******************************************************************************** Trades report produced on 16/02/2024 21:37 from 15/02/2024 21:37 to 16/02/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10376 BUXL caleb_strategy_v3 [20240300] 2024-02-16 08:00:07 [1] 133.280000 10375 CAC caleb_strategy_v3 [20240300] 2024-02-16 08:00:06 [1] 7794.500000 10380 COCOA caleb_strategy_v3 [20240500] 2024-02-16 14:00:47 [-1] 5518.000000 10381 CRUDE_W caleb_strategy_v3 [20241200] 2024-02-16 14:00:48 [-1] 73.650000 10426 EUR caleb_strategy_v3 [20240300] 2024-02-16 15:00:36 [1] 1.076300 10377 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-16 09:02:54 [1] 97.645000 10378 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-16 09:03:45 [1] 97.650000 10379 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-16 09:04:02 [1] 97.645000 10431 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240800] 2024-02-16 15:30:33 [1] 266.825000 10433 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240800] 2024-02-16 15:31:31 [1] 266.675000 10434 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 15:32:31 [-1] 253.775000 10435 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240800] 2024-02-16 15:32:31 [1] 266.775000 10432 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 15:31:31 [-1] 253.750000 10437 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240800] 2024-02-16 15:33:31 [1] 266.725000 10436 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 15:33:31 [-1] 253.725000 10439 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240800] 2024-02-16 15:34:31 [1] 266.700000 10430 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 15:30:31 [-1] 253.875000 10438 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 15:34:31 [-1] 253.775000 10382 GASOLINE caleb_strategy_v3 [20240500] 2024-02-16 14:00:50 [1] 2.542300 10408 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:09:49 [1] 1.650000 10409 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:10:10 [-1] 1.770000 10410 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:10:51 [1] 1.655000 10411 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:11:14 [-1] 1.770000 10412 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:12:47 [1] 1.650000 10413 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:12:57 [-1] 1.765000 10414 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:13:10 [1] 1.655000 10415 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:13:11 [-1] 1.770000 10417 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:17:09 [-1] 1.775000 10418 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:17:48 [1] 1.655000 10419 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:17:49 [-1] 1.775000 10420 GAS_US_mini caleb_strategy_v3 [20240500] 2024-02-16 14:18:15 [-1] 1.775000 10421 GAS_US_mini caleb_strategy_v3 [20240500] 2024-02-16 14:19:22 [-1] 1.775000 10407 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:09:28 [-1] 1.770000 10416 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:15:11 [1] 1.655000 10404 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:08:45 [-1] 1.770000 10403 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:08:45 [1] 1.650000 10406 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:09:27 [1] 1.650000 10386 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:02:12 [-1] 1.775000 10391 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:02:35 [1] 1.660000 10392 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:02:36 [-1] 1.775000 10394 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:05:24 [1] 1.650000 10385 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:00:56 [1] 1.660000 10397 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:06:12 [1] 1.650000 10398 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:06:13 [-1] 1.770000 10400 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240400] 2024-02-16 14:06:51 [1] 1.655000 10401 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:06:52 [-1] 1.770000 10395 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-16 14:05:25 [-1] 1.770000 10399 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-16 14:06:29 [-1] 2012.600000 10396 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-16 14:05:29 [-1] 2012.900000 10393 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-16 14:03:34 [-1] 2014.000000 10389 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-16 14:02:34 [-1] 2014.200000 10402 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-16 14:07:29 [-1] 2012.900000 10383 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-16 14:00:51 [-1] 2014.000000 10405 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-16 14:08:49 [-1] 2012.400000 10423 JPY caleb_strategy_v3 [20240300] 2024-02-16 15:00:27 [-1] 0.006678 10429 JPY caleb_strategy_v3 [20240300] 2024-02-16 15:01:26 [-1] 0.006678 10425 MXP caleb_strategy_v3 [20240300] 2024-02-16 15:00:35 [1] 0.058250 10424 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-16 15:00:28 [1] 17731.250000 10373 NIKKEI caleb_strategy_v3 [20240300] 2024-02-16 03:02:41 [1] 38570.000000 10372 NIKKEI caleb_strategy_v3 [20240300] 2024-02-16 03:02:31 [1] 38575.000000 10388 PALLAD _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-16 14:02:30 [-1] 950.500000 10387 PALLAD _ROLL_PSEUDO_STRATEGY [20240300] 2024-02-16 14:02:19 [1] 945.000000 10390 PLAT caleb_strategy_v3 [20240400] 2024-02-16 14:02:34 [1] 901.900000 10384 PLAT caleb_strategy_v3 [20240400] 2024-02-16 14:00:53 [1] 900.800000 10427 RUSSELL caleb_strategy_v3 [20240300] 2024-02-16 15:00:37 [-1] 2037.500000 10374 SMI caleb_strategy_v3 [20240300] 2024-02-16 08:00:04 [1] 11198.000000 10428 US5 caleb_strategy_v3 [20240300] 2024-02-16 15:01:25 [-1] 106.468750 10422 US5 caleb_strategy_v3 [20240300] 2024-02-16 15:00:26 [-1] 106.468750 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10372 NIKKEI caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 03:01:17.342 2024-02-16 03:02:31 97277.342 73.658 10373 NIKKEI caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 03:02:35.044 2024-02-16 03:02:41 97355.044 5.956 10374 SMI caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 08:00:03.710 2024-02-16 08:00:04 115203.71 0.29 10375 CAC caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 08:00:05.798 2024-02-16 08:00:06 115205.798 0.202 10376 BUXL caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 08:00:07.039 2024-02-16 08:00:07 115207.039 NaN 10377 EURIBOR-ICE caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 09:00:06.758 2024-02-16 09:02:54 118806.758 167.242 10378 EURIBOR-ICE caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 09:03:02.465 2024-02-16 09:03:45 118982.465 42.535 10379 EURIBOR-ICE caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 09:04:02.370 2024-02-16 09:04:02 119042.37 NaN 10380 COCOA caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:00:32.206 2024-02-16 14:00:47 136832.206 14.794 10381 CRUDE_W caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:00:48.519 2024-02-16 14:00:48 136848.519 NaN 10382 GASOLINE caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:00:49.554 2024-02-16 14:00:50 136849.554 0.446 10387 PALLAD _ROLL_PSEUDO_STRATEGY 2024-02-15 20:00:00 2024-02-16 14:02:13.058 2024-02-16 14:02:19 64933.058 5.942 10388 PALLAD _ROLL_PSEUDO_STRATEGY 2024-02-15 20:00:00 2024-02-16 14:02:19.744 2024-02-16 14:02:30 64939.744 10.256 10384 PLAT caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:00:52.923 2024-02-16 14:00:53 136852.923 0.077 10390 PLAT caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:02:34.822 2024-02-16 14:02:34 136954.822 NaN 10402 GOLD_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:07:29.537 2024-02-16 14:07:29 137249.537 NaN 10405 GOLD_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:08:49.583 2024-02-16 14:08:49 137329.583 NaN 10383 GOLD_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:00:51.622 2024-02-16 14:00:51 136851.622 NaN 10389 GOLD_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:02:34.193 2024-02-16 14:02:34 136954.193 NaN 10393 GOLD_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:03:34.627 2024-02-16 14:03:34 137014.627 NaN 10396 GOLD_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:05:29.167 2024-02-16 14:05:29 137129.167 NaN 10399 GOLD_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:06:29.687 2024-02-16 14:06:29 137189.687 NaN 10385 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:00:54.466 2024-02-16 14:00:56 68454.466 1.534 10386 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:00:57.034 2024-02-16 14:02:12 68457.034 74.966 10391 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:02:35.311 2024-02-16 14:02:35 68555.311 NaN 10392 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:02:36.146 2024-02-16 14:02:36 68556.146 NaN 10394 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:03:35.298 2024-02-16 14:05:24 68615.298 108.702 10395 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:05:24.834 2024-02-16 14:05:25 68724.834 0.166 10397 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:05:29.833 2024-02-16 14:06:12 68729.833 42.167 10398 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:06:13.064 2024-02-16 14:06:13 68773.064 NaN 10400 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:06:30.347 2024-02-16 14:06:51 68790.347 20.653 10401 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:06:51.964 2024-02-16 14:06:52 68811.964 0.036 10403 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:07:29.995 2024-02-16 14:08:45 68849.995 75.005 10404 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:08:45.414 2024-02-16 14:08:45 68925.414 NaN 10406 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:08:50.277 2024-02-16 14:09:27 68930.277 36.723 10407 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:09:28.272 2024-02-16 14:09:28 68968.272 NaN 10408 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:09:49.417 2024-02-16 14:09:49 68989.417 NaN 10409 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:09:50.275 2024-02-16 14:10:10 68990.275 19.725 10410 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:10:49.472 2024-02-16 14:10:51 69049.472 1.528 10411 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:10:51.910 2024-02-16 14:11:14 69051.91 22.09 10412 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:11:49.642 2024-02-16 14:12:47 69109.642 57.358 10413 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:12:47.911 2024-02-16 14:12:57 69167.911 9.089 10414 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:13:01.348 2024-02-16 14:13:10 69181.348 8.652 10415 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:13:11.244 2024-02-16 14:13:11 69191.244 NaN 10416 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:14:01.386 2024-02-16 14:15:11 69241.386 69.614 10417 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:15:11.911 2024-02-16 14:17:09 69311.911 117.089 10418 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:17:12.887 2024-02-16 14:17:48 69432.887 35.113 10419 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 14:17:49.218 2024-02-16 14:17:49 69469.218 NaN 10420 GAS_US_mini caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:18:15.277 2024-02-16 14:18:15 137895.277 NaN 10421 GAS_US_mini caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 14:19:15.783 2024-02-16 14:19:22 137955.783 6.217 10424 NASDAQ_micro caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:00:28.303 2024-02-16 15:00:28 140428.303 NaN 10425 MXP caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:00:29.242 2024-02-16 15:00:35 140429.242 5.758 10426 EUR caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:00:36.186 2024-02-16 15:00:36 140436.186 NaN 10427 RUSSELL caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:00:37.482 2024-02-16 15:00:37 140437.482 NaN 10428 US5 caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:01:25.433 2024-02-16 15:01:25 140485.433 NaN 10422 US5 caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:00:25.682 2024-02-16 15:00:26 140425.682 0.318 10429 JPY caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:01:26.070 2024-02-16 15:01:26 140486.07 NaN 10423 JPY caleb_strategy_v3 2024-02-15 00:00:00 2024-02-16 15:00:27.184 2024-02-16 15:00:27 140427.184 NaN 10432 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:31:31.064 2024-02-16 15:31:31 73891.064 NaN 10433 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:31:31.721 2024-02-16 15:31:31 73891.721 NaN 10434 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:32:31.059 2024-02-16 15:32:31 73951.059 NaN 10435 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:32:31.729 2024-02-16 15:32:31 73951.729 NaN 10436 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:33:31.081 2024-02-16 15:33:31 74011.081 NaN 10437 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:33:31.692 2024-02-16 15:33:31 74011.692 NaN 10438 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:34:31.084 2024-02-16 15:34:31 74071.084 NaN 10439 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:34:31.750 2024-02-16 15:34:31 74071.75 NaN 10430 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:30:31.316 2024-02-16 15:30:31 73831.316 NaN 10431 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-02-15 19:00:00 2024-02-16 15:30:32.743 2024-02-16 15:30:33 73832.743 0.257 ======================================================================================================================================================================================================================================== 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 10372 NIKKEI caleb_strategy_v3 [1] 38525.0 None 38567.5 38570.0 38565.0 38565.0 38575.0 -42.5 -2.5 -5.0 -10.0 NaN -7.5 10373 NIKKEI caleb_strategy_v3 [1] 38525.0 None 38572.5 38575.0 38570.0 38570.0 38570.0 -47.5 -2.5 5.0 0.0 NaN 2.5 10374 SMI caleb_strategy_v3 [1] 11215.0 None 11198.5 11199.0 11198.0 11198.0 11198.0 16.5 -0.5 1.0 0.0 NaN 0.5 10375 CAC caleb_strategy_v3 [1] 7798.5 None 7797.5 7798.0 7797.0 7797.0 7794.5 1.0 -0.5 3.5 2.5 NaN 3.0 10376 BUXL caleb_strategy_v3 [1] 133.8 None 133.24 133.26 133.22 133.22 133.28 0.56 -0.02 -0.02 -0.06 NaN -0.04 10377 EURIBOR-ICE caleb_strategy_v3 [1] 97.68 None 97.6375 97.64 97.635 97.635 97.645 0.0425 -0.0025 -0.005 -0.01 NaN -0.0075 10378 EURIBOR-ICE caleb_strategy_v3 [1] 97.68 None 97.6425 97.645 97.64 97.64 97.65 0.0375 -0.0025 -0.005 -0.01 NaN -0.0075 10379 EURIBOR-ICE caleb_strategy_v3 [1] 97.68 None 97.6475 97.65 97.645 97.645 97.645 0.0325 -0.0025 0.005 0.0 NaN 0.0025 10380 COCOA caleb_strategy_v3 [-1] 5601.0 None 5519.0 5518.0 5520.0 5520.0 5518.0 -82.0 -1.0 -0.0 -2.0 NaN -1.0 10381 CRUDE_W caleb_strategy_v3 [-1] 73.8 None 73.66 73.65 73.67 NaN 73.65 -0.14 -0.01 -0.0 NaN NaN -0.01 10382 GASOLINE caleb_strategy_v3 [1] 2.5565 None 2.54185 2.5421 2.5416 2.5416 2.5423 0.01465 -0.00025 -0.0002 -0.0007 NaN -0.00045 10387 PALLAD _ROLL_PSEUDO_STRATEGY [1] 957.5 None 945.75 946.5 945.0 945.0 945.0 11.75 -0.75 1.5 0.0 NaN 0.75 10388 PALLAD _ROLL_PSEUDO_STRATEGY [-1] 965.0 None 951.25 950.5 952.0 952.0 950.5 -13.75 -0.75 -0.0 -1.5 NaN -0.75 10384 PLAT caleb_strategy_v3 [1] 906.4 None 900.6 900.7 900.5 900.5 900.8 5.8 -0.1 -0.1 -0.3 NaN -0.2 10390 PLAT caleb_strategy_v3 [1] 906.4 None 900.7 900.8 900.6 900.6 901.9 5.7 -0.1 -1.1 -1.3 NaN -1.2 10402 GOLD_micro caleb_strategy_v3 [-1] 2015.5 None 2012.65 2012.6 2012.7 2012.7 2012.9 -2.85 -0.05 0.3 0.2 NaN 0.25 10405 GOLD_micro caleb_strategy_v3 [-1] 2015.5 None 2012.95 2012.9 2013.0 2013.0 2012.4 -2.55 -0.05 -0.5 -0.6 NaN -0.55 10383 GOLD_micro caleb_strategy_v3 [-1] 2015.5 None 2014.1 2014.0 2014.2 2014.2 2014.0 -1.4 -0.1 -0.0 -0.2 NaN -0.1 10389 GOLD_micro caleb_strategy_v3 [-1] 2015.5 None 2014.1 2014.0 2014.2 2014.2 2014.2 -1.4 -0.1 0.2 -0.0 NaN 0.1 10393 GOLD_micro caleb_strategy_v3 [-1] 2015.5 None 2014.3 2014.2 2014.4 2014.4 2014.0 -1.2 -0.1 -0.2 -0.4 NaN -0.3 10396 GOLD_micro caleb_strategy_v3 [-1] 2015.5 None 2014.05 2014.0 2014.1 2014.1 2012.9 -1.45 -0.05 -1.1 -1.2 NaN -1.15 10399 GOLD_micro caleb_strategy_v3 [-1] 2015.5 None 2012.95 2012.9 2013.0 2013.0 2012.6 -2.55 -0.05 -0.3 -0.4 NaN -0.35 10385 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6625 1.665 1.66 1.66 1.66 -0.0075 -0.0025 0.005 0.0 NaN 0.0025 10386 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7775 1.775 1.78 1.78 1.775 -0.0025 -0.0025 -0.0 -0.005 NaN -0.0025 10391 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6575 1.66 1.655 NaN 1.66 -0.0025 -0.0025 0.0 NaN NaN -0.0025 10392 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7775 1.775 1.78 NaN 1.775 -0.0025 -0.0025 -0.0 NaN NaN -0.0025 10394 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6525 1.655 1.65 1.65 1.65 0.0025 -0.0025 0.005 0.0 NaN 0.0025 10395 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7725 1.77 1.775 1.775 1.77 -0.0075 -0.0025 -0.0 -0.005 NaN -0.0025 10397 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6475 1.65 1.645 1.645 1.65 0.0075 -0.0025 0.0 -0.005 NaN -0.0025 10398 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7725 1.77 1.775 NaN 1.77 -0.0075 -0.0025 -0.0 NaN NaN -0.0025 10400 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6475 1.65 1.645 1.645 1.655 0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 10401 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7725 1.77 1.775 NaN 1.77 -0.0075 -0.0025 -0.0 NaN NaN -0.0025 10403 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6525 1.655 1.65 1.65 1.65 0.0025 -0.0025 0.005 0.0 NaN 0.0025 10404 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7725 1.77 1.775 NaN 1.77 -0.0075 -0.0025 -0.0 NaN NaN -0.0025 10406 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6475 1.65 1.645 1.645 1.65 0.0075 -0.0025 0.0 -0.005 NaN -0.0025 10407 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7725 1.77 1.775 NaN 1.77 -0.0075 -0.0025 -0.0 NaN NaN -0.0025 10408 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6475 1.65 1.645 NaN 1.65 0.0075 -0.0025 0.0 NaN NaN -0.0025 10409 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.77 1.765 1.775 1.775 1.77 -0.01 -0.005 0.005 -0.005 NaN 0.0 10410 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.65 1.655 1.645 1.645 1.655 0.005 -0.005 0.0 -0.01 NaN -0.005 10411 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.775 1.77 1.78 1.78 1.77 -0.005 -0.005 -0.0 -0.01 NaN -0.005 10412 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6525 1.655 1.65 1.65 1.65 0.0025 -0.0025 0.005 0.0 NaN 0.0025 10413 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.77 1.765 1.775 1.775 1.765 -0.01 -0.005 -0.0 -0.01 NaN -0.005 10414 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.65 1.655 1.645 1.645 1.655 0.005 -0.005 0.0 -0.01 NaN -0.005 10415 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7725 1.77 1.775 1.775 1.77 -0.0075 -0.0025 -0.0 -0.005 NaN -0.0025 10416 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.65 1.655 1.645 1.645 1.655 0.005 -0.005 0.0 -0.01 NaN -0.005 10417 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.77 1.765 1.775 1.775 1.775 -0.01 -0.005 0.01 -0.0 NaN 0.005 10418 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.655 None 1.6575 1.66 1.655 1.655 1.655 -0.0025 -0.0025 0.005 0.0 NaN 0.0025 10419 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.78 None 1.7775 1.775 1.78 1.78 1.775 -0.0025 -0.0025 -0.0 -0.005 NaN -0.0025 10420 GAS_US_mini caleb_strategy_v3 [-1] 1.78 None 1.7775 1.775 1.78 NaN 1.775 -0.0025 -0.0025 -0.0 NaN NaN -0.0025 10421 GAS_US_mini caleb_strategy_v3 [-1] 1.78 None 1.78 1.775 1.785 1.785 1.775 -0.0 -0.005 -0.0 -0.01 NaN -0.005 10424 NASDAQ_micro caleb_strategy_v3 [1] 17898.5 None 17737.25 17737.75 17736.75 17736.75 17731.25 161.25 -0.5 6.5 5.5 NaN 6.0 10425 MXP caleb_strategy_v3 [1] 0.05839 None 0.058255 0.05826 0.05825 0.05825 0.05825 0.000135 -0.000005 0.00001 0.0 NaN 0.000005 10426 EUR caleb_strategy_v3 [1] 1.07815 None 1.076325 1.07635 1.0763 1.0763 1.0763 0.001825 -0.000025 0.00005 0.0 NaN 0.000025 10427 RUSSELL caleb_strategy_v3 [-1] 2065.9 None 2037.7 2037.6 2037.8 2037.8 2037.5 -28.2 -0.1 -0.1 -0.3 NaN -0.2 10428 US5 caleb_strategy_v3 [-1] 106.8125 None 106.464844 106.460938 106.46875 106.46875 106.46875 -0.347656 -0.003906 0.007812 -0.0 NaN 0.003906 10422 US5 caleb_strategy_v3 [-1] 106.8125 None 106.472656 106.46875 106.476562 106.476562 106.46875 -0.339844 -0.003906 -0.0 -0.007812 NaN -0.003906 10429 JPY caleb_strategy_v3 [-1] 0.006698 None 0.006678 0.006678 0.006679 0.006678 0.006678 -0.00002 -0.0 -0.0 -0.0 NaN -0.0 10423 JPY caleb_strategy_v3 [-1] 0.006698 None 0.006679 0.006678 0.006679 0.006679 0.006678 -0.000019 -0.000001 -0.0 -0.000001 NaN -0.000001 10432 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 253.2 None 254.4375 253.875 255.0 255.0 253.75 1.2375 -0.5625 -0.125 -1.25 NaN -0.6875 10433 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 266.0 None 266.8 266.825 266.775 266.775 266.675 -0.8 -0.025 0.15 0.1 NaN 0.125 10434 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 253.2 None 254.375 253.75 255.0 255.0 253.775 1.175 -0.625 0.025 -1.225 NaN -0.6 10435 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 266.0 None 266.65 266.675 266.625 266.625 266.775 -0.65 -0.025 -0.1 -0.15 NaN -0.125 10436 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 253.2 None 254.3875 253.775 255.0 255.0 253.725 1.1875 -0.6125 -0.05 -1.275 NaN -0.6625 10437 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 266.0 None 267.1375 266.775 267.5 267.5 266.725 -1.1375 0.3625 0.05 0.775 NaN 0.4125 10438 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 253.2 None 254.3625 253.725 255.0 255.0 253.775 1.1625 -0.6375 0.05 -1.225 NaN -0.5875 10439 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 266.0 None 266.675 266.725 266.625 266.625 266.7 -0.675 -0.05 0.025 -0.075 NaN -0.025 10430 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 253.2 None 253.925 253.875 253.975 253.975 253.875 0.725 -0.05 -0.0 -0.1 NaN -0.05 10431 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 266.0 None 267.5 267.5 267.5 267.5 266.825 -1.5 0.0 0.675 0.675 NaN 0.675 =================================================================================================================================================================== 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 10372 NIKKEI caleb_strategy_v3 [1] 5219.045259 -81.432519 -4.790148 -9.580296 -19.160593 NaN -14.370444 10373 NIKKEI caleb_strategy_v3 [1] 5219.045259 -91.012815 -4.790148 9.580296 0.0 NaN 4.790148 10374 SMI caleb_strategy_v3 [1] 1191.515064 138.479156 -4.196338 8.392676 0.0 NaN 4.196338 10375 CAC caleb_strategy_v3 [1] 915.345612 10.924835 -5.462418 38.236923 27.312088 NaN 32.774506 10376 BUXL caleb_strategy_v3 [1] 23.359064 239.735633 -8.561987 -8.561987 -25.685961 NaN -17.123974 10377 EURIBOR-ICE caleb_strategy_v3 [1] 1.04425 406.990729 -23.940631 -47.881262 -95.762524 NaN -71.821893 10378 EURIBOR-ICE caleb_strategy_v3 [1] 1.04425 359.109467 -23.940631 -47.881262 -95.762524 NaN -71.821893 10379 EURIBOR-ICE caleb_strategy_v3 [1] 1.04425 311.228204 -23.940631 47.881262 0.0 NaN 23.940631 10380 COCOA caleb_strategy_v3 [-1] 1456.31318 -563.0657 -6.866655 -0.0 -13.73331 NaN -6.866655 10381 CRUDE_W caleb_strategy_v3 [-1] 17.872132 -78.334245 -5.595303 -0.0 NaN NaN -5.595303 10382 GASOLINE caleb_strategy_v3 [1] 0.717934 204.057661 -3.482213 -2.78577 -9.750195 NaN -6.267983 10387 PALLAD _ROLL_PSEUDO_STRATEGY [1] 561.775149 209.158415 -13.350537 26.701074 0.0 NaN 13.350537 10388 PALLAD _ROLL_PSEUDO_STRATEGY [-1] 561.775149 -244.759848 -13.350537 -0.0 -26.701074 NaN -13.350537 10384 PLAT caleb_strategy_v3 [1] 240.403269 241.261279 -4.159677 -4.159677 -12.479032 NaN -8.319354 10390 PLAT caleb_strategy_v3 [1] 240.403269 237.101602 -4.159677 -45.756449 -54.075804 NaN -49.916127 10402 GOLD_micro caleb_strategy_v3 [-1] 226.003605 -126.104183 -2.212354 13.274125 8.849416 NaN 11.06177 10405 GOLD_micro caleb_strategy_v3 [-1] 226.003605 -112.830059 -2.212354 -22.123541 -26.548249 NaN -24.335895 10383 GOLD_micro caleb_strategy_v3 [-1] 226.003605 -61.945915 -4.424708 -0.0 -8.849416 NaN -4.424708 10389 GOLD_micro caleb_strategy_v3 [-1] 226.003605 -61.945915 -4.424708 8.849416 -0.0 NaN 4.424708 10393 GOLD_micro caleb_strategy_v3 [-1] 226.003605 -53.096498 -4.424708 -8.849416 -17.698833 NaN -13.274125 10396 GOLD_micro caleb_strategy_v3 [-1] 226.003605 -64.158269 -2.212354 -48.67179 -53.096498 NaN -50.884144 10399 GOLD_micro caleb_strategy_v3 [-1] 226.003605 -112.830059 -2.212354 -13.274125 -17.698833 NaN -15.486479 10385 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 -46.471054 -15.490351 30.980703 0.0 NaN 15.490351 10386 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -15.490351 -15.490351 -0.0 -30.980703 NaN -15.490351 10391 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 -15.490351 -15.490351 0.0 NaN NaN -15.490351 10392 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -15.490351 -15.490351 -0.0 NaN NaN -15.490351 10394 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 15.490351 -15.490351 30.980703 0.0 NaN 15.490351 10395 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -46.471054 -15.490351 -0.0 -30.980703 NaN -15.490351 10397 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 46.471054 -15.490351 0.0 -30.980703 NaN -15.490351 10398 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -46.471054 -15.490351 -0.0 NaN NaN -15.490351 10400 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 46.471054 -15.490351 -30.980703 -61.961405 NaN -46.471054 10401 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -46.471054 -15.490351 -0.0 NaN NaN -15.490351 10403 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 15.490351 -15.490351 30.980703 0.0 NaN 15.490351 10404 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -46.471054 -15.490351 -0.0 NaN NaN -15.490351 10406 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 46.471054 -15.490351 0.0 -30.980703 NaN -15.490351 10407 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -46.471054 -15.490351 -0.0 NaN NaN -15.490351 10408 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 46.471054 -15.490351 0.0 NaN NaN -15.490351 10409 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -61.961405 -30.980703 30.980703 -30.980703 NaN 0.0 10410 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 30.980703 -30.980703 0.0 -61.961405 NaN -30.980703 10411 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -30.980703 -30.980703 -0.0 -61.961405 NaN -30.980703 10412 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 15.490351 -15.490351 30.980703 0.0 NaN 15.490351 10413 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -61.961405 -30.980703 -0.0 -61.961405 NaN -30.980703 10414 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 30.980703 -30.980703 0.0 -61.961405 NaN -30.980703 10415 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -46.471054 -15.490351 -0.0 -30.980703 NaN -15.490351 10416 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 30.980703 -30.980703 0.0 -61.961405 NaN -30.980703 10417 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -61.961405 -30.980703 61.961405 -0.0 NaN 30.980703 10418 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.613908 -15.490351 -15.490351 30.980703 0.0 NaN 15.490351 10419 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.613908 -15.490351 -15.490351 -0.0 -30.980703 NaN -15.490351 10420 GAS_US_mini caleb_strategy_v3 [-1] 1.613908 -15.490351 -15.490351 -0.0 NaN NaN -15.490351 10421 GAS_US_mini caleb_strategy_v3 [-1] 1.613908 -0.0 -30.980703 -0.0 -61.961405 NaN -30.980703 10424 NASDAQ_micro caleb_strategy_v3 [1] 2772.965569 581.507401 -1.803124 23.440608 19.834361 NaN 21.637485 10425 MXP caleb_strategy_v3 [1] 0.00525 257.150225 -9.524082 19.048165 0.0 NaN 9.524082 10426 EUR caleb_strategy_v3 [1] 0.068598 266.044042 -3.644439 7.288878 0.0 NaN 3.644439 10427 RUSSELL caleb_strategy_v3 [-1] 504.827313 -558.60686 -1.980875 -1.980875 -5.942626 NaN -3.961751 10428 US5 caleb_strategy_v3 [-1] 5.756482 -603.938748 -6.785829 13.571657 -0.0 NaN 6.785829 10422 US5 caleb_strategy_v3 [-1] 5.756482 -590.367091 -6.785829 -0.0 -13.571657 NaN -6.785829 10429 JPY caleb_strategy_v3 [-1] 0.000653 -302.467807 -3.828706 -0.0 -7.657413 NaN -3.828706 10423 JPY caleb_strategy_v3 [-1] 0.000653 -298.639101 -7.657413 -0.0 -15.314826 NaN -7.657413 10432 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 30.263358 408.910342 -185.868337 -41.304075 -413.04075 NaN -227.172412 10433 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 30.263358 -264.34608 -8.260815 49.56489 33.04326 NaN 41.304075 10434 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 30.263358 388.258305 -206.520375 8.260815 -404.779935 NaN -198.25956 10435 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 30.263358 -214.78119 -8.260815 -33.04326 -49.56489 NaN -41.304075 10436 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 30.263358 392.388712 -202.389967 -16.52163 -421.301565 NaN -218.911597 10437 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 30.263358 -375.867082 119.781817 16.52163 256.085265 NaN 136.303447 10438 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 30.263358 384.127897 -210.650782 16.52163 -404.779935 NaN -194.129152 10439 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 30.263358 -223.042005 -16.52163 8.260815 -24.782445 NaN -8.260815 10430 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 30.263358 239.563635 -16.52163 -0.0 -33.04326 NaN -16.52163 10431 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 30.263358 -495.6489 0.0 223.042005 223.042005 NaN 223.042005 ============================================================================================================================================================================= 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 10372 NIKKEI caleb_strategy_v3 [1] 0.665597 -28.287884 -1.663993 -3.327986 -6.655973 NaN -4.99198 10373 NIKKEI caleb_strategy_v3 [1] 0.665597 -31.615871 -1.663993 3.327986 0.0 NaN 1.663993 10374 SMI caleb_strategy_v3 [1] 11.3535 187.33275 -5.67675 11.3535 0.0 NaN 5.67675 10375 CAC caleb_strategy_v3 [1] 10.763 10.763 -5.3815 37.6705 26.9075 NaN 32.289 10376 BUXL caleb_strategy_v3 [1] 1076.3 602.728 -21.526 -21.526 -64.578 NaN -43.052 10377 EURIBOR-ICE caleb_strategy_v3 [1] 2690.75 114.356875 -6.726875 -13.45375 -26.9075 NaN -20.180625 10378 EURIBOR-ICE caleb_strategy_v3 [1] 2690.75 100.903125 -6.726875 -13.45375 -26.9075 NaN -20.180625 10379 EURIBOR-ICE caleb_strategy_v3 [1] 2690.75 87.449375 -6.726875 13.45375 0.0 NaN 6.726875 10380 COCOA caleb_strategy_v3 [-1] 10.0 -820.0 -10.0 -0.0 -20.0 NaN -10.0 10381 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -140.0 -10.0 -0.0 NaN NaN -10.0 10382 GASOLINE caleb_strategy_v3 [1] 42000.0 615.3 -10.5 -8.4 -29.4 NaN -18.9 10387 PALLAD _ROLL_PSEUDO_STRATEGY [1] 100.0 1175.0 -75.0 150.0 0.0 NaN 75.0 10388 PALLAD _ROLL_PSEUDO_STRATEGY [-1] 100.0 -1375.0 -75.0 -0.0 -150.0 NaN -75.0 10384 PLAT caleb_strategy_v3 [1] 50.0 290.0 -5.0 -5.0 -15.0 NaN -10.0 10390 PLAT caleb_strategy_v3 [1] 50.0 285.0 -5.0 -55.0 -65.0 NaN -60.0 10402 GOLD_micro caleb_strategy_v3 [-1] 10.0 -28.5 -0.5 3.0 2.0 NaN 2.5 10405 GOLD_micro caleb_strategy_v3 [-1] 10.0 -25.5 -0.5 -5.0 -6.0 NaN -5.5 10383 GOLD_micro caleb_strategy_v3 [-1] 10.0 -14.0 -1.0 -0.0 -2.0 NaN -1.0 10389 GOLD_micro caleb_strategy_v3 [-1] 10.0 -14.0 -1.0 2.0 -0.0 NaN 1.0 10393 GOLD_micro caleb_strategy_v3 [-1] 10.0 -12.0 -1.0 -2.0 -4.0 NaN -3.0 10396 GOLD_micro caleb_strategy_v3 [-1] 10.0 -14.5 -0.5 -11.0 -12.0 NaN -11.5 10399 GOLD_micro caleb_strategy_v3 [-1] 10.0 -25.5 -0.5 -3.0 -4.0 NaN -3.5 10385 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 -18.75 -6.25 12.5 0.0 NaN 6.25 10386 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -6.25 -6.25 -0.0 -12.5 NaN -6.25 10391 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 -6.25 -6.25 0.0 NaN NaN -6.25 10392 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -6.25 -6.25 -0.0 NaN NaN -6.25 10394 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 6.25 -6.25 12.5 0.0 NaN 6.25 10395 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -18.75 -6.25 -0.0 -12.5 NaN -6.25 10397 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 18.75 -6.25 0.0 -12.5 NaN -6.25 10398 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -18.75 -6.25 -0.0 NaN NaN -6.25 10400 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 18.75 -6.25 -12.5 -25.0 NaN -18.75 10401 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -18.75 -6.25 -0.0 NaN NaN -6.25 10403 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 6.25 -6.25 12.5 0.0 NaN 6.25 10404 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -18.75 -6.25 -0.0 NaN NaN -6.25 10406 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 18.75 -6.25 0.0 -12.5 NaN -6.25 10407 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -18.75 -6.25 -0.0 NaN NaN -6.25 10408 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 18.75 -6.25 0.0 NaN NaN -6.25 10409 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -25.0 -12.5 12.5 -12.5 NaN 0.0 10410 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 12.5 -12.5 0.0 -25.0 NaN -12.5 10411 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -12.5 -12.5 -0.0 -25.0 NaN -12.5 10412 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 6.25 -6.25 12.5 0.0 NaN 6.25 10413 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -25.0 -12.5 -0.0 -25.0 NaN -12.5 10414 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 12.5 -12.5 0.0 -25.0 NaN -12.5 10415 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -18.75 -6.25 -0.0 -12.5 NaN -6.25 10416 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 12.5 -12.5 0.0 -25.0 NaN -12.5 10417 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -25.0 -12.5 25.0 -0.0 NaN 12.5 10418 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 -6.25 -6.25 12.5 0.0 NaN 6.25 10419 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -6.25 -6.25 -0.0 -12.5 NaN -6.25 10420 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -6.25 -6.25 -0.0 NaN NaN -6.25 10421 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -0.0 -12.5 -0.0 -25.0 NaN -12.5 10424 NASDAQ_micro caleb_strategy_v3 [1] 2.0 322.5 -1.0 13.0 11.0 NaN 12.0 10425 MXP caleb_strategy_v3 [1] 500000.0 67.5 -2.5 5.0 0.0 NaN 2.5 10426 EUR caleb_strategy_v3 [1] 125000.0 228.125 -3.125 6.25 0.0 NaN 3.125 10427 RUSSELL caleb_strategy_v3 [-1] 5.0 -141.0 -0.5 -0.5 -1.5 NaN -1.0 10428 US5 caleb_strategy_v3 [-1] 1000.0 -347.65625 -3.90625 7.8125 -0.0 NaN 3.90625 10422 US5 caleb_strategy_v3 [-1] 1000.0 -339.84375 -3.90625 -0.0 -7.8125 NaN -3.90625 10429 JPY caleb_strategy_v3 [-1] 12500000.0 -246.875 -3.125 -0.0 -6.25 NaN -3.125 10423 JPY caleb_strategy_v3 [-1] 12500000.0 -243.75 -6.25 -0.0 -12.5 NaN -6.25 10432 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 618.75 -281.25 -62.5 -625.0 NaN -343.75 10433 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -400.0 -12.5 75.0 50.0 NaN 62.5 10434 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 587.5 -312.5 12.5 -612.5 NaN -300.0 10435 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -325.0 -12.5 -50.0 -75.0 NaN -62.5 10436 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 593.75 -306.25 -25.0 -637.5 NaN -331.25 10437 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -568.75 181.25 25.0 387.5 NaN 206.25 10438 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 581.25 -318.75 25.0 -612.5 NaN -293.75 10439 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -337.5 -25.0 12.5 -37.5 NaN -12.5 10430 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 362.5 -25.0 -0.0 -50.0 NaN -25.0 10431 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -750.0 0.0 337.5 337.5 NaN 337.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 362.5 GAS_US_mini -118.75 PALLAD -200.0 caleb_strategy_v3 BUXL 602.728 CAC 10.763 COCOA -820.0 CRUDE_W -140.0 EUR 228.125 EURIBOR-ICE 302.709375 GASOLINE 615.3 GAS_US_mini -6.25 GOLD_micro -134.0 JPY -490.625 MXP 67.5 NASDAQ_micro 322.5 NIKKEI -59.903755 PLAT 575.0 RUSSELL -141.0 SMI 187.33275 US5 -687.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 43.75 caleb_strategy_v3 432.67937 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -1112.5 GAS_US_mini -206.25 PALLAD -150.0 caleb_strategy_v3 BUXL -21.526 CAC -5.3815 COCOA -10.0 CRUDE_W -10.0 EUR -3.125 EURIBOR-ICE -20.180625 GASOLINE -10.5 GAS_US_mini -18.75 GOLD_micro -5.0 JPY -9.375 MXP -2.5 NASDAQ_micro -1.0 NIKKEI -3.327986 PLAT -10.0 RUSSELL -0.5 SMI -5.67675 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -1468.75 caleb_strategy_v3 -144.655361 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 350.0 GAS_US_mini 87.5 PALLAD 150.0 caleb_strategy_v3 BUXL -21.526 CAC 37.6705 COCOA -0.0 CRUDE_W -0.0 EUR 6.25 EURIBOR-ICE -13.45375 GASOLINE -8.4 GAS_US_mini -0.0 GOLD_micro -16.0 JPY -0.0 MXP 5.0 NASDAQ_micro 13.0 NIKKEI 0.0 PLAT -60.0 RUSSELL -0.5 SMI 11.3535 US5 7.8125 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 587.5 caleb_strategy_v3 -38.79325 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -1875.0 GAS_US_mini -237.5 PALLAD -150.0 caleb_strategy_v3 BUXL -64.578 CAC 26.9075 COCOA -20.0 CRUDE_W 0 EUR 0.0 EURIBOR-ICE -53.815 GASOLINE -29.4 GAS_US_mini -25.0 GOLD_micro -26.0 JPY -18.75 MXP 0.0 NASDAQ_micro 11.0 NIKKEI -6.655973 PLAT -80.0 RUSSELL -1.5 SMI 0.0 US5 -7.8125 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -2262.5 caleb_strategy_v3 -295.603973 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 GAS_US_mini 0 PALLAD 0 caleb_strategy_v3 BUXL 0 CAC 0 COCOA 0 CRUDE_W 0 EUR 0 EURIBOR-ICE 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 RUSSELL 0 SMI 0 US5 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 FEEDCOW -762.5 GAS_US_mini -118.75 PALLAD 0.0 caleb_strategy_v3 BUXL -43.052 CAC 32.289 COCOA -10.0 CRUDE_W -10.0 EUR 3.125 EURIBOR-ICE -33.634375 GASOLINE -18.9 GAS_US_mini -18.75 GOLD_micro -21.0 JPY -9.375 MXP 2.5 NASDAQ_micro 12.0 NIKKEI -3.327986 PLAT -70.0 RUSSELL -1.0 SMI 5.67675 US5 0.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -881.25 caleb_strategy_v3 -183.448611 ******************************************************************************** END OF REPORT 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