 EURIBOR-ICE 26.93375 GASOIL -162.5 GAS_US_mini 18.75 GOLD_micro 1768.5 LEANHOG -455.0 MXP 350.0 NASDAQ_micro -607.5 PLAT -1660.0 ROBUSTA -55.0 RUSSELL 1968.5 SMI 336.78675 SOYOIL -264.0 US10U -976.5625 US30 -1609.375 VIX -425.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1042.01825 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -8.5 BUND -5.38675 BUXL -10.7735 CAC -64.641 COPPER -6.25 COTTON2 -10.0 EURIBOR-ICE -13.466875 GASOIL -12.5 GAS_US_mini -6.25 GOLD_micro -5.5 LEANHOG -195.0 MXP -5.0 NASDAQ_micro -0.5 PLAT -20.0 ROBUSTA -15.0 RUSSELL -2.5 SMI -5.70825 SOYOIL -6.0 US10U -7.8125 US30 -15.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -441.413875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 2.0 BUND 10.7735 BUXL -21.547 CAC 220.85675 COPPER -0.0 COTTON2 0.0 EURIBOR-ICE 0.0 GASOIL -25.0 GAS_US_mini 12.5 GOLD_micro 17.0 LEANHOG 50.0 MXP 0.0 NASDAQ_micro -0.0 PLAT 55.0 ROBUSTA -0.0 RUSSELL -2.5 SMI -11.4165 SOYOIL -0.0 US10U 15.625 US30 31.25 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 304.54175 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -15.0 BUND -0.0 BUXL -43.094 CAC 96.9615 COPPER 0 COTTON2 -20.0 EURIBOR-ICE -26.93375 GASOIL -50.0 GAS_US_mini 0.0 GOLD_micro 6.0 LEANHOG -340.0 MXP -10.0 NASDAQ_micro -1.0 PLAT 15.0 ROBUSTA -30.0 RUSSELL -7.5 SMI -22.833 SOYOIL 0 US10U -0.0 US30 -0.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -548.39925 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 BUND 0 BUXL 0 CAC 0 COPPER 0 COTTON2 0 EURIBOR-ICE 0 GASOIL 0 GAS_US_mini 0 GOLD_micro 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 PLAT 0 ROBUSTA 0 RUSSELL 0 SMI 0 SOYOIL 0 US10U 0 US30 0 VIX 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 BITCOIN -6.5 BUND 5.38675 BUXL -32.3205 CAC 158.909125 COPPER -6.25 COTTON2 -10.0 EURIBOR-ICE -13.466875 GASOIL -37.5 GAS_US_mini 6.25 GOLD_micro 11.5 LEANHOG -145.0 MXP -5.0 NASDAQ_micro -0.5 PLAT 35.0 ROBUSTA -15.0 RUSSELL -5.0 SMI -17.12475 SOYOIL -6.0 US10U 7.8125 US30 15.625 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -134.17875 ******************************************************************************** END OF REPORT ********************************************************************************