******************************************************************************** Trades report produced on 14/02/2024 21:37 from 13/02/2024 21:37 to 14/02/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10343 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:03:56 [1] 52850.000000 10348 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:07:12 [1] 52770.000000 10351 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:09:09 [1] 52685.000000 10346 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:04:56 [1] 52835.000000 10338 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:02:57 [1] 52790.000000 10328 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:00:46 [1] 52860.000000 10350 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:08:27 [1] 52720.000000 10352 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:09:31 [1] 52570.000000 10353 BITCOIN caleb_strategy_v3 [20240300] 2024-02-14 15:10:31 [1] 52545.000000 10308 BTP caleb_strategy_v3 [20240300] 2024-02-14 08:00:40 [1] 117.180000 10307 BUND caleb_strategy_v3 [20240300] 2024-02-14 08:00:39 [1] 133.240000 10306 CAC caleb_strategy_v3 [20240300] 2024-02-14 08:00:36 [1] 7642.500000 10331 CAD caleb_strategy_v3 [20240300] 2024-02-14 15:01:21 [-1] 0.738000 10339 CAD caleb_strategy_v3 [20240300] 2024-02-14 15:02:58 [-1] 0.737850 10324 CHF caleb_strategy_v3 [20240300] 2024-02-14 15:00:34 [-1] 1.130850 10315 COPPER caleb_strategy_v3 [20240300] 2024-02-14 14:00:08 [-1] 3.704500 10320 COPPER caleb_strategy_v3 [20240300] 2024-02-14 14:01:04 [-1] 3.705500 10319 COTTON2 caleb_strategy_v3 [20240500] 2024-02-14 14:00:16 [1] 93.080000 10335 DOW caleb_strategy_v3 [20240300] 2024-02-14 15:02:55 [-1] 38378.000000 10325 DOW caleb_strategy_v3 [20240300] 2024-02-14 15:00:35 [-1] 38395.000000 10312 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-14 09:03:22 [-1] 97.660000 10311 EUROSTX caleb_strategy_v3 [20240300] 2024-02-14 08:02:35 [-1] 4702.000000 10310 EUROSTX caleb_strategy_v3 [20240300] 2024-02-14 08:01:35 [-1] 4701.000000 10309 EUROSTX caleb_strategy_v3 [20240300] 2024-02-14 08:01:02 [-1] 4700.000000 10313 GASOIL caleb_strategy_v3 [20240500] 2024-02-14 09:03:24 [1] 821.000000 10318 GASOLINE caleb_strategy_v3 [20240500] 2024-02-14 14:00:15 [1] 2.609700 10317 GAS_US_mini caleb_strategy_v3 [20240400] 2024-02-14 14:00:12 [1] 1.700000 10316 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-14 14:00:11 [-1] 2001.700000 10323 JPY caleb_strategy_v3 [20240300] 2024-02-14 15:00:31 [1] 0.006671 10354 LEANHOG caleb_strategy_v3 [20240600] 2024-02-14 15:30:35 [-1] 96.875000 10330 MXP caleb_strategy_v3 [20240300] 2024-02-14 15:01:20 [1] 0.058110 10336 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-14 15:02:56 [-1] 17783.750000 10345 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-14 15:04:55 [-1] 17780.250000 10342 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-14 15:03:55 [-1] 17785.250000 10326 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-14 15:00:36 [-1] 17792.000000 10304 NIKKEI caleb_strategy_v3 [20240300] 2024-02-14 03:02:17 [-1] 37595.000000 10305 NIKKEI caleb_strategy_v3 [20240300] 2024-02-14 03:03:18 [-1] 37590.000000 10303 NIKKEI caleb_strategy_v3 [20240300] 2024-02-14 03:01:19 [-1] 37575.000000 10314 PLAT caleb_strategy_v3 [20240400] 2024-02-14 14:00:06 [-1] 894.600000 10327 RUSSELL caleb_strategy_v3 [20240300] 2024-02-14 15:00:38 [1] 1997.100000 10337 RUSSELL caleb_strategy_v3 [20240300] 2024-02-14 15:02:56 [1] 1995.600000 10322 SP500_micro caleb_strategy_v3 [20240300] 2024-02-14 15:00:24 [-1] 5000.250000 10329 US10 caleb_strategy_v3 [20240300] 2024-02-14 15:00:49 [1] 109.781250 10332 US20 caleb_strategy_v3 [20240300] 2024-02-14 15:01:29 [-1] 118.031250 10340 US20 caleb_strategy_v3 [20240300] 2024-02-14 15:02:58 [-1] 118.000000 10334 US30 caleb_strategy_v3 [20240300] 2024-02-14 15:02:38 [1] 123.750000 10333 US5 caleb_strategy_v3 [20240300] 2024-02-14 15:02:24 [1] 106.554688 10344 US5 caleb_strategy_v3 [20240300] 2024-02-14 15:03:57 [1] 106.578125 10341 US5 caleb_strategy_v3 [20240300] 2024-02-14 15:02:59 [1] 106.554688 10347 US5 caleb_strategy_v3 [20240300] 2024-02-14 15:04:57 [1] 106.585938 10349 US5 caleb_strategy_v3 [20240300] 2024-02-14 15:07:13 [1] 106.578125 10321 VIX caleb_strategy_v3 [20240500] 2024-02-14 15:00:22 [-1] 16.500000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10304 NIKKEI caleb_strategy_v3 2024-02-13 2024-02-14 03:02:17.653 2024-02-14 03:02:17 97337.653 NaN 10305 NIKKEI caleb_strategy_v3 2024-02-13 2024-02-14 03:03:18.100 2024-02-14 03:03:18 97398.1 NaN 10303 NIKKEI caleb_strategy_v3 2024-02-13 2024-02-14 03:01:17.367 2024-02-14 03:01:19 97277.367 1.633 10306 CAC caleb_strategy_v3 2024-02-13 2024-02-14 08:00:36.150 2024-02-14 08:00:36 115236.15 NaN 10307 BUND caleb_strategy_v3 2024-02-13 2024-02-14 08:00:37.330 2024-02-14 08:00:39 115237.33 1.67 10308 BTP caleb_strategy_v3 2024-02-13 2024-02-14 08:00:40.155 2024-02-14 08:00:40 115240.155 NaN 10309 EUROSTX caleb_strategy_v3 2024-02-13 2024-02-14 08:00:41.266 2024-02-14 08:01:02 115241.266 20.734 10310 EUROSTX caleb_strategy_v3 2024-02-13 2024-02-14 08:01:35.724 2024-02-14 08:01:35 115295.724 NaN 10311 EUROSTX caleb_strategy_v3 2024-02-13 2024-02-14 08:02:35.606 2024-02-14 08:02:35 115355.606 NaN 10312 EURIBOR-ICE caleb_strategy_v3 2024-02-13 2024-02-14 09:00:38.095 2024-02-14 09:03:22 118838.095 163.905 10313 GASOIL caleb_strategy_v3 2024-02-13 2024-02-14 09:03:23.843 2024-02-14 09:03:24 119003.843 0.157 10314 PLAT caleb_strategy_v3 2024-02-13 2024-02-14 14:00:04.850 2024-02-14 14:00:06 136804.85 1.15 10316 GOLD_micro caleb_strategy_v3 2024-02-13 2024-02-14 14:00:09.278 2024-02-14 14:00:11 136809.278 1.722 10317 GAS_US_mini caleb_strategy_v3 2024-02-13 2024-02-14 14:00:12.462 2024-02-14 14:00:12 136812.462 NaN 10318 GASOLINE caleb_strategy_v3 2024-02-13 2024-02-14 14:00:13.471 2024-02-14 14:00:15 136813.471 1.529 10319 COTTON2 caleb_strategy_v3 2024-02-13 2024-02-14 14:00:16.431 2024-02-14 14:00:16 136816.431 NaN 10320 COPPER caleb_strategy_v3 2024-02-13 2024-02-14 14:01:04.088 2024-02-14 14:01:04 136864.088 NaN 10315 COPPER caleb_strategy_v3 2024-02-13 2024-02-14 14:00:07.351 2024-02-14 14:00:08 136807.351 0.649 10321 VIX caleb_strategy_v3 2024-02-13 2024-02-14 15:00:06.502 2024-02-14 15:00:22 140406.502 15.498 10322 SP500_micro caleb_strategy_v3 2024-02-13 2024-02-14 15:00:23.287 2024-02-14 15:00:24 140423.287 0.713 10323 JPY caleb_strategy_v3 2024-02-13 2024-02-14 15:00:25.743 2024-02-14 15:00:31 140425.743 5.257 10324 CHF caleb_strategy_v3 2024-02-13 2024-02-14 15:00:32.150 2024-02-14 15:00:34 140432.15 1.85 10329 US10 caleb_strategy_v3 2024-02-13 2024-02-14 15:00:47.183 2024-02-14 15:00:49 140447.183 1.817 10330 MXP caleb_strategy_v3 2024-02-13 2024-02-14 15:00:50.402 2024-02-14 15:01:20 140450.402 29.598 10334 US30 caleb_strategy_v3 2024-02-13 2024-02-14 15:02:25.466 2024-02-14 15:02:38 140545.466 12.534 10325 DOW caleb_strategy_v3 2024-02-13 2024-02-14 15:00:35.643 2024-02-14 15:00:35 140435.643 NaN 10335 DOW caleb_strategy_v3 2024-02-13 2024-02-14 15:02:55.516 2024-02-14 15:02:55 140575.516 NaN 10337 RUSSELL caleb_strategy_v3 2024-02-13 2024-02-14 15:02:56.884 2024-02-14 15:02:56 140576.884 NaN 10327 RUSSELL caleb_strategy_v3 2024-02-13 2024-02-14 15:00:37.806 2024-02-14 15:00:38 140437.806 0.194 10339 CAD caleb_strategy_v3 2024-02-13 2024-02-14 15:02:57.931 2024-02-14 15:02:58 140577.931 0.069 10331 CAD caleb_strategy_v3 2024-02-13 2024-02-14 15:01:21.026 2024-02-14 15:01:21 140481.026 NaN 10340 US20 caleb_strategy_v3 2024-02-13 2024-02-14 15:02:58.627 2024-02-14 15:02:58 140578.627 NaN 10332 US20 caleb_strategy_v3 2024-02-13 2024-02-14 15:01:22.122 2024-02-14 15:01:29 140482.122 6.878 10336 NASDAQ_micro caleb_strategy_v3 2024-02-13 2024-02-14 15:02:56.207 2024-02-14 15:02:56 140576.207 NaN 10345 NASDAQ_micro caleb_strategy_v3 2024-02-13 2024-02-14 15:04:55.796 2024-02-14 15:04:55 140695.796 NaN 10342 NASDAQ_micro caleb_strategy_v3 2024-02-13 2024-02-14 15:03:55.413 2024-02-14 15:03:55 140635.413 NaN 10326 NASDAQ_micro caleb_strategy_v3 2024-02-13 2024-02-14 15:00:36.742 2024-02-14 15:00:36 140436.742 NaN 10341 US5 caleb_strategy_v3 2024-02-13 2024-02-14 15:02:59.188 2024-02-14 15:02:59 140579.188 NaN 10344 US5 caleb_strategy_v3 2024-02-13 2024-02-14 15:03:56.859 2024-02-14 15:03:57 140636.859 0.141 10347 US5 caleb_strategy_v3 2024-02-13 2024-02-14 15:04:57.453 2024-02-14 15:04:57 140697.453 NaN 10349 US5 caleb_strategy_v3 2024-02-13 2024-02-14 15:07:13.325 2024-02-14 15:07:13 140833.325 NaN 10333 US5 caleb_strategy_v3 2024-02-13 2024-02-14 15:01:30.246 2024-02-14 15:02:24 140490.246 53.754 10338 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:02:57.482 2024-02-14 15:02:57 140577.482 NaN 10343 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:03:56.186 2024-02-14 15:03:56 140636.186 NaN 10346 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:04:56.467 2024-02-14 15:04:56 140696.467 NaN 10348 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:05:56.032 2024-02-14 15:07:12 140756.032 75.968 10350 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:07:16.980 2024-02-14 15:08:27 140836.98 70.02 10351 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:08:31.020 2024-02-14 15:09:09 140911.02 37.98 10352 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:09:31.065 2024-02-14 15:09:31 140971.065 NaN 10353 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:10:31.104 2024-02-14 15:10:31 141031.104 NaN 10328 BITCOIN caleb_strategy_v3 2024-02-13 2024-02-14 15:00:38.894 2024-02-14 15:00:46 140438.894 7.106 10354 LEANHOG caleb_strategy_v3 2024-02-13 2024-02-14 15:30:35.796 2024-02-14 15:30:35 142235.796 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 10304 NIKKEI caleb_strategy_v3 [-1] 37570.0 None 37577.5 37575.0 37580.0 37580.0 37595.0 7.5 -2.5 20.0 15.0 NaN 17.5 10305 NIKKEI caleb_strategy_v3 [-1] 37570.0 None 37597.5 37595.0 37600.0 37600.0 37590.0 27.5 -2.5 -5.0 -10.0 NaN -7.5 10303 NIKKEI caleb_strategy_v3 [-1] 37570.0 None 37582.5 37580.0 37585.0 37585.0 37575.0 12.5 -2.5 -5.0 -10.0 NaN -7.5 10306 CAC caleb_strategy_v3 [1] 7610.5 None 7643.0 7643.5 7642.5 7642.5 7642.5 -32.5 -0.5 1.0 0.0 NaN 0.5 10307 BUND caleb_strategy_v3 [1] 132.86 None 133.235 133.24 133.23 133.23 133.24 -0.375 -0.005 0.0 -0.01 NaN -0.005 10308 BTP caleb_strategy_v3 [1] 116.95 None 117.185 117.19 117.18 117.18 117.18 -0.235 -0.005 0.01 0.0 NaN 0.005 10309 EUROSTX caleb_strategy_v3 [-1] 4676.0 None 4699.5 4699.0 4700.0 4700.0 4700.0 23.5 -0.5 1.0 -0.0 NaN 0.5 10310 EUROSTX caleb_strategy_v3 [-1] 4676.0 None 4699.5 4699.0 4700.0 4700.0 4701.0 23.5 -0.5 2.0 1.0 NaN 1.5 10311 EUROSTX caleb_strategy_v3 [-1] 4676.0 None 4701.5 4701.0 4702.0 4702.0 4702.0 25.5 -0.5 1.0 -0.0 NaN 0.5 10312 EURIBOR-ICE caleb_strategy_v3 [-1] 97.6 None 97.6675 97.665 97.67 97.67 97.66 0.0675 -0.0025 -0.005 -0.01 NaN -0.0075 10313 GASOIL caleb_strategy_v3 [1] 822.5 None 820.875 821.0 820.75 NaN 821.0 1.625 -0.125 0.0 NaN NaN -0.125 10314 PLAT caleb_strategy_v3 [-1] 877.6 None 894.5 894.4 894.6 894.6 894.6 16.9 -0.1 0.2 -0.0 NaN 0.1 10316 GOLD_micro caleb_strategy_v3 [-1] 2004.8 None 2001.85 2001.8 2001.9 2001.9 2001.7 -2.95 -0.05 -0.1 -0.2 NaN -0.15 10317 GAS_US_mini caleb_strategy_v3 [1] 1.725 None 1.6925 1.695 1.69 NaN 1.7 0.0325 -0.0025 -0.005 NaN NaN -0.0075 10318 GASOLINE caleb_strategy_v3 [1] 2.603 None 2.6099 2.6101 2.6097 2.6097 2.6097 -0.0069 -0.0002 0.0004 0.0 NaN 0.0002 10319 COTTON2 caleb_strategy_v3 [1] 91.99 None 93.0 93.0 93.0 NaN 93.08 -1.01 0.0 -0.08 NaN NaN -0.08 10320 COPPER caleb_strategy_v3 [-1] 3.7045 None 3.70475 3.7045 3.705 3.705 3.7055 0.00025 -0.00025 0.001 0.0005 NaN 0.00075 10315 COPPER caleb_strategy_v3 [-1] 3.7045 None 3.705 3.7045 3.7055 3.7055 3.7045 0.0005 -0.0005 -0.0 -0.001 NaN -0.0005 10321 VIX caleb_strategy_v3 [-1] 17.45 None 16.575 16.55 16.6 16.6 16.5 -0.875 -0.025 -0.05 -0.1 NaN -0.075 10322 SP500_micro caleb_strategy_v3 [-1] 4941.5 None 5000.125 5000.0 5000.25 5000.25 5000.25 58.625 -0.125 0.25 -0.0 NaN 0.125 10323 JPY caleb_strategy_v3 [1] 0.006665 None 0.00667 0.006671 0.00667 0.00667 0.006671 -0.000005 -0.000001 0.0 -0.000001 NaN -0.000001 10324 CHF caleb_strategy_v3 [-1] 1.1305 None 1.1309 1.13085 1.13095 1.13095 1.13085 0.0004 -0.00005 -0.0 -0.0001 NaN -0.00005 10329 US10 caleb_strategy_v3 [1] 109.640625 None 109.789062 109.796875 109.78125 109.78125 109.78125 -0.148438 -0.007812 0.015625 0.0 NaN 0.007812 10330 MXP caleb_strategy_v3 [1] 0.05773 None 0.058115 0.05812 0.05811 0.05811 0.05811 -0.000385 -0.000005 0.00001 0.0 NaN 0.000005 10334 US30 caleb_strategy_v3 [1] 123.96875 None 123.765625 123.78125 123.75 123.75 123.75 0.203125 -0.015625 0.03125 0.0 NaN 0.015625 10325 DOW caleb_strategy_v3 [-1] 38120.0 None 38396.5 38396.0 38397.0 38397.0 38395.0 276.5 -0.5 -1.0 -2.0 NaN -1.5 10335 DOW caleb_strategy_v3 [-1] 38120.0 None 38395.5 38395.0 38396.0 38396.0 38378.0 275.5 -0.5 -17.0 -18.0 NaN -17.5 10337 RUSSELL caleb_strategy_v3 [1] 1959.0 None 1997.05 1997.1 1997.0 1997.0 1995.6 -38.05 -0.05 1.5 1.4 NaN 1.45 10327 RUSSELL caleb_strategy_v3 [1] 1959.0 None 1996.95 1997.0 1996.9 1996.9 1997.1 -37.95 -0.05 -0.1 -0.2 NaN -0.15 10339 CAD caleb_strategy_v3 [-1] 0.7365 None 0.73805 0.738 0.7381 0.7381 0.73785 0.00155 -0.00005 -0.00015 -0.00025 NaN -0.0002 10331 CAD caleb_strategy_v3 [-1] 0.7365 None 0.738075 0.73805 0.7381 0.7381 0.738 0.001575 -0.000025 -0.00005 -0.0001 NaN -0.000075 10340 US20 caleb_strategy_v3 [-1] 118.03125 None 118.046875 118.03125 118.0625 118.0625 118.0 0.015625 -0.015625 -0.03125 -0.0625 NaN -0.046875 10332 US20 caleb_strategy_v3 [-1] 118.03125 None 118.078125 118.0625 118.09375 118.09375 118.03125 0.046875 -0.015625 -0.03125 -0.0625 NaN -0.046875 10336 NASDAQ_micro caleb_strategy_v3 [-1] 17573.75 None 17792.0 17791.75 17792.25 17792.25 17783.75 218.25 -0.25 -8.0 -8.5 NaN -8.25 10345 NASDAQ_micro caleb_strategy_v3 [-1] 17573.75 None 17780.125 17780.0 17780.25 17780.25 17780.25 206.375 -0.125 0.25 -0.0 NaN 0.125 10342 NASDAQ_micro caleb_strategy_v3 [-1] 17573.75 None 17784.625 17784.5 17784.75 NaN 17785.25 210.875 -0.125 0.75 NaN NaN 0.625 10326 NASDAQ_micro caleb_strategy_v3 [-1] 17573.75 None 17790.375 17790.25 17790.5 17790.5 17792.0 216.625 -0.125 1.75 1.5 NaN 1.625 10341 US5 caleb_strategy_v3 [1] 106.445312 None 106.558594 106.5625 106.554688 106.554688 106.554688 -0.113281 -0.003906 0.007812 -0.0 NaN 0.003906 10344 US5 caleb_strategy_v3 [1] 106.445312 None 106.550781 106.554688 106.546875 106.546875 106.578125 -0.105469 -0.003906 -0.023438 -0.03125 NaN -0.027344 10347 US5 caleb_strategy_v3 [1] 106.445312 None 106.574219 106.578125 106.570312 106.570312 106.585938 -0.128906 -0.003906 -0.007813 -0.015625 NaN -0.011719 10349 US5 caleb_strategy_v3 [1] 106.445312 None 106.582031 106.585938 106.578125 106.578125 106.578125 -0.136719 -0.003906 0.007812 0.0 NaN 0.003906 10333 US5 caleb_strategy_v3 [1] 106.445312 None 106.558594 106.5625 106.554688 106.554688 106.554688 -0.113281 -0.003906 0.007812 -0.0 NaN 0.003906 10338 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52842.5 52865.0 52820.0 52820.0 52790.0 -3032.5 -22.5 75.0 30.0 NaN 52.5 10343 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52765.0 52790.0 52740.0 52740.0 52850.0 -2955.0 -25.0 -60.0 -110.0 NaN -85.0 10346 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52807.5 52850.0 52765.0 52765.0 52835.0 -2997.5 -42.5 15.0 -70.0 NaN -27.5 10348 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52802.5 52835.0 52770.0 52770.0 52770.0 -2992.5 -32.5 65.0 0.0 NaN 32.5 10350 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52747.5 52775.0 52720.0 52720.0 52720.0 -2937.5 -27.5 55.0 0.0 NaN 27.5 10351 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52702.5 52720.0 52685.0 52685.0 52685.0 -2892.5 -17.5 35.0 0.0 NaN 17.5 10352 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52662.5 52690.0 52635.0 52635.0 52570.0 -2852.5 -27.5 120.0 65.0 NaN 92.5 10353 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52542.5 52570.0 52515.0 52515.0 52545.0 -2732.5 -27.5 25.0 -30.0 NaN -2.5 10328 BITCOIN caleb_strategy_v3 [1] 49810.0 None 52892.5 52925.0 52860.0 52860.0 52860.0 -3082.5 -32.5 65.0 0.0 NaN 32.5 10354 LEANHOG caleb_strategy_v3 [-1] 94.475 None 97.5 97.5 97.5 NaN 96.875 3.025 -0.0 -0.625 NaN NaN -0.625 ================================================================================================================================================================ 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 10304 NIKKEI caleb_strategy_v3 [-1] 5253.948362 14.274979 -4.758326 38.066609 28.549957 NaN 33.308283 10305 NIKKEI caleb_strategy_v3 [-1] 5253.948362 52.341588 -4.758326 -9.516652 -19.033305 NaN -14.274979 10303 NIKKEI caleb_strategy_v3 [-1] 5253.948362 23.791631 -4.758326 -9.516652 -19.033305 NaN -14.274979 10306 CAC caleb_strategy_v3 [1] 936.480229 -347.044166 -5.339141 10.678282 0.0 NaN 5.339141 10307 BUND caleb_strategy_v3 [1] 10.852771 -345.533878 -4.607118 0.0 -9.214237 NaN -4.607118 10308 BTP caleb_strategy_v3 [1] 10.737 -218.869325 -4.656794 9.313588 0.0 NaN 4.656794 10309 EUROSTX caleb_strategy_v3 [-1] 562.909567 417.473807 -8.882421 17.764843 -0.0 NaN 8.882421 10310 EUROSTX caleb_strategy_v3 [-1] 562.909567 417.473807 -8.882421 35.529686 17.764843 NaN 26.647264 10311 EUROSTX caleb_strategy_v3 [-1] 562.909567 453.003492 -8.882421 17.764843 -0.0 NaN 8.882421 10312 EURIBOR-ICE caleb_strategy_v3 [-1] 1.078347 625.95789 -23.183626 -46.367251 -92.734502 NaN -69.550877 10313 GASOIL caleb_strategy_v3 [1] 270.76053 60.016133 -4.616626 0.0 NaN NaN -4.616626 10314 PLAT caleb_strategy_v3 [-1] 246.653759 685.170989 -4.054266 8.108532 -0.0 NaN 4.054266 10316 GOLD_micro caleb_strategy_v3 [-1] 228.957652 -128.844788 -2.18381 -4.36762 -8.73524 NaN -6.55143 10317 GAS_US_mini caleb_strategy_v3 [1] 1.642041 197.924419 -15.224955 -30.449911 NaN NaN -45.674866 10318 GASOLINE caleb_strategy_v3 [1] 0.744725 -92.651689 -2.685556 5.371112 0.0 NaN 2.685556 10319 COTTON2 caleb_strategy_v3 [1] 19.653234 -513.910333 0.0 -40.705769 NaN NaN -40.705769 10320 COPPER caleb_strategy_v3 [-1] 0.648658 3.854113 -3.854113 15.416452 7.708226 NaN 11.562339 10315 COPPER caleb_strategy_v3 [-1] 0.648658 7.708226 -7.708226 -0.0 -15.416452 NaN -7.708226 10321 VIX caleb_strategy_v3 [-1] 6.255072 -1398.864844 -39.967567 -79.935134 -159.870268 NaN -119.902701 10322 SP500_micro caleb_strategy_v3 [-1] 608.582672 963.303799 -2.053953 4.107905 -0.0 NaN 2.053953 10323 JPY caleb_strategy_v3 [1] 0.000668 -82.333072 -7.484825 0.0 -14.969649 NaN -7.484825 10324 CHF caleb_strategy_v3 [-1] 0.091622 43.657439 -5.45718 -0.0 -10.91436 NaN -5.45718 10329 US10 caleb_strategy_v3 [1] 8.351282 -177.742179 -9.354852 18.709703 0.0 NaN 9.354852 10330 MXP caleb_strategy_v3 [1] 0.005419 -710.438517 -9.226474 18.452948 0.0 NaN 9.226474 10334 US30 caleb_strategy_v3 [1] 20.772602 97.785053 -7.521927 15.043854 0.0 NaN 7.521927 10325 DOW caleb_strategy_v3 [-1] 3974.97491 695.601875 -1.25787 -2.515739 -5.031478 NaN -3.773609 10335 DOW caleb_strategy_v3 [-1] 3974.97491 693.086136 -1.25787 -42.767566 -45.283305 NaN -44.025435 10337 RUSSELL caleb_strategy_v3 [1] 502.719432 -756.883414 -0.994591 29.837717 27.848536 NaN 28.843126 10327 RUSSELL caleb_strategy_v3 [1] 502.719432 -754.894233 -0.994591 -1.989181 -3.978362 NaN -2.983772 10339 CAD caleb_strategy_v3 [-1] 0.044994 344.487995 -11.112516 -33.337548 -55.56258 NaN -44.450064 10331 CAD caleb_strategy_v3 [-1] 0.044994 350.044253 -5.556258 -11.112516 -22.225032 NaN -16.668774 10340 US20 caleb_strategy_v3 [-1] 15.565074 10.0385 -10.0385 -20.077001 -40.154002 NaN -30.115501 10332 US20 caleb_strategy_v3 [-1] 15.565074 30.115501 -10.0385 -20.077001 -40.154002 NaN -30.115501 10336 NASDAQ_micro caleb_strategy_v3 [-1] 2759.060347 791.030179 -0.906106 -28.995379 -30.80759 NaN -29.901484 10345 NASDAQ_micro caleb_strategy_v3 [-1] 2759.060347 747.990163 -0.453053 0.906106 -0.0 NaN 0.453053 10342 NASDAQ_micro caleb_strategy_v3 [-1] 2759.060347 764.300064 -0.453053 2.718317 NaN NaN 2.265264 10326 NASDAQ_micro caleb_strategy_v3 [-1] 2759.060347 785.140492 -0.453053 6.342739 5.436634 NaN 5.889686 10341 US5 caleb_strategy_v3 [1] 5.886004 -192.458675 -6.636506 13.272163 -0.000849 NaN 6.635657 10344 US5 caleb_strategy_v3 [1] 5.886004 -179.185663 -6.636506 -39.819036 -53.092048 NaN -46.455542 10347 US5 caleb_strategy_v3 [1] 5.886004 -219.0047 -6.636506 -13.273862 -26.546874 NaN -19.910368 10349 US5 caleb_strategy_v3 [1] 5.886004 -232.277712 -6.636506 13.273012 0.0 NaN 6.636506 10333 US5 caleb_strategy_v3 [1] 5.886004 -192.458675 -6.636506 13.272163 -0.000849 NaN 6.635657 10338 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1576.879736 -11.69985 38.999499 15.5998 NaN 27.299649 10343 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1536.580254 -12.999833 -31.199599 -57.199265 NaN -44.199432 10346 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1558.67997 -22.099716 7.7999 -36.399532 NaN -14.299816 10348 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1556.080003 -16.899783 33.799566 0.0 NaN 16.899783 10350 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1527.480371 -14.299816 28.599632 0.0 NaN 14.299816 10351 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1504.080672 -9.099883 18.199766 0.0 NaN 9.099883 10352 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1483.280939 -14.299816 62.399198 33.799566 NaN 48.099382 10353 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1420.881741 -14.299816 12.999833 -15.5998 NaN -1.299983 10328 BITCOIN caleb_strategy_v3 [1] 19231.016357 -1602.879402 -16.899783 33.799566 0.0 NaN 16.899783 10354 LEANHOG caleb_strategy_v3 [-1] 19.491063 1551.99337 -0.0 -320.659787 NaN NaN -320.659787 ========================================================================================================================================================================= 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 10304 NIKKEI caleb_strategy_v3 [-1] 0.664377 4.982826 -1.660942 13.287536 9.965652 NaN 11.626594 10305 NIKKEI caleb_strategy_v3 [-1] 0.664377 18.270361 -1.660942 -3.321884 -6.643768 NaN -4.982826 10303 NIKKEI caleb_strategy_v3 [-1] 0.664377 8.30471 -1.660942 -3.321884 -6.643768 NaN -4.982826 10306 CAC caleb_strategy_v3 [1] 10.7075 -347.99375 -5.35375 10.7075 0.0 NaN 5.35375 10307 BUND caleb_strategy_v3 [1] 1070.75 -401.53125 -5.35375 0.0 -10.7075 NaN -5.35375 10308 BTP caleb_strategy_v3 [1] 1070.75 -251.62625 -5.35375 10.7075 0.0 NaN 5.35375 10309 EUROSTX caleb_strategy_v3 [-1] 10.7075 251.62625 -5.35375 10.7075 -0.0 NaN 5.35375 10310 EUROSTX caleb_strategy_v3 [-1] 10.7075 251.62625 -5.35375 21.415 10.7075 NaN 16.06125 10311 EUROSTX caleb_strategy_v3 [-1] 10.7075 273.04125 -5.35375 10.7075 -0.0 NaN 5.35375 10312 EURIBOR-ICE caleb_strategy_v3 [-1] 2676.875 180.689063 -6.692187 -13.384375 -26.76875 NaN -20.076563 10313 GASOIL caleb_strategy_v3 [1] 100.0 162.5 -12.5 0.0 NaN NaN -12.5 10314 PLAT caleb_strategy_v3 [-1] 50.0 845.0 -5.0 10.0 -0.0 NaN 5.0 10316 GOLD_micro caleb_strategy_v3 [-1] 10.0 -29.5 -0.5 -1.0 -2.0 NaN -1.5 10317 GAS_US_mini caleb_strategy_v3 [1] 2500.0 81.25 -6.25 -12.5 NaN NaN -18.75 10318 GASOLINE caleb_strategy_v3 [1] 42000.0 -289.8 -8.4 16.8 0.0 NaN 8.4 10319 COTTON2 caleb_strategy_v3 [1] 500.0 -505.0 0.0 -40.0 NaN NaN -40.0 10320 COPPER caleb_strategy_v3 [-1] 25000.0 6.25 -6.25 25.0 12.5 NaN 18.75 10315 COPPER caleb_strategy_v3 [-1] 25000.0 12.5 -12.5 -0.0 -25.0 NaN -12.5 10321 VIX caleb_strategy_v3 [-1] 1000.0 -875.0 -25.0 -50.0 -100.0 NaN -75.0 10322 SP500_micro caleb_strategy_v3 [-1] 5.0 293.125 -0.625 1.25 -0.0 NaN 0.625 10323 JPY caleb_strategy_v3 [1] 12500000.0 -68.75 -6.25 0.0 -12.5 NaN -6.25 10324 CHF caleb_strategy_v3 [-1] 125000.0 50.0 -6.25 -0.0 -12.5 NaN -6.25 10329 US10 caleb_strategy_v3 [1] 1000.0 -148.4375 -7.8125 15.625 0.0 NaN 7.8125 10330 MXP caleb_strategy_v3 [1] 500000.0 -192.5 -2.5 5.0 0.0 NaN 2.5 10334 US30 caleb_strategy_v3 [1] 1000.0 203.125 -15.625 31.25 0.0 NaN 15.625 10325 DOW caleb_strategy_v3 [-1] 0.5 138.25 -0.25 -0.5 -1.0 NaN -0.75 10335 DOW caleb_strategy_v3 [-1] 0.5 137.75 -0.25 -8.5 -9.0 NaN -8.75 10337 RUSSELL caleb_strategy_v3 [1] 5.0 -190.25 -0.25 7.5 7.0 NaN 7.25 10327 RUSSELL caleb_strategy_v3 [1] 5.0 -189.75 -0.25 -0.5 -1.0 NaN -0.75 10339 CAD caleb_strategy_v3 [-1] 100000.0 155.0 -5.0 -15.0 -25.0 NaN -20.0 10331 CAD caleb_strategy_v3 [-1] 100000.0 157.5 -2.5 -5.0 -10.0 NaN -7.5 10340 US20 caleb_strategy_v3 [-1] 1000.0 15.625 -15.625 -31.25 -62.5 NaN -46.875 10332 US20 caleb_strategy_v3 [-1] 1000.0 46.875 -15.625 -31.25 -62.5 NaN -46.875 10336 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 436.5 -0.5 -16.0 -17.0 NaN -16.5 10345 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 412.75 -0.25 0.5 -0.0 NaN 0.25 10342 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 421.75 -0.25 1.5 NaN NaN 1.25 10326 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 433.25 -0.25 3.5 3.0 NaN 3.25 10341 US5 caleb_strategy_v3 [1] 1000.0 -113.28125 -3.90625 7.812 -0.0005 NaN 3.90575 10344 US5 caleb_strategy_v3 [1] 1000.0 -105.46875 -3.90625 -23.4375 -31.25 NaN -27.34375 10347 US5 caleb_strategy_v3 [1] 1000.0 -128.90625 -3.90625 -7.813 -15.6255 NaN -11.71925 10349 US5 caleb_strategy_v3 [1] 1000.0 -136.71875 -3.90625 7.8125 0.0 NaN 3.90625 10333 US5 caleb_strategy_v3 [1] 1000.0 -113.28125 -3.90625 7.812 -0.0005 NaN 3.90575 10338 BITCOIN caleb_strategy_v3 [1] 0.1 -303.25 -2.25 7.5 3.0 NaN 5.25 10343 BITCOIN caleb_strategy_v3 [1] 0.1 -295.5 -2.5 -6.0 -11.0 NaN -8.5 10346 BITCOIN caleb_strategy_v3 [1] 0.1 -299.75 -4.25 1.5 -7.0 NaN -2.75 10348 BITCOIN caleb_strategy_v3 [1] 0.1 -299.25 -3.25 6.5 0.0 NaN 3.25 10350 BITCOIN caleb_strategy_v3 [1] 0.1 -293.75 -2.75 5.5 0.0 NaN 2.75 10351 BITCOIN caleb_strategy_v3 [1] 0.1 -289.25 -1.75 3.5 0.0 NaN 1.75 10352 BITCOIN caleb_strategy_v3 [1] 0.1 -285.25 -2.75 12.0 6.5 NaN 9.25 10353 BITCOIN caleb_strategy_v3 [1] 0.1 -273.25 -2.75 2.5 -3.0 NaN -0.25 10328 BITCOIN caleb_strategy_v3 [1] 0.1 -308.25 -3.25 6.5 0.0 NaN 3.25 10354 LEANHOG caleb_strategy_v3 [-1] 400.0 1210.0 -0.0 -250.0 NaN NaN -250.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -2647.5 BTP -251.62625 BUND -401.53125 CAC -347.99375 CAD 312.5 CHF 50.0 COPPER 18.75 COTTON2 -505.0 DOW 276.0 EURIBOR-ICE 180.689063 EUROSTX 776.29375 GASOIL 162.5 GASOLINE -289.8 GAS_US_mini 81.25 GOLD_micro -29.5 JPY -68.75 LEANHOG 1210.0 MXP -192.5 NASDAQ_micro 1704.25 NIKKEI 31.557897 PLAT 845.0 RUSSELL -380.0 SP500_micro 293.125 US10 -148.4375 US20 62.5 US30 203.125 US5 -597.65625 VIX -875.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -527.75429 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -25.5 BTP -5.35375 BUND -5.35375 CAC -5.35375 CAD -7.5 CHF -6.25 COPPER -18.75 COTTON2 0.0 DOW -0.5 EURIBOR-ICE -6.692187 EUROSTX -16.06125 GASOIL -12.5 GASOLINE -8.4 GAS_US_mini -6.25 GOLD_micro -0.5 JPY -6.25 LEANHOG -0.0 MXP -2.5 NASDAQ_micro -1.25 NIKKEI -4.982826 PLAT -5.0 RUSSELL -0.5 SP500_micro -0.625 US10 -7.8125 US20 -31.25 US30 -15.625 US5 -19.53125 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -245.291263 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 39.5 BTP 10.7075 BUND 0.0 CAC 10.7075 CAD -20.0 CHF -0.0 COPPER 25.0 COTTON2 -40.0 DOW -9.0 EURIBOR-ICE -13.384375 EUROSTX 42.83 GASOIL 0.0 GASOLINE 16.8 GAS_US_mini -12.5 GOLD_micro -1.0 JPY 0.0 LEANHOG -250.0 MXP 5.0 NASDAQ_micro -10.5 NIKKEI 6.643768 PLAT 10.0 RUSSELL 7.0 SP500_micro 1.25 US10 15.625 US20 -62.5 US30 31.25 US5 -7.814 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -254.384607 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -11.5 BTP 0.0 BUND -10.7075 CAC 0.0 CAD -35.0 CHF -12.5 COPPER -12.5 COTTON2 0 DOW -10.0 EURIBOR-ICE -26.76875 EUROSTX 10.7075 GASOIL 0 GASOLINE 0.0 GAS_US_mini 0 GOLD_micro -2.0 JPY -12.5 LEANHOG 0 MXP 0.0 NASDAQ_micro -14.0 NIKKEI -3.321884 PLAT -0.0 RUSSELL 6.0 SP500_micro -0.0 US10 0.0 US20 -125.0 US30 0.0 US5 -46.8765 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -405.967134 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 BTP 0 BUND 0 CAC 0 CAD 0 CHF 0 COPPER 0 COTTON2 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 RUSSELL 0 SP500_micro 0 US10 0 US20 0 US30 0 US5 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 14.0 BTP 5.35375 BUND -5.35375 CAC 5.35375 CAD -27.5 CHF -6.25 COPPER 6.25 COTTON2 -40.0 DOW -9.5 EURIBOR-ICE -20.076563 EUROSTX 26.76875 GASOIL -12.5 GASOLINE 8.4 GAS_US_mini -18.75 GOLD_micro -1.5 JPY -6.25 LEANHOG -250.0 MXP 2.5 NASDAQ_micro -11.75 NIKKEI 1.660942 PLAT 5.0 RUSSELL 6.5 SP500_micro 0.625 US10 7.8125 US20 -93.75 US30 15.625 US5 -27.34525 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -499.675871 ******************************************************************************** END OF REPORT ********************************************************************************