******************************************************************************** Trades report produced on 04/03/2024 21:37 from 03/03/2024 21:37 to 04/03/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10787 COCOA caleb_strategy_v3 [20240500] 2024-03-04 14:00:06 [1] 6439.000000 10788 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-04 14:00:07 [-1] 74.080000 10784 GASOIL _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-04 09:07:08 [-1] 800.500000 10785 GASOIL _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 09:07:22 [1] 789.500000 10822 GBP _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:04:09 [1] 1.269800 10815 GBP _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:03:19 [-1] 1.269100 10810 GBP _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:02:05 [1] 1.269900 10809 GBP _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:02:05 [-1] 1.269200 10804 GBP _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:01:16 [1] 1.269700 10803 GBP _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:01:05 [-1] 1.269100 10798 GBP _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:00:36 [1] 1.270000 10797 GBP _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:00:12 [-1] 1.269400 10821 GBP _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:04:09 [-1] 1.269200 10816 GBP _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:03:29 [1] 1.270000 10794 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-04 14:06:02 [1] 2099.800000 10793 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-04 14:05:02 [1] 2101.400000 10792 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-04 14:04:02 [1] 2100.500000 10791 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-04 14:03:02 [1] 2099.900000 10790 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-04 14:02:02 [1] 2099.500000 10789 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-04 14:01:02 [1] 2099.800000 10786 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-04 14:00:03 [1] 2100.500000 10799 JPY _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:00:54 [1] 0.006667 10800 JPY _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:00:55 [-1] 0.006760 10824 JPY _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:04:15 [-1] 0.006760 10823 JPY _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:04:14 [1] 0.006666 10818 JPY _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:03:39 [-1] 0.006761 10817 JPY _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:03:38 [1] 0.006667 10805 JPY _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:01:17 [1] 0.006667 10812 JPY _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:02:17 [-1] 0.006761 10811 JPY _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:02:07 [1] 0.006667 10806 JPY _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:01:19 [-1] 0.006760 10850 LEANHOG caleb_strategy_v3 [20240600] 2024-03-04 15:30:13 [1] 102.000000 10848 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:16:08 [1] 18542.750000 10834 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:09:06 [1] 18546.500000 10835 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:10:05 [-1] 18303.000000 10836 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:10:06 [1] 18551.750000 10837 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:11:06 [-1] 18300.250000 10838 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:11:07 [1] 18548.250000 10839 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:12:05 [-1] 18295.750000 10833 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:09:05 [-1] 18299.000000 10840 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:12:06 [1] 18544.750000 10842 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:13:08 [1] 18557.250000 10843 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:14:07 [-1] 18304.500000 10844 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:14:08 [1] 18552.750000 10845 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:15:07 [-1] 18298.000000 10846 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:15:08 [1] 18545.500000 10847 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:16:08 [-1] 18295.000000 10841 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:13:07 [-1] 18309.000000 10832 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:08:05 [1] 18542.000000 10796 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:00:05 [1] 18541.250000 10830 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:07:05 [1] 18538.750000 10795 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:00:04 [-1] 18293.000000 10849 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-04 15:17:10 [1] 18548.750000 10801 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:01:04 [-1] 18292.500000 10802 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:01:04 [1] 18538.750000 10807 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:02:03 [-1] 18303.250000 10808 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:02:04 [1] 18551.250000 10831 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:08:05 [-1] 18294.250000 10813 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:03:03 [-1] 18300.500000 10819 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:04:04 [-1] 18292.000000 10820 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:04:04 [1] 18540.500000 10825 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:05:04 [-1] 18295.250000 10826 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:05:04 [1] 18543.000000 10827 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:06:04 [-1] 18290.500000 10828 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:06:04 [1] 18539.000000 10829 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-04 15:07:04 [-1] 18291.250000 10814 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-04 15:03:04 [1] 18548.000000 10781 NIKKEI caleb_strategy_v3 [20240600] 2024-03-04 03:01:21 [-1] 39910.000000 10783 SMI caleb_strategy_v3 [20240600] 2024-03-04 08:59:43 [1] 11275.000000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10781 NIKKEI caleb_strategy_v3 2024-03-01 00:00:00 2024-03-04 03:01:16.098 2024-03-04 03:01:21 270076.098 4.902 10783 SMI caleb_strategy_v3 2024-03-01 00:00:00 2024-03-04 08:59:31.526 2024-03-04 08:59:43 291571.526 11.474 10784 GASOIL _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 09:06:55.066 2024-03-04 09:07:08 220015.066 12.934 10785 GASOIL _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 09:07:09.410 2024-03-04 09:07:22 220029.41 12.59 10787 COCOA caleb_strategy_v3 2024-03-01 00:00:00 2024-03-04 14:00:04.578 2024-03-04 14:00:06 309604.578 1.422 10788 CRUDE_W caleb_strategy_v3 2024-03-01 00:00:00 2024-03-04 14:00:07.154 2024-03-04 14:00:07 309607.154 NaN 10786 GOLD_micro caleb_strategy_v3 2024-02-29 00:00:00 2024-03-04 14:00:03.343 2024-03-04 14:00:03 396003.343 NaN 10789 GOLD_micro caleb_strategy_v3 2024-02-29 00:00:00 2024-03-04 14:01:02.647 2024-03-04 14:01:02 396062.647 NaN 10790 GOLD_micro caleb_strategy_v3 2024-02-29 00:00:00 2024-03-04 14:02:02.649 2024-03-04 14:02:02 396122.649 NaN 10791 GOLD_micro caleb_strategy_v3 2024-02-29 00:00:00 2024-03-04 14:03:02.704 2024-03-04 14:03:02 396182.704 NaN 10792 GOLD_micro caleb_strategy_v3 2024-02-29 00:00:00 2024-03-04 14:04:02.665 2024-03-04 14:04:02 396242.665 NaN 10793 GOLD_micro caleb_strategy_v3 2024-02-29 00:00:00 2024-03-04 14:05:02.694 2024-03-04 14:05:02 396302.694 NaN 10794 GOLD_micro caleb_strategy_v3 2024-02-29 00:00:00 2024-03-04 14:06:02.714 2024-03-04 14:06:02 396362.714 NaN 10816 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:03:20.161 2024-03-04 15:03:29 241400.161 8.839 10821 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:04:05.332 2024-03-04 15:04:09 241445.332 3.668 10822 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:04:09.814 2024-03-04 15:04:09 241449.814 NaN 10797 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:00:06.706 2024-03-04 15:00:12 241206.706 5.294 10798 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:00:13.893 2024-03-04 15:00:36 241213.893 22.107 10803 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:01:05.201 2024-03-04 15:01:05 241265.201 NaN 10804 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:01:05.870 2024-03-04 15:01:16 241265.87 10.13 10809 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:02:05.094 2024-03-04 15:02:05 241325.094 NaN 10810 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:02:05.681 2024-03-04 15:02:05 241325.681 NaN 10815 GBP _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:03:04.949 2024-03-04 15:03:19 241384.949 14.051 10817 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:03:30.191 2024-03-04 15:03:38 241410.191 7.809 10818 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:03:38.664 2024-03-04 15:03:39 241418.664 0.336 10823 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:04:10.444 2024-03-04 15:04:14 241450.444 3.556 10824 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:04:14.882 2024-03-04 15:04:15 241454.882 0.118 10799 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:00:37.654 2024-03-04 15:00:54 241237.654 16.346 10800 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:00:54.890 2024-03-04 15:00:55 241254.89 0.11 10805 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:01:16.950 2024-03-04 15:01:17 241276.95 0.05 10806 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:01:17.869 2024-03-04 15:01:19 241277.869 1.131 10811 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:02:06.340 2024-03-04 15:02:07 241326.34 0.66 10812 JPY _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:02:07.912 2024-03-04 15:02:17 241327.912 9.088 10795 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:00:04.755 2024-03-04 15:00:04 241204.755 NaN 10796 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:00:05.818 2024-03-04 15:00:05 241205.818 NaN 10801 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:01:03.918 2024-03-04 15:01:04 241263.918 0.082 10802 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:01:04.628 2024-03-04 15:01:04 241264.628 NaN 10807 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:02:03.790 2024-03-04 15:02:03 241323.79 NaN 10808 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:02:04.390 2024-03-04 15:02:04 241324.39 NaN 10813 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:03:03.835 2024-03-04 15:03:03 241383.835 NaN 10814 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:03:04.488 2024-03-04 15:03:04 241384.488 NaN 10819 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:04:04.103 2024-03-04 15:04:04 241444.103 NaN 10820 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:04:04.775 2024-03-04 15:04:04 241444.775 NaN 10825 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:05:04.295 2024-03-04 15:05:04 241504.295 NaN 10826 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:05:04.855 2024-03-04 15:05:04 241504.855 NaN 10827 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:06:04.351 2024-03-04 15:06:04 241564.351 NaN 10828 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:06:04.856 2024-03-04 15:06:04 241564.856 NaN 10829 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:07:04.783 2024-03-04 15:07:04 241624.783 NaN 10830 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:07:05.172 2024-03-04 15:07:05 241625.172 NaN 10831 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:08:04.820 2024-03-04 15:08:05 241684.82 0.18 10832 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:08:05.788 2024-03-04 15:08:05 241685.788 NaN 10833 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:09:05.500 2024-03-04 15:09:05 241745.5 NaN 10834 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:09:06.235 2024-03-04 15:09:06 241746.235 NaN 10835 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:10:05.557 2024-03-04 15:10:05 241805.557 NaN 10836 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:10:06.166 2024-03-04 15:10:06 241806.166 NaN 10837 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:11:05.518 2024-03-04 15:11:06 241865.518 0.482 10838 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:11:07.036 2024-03-04 15:11:07 241867.036 NaN 10839 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:12:05.680 2024-03-04 15:12:05 241925.68 NaN 10840 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:12:06.489 2024-03-04 15:12:06 241926.489 NaN 10841 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:13:07.516 2024-03-04 15:13:07 241987.516 NaN 10842 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:13:08.217 2024-03-04 15:13:08 241988.217 NaN 10843 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:14:07.577 2024-03-04 15:14:07 242047.577 NaN 10844 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:14:08.267 2024-03-04 15:14:08 242048.267 NaN 10845 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:15:07.712 2024-03-04 15:15:07 242107.712 NaN 10846 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:15:08.403 2024-03-04 15:15:08 242108.403 NaN 10847 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:16:07.935 2024-03-04 15:16:08 242167.935 0.065 10848 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-03-01 20:00:00 2024-03-04 15:16:08.823 2024-03-04 15:16:08 242168.823 NaN 10849 NASDAQ_micro caleb_strategy_v3 2024-03-01 00:00:00 2024-03-04 15:17:10.435 2024-03-04 15:17:10 314230.435 NaN 10850 LEANHOG caleb_strategy_v3 2024-03-01 00:00:00 2024-03-04 15:30:13.423 2024-03-04 15:30:13 315013.423 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 10781 NIKKEI caleb_strategy_v3 [-1] 40000.0 None 39917.5 39915.0 39920.0 39920.0 39910.0 -82.5 -2.5 -5.0 -10.0 NaN -7.5 10783 SMI caleb_strategy_v3 [1] 11310.0 None 11272.0 11274.0 11270.0 11270.0 11275.0 38.0 -2.0 -1.0 -5.0 NaN -3.0 10784 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 802.5 None 800.75 800.5 801.0 801.0 800.5 -1.75 -0.25 -0.0 -0.5 NaN -0.25 10785 GASOIL _ROLL_PSEUDO_STRATEGY [1] 790.75 None 789.125 789.25 789.0 789.0 789.5 1.625 -0.125 -0.25 -0.5 NaN -0.375 10787 COCOA caleb_strategy_v3 [1] 6297.0 None 6437.5 6439.0 6436.0 6436.0 6439.0 -140.5 -1.5 0.0 -3.0 NaN -1.5 10788 CRUDE_W caleb_strategy_v3 [-1] 74.03 None 74.09 74.08 74.1 74.1 74.08 0.06 -0.01 -0.0 -0.02 NaN -0.01 10786 GOLD_micro caleb_strategy_v3 [1] 2052.7 None 2100.55 2100.6 2100.5 2100.5 2100.5 -47.85 -0.05 0.1 0.0 NaN 0.05 10789 GOLD_micro caleb_strategy_v3 [1] 2052.7 None 2100.55 2100.6 2100.5 2100.5 2099.8 -47.85 -0.05 0.8 0.7 NaN 0.75 10790 GOLD_micro caleb_strategy_v3 [1] 2052.7 None 2100.55 2100.6 2100.5 2100.5 2099.5 -47.85 -0.05 1.1 1.0 NaN 1.05 10791 GOLD_micro caleb_strategy_v3 [1] 2052.7 None 2099.4 2099.5 2099.3 2099.3 2099.9 -46.7 -0.1 -0.4 -0.6 NaN -0.5 10792 GOLD_micro caleb_strategy_v3 [1] 2052.7 None 2099.8 2099.9 2099.7 2099.7 2100.5 -47.1 -0.1 -0.6 -0.8 NaN -0.7 10793 GOLD_micro caleb_strategy_v3 [1] 2052.7 None 2100.4 2100.5 2100.3 2100.3 2101.4 -47.7 -0.1 -0.9 -1.1 NaN -1.0 10794 GOLD_micro caleb_strategy_v3 [1] 2052.7 None 2101.3 2101.4 2101.2 2101.2 2099.8 -48.6 -0.1 1.6 1.4 NaN 1.5 10816 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2665 None 1.2698 1.2699 1.2697 1.2697 1.27 -0.0033 -0.0001 -0.0001 -0.0003 NaN -0.0002 10821 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2659 None 1.26915 1.2691 1.2692 1.2692 1.2692 0.00325 -0.00005 0.0001 -0.0 NaN 0.00005 10822 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2665 None 1.2699 1.27 1.2698 1.2698 1.2698 -0.0034 -0.0001 0.0002 0.0 NaN 0.0001 10797 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2659 None 1.26935 1.2693 1.2694 1.2694 1.2694 0.00345 -0.00005 0.0001 -0.0 NaN 0.00005 10798 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2665 None 1.2699 1.27 1.2698 1.2698 1.27 -0.0034 -0.0001 0.0 -0.0002 NaN -0.0001 10803 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2659 None 1.2694 1.2693 1.2695 1.2695 1.2691 0.0035 -0.0001 -0.0002 -0.0004 NaN -0.0003 10804 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2665 None 1.26985 1.27 1.2697 1.2697 1.2697 -0.00335 -0.00015 0.0003 0.0 NaN 0.00015 10809 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2659 None 1.26915 1.2691 1.2692 1.2692 1.2692 0.00325 -0.00005 0.0001 -0.0 NaN 0.00005 10810 GBP _ROLL_PSEUDO_STRATEGY [1] 1.2665 None 1.2696 1.2697 1.2695 1.2695 1.2699 -0.0031 -0.0001 -0.0002 -0.0004 NaN -0.0003 10815 GBP _ROLL_PSEUDO_STRATEGY [-1] 1.2659 None 1.26925 1.2692 1.2693 1.2693 1.2691 0.00335 -0.00005 -0.0001 -0.0002 NaN -0.00015 10817 JPY _ROLL_PSEUDO_STRATEGY [1] 0.006678 None 0.006667 0.006667 0.006667 0.006667 0.006667 0.00001 -0.0 0.0 -0.0 NaN 0.0 10818 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.006772 None 0.006761 0.006761 0.006761 NaN 0.006761 -0.000012 -0.0 0.0 NaN NaN 0.0 10823 JPY _ROLL_PSEUDO_STRATEGY [1] 0.006678 None 0.006666 0.006666 0.006666 0.006666 0.006666 0.000011 -0.0 0.0 0.0 NaN 0.0 10824 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.006772 None 0.00676 0.006759 0.006761 NaN 0.00676 -0.000012 -0.000001 0.000001 NaN NaN 0.0 10799 JPY _ROLL_PSEUDO_STRATEGY [1] 0.006678 None 0.006667 0.006667 0.006667 0.006667 0.006667 0.00001 -0.0 0.0 -0.0 NaN 0.0 10800 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.006772 None 0.006761 0.00676 0.006761 0.006761 0.00676 -0.000012 -0.0 -0.0 -0.000001 NaN -0.0 10805 JPY _ROLL_PSEUDO_STRATEGY [1] 0.006678 None 0.006667 0.006667 0.006666 NaN 0.006667 0.000011 -0.0 0.0 NaN NaN -0.0 10806 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.006772 None 0.00676 0.00676 0.006761 0.006761 0.00676 -0.000012 -0.0 -0.0 -0.0 NaN -0.0 10811 JPY _ROLL_PSEUDO_STRATEGY [1] 0.006678 None 0.006667 0.006667 0.006666 0.006666 0.006667 0.000011 -0.0 0.0 -0.000001 NaN -0.0 10812 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.006772 None 0.00676 0.006759 0.006761 0.006761 0.006761 -0.000012 -0.000001 0.000001 0.0 NaN 0.000001 10795 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18293.25 18293.0 18293.5 18293.5 18293.0 -47.0 -0.25 -0.0 -0.5 NaN -0.25 10796 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18541.875 18542.25 18541.5 18541.5 18541.25 42.625 -0.375 1.0 0.25 NaN 0.625 10801 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18293.25 18293.0 18293.5 18293.5 18292.5 -47.0 -0.25 -0.5 -1.0 NaN -0.75 10802 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18540.875 18541.25 18540.5 18540.5 18538.75 43.625 -0.375 2.5 1.75 NaN 2.125 10807 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18292.625 18292.5 18292.75 18292.75 18303.25 -47.625 -0.125 10.75 10.5 NaN 10.625 10808 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18538.25 18538.75 18537.75 18537.75 18551.25 46.25 -0.5 -12.5 -13.5 NaN -13.0 10813 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18303.375 18303.25 18303.5 18303.5 18300.5 -36.875 -0.125 -2.75 -3.0 NaN -2.875 10814 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18550.625 18551.0 18550.25 18550.25 18548.0 33.875 -0.375 3.0 2.25 NaN 2.625 10819 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18300.75 18300.5 18301.0 18301.0 18292.0 -39.5 -0.25 -8.5 -9.0 NaN -8.75 10820 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18547.625 18548.0 18547.25 18547.25 18540.5 36.875 -0.375 7.5 6.75 NaN 7.125 10825 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18292.125 18292.0 18292.25 18292.25 18295.25 -48.125 -0.125 3.25 3.0 NaN 3.125 10826 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18540.125 18540.5 18539.75 18539.75 18543.0 44.375 -0.375 -2.5 -3.25 NaN -2.875 10827 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18295.375 18295.25 18295.5 18295.5 18290.5 -44.875 -0.125 -4.75 -5.0 NaN -4.875 10828 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18542.625 18543.0 18542.25 18542.25 18539.0 41.875 -0.375 4.0 3.25 NaN 3.625 10829 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18290.5 18290.25 18290.75 18290.75 18291.25 -49.75 -0.25 1.0 0.5 NaN 0.75 10830 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18538.625 18539.0 18538.25 18538.25 18538.75 45.875 -0.375 0.25 -0.5 NaN -0.125 10831 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18291.625 18291.5 18291.75 NaN 18294.25 -48.625 -0.125 2.75 NaN NaN 2.625 10832 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18538.5 18538.75 18538.25 18538.25 18542.0 46.0 -0.25 -3.25 -3.75 NaN -3.5 10833 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18299.875 18299.75 18300.0 18300.0 18299.0 -40.375 -0.125 -0.75 -1.0 NaN -0.875 10834 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18541.625 18542.0 18541.25 18541.25 18546.5 42.875 -0.375 -4.5 -5.25 NaN -4.875 10835 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18302.875 18302.75 18303.0 18303.0 18303.0 -37.375 -0.125 0.25 -0.0 NaN 0.125 10836 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18546.0 18546.25 18545.75 18545.75 18551.75 38.5 -0.25 -5.5 -6.0 NaN -5.75 10837 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18300.75 18300.5 18301.0 18301.0 18300.25 -39.5 -0.25 -0.25 -0.75 NaN -0.5 10838 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18551.625 18552.0 18551.25 18551.25 18548.25 32.875 -0.375 3.75 3.0 NaN 3.375 10839 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18296.5 18296.25 18296.75 18296.75 18295.75 -43.75 -0.25 -0.5 -1.0 NaN -0.75 10840 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18547.875 18548.25 18547.5 18547.5 18544.75 36.625 -0.375 3.5 2.75 NaN 3.125 10841 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18308.875 18308.75 18309.0 18309.0 18309.0 -31.375 -0.125 0.25 -0.0 NaN 0.125 10842 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18544.5 18544.75 18544.25 18544.25 18557.25 40.0 -0.25 -12.5 -13.0 NaN -12.75 10843 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18304.5 18304.25 18304.75 18304.75 18304.5 -35.75 -0.25 0.25 -0.25 NaN 0.0 10844 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18556.875 18557.25 18556.5 18556.5 18552.75 27.625 -0.375 4.5 3.75 NaN 4.125 10845 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18298.625 18298.5 18298.75 18298.75 18298.0 -41.625 -0.125 -0.5 -0.75 NaN -0.625 10846 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18552.25 18552.5 18552.0 18552.0 18545.5 32.25 -0.25 7.0 6.5 NaN 6.75 10847 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 18340.25 None 18294.75 18294.5 18295.0 18295.0 18295.0 -45.5 -0.25 0.5 -0.0 NaN 0.25 10848 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 18584.5 None 18545.125 18545.5 18544.75 18544.75 18542.75 39.375 -0.375 2.75 2.0 NaN 2.375 10849 NASDAQ_micro caleb_strategy_v3 [1] 18584.5 None 18542.375 18542.75 18542.0 18542.0 18548.75 42.125 -0.375 -6.0 -6.75 NaN -6.375 10850 LEANHOG caleb_strategy_v3 [1] 101.9 None 101.975 102.0 101.95 101.95 102.0 -0.075 -0.025 0.0 -0.05 NaN -0.025 ==================================================================================================================================================================== 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 10781 NIKKEI caleb_strategy_v3 [-1] 5755.042245 -143.352553 -4.344017 -8.688034 -17.376067 NaN -13.03205 10783 SMI caleb_strategy_v3 [1] 1064.525263 356.966634 -18.787718 -9.393859 -46.969294 NaN -28.181576 10784 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 241.927428 -72.335742 -10.333677 -0.0 -20.667355 NaN -10.333677 10785 GASOIL _ROLL_PSEUDO_STRATEGY [1] 241.927428 67.168903 -5.166839 -10.333677 -20.667355 NaN -15.500516 10787 COCOA caleb_strategy_v3 [1] 2473.007972 -568.134036 -6.065488 0.0 -12.130976 NaN -6.065488 10788 CRUDE_W caleb_strategy_v3 [-1] 15.764907 38.059216 -6.343203 -0.0 -12.686405 NaN -6.343203 10786 GOLD_micro caleb_strategy_v3 [1] 253.68829 -1886.172992 -1.970923 3.941845 0.0 NaN 1.970923 10789 GOLD_micro caleb_strategy_v3 [1] 253.68829 -1886.172992 -1.970923 31.534763 27.592917 NaN 29.56384 10790 GOLD_micro caleb_strategy_v3 [1] 253.68829 -1886.172992 -1.970923 43.360299 39.418453 NaN 41.389376 10791 GOLD_micro caleb_strategy_v3 [1] 253.68829 -1840.84177 -3.941845 -15.767381 -23.651072 NaN -19.709227 10792 GOLD_micro caleb_strategy_v3 [1] 253.68829 -1856.609152 -3.941845 -23.651072 -31.534763 NaN -27.592917 10793 GOLD_micro caleb_strategy_v3 [1] 253.68829 -1880.260224 -3.941845 -35.476608 -43.360299 NaN -39.418453 10794 GOLD_micro caleb_strategy_v3 [1] 253.68829 -1915.736832 -3.941845 63.069525 55.185835 NaN 59.12768 10816 GBP _ROLL_PSEUDO_STRATEGY [1] 0.076961 -428.787514 -12.993561 -12.993561 -38.980683 NaN -25.987122 10821 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.076961 422.290733 -6.496781 12.993561 -0.0 NaN 6.496781 10822 GBP _ROLL_PSEUDO_STRATEGY [1] 0.076961 -441.781075 -12.993561 25.987122 0.0 NaN 12.993561 10797 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.076961 448.277855 -6.496781 12.993561 -0.0 NaN 6.496781 10798 GBP _ROLL_PSEUDO_STRATEGY [1] 0.076961 -441.781075 -12.993561 0.0 -25.987122 NaN -12.993561 10803 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.076961 454.774636 -12.993561 -25.987122 -51.974244 NaN -38.980683 10804 GBP _ROLL_PSEUDO_STRATEGY [1] 0.076961 -435.284294 -19.490342 38.980683 0.0 NaN 19.490342 10809 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.076961 422.290733 -6.496781 12.993561 -0.0 NaN 6.496781 10810 GBP _ROLL_PSEUDO_STRATEGY [1] 0.076961 -402.800392 -12.993561 -25.987122 -51.974244 NaN -38.980683 10815 GBP _ROLL_PSEUDO_STRATEGY [-1] 0.076961 435.284294 -6.496781 -12.993561 -25.987122 NaN -19.490342 10817 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000558 183.770707 -4.482212 8.964425 -0.0 NaN 4.482212 10818 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000558 -210.663981 -4.482212 8.964425 NaN NaN 4.482212 10823 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000558 201.699556 -4.482212 8.964425 0.0 NaN 4.482212 10824 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000558 -224.110618 -8.964425 8.964425 NaN NaN 0.0 10799 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000558 183.770707 -4.482212 8.964425 -0.0 NaN 4.482212 10800 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000558 -215.146193 -8.964425 -0.0 -17.928849 NaN -8.964425 10805 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000558 192.735131 -4.482212 0.0 NaN NaN -4.482212 10806 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000558 -219.628406 -4.482212 -0.0 -8.964425 NaN -4.482212 10811 JPY _ROLL_PSEUDO_STRATEGY [1] 0.000558 197.217344 -8.964425 0.0 -17.928849 NaN -8.964425 10812 JPY _ROLL_PSEUDO_STRATEGY [-1] 0.000558 -224.110618 -8.964425 26.893274 8.964425 NaN 17.928849 10795 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -171.362592 -0.911503 -0.0 -1.823006 NaN -0.911503 10796 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 155.411287 -1.367255 3.646013 0.911503 NaN 2.278758 10801 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -171.362592 -0.911503 -1.823006 -3.646013 NaN -2.734509 10802 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 159.0573 -1.367255 9.115032 6.380522 NaN 7.747777 10807 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -173.64135 -0.455752 39.194636 38.283132 NaN 38.738884 10808 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 168.628083 -1.823006 -45.575158 -49.22117 NaN -47.398164 10813 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -134.446715 -0.455752 -10.026535 -10.938038 NaN -10.482286 10814 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 123.508677 -1.367255 10.938038 8.203528 NaN 9.570783 10819 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -144.017498 -0.911503 -30.991107 -32.814113 NaN -31.90261 10820 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 134.446715 -1.367255 27.345095 24.610585 NaN 25.97784 10825 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -175.464357 -0.455752 11.849541 10.938038 NaN 11.393789 10826 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 161.791809 -1.367255 -9.115032 -11.849541 NaN -10.482286 10827 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -163.614816 -0.455752 -17.31856 -18.230063 NaN -17.774311 10828 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 152.676778 -1.367255 14.58405 11.849541 NaN 13.216796 10829 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -181.389127 -0.911503 3.646013 1.823006 NaN 2.734509 10830 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 167.260828 -1.367255 0.911503 -1.823006 NaN -0.455752 10831 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -177.287363 -0.455752 10.026535 NaN NaN 9.570783 10832 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 167.71658 -0.911503 -11.849541 -13.672547 NaN -12.761044 10833 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -147.207759 -0.455752 -2.734509 -3.646013 NaN -3.190261 10834 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 156.32279 -1.367255 -16.407057 -19.141566 NaN -17.774311 10835 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -136.269721 -0.455752 0.911503 -0.0 NaN 0.455752 10836 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 140.371485 -0.911503 -20.053069 -21.876076 NaN -20.964572 10837 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -144.017498 -0.911503 -0.911503 -2.734509 NaN -1.823006 10838 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 119.862664 -1.367255 13.672547 10.938038 NaN 12.305293 10839 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -159.513051 -0.911503 -1.823006 -3.646013 NaN -2.734509 10840 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 133.535212 -1.367255 12.761044 10.026535 NaN 11.393789 10841 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -114.393645 -0.455752 0.911503 -0.0 NaN 0.455752 10842 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 145.840504 -0.911503 -45.575158 -47.398164 NaN -46.486661 10843 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -130.344951 -0.911503 0.911503 -0.911503 NaN 0.0 10844 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 100.721098 -1.367255 16.407057 13.672547 NaN 15.039802 10845 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -151.765275 -0.455752 -1.823006 -2.734509 NaN -2.278758 10846 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 117.583907 -0.911503 25.522088 23.699082 NaN 24.610585 10847 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2742.722279 -165.893574 -0.911503 1.823006 -0.0 NaN 0.911503 10848 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2742.722279 143.561746 -1.367255 10.026535 7.292025 NaN 8.65928 10849 NASDAQ_micro caleb_strategy_v3 [1] 2742.722279 153.588281 -1.367255 -21.876076 -24.610585 NaN -23.24333 10850 LEANHOG caleb_strategy_v3 [1] 16.964991 -44.208687 -14.736229 0.0 -29.472458 NaN -14.736229 ============================================================================================================================================================================ 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 10781 NIKKEI caleb_strategy_v3 [-1] 0.66507 -54.868316 -1.662676 -3.325352 -6.650705 NaN -4.988029 10783 SMI caleb_strategy_v3 [1] 11.329 430.502 -22.658 -11.329 -56.645 NaN -33.987 10784 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100.0 -175.0 -25.0 -0.0 -50.0 NaN -25.0 10785 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100.0 162.5 -12.5 -25.0 -50.0 NaN -37.5 10787 COCOA caleb_strategy_v3 [1] 10.0 -1405.0 -15.0 0.0 -30.0 NaN -15.0 10788 CRUDE_W caleb_strategy_v3 [-1] 1000.0 60.0 -10.0 -0.0 -20.0 NaN -10.0 10786 GOLD_micro caleb_strategy_v3 [1] 10.0 -478.5 -0.5 1.0 0.0 NaN 0.5 10789 GOLD_micro caleb_strategy_v3 [1] 10.0 -478.5 -0.5 8.0 7.0 NaN 7.5 10790 GOLD_micro caleb_strategy_v3 [1] 10.0 -478.5 -0.5 11.0 10.0 NaN 10.5 10791 GOLD_micro caleb_strategy_v3 [1] 10.0 -467.0 -1.0 -4.0 -6.0 NaN -5.0 10792 GOLD_micro caleb_strategy_v3 [1] 10.0 -471.0 -1.0 -6.0 -8.0 NaN -7.0 10793 GOLD_micro caleb_strategy_v3 [1] 10.0 -477.0 -1.0 -9.0 -11.0 NaN -10.0 10794 GOLD_micro caleb_strategy_v3 [1] 10.0 -486.0 -1.0 16.0 14.0 NaN 15.0 10816 GBP _ROLL_PSEUDO_STRATEGY [1] 62500.0 -206.25 -6.25 -6.25 -18.75 NaN -12.5 10821 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500.0 203.125 -3.125 6.25 -0.0 NaN 3.125 10822 GBP _ROLL_PSEUDO_STRATEGY [1] 62500.0 -212.5 -6.25 12.5 0.0 NaN 6.25 10797 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500.0 215.625 -3.125 6.25 -0.0 NaN 3.125 10798 GBP _ROLL_PSEUDO_STRATEGY [1] 62500.0 -212.5 -6.25 0.0 -12.5 NaN -6.25 10803 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500.0 218.75 -6.25 -12.5 -25.0 NaN -18.75 10804 GBP _ROLL_PSEUDO_STRATEGY [1] 62500.0 -209.375 -9.375 18.75 0.0 NaN 9.375 10809 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500.0 203.125 -3.125 6.25 -0.0 NaN 3.125 10810 GBP _ROLL_PSEUDO_STRATEGY [1] 62500.0 -193.75 -6.25 -12.5 -25.0 NaN -18.75 10815 GBP _ROLL_PSEUDO_STRATEGY [-1] 62500.0 209.375 -3.125 -6.25 -12.5 NaN -9.375 10817 JPY _ROLL_PSEUDO_STRATEGY [1] 12500000.0 128.125 -3.125 6.25 -0.0 NaN 3.125 10818 JPY _ROLL_PSEUDO_STRATEGY [-1] 12500000.0 -146.875 -3.125 6.25 NaN NaN 3.125 10823 JPY _ROLL_PSEUDO_STRATEGY [1] 12500000.0 140.625 -3.125 6.25 0.0 NaN 3.125 10824 JPY _ROLL_PSEUDO_STRATEGY [-1] 12500000.0 -156.25 -6.25 6.25 NaN NaN 0.0 10799 JPY _ROLL_PSEUDO_STRATEGY [1] 12500000.0 128.125 -3.125 6.25 -0.0 NaN 3.125 10800 JPY _ROLL_PSEUDO_STRATEGY [-1] 12500000.0 -150.0 -6.25 -0.0 -12.5 NaN -6.25 10805 JPY _ROLL_PSEUDO_STRATEGY [1] 12500000.0 134.375 -3.125 0.0 NaN NaN -3.125 10806 JPY _ROLL_PSEUDO_STRATEGY [-1] 12500000.0 -153.125 -3.125 -0.0 -6.25 NaN -3.125 10811 JPY _ROLL_PSEUDO_STRATEGY [1] 12500000.0 137.5 -6.25 0.0 -12.5 NaN -6.25 10812 JPY _ROLL_PSEUDO_STRATEGY [-1] 12500000.0 -156.25 -6.25 18.75 6.25 NaN 12.5 10795 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -94.0 -0.5 -0.0 -1.0 NaN -0.5 10796 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 85.25 -0.75 2.0 0.5 NaN 1.25 10801 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -94.0 -0.5 -1.0 -2.0 NaN -1.5 10802 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 87.25 -0.75 5.0 3.5 NaN 4.25 10807 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -95.25 -0.25 21.5 21.0 NaN 21.25 10808 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 92.5 -1.0 -25.0 -27.0 NaN -26.0 10813 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -73.75 -0.25 -5.5 -6.0 NaN -5.75 10814 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 67.75 -0.75 6.0 4.5 NaN 5.25 10819 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -79.0 -0.5 -17.0 -18.0 NaN -17.5 10820 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 73.75 -0.75 15.0 13.5 NaN 14.25 10825 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -96.25 -0.25 6.5 6.0 NaN 6.25 10826 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 88.75 -0.75 -5.0 -6.5 NaN -5.75 10827 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -89.75 -0.25 -9.5 -10.0 NaN -9.75 10828 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 83.75 -0.75 8.0 6.5 NaN 7.25 10829 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -99.5 -0.5 2.0 1.0 NaN 1.5 10830 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 91.75 -0.75 0.5 -1.0 NaN -0.25 10831 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -97.25 -0.25 5.5 NaN NaN 5.25 10832 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 92.0 -0.5 -6.5 -7.5 NaN -7.0 10833 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -80.75 -0.25 -1.5 -2.0 NaN -1.75 10834 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 85.75 -0.75 -9.0 -10.5 NaN -9.75 10835 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -74.75 -0.25 0.5 -0.0 NaN 0.25 10836 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 77.0 -0.5 -11.0 -12.0 NaN -11.5 10837 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -79.0 -0.5 -0.5 -1.5 NaN -1.0 10838 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 65.75 -0.75 7.5 6.0 NaN 6.75 10839 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -87.5 -0.5 -1.0 -2.0 NaN -1.5 10840 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 73.25 -0.75 7.0 5.5 NaN 6.25 10841 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -62.75 -0.25 0.5 -0.0 NaN 0.25 10842 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 80.0 -0.5 -25.0 -26.0 NaN -25.5 10843 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -71.5 -0.5 0.5 -0.5 NaN 0.0 10844 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 55.25 -0.75 9.0 7.5 NaN 8.25 10845 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -83.25 -0.25 -1.0 -1.5 NaN -1.25 10846 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 64.5 -0.5 14.0 13.0 NaN 13.5 10847 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1] 2.0 -91.0 -0.5 1.0 -0.0 NaN 0.5 10848 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [1] 2.0 78.75 -0.75 5.5 4.0 NaN 4.75 10849 NASDAQ_micro caleb_strategy_v3 [1] 2.0 84.25 -0.75 -12.0 -13.5 NaN -12.75 10850 LEANHOG caleb_strategy_v3 [1] 400.0 -30.0 -10.0 0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -12.5 GBP 15.625 JPY -93.75 NASDAQ_micro -106.25 caleb_strategy_v3 COCOA -1405.0 CRUDE_W 60.0 GOLD_micro -3336.5 LEANHOG -30.0 NASDAQ_micro 84.25 NIKKEI -54.868316 SMI 430.502 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -196.875 caleb_strategy_v3 -4251.616316 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.5 GBP -53.125 JPY -43.75 NASDAQ_micro -18.25 caleb_strategy_v3 COCOA -15.0 CRUDE_W -10.0 GOLD_micro -5.5 LEANHOG -10.0 NASDAQ_micro -0.75 NIKKEI -1.662676 SMI -22.658 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -152.625 caleb_strategy_v3 -65.570676 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -25.0 GBP 12.5 JPY 50.0 NASDAQ_micro -1.0 caleb_strategy_v3 COCOA 0.0 CRUDE_W -0.0 GOLD_micro 17.0 LEANHOG 0.0 NASDAQ_micro -12.0 NIKKEI -3.325352 SMI -11.329 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 36.5 caleb_strategy_v3 -9.654352 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -100.0 GBP -93.75 JPY -25.0 NASDAQ_micro -42.5 caleb_strategy_v3 COCOA -30.0 CRUDE_W -20.0 GOLD_micro 6.0 LEANHOG -20.0 NASDAQ_micro -13.5 NIKKEI -6.650705 SMI -56.645 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -261.25 caleb_strategy_v3 -140.795705 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 GBP 0 JPY 0 NASDAQ_micro 0 caleb_strategy_v3 COCOA 0 CRUDE_W 0 GOLD_micro 0 LEANHOG 0 NASDAQ_micro 0 NIKKEI 0 SMI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -62.5 GBP -40.625 JPY 6.25 NASDAQ_micro -19.25 caleb_strategy_v3 COCOA -15.0 CRUDE_W -10.0 GOLD_micro 11.5 LEANHOG -10.0 NASDAQ_micro -12.75 NIKKEI -4.988029 SMI -33.987 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -116.125 caleb_strategy_v3 -75.225029 ******************************************************************************** END OF REPORT ********************************************************************************