******************************************************************************** Trades report produced on 22/02/2024 21:37 from 21/02/2024 21:37 to 22/02/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10550 BTP caleb_strategy_v3 [20240300] 2024-02-22 08:10:54.000 [1] 116.94000 10551 CAC caleb_strategy_v3 [20240300] 2024-02-22 19:45:15.430 [0] NaN 10553 CAC caleb_strategy_v3 [20240300] 2024-02-22 08:32:39.000 [1] 7912.00000 10552 CAC caleb_strategy_v3 [20240300] 2024-02-22 19:45:15.517 [0] NaN 10549 CAC caleb_strategy_v3 [20240300] 2024-02-22 19:45:15.346 [0] NaN 10580 CHF caleb_strategy_v3 [20240300] 2024-02-22 15:02:07.000 [-1] 1.13770 10573 CHF caleb_strategy_v3 [20240300] 2024-02-22 15:01:32.000 [-1] 1.13795 10564 COCOA caleb_strategy_v3 [20240500] 2024-02-22 14:01:14.000 [-1] 5696.00000 10557 COCOA caleb_strategy_v3 [20240500] 2024-02-22 14:00:14.000 [-1] 5706.00000 10561 COPPER caleb_strategy_v3 [20240700] 2024-02-22 14:00:25.000 [1] 3.89550 10559 CRUDE_W caleb_strategy_v3 [20241200] 2024-02-22 14:00:19.000 [1] 72.93000 10581 DOW caleb_strategy_v3 [20240300] 2024-02-22 15:02:08.000 [-1] 39029.00000 10584 DOW caleb_strategy_v3 [20240300] 2024-02-22 15:03:08.000 [-1] 39033.00000 10586 DOW caleb_strategy_v3 [20240300] 2024-02-22 15:04:08.000 [-1] 39020.00000 10588 DOW caleb_strategy_v3 [20240300] 2024-02-22 15:05:08.000 [-1] 39011.00000 10574 DOW caleb_strategy_v3 [20240300] 2024-02-22 15:01:33.000 [-1] 39028.00000 10555 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-22 09:02:16.000 [1] 97.54500 10554 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-22 09:00:47.000 [1] 97.55000 10562 GASOLINE caleb_strategy_v3 [20240600] 2024-02-22 14:00:28.000 [1] 2.46510 10566 GAS_US_mini caleb_strategy_v3 [20240500] 2024-02-22 14:01:16.000 [-1] 1.91500 10560 GAS_US_mini caleb_strategy_v3 [20240500] 2024-02-22 14:00:20.000 [-1] 1.92000 10568 GAS_US_mini caleb_strategy_v3 [20240500] 2024-02-22 14:02:20.000 [-1] 1.92500 10558 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-22 14:00:18.000 [-1] 2035.20000 10567 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-22 14:02:14.000 [-1] 2035.90000 10569 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-22 14:03:14.000 [-1] 2035.70000 10565 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-22 14:01:14.000 [-1] 2036.10000 10548 JGB-SGX-mini caleb_strategy_v3 [20240300] 2024-02-22 03:01:18.000 [-1] 146.24000 10575 MXP caleb_strategy_v3 [20240300] 2024-02-22 15:01:44.000 [-1] 0.05809 10572 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-22 15:01:29.000 [-1] 17933.00000 10570 NZD caleb_strategy_v3 [20240300] 2024-02-22 15:00:21.000 [1] 0.61895 10579 NZD caleb_strategy_v3 [20240300] 2024-02-22 15:02:07.000 [1] 0.61860 10583 NZD caleb_strategy_v3 [20240300] 2024-02-22 15:03:07.000 [1] 0.61845 10585 NZD caleb_strategy_v3 [20240300] 2024-02-22 15:04:08.000 [1] 0.61830 10587 NZD caleb_strategy_v3 [20240300] 2024-02-22 15:05:08.000 [1] 0.61840 10563 PLAT caleb_strategy_v3 [20240400] 2024-02-22 14:00:32.000 [-1] 901.90000 10556 ROBUSTA caleb_strategy_v3 [20240500] 2024-02-22 10:01:11.000 [1] 3162.00000 10577 RUSSELL caleb_strategy_v3 [20240300] 2024-02-22 15:01:47.000 [1] 2010.10000 10578 SP500_micro caleb_strategy_v3 [20240300] 2024-02-22 15:01:48.000 [1] 5074.00000 10582 SP500_micro caleb_strategy_v3 [20240300] 2024-02-22 15:02:09.000 [1] 5073.75000 10576 US5 caleb_strategy_v3 [20240300] 2024-02-22 15:01:46.000 [-1] 106.37500 10571 VIX caleb_strategy_v3 [20240500] 2024-02-22 15:01:27.000 [-1] 16.15000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10548 JGB-SGX-mini caleb_strategy_v3 2024-02-21 2024-02-22 03:01:17.963 2024-02-22 03:01:18.000 97277.963 0.037 10550 BTP caleb_strategy_v3 2024-02-21 2024-02-22 08:10:35.274 2024-02-22 08:10:54.000 115835.274 18.726 10554 EURIBOR-ICE caleb_strategy_v3 2024-02-21 2024-02-22 09:00:47.458 2024-02-22 09:00:47.000 118847.458 NaN 10555 EURIBOR-ICE caleb_strategy_v3 2024-02-21 2024-02-22 09:01:47.328 2024-02-22 09:02:16.000 118907.328 28.672 10556 ROBUSTA caleb_strategy_v3 2024-02-21 2024-02-22 10:00:57.564 2024-02-22 10:01:11.000 122457.564 13.436 10559 CRUDE_W caleb_strategy_v3 2024-02-21 2024-02-22 14:00:19.191 2024-02-22 14:00:19.000 136819.191 NaN 10561 COPPER caleb_strategy_v3 2024-02-21 2024-02-22 14:00:21.914 2024-02-22 14:00:25.000 136821.914 3.086 10562 GASOLINE caleb_strategy_v3 2024-02-21 2024-02-22 14:00:26.913 2024-02-22 14:00:28.000 136826.913 1.087 10563 PLAT caleb_strategy_v3 2024-02-21 2024-02-22 14:00:29.779 2024-02-22 14:00:32.000 136829.779 2.221 10564 COCOA caleb_strategy_v3 2024-02-21 2024-02-22 14:01:14.006 2024-02-22 14:01:14.000 136874.006 NaN 10557 COCOA caleb_strategy_v3 2024-02-21 2024-02-22 14:00:14.518 2024-02-22 14:00:14.000 136814.518 NaN 10560 GAS_US_mini caleb_strategy_v3 2024-02-20 2024-02-22 14:00:20.614 2024-02-22 14:00:20.000 223220.614 NaN 10568 GAS_US_mini caleb_strategy_v3 2024-02-20 2024-02-22 14:02:15.017 2024-02-22 14:02:20.000 223335.017 4.983 10566 GAS_US_mini caleb_strategy_v3 2024-02-20 2024-02-22 14:01:15.351 2024-02-22 14:01:16.000 223275.351 0.649 10569 GOLD_micro caleb_strategy_v3 2024-02-21 2024-02-22 14:03:14.270 2024-02-22 14:03:14.000 136994.27 NaN 10565 GOLD_micro caleb_strategy_v3 2024-02-21 2024-02-22 14:01:14.721 2024-02-22 14:01:14.000 136874.721 NaN 10558 GOLD_micro caleb_strategy_v3 2024-02-21 2024-02-22 14:00:16.438 2024-02-22 14:00:18.000 136816.438 1.562 10567 GOLD_micro caleb_strategy_v3 2024-02-21 2024-02-22 14:02:14.340 2024-02-22 14:02:14.000 136934.34 NaN 10571 VIX caleb_strategy_v3 2024-02-21 2024-02-22 15:00:23.027 2024-02-22 15:01:27.000 140423.027 63.973 10572 NASDAQ_micro caleb_strategy_v3 2024-02-21 2024-02-22 15:01:28.898 2024-02-22 15:01:29.000 140488.898 0.102 10575 MXP caleb_strategy_v3 2024-02-21 2024-02-22 15:01:34.454 2024-02-22 15:01:44.000 140494.454 9.546 10576 US5 caleb_strategy_v3 2024-02-21 2024-02-22 15:01:45.298 2024-02-22 15:01:46.000 140505.298 0.702 10577 RUSSELL caleb_strategy_v3 2024-02-21 2024-02-22 15:01:47.407 2024-02-22 15:01:47.000 140507.407 NaN 10580 CHF caleb_strategy_v3 2024-02-21 2024-02-22 15:02:07.730 2024-02-22 15:02:07.000 140527.73 NaN 10573 CHF caleb_strategy_v3 2024-02-21 2024-02-22 15:01:29.982 2024-02-22 15:01:32.000 140489.982 2.018 10578 SP500_micro caleb_strategy_v3 2024-02-21 2024-02-22 15:01:48.463 2024-02-22 15:01:48.000 140508.463 NaN 10582 SP500_micro caleb_strategy_v3 2024-02-21 2024-02-22 15:02:09.093 2024-02-22 15:02:09.000 140529.093 NaN 10570 NZD caleb_strategy_v3 2024-02-21 2024-02-22 15:00:19.406 2024-02-22 15:00:21.000 140419.406 1.594 10579 NZD caleb_strategy_v3 2024-02-21 2024-02-22 15:02:07.083 2024-02-22 15:02:07.000 140527.083 NaN 10583 NZD caleb_strategy_v3 2024-02-21 2024-02-22 15:03:07.564 2024-02-22 15:03:07.000 140587.564 NaN 10585 NZD caleb_strategy_v3 2024-02-21 2024-02-22 15:04:08.005 2024-02-22 15:04:08.000 140648.005 NaN 10587 NZD caleb_strategy_v3 2024-02-21 2024-02-22 15:05:08.104 2024-02-22 15:05:08.000 140708.104 NaN 10574 DOW caleb_strategy_v3 2024-02-21 2024-02-22 15:01:33.162 2024-02-22 15:01:33.000 140493.162 NaN 10581 DOW caleb_strategy_v3 2024-02-21 2024-02-22 15:02:08.526 2024-02-22 15:02:08.000 140528.526 NaN 10584 DOW caleb_strategy_v3 2024-02-21 2024-02-22 15:03:08.039 2024-02-22 15:03:08.000 140588.039 NaN 10586 DOW caleb_strategy_v3 2024-02-21 2024-02-22 15:04:08.585 2024-02-22 15:04:08.000 140648.585 NaN 10588 DOW caleb_strategy_v3 2024-02-21 2024-02-22 15:05:08.809 2024-02-22 15:05:08.000 140708.809 NaN 10552 CAC caleb_strategy_v3 2024-02-21 2024-02-22 08:21:01.343 2024-02-22 19:45:15.517 116461.343 41054.174 10553 CAC caleb_strategy_v3 2024-02-21 2024-02-22 08:31:04.932 2024-02-22 08:32:39.000 117064.932 94.068 10549 CAC caleb_strategy_v3 2024-02-21 2024-02-22 08:00:34.606 2024-02-22 19:45:15.346 115234.606 42280.74 10551 CAC caleb_strategy_v3 2024-02-21 2024-02-22 08:10:57.872 2024-02-22 19:45:15.430 115857.872 41657.558 ==================================================================================================================================================================================================================================== 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 10548 JGB-SGX-mini caleb_strategy_v3 [-1] 146.12 None 146.25 146.24 146.26 NaN 146.24 0.13 -0.01 -0.0 NaN NaN -0.01 10550 BTP caleb_strategy_v3 [1] 116.94 None 116.925 116.93 116.92 116.92 116.94 0.015 -0.005 -0.01 -0.02 NaN -0.015 10554 EURIBOR-ICE caleb_strategy_v3 [1] 97.585 None 97.5425 97.545 97.54 97.54 97.55 0.0425 -0.0025 -0.005 -0.01 NaN -0.0075 10555 EURIBOR-ICE caleb_strategy_v3 [1] 97.585 None 97.5475 97.55 97.545 97.545 97.545 0.0375 -0.0025 0.005 0.0 NaN 0.0025 10556 ROBUSTA caleb_strategy_v3 [1] 3172.0 None 3162.0 3163.0 3161.0 3161.0 3162.0 10.0 -1.0 1.0 -1.0 NaN 0.0 10559 CRUDE_W caleb_strategy_v3 [1] 73.35 None 72.925 72.93 72.92 NaN 72.93 0.425 -0.005 0.0 NaN NaN -0.005 10561 COPPER caleb_strategy_v3 [1] 3.903 None 3.89475 3.895 3.8945 3.8945 3.8955 0.00825 -0.00025 -0.0005 -0.001 NaN -0.00075 10562 GASOLINE caleb_strategy_v3 [1] 2.4856 None 2.4645 2.4649 2.4641 2.4641 2.4651 0.0211 -0.0004 -0.0002 -0.001 NaN -0.0006 10563 PLAT caleb_strategy_v3 [-1] 889.0 None 902.05 901.9 902.2 902.2 901.9 13.05 -0.15 -0.0 -0.3 NaN -0.15 10564 COCOA caleb_strategy_v3 [-1] 5968.0 None 5707.0 5706.0 5708.0 5708.0 5696.0 -261.0 -1.0 -10.0 -12.0 NaN -11.0 10557 COCOA caleb_strategy_v3 [-1] 5968.0 None 5708.0 5706.0 5710.0 5710.0 5706.0 -260.0 -2.0 -0.0 -4.0 NaN -2.0 10560 GAS_US_mini caleb_strategy_v3 [-1] 1.905 None 1.9225 1.92 1.925 NaN 1.92 0.0175 -0.0025 -0.0 NaN NaN -0.0025 10568 GAS_US_mini caleb_strategy_v3 [-1] 1.905 None 1.925 1.92 1.93 1.93 1.925 0.02 -0.005 0.005 -0.005 NaN 0.0 10566 GAS_US_mini caleb_strategy_v3 [-1] 1.905 None 1.9175 1.915 1.92 1.92 1.915 0.0125 -0.0025 -0.0 -0.005 NaN -0.0025 10569 GOLD_micro caleb_strategy_v3 [-1] 2037.4 None 2035.95 2035.9 2036.0 NaN 2035.7 -1.45 -0.05 -0.2 NaN NaN -0.25 10565 GOLD_micro caleb_strategy_v3 [-1] 2037.4 None 2035.25 2035.2 2035.3 2035.3 2036.1 -2.15 -0.05 0.9 0.8 NaN 0.85 10558 GOLD_micro caleb_strategy_v3 [-1] 2037.4 None 2035.3 2035.2 2035.4 2035.4 2035.2 -2.1 -0.1 -0.0 -0.2 NaN -0.1 10567 GOLD_micro caleb_strategy_v3 [-1] 2037.4 None 2036.2 2036.1 2036.3 2036.3 2035.9 -1.2 -0.1 -0.2 -0.4 NaN -0.3 10571 VIX caleb_strategy_v3 [-1] 16.7 None 16.125 16.1 16.15 16.15 16.15 -0.575 -0.025 0.05 -0.0 NaN 0.025 10572 NASDAQ_micro caleb_strategy_v3 [-1] 17392.5 None 17933.75 17933.5 17934.0 17934.0 17933.0 541.25 -0.25 -0.5 -1.0 NaN -0.75 10575 MXP caleb_strategy_v3 [-1] 0.05841 None 0.058105 0.0581 0.05811 0.05811 0.05809 -0.000305 -0.000005 -0.00001 -0.00002 NaN -0.000015 10576 US5 caleb_strategy_v3 [-1] 106.476562 None 106.371094 106.367188 106.375 106.375 106.375 -0.105469 -0.003906 0.007812 -0.0 NaN 0.003906 10577 RUSSELL caleb_strategy_v3 [1] 1987.0 None 2010.0 2010.1 2009.9 2009.9 2010.1 -23.0 -0.1 0.0 -0.2 NaN -0.1 10580 CHF caleb_strategy_v3 [-1] 1.13965 None 1.138 1.13795 1.13805 1.13805 1.1377 -0.00165 -0.00005 -0.00025 -0.00035 NaN -0.0003 10573 CHF caleb_strategy_v3 [-1] 1.13965 None 1.13805 1.138 1.1381 1.1381 1.13795 -0.0016 -0.00005 -0.00005 -0.00015 NaN -0.0001 10578 SP500_micro caleb_strategy_v3 [1] 4964.25 None 5074.125 5074.25 5074.0 5074.0 5074.0 -109.875 -0.125 0.25 0.0 NaN 0.125 10582 SP500_micro caleb_strategy_v3 [1] 4964.25 None 5074.125 5074.25 5074.0 5074.0 5073.75 -109.875 -0.125 0.5 0.25 NaN 0.375 10570 NZD caleb_strategy_v3 [1] 0.6177 None 0.61885 0.6189 0.6188 0.6188 0.61895 -0.00115 -0.00005 -0.00005 -0.00015 NaN -0.0001 10579 NZD caleb_strategy_v3 [1] 0.6177 None 0.6189 0.61895 0.61885 0.61885 0.6186 -0.0012 -0.00005 0.00035 0.00025 NaN 0.0003 10583 NZD caleb_strategy_v3 [1] 0.6177 None 0.61855 0.6186 0.6185 0.6185 0.61845 -0.00085 -0.00005 0.00015 0.00005 NaN 0.0001 10585 NZD caleb_strategy_v3 [1] 0.6177 None 0.6184 0.61845 0.61835 0.61835 0.6183 -0.0007 -0.00005 0.00015 0.00005 NaN 0.0001 10587 NZD caleb_strategy_v3 [1] 0.6177 None 0.61825 0.6183 0.6182 0.6182 0.6184 -0.00055 -0.00005 -0.0001 -0.0002 NaN -0.00015 10574 DOW caleb_strategy_v3 [-1] 38465.0 None 39027.5 39027.0 39028.0 39028.0 39028.0 562.5 -0.5 1.0 -0.0 NaN 0.5 10581 DOW caleb_strategy_v3 [-1] 38465.0 None 39028.5 39028.0 39029.0 39029.0 39029.0 563.5 -0.5 1.0 -0.0 NaN 0.5 10584 DOW caleb_strategy_v3 [-1] 38465.0 None 39029.5 39029.0 39030.0 39030.0 39033.0 564.5 -0.5 4.0 3.0 NaN 3.5 10586 DOW caleb_strategy_v3 [-1] 38465.0 None 39034.0 39033.0 39035.0 39035.0 39020.0 569.0 -1.0 -13.0 -15.0 NaN -14.0 10588 DOW caleb_strategy_v3 [-1] 38465.0 None 39020.5 39020.0 39021.0 39021.0 39011.0 555.5 -0.5 -9.0 -10.0 NaN -9.5 10552 CAC caleb_strategy_v3 [1] 7829.5 None 7911.5 7912.0 7911.0 7911.0 NaN -82.0 -0.5 NaN NaN NaN NaN 10553 CAC caleb_strategy_v3 [1] 7829.5 None 7910.25 7910.5 7910.0 7910.0 7912.0 -80.75 -0.25 -1.5 -2.0 NaN -1.75 10549 CAC caleb_strategy_v3 [1] 7829.5 None 7883.0 7883.5 7882.5 7882.5 NaN -53.5 -0.5 NaN NaN NaN NaN 10551 CAC caleb_strategy_v3 [1] 7829.5 None 7889.0 7889.5 7888.5 7888.5 NaN -59.5 -0.5 NaN NaN NaN NaN ================================================================================================================================================================ 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 10548 JGB-SGX-mini caleb_strategy_v3 [-1] 4.607579 282.143834 -21.703372 -0.0 NaN NaN -21.703372 10550 BTP caleb_strategy_v3 [1] 9.976977 15.034614 -5.011538 -10.023076 -20.046153 NaN -15.034614 10554 EURIBOR-ICE caleb_strategy_v3 [1] 1.031556 411.99891 -24.23523 -48.47046 -96.94092 NaN -72.70569 10555 EURIBOR-ICE caleb_strategy_v3 [1] 1.031556 363.52845 -24.23523 48.47046 0.0 NaN 24.23523 10556 ROBUSTA caleb_strategy_v3 [1] 723.18954 138.276336 -13.827634 13.827634 -13.827634 NaN 0.0 10559 CRUDE_W caleb_strategy_v3 [1] 16.974886 250.369863 -2.945528 0.0 NaN NaN -2.945528 10561 COPPER caleb_strategy_v3 [1] 0.668731 123.367979 -3.738424 -7.476847 -14.953694 NaN -11.215271 10562 GASOLINE caleb_strategy_v3 [1] 0.684329 308.33143 -5.845146 -2.922573 -14.612864 NaN -8.767718 10563 PLAT caleb_strategy_v3 [-1] 247.43039 527.421065 -6.062311 -0.0 -12.124622 NaN -6.062311 10564 COCOA caleb_strategy_v3 [-1] 1491.58703 -1749.814089 -6.704269 -67.042685 -80.451222 NaN -73.746954 10557 COCOA caleb_strategy_v3 [-1] 1491.58703 -1743.109821 -13.408537 -0.0 -26.817074 NaN -13.408537 10560 GAS_US_mini caleb_strategy_v3 [-1] 1.630378 107.337073 -15.333868 -0.0 NaN NaN -15.333868 10568 GAS_US_mini caleb_strategy_v3 [-1] 1.630378 122.67094 -30.667735 30.667735 -30.667735 NaN 0.0 10566 GAS_US_mini caleb_strategy_v3 [-1] 1.630378 76.669338 -15.333868 -0.0 -30.667735 NaN -15.333868 10569 GOLD_micro caleb_strategy_v3 [-1] 216.379323 -67.011948 -2.310757 -9.243027 NaN NaN -11.553784 10565 GOLD_micro caleb_strategy_v3 [-1] 216.379323 -99.362544 -2.310757 41.593623 36.972109 NaN 39.282866 10558 GOLD_micro caleb_strategy_v3 [-1] 216.379323 -97.051787 -4.621514 -0.0 -9.243027 NaN -4.621514 10567 GOLD_micro caleb_strategy_v3 [-1] 216.379323 -55.458164 -4.621514 -9.243027 -18.486055 NaN -13.864541 10571 VIX caleb_strategy_v3 [-1] 6.004296 -957.647648 -41.636854 83.273709 -0.0 NaN 41.636854 10572 NASDAQ_micro caleb_strategy_v3 [-1] 2783.248887 1944.66978 -0.898231 -1.796462 -3.592923 NaN -2.694693 10575 MXP caleb_strategy_v3 [-1] 0.004889 -623.814898 -10.226474 -20.452947 -40.905895 NaN -30.679421 10576 US5 caleb_strategy_v3 [-1] 5.50626 -191.543363 -7.094199 14.188397 -0.0 NaN 7.094199 10577 RUSSELL caleb_strategy_v3 [1] 485.730287 -473.513812 -2.058756 0.0 -4.117511 NaN -2.058756 10580 CHF caleb_strategy_v3 [-1] 0.085771 -192.373648 -5.829504 -29.147522 -40.806531 NaN -34.977027 10573 CHF caleb_strategy_v3 [-1] 0.085771 -186.544143 -5.829504 -5.829504 -17.488513 NaN -11.659009 10578 SP500_micro caleb_strategy_v3 [1] 641.88452 -1711.7565 -1.947391 3.894782 0.0 NaN 1.947391 10582 SP500_micro caleb_strategy_v3 [1] 641.88452 -1711.7565 -1.947391 7.789563 3.894782 NaN 5.842172 10570 NZD caleb_strategy_v3 [1] 0.057871 -198.718032 -8.639914 -8.639914 -25.919743 NaN -17.279829 10579 NZD caleb_strategy_v3 [1] 0.057871 -207.357947 -8.639914 60.479401 43.199572 NaN 51.839487 10583 NZD caleb_strategy_v3 [1] 0.057871 -146.878546 -8.639914 25.919743 8.639914 NaN 17.279829 10585 NZD caleb_strategy_v3 [1] 0.057871 -120.958802 -8.639914 25.919743 8.639914 NaN 17.279829 10587 NZD caleb_strategy_v3 [1] 0.057871 -95.039059 -8.639914 -17.279829 -34.559658 NaN -25.919743 10574 DOW caleb_strategy_v3 [-1] 4196.986552 1340.247325 -1.191331 2.382662 -0.0 NaN 1.191331 10581 DOW caleb_strategy_v3 [-1] 4196.986552 1342.629987 -1.191331 2.382662 -0.0 NaN 1.191331 10584 DOW caleb_strategy_v3 [-1] 4196.986552 1345.012649 -1.191331 9.530648 7.147986 NaN 8.339317 10586 DOW caleb_strategy_v3 [-1] 4196.986552 1355.734627 -2.382662 -30.974605 -35.739929 NaN -33.357267 10588 DOW caleb_strategy_v3 [-1] 4196.986552 1323.568692 -1.191331 -21.443957 -23.826619 NaN -22.635288 10552 CAC caleb_strategy_v3 [1] 904.71719 -906.360583 -5.526589 NaN NaN NaN NaN 10553 CAC caleb_strategy_v3 [1] 904.71719 -892.544111 -2.763294 -16.579767 -22.106356 NaN -19.343061 10549 CAC caleb_strategy_v3 [1] 904.71719 -591.345014 -5.526589 NaN NaN NaN NaN 10551 CAC caleb_strategy_v3 [1] 904.71719 -657.664082 -5.526589 NaN NaN NaN NaN ========================================================================================================================================================================= 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 10548 JGB-SGX-mini caleb_strategy_v3 [-1] 665.628287 86.531677 -6.656283 -0.0 NaN NaN -6.656283 10550 BTP caleb_strategy_v3 [1] 1084.05 16.26075 -5.42025 -10.8405 -21.681 NaN -16.26075 10554 EURIBOR-ICE caleb_strategy_v3 [1] 2710.125 115.180312 -6.775312 -13.550625 -27.10125 NaN -20.325937 10555 EURIBOR-ICE caleb_strategy_v3 [1] 2710.125 101.629687 -6.775312 13.550625 0.0 NaN 6.775312 10556 ROBUSTA caleb_strategy_v3 [1] 10.0 100.0 -10.0 10.0 -10.0 NaN 0.0 10559 CRUDE_W caleb_strategy_v3 [1] 1000.0 425.0 -5.0 0.0 NaN NaN -5.0 10561 COPPER caleb_strategy_v3 [1] 25000.0 206.25 -6.25 -12.5 -25.0 NaN -18.75 10562 GASOLINE caleb_strategy_v3 [1] 42000.0 886.2 -16.8 -8.4 -42.0 NaN -25.2 10563 PLAT caleb_strategy_v3 [-1] 50.0 652.5 -7.5 -0.0 -15.0 NaN -7.5 10564 COCOA caleb_strategy_v3 [-1] 10.0 -2610.0 -10.0 -100.0 -120.0 NaN -110.0 10557 COCOA caleb_strategy_v3 [-1] 10.0 -2600.0 -20.0 -0.0 -40.0 NaN -20.0 10560 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 43.75 -6.25 -0.0 NaN NaN -6.25 10568 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 50.0 -12.5 12.5 -12.5 NaN 0.0 10566 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 31.25 -6.25 -0.0 -12.5 NaN -6.25 10569 GOLD_micro caleb_strategy_v3 [-1] 10.0 -14.5 -0.5 -2.0 NaN NaN -2.5 10565 GOLD_micro caleb_strategy_v3 [-1] 10.0 -21.5 -0.5 9.0 8.0 NaN 8.5 10558 GOLD_micro caleb_strategy_v3 [-1] 10.0 -21.0 -1.0 -0.0 -2.0 NaN -1.0 10567 GOLD_micro caleb_strategy_v3 [-1] 10.0 -12.0 -1.0 -2.0 -4.0 NaN -3.0 10571 VIX caleb_strategy_v3 [-1] 1000.0 -575.0 -25.0 50.0 -0.0 NaN 25.0 10572 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 1082.5 -0.5 -1.0 -2.0 NaN -1.5 10575 MXP caleb_strategy_v3 [-1] 500000.0 -152.5 -2.5 -5.0 -10.0 NaN -7.5 10576 US5 caleb_strategy_v3 [-1] 1000.0 -105.46875 -3.90625 7.8125 -0.0 NaN 3.90625 10577 RUSSELL caleb_strategy_v3 [1] 5.0 -115.0 -0.5 0.0 -1.0 NaN -0.5 10580 CHF caleb_strategy_v3 [-1] 125000.0 -206.25 -6.25 -31.25 -43.75 NaN -37.5 10573 CHF caleb_strategy_v3 [-1] 125000.0 -200.0 -6.25 -6.25 -18.75 NaN -12.5 10578 SP500_micro caleb_strategy_v3 [1] 5.0 -549.375 -0.625 1.25 0.0 NaN 0.625 10582 SP500_micro caleb_strategy_v3 [1] 5.0 -549.375 -0.625 2.5 1.25 NaN 1.875 10570 NZD caleb_strategy_v3 [1] 100000.0 -115.0 -5.0 -5.0 -15.0 NaN -10.0 10579 NZD caleb_strategy_v3 [1] 100000.0 -120.0 -5.0 35.0 25.0 NaN 30.0 10583 NZD caleb_strategy_v3 [1] 100000.0 -85.0 -5.0 15.0 5.0 NaN 10.0 10585 NZD caleb_strategy_v3 [1] 100000.0 -70.0 -5.0 15.0 5.0 NaN 10.0 10587 NZD caleb_strategy_v3 [1] 100000.0 -55.0 -5.0 -10.0 -20.0 NaN -15.0 10574 DOW caleb_strategy_v3 [-1] 0.5 281.25 -0.25 0.5 -0.0 NaN 0.25 10581 DOW caleb_strategy_v3 [-1] 0.5 281.75 -0.25 0.5 -0.0 NaN 0.25 10584 DOW caleb_strategy_v3 [-1] 0.5 282.25 -0.25 2.0 1.5 NaN 1.75 10586 DOW caleb_strategy_v3 [-1] 0.5 284.5 -0.5 -6.5 -7.5 NaN -7.0 10588 DOW caleb_strategy_v3 [-1] 0.5 277.75 -0.25 -4.5 -5.0 NaN -4.75 10552 CAC caleb_strategy_v3 [1] 10.8405 -888.921 -5.42025 NaN NaN NaN NaN 10553 CAC caleb_strategy_v3 [1] 10.8405 -875.370375 -2.710125 -16.26075 -21.681 NaN -18.970875 10549 CAC caleb_strategy_v3 [1] 10.8405 -579.96675 -5.42025 NaN NaN NaN NaN 10551 CAC caleb_strategy_v3 [1] 10.8405 -645.00975 -5.42025 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP 16.26075 CAC -2989.267875 CHF -406.25 COCOA -5210.0 COPPER 206.25 CRUDE_W 425.0 DOW 1407.5 EURIBOR-ICE 216.81 GASOLINE 886.2 GAS_US_mini 125.0 GOLD_micro -69.0 JGB-SGX-mini 86.531677 MXP -152.5 NASDAQ_micro 1082.5 NZD -445.0 PLAT 652.5 ROBUSTA 100.0 RUSSELL -115.0 SP500_micro -1098.75 US5 -105.46875 VIX -575.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -5961.684198 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.42025 CAC -18.970875 CHF -12.5 COCOA -30.0 COPPER -6.25 CRUDE_W -5.0 DOW -1.5 EURIBOR-ICE -13.550625 GASOLINE -16.8 GAS_US_mini -25.0 GOLD_micro -3.0 JGB-SGX-mini -6.656283 MXP -2.5 NASDAQ_micro -0.5 NZD -25.0 PLAT -7.5 ROBUSTA -10.0 RUSSELL -0.5 SP500_micro -1.25 US5 -3.90625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -220.804283 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP -10.8405 CAC -16.26075 CHF -37.5 COCOA -100.0 COPPER -12.5 CRUDE_W 0.0 DOW -8.0 EURIBOR-ICE 0.0 GASOLINE -8.4 GAS_US_mini 12.5 GOLD_micro 5.0 JGB-SGX-mini -0.0 MXP -5.0 NASDAQ_micro -1.0 NZD 50.0 PLAT -0.0 ROBUSTA 10.0 RUSSELL 0.0 SP500_micro 3.75 US5 7.8125 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -60.43875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -21.681 CAC -21.681 CHF -62.5 COCOA -160.0 COPPER -25.0 CRUDE_W 0 DOW -11.0 EURIBOR-ICE -27.10125 GASOLINE -42.0 GAS_US_mini -25.0 GOLD_micro 2.0 JGB-SGX-mini 0 MXP -10.0 NASDAQ_micro -2.0 NZD 0.0 PLAT -15.0 ROBUSTA -10.0 RUSSELL -1.0 SP500_micro 1.25 US5 -0.0 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -430.71325 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 CAC 0 CHF 0 COCOA 0 COPPER 0 CRUDE_W 0 DOW 0 EURIBOR-ICE 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JGB-SGX-mini 0 MXP 0 NASDAQ_micro 0 NZD 0 PLAT 0 ROBUSTA 0 RUSSELL 0 SP500_micro 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 BTP -16.26075 CAC -18.970875 CHF -50.0 COCOA -130.0 COPPER -18.75 CRUDE_W -5.0 DOW -9.5 EURIBOR-ICE -13.550625 GASOLINE -25.2 GAS_US_mini -12.5 GOLD_micro 2.0 JGB-SGX-mini -6.656283 MXP -7.5 NASDAQ_micro -1.5 NZD 25.0 PLAT -7.5 ROBUSTA 0.0 RUSSELL -0.5 SP500_micro 2.5 US5 3.90625 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -264.982283 ******************************************************************************** END OF REPORT ********************************************************************************