******************************************************************************** Trades report produced on 07/03/2024 21:37 from 06/03/2024 21:37 to 07/03/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10989 CAC caleb_strategy_v3 [20240300] 2024-03-07 08:00:36 [-1] 7925.500000 11007 COCOA caleb_strategy_v3 [20240500] 2024-03-07 14:00:11 [-1] 6417.000000 11000 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:08:44 [1] 17936.000000 10999 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:07:36 [1] 17942.000000 10998 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:06:36 [1] 17940.000000 10997 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:05:36 [1] 17952.000000 10996 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:04:46 [1] 17941.000000 11001 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:09:37 [1] 17940.000000 10994 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:02:35 [1] 17952.000000 10993 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:01:35 [1] 17942.000000 10991 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:00:39 [1] 17940.000000 10995 DAX caleb_strategy_v3 [20240600] 2024-03-07 08:03:35 [1] 17945.000000 11002 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-07 09:05:37 [1] 97.655000 11003 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-07 09:06:15 [1] 97.650000 10992 EUROSTX caleb_strategy_v3 [20240300] 2024-03-07 08:00:44 [-1] 4903.000000 11019 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:11:05 [1] 2162.000000 11020 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:12:05 [1] 2161.800000 11021 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:13:05 [1] 2162.200000 11022 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:14:05 [1] 2162.200000 11025 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:17:06 [1] 2164.100000 11024 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:16:05 [1] 2163.700000 11006 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:00:07 [1] 2166.200000 11026 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:18:05 [1] 2163.900000 11018 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:10:08 [1] 2163.600000 11023 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:15:05 [1] 2163.400000 11017 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:09:06 [1] 2163.700000 11014 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:06:05 [1] 2163.700000 11015 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:07:05 [1] 2163.000000 11013 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:05:05 [1] 2164.000000 11012 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:04:05 [1] 2163.800000 11011 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:03:05 [1] 2164.000000 11010 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:02:05 [1] 2164.800000 11009 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:01:06 [1] 2165.000000 11016 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-07 14:08:05 [1] 2164.500000 11027 JPY caleb_strategy_v3 [20240600] 2024-03-07 15:00:13 [-1] 0.006857 11034 JPY caleb_strategy_v3 [20240600] 2024-03-07 15:02:34 [-1] 0.006855 11032 JPY caleb_strategy_v3 [20240600] 2024-03-07 15:01:34 [-1] 0.006855 11037 LEANHOG caleb_strategy_v3 [20240600] 2024-03-07 15:31:09 [1] 100.725000 11030 MXP caleb_strategy_v3 [20240600] 2024-03-07 15:00:50 [1] 0.058230 11029 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-07 15:00:25 [1] 18434.500000 11004 PALLAD caleb_strategy_v3 [20240600] 2024-03-07 14:00:05 [1] 1040.000000 11008 PLAT caleb_strategy_v3 [20240400] 2024-03-07 14:00:13 [1] 926.500000 10990 SMI caleb_strategy_v3 [20240600] 2024-03-07 08:00:37 [-1] 11345.000000 11005 SUGAR11 caleb_strategy_v3 [20240700] 2024-03-07 14:00:06 [-1] 21.130000 11031 US5 caleb_strategy_v3 [20240600] 2024-03-07 15:01:16 [-1] 107.531250 11033 US5 caleb_strategy_v3 [20240600] 2024-03-07 15:01:35 [-1] 107.523438 11035 US5 caleb_strategy_v3 [20240600] 2024-03-07 15:02:35 [-1] 107.531250 11036 US5 caleb_strategy_v3 [20240600] 2024-03-07 15:03:34 [-1] 107.523438 11028 VIX caleb_strategy_v3 [20240500] 2024-03-07 15:00:24 [-1] 16.150000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10989 CAC caleb_strategy_v3 2024-03-06 2024-03-07 08:00:36.086 2024-03-07 08:00:36 115236.086 NaN 10990 SMI caleb_strategy_v3 2024-03-06 2024-03-07 08:00:37.738 2024-03-07 08:00:37 115237.738 NaN 10992 EUROSTX caleb_strategy_v3 2024-03-06 2024-03-07 08:00:40.418 2024-03-07 08:00:44 115240.418 3.582 10991 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:00:38.638 2024-03-07 08:00:39 115238.638 0.362 10993 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:01:35.501 2024-03-07 08:01:35 115295.501 NaN 10994 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:02:35.510 2024-03-07 08:02:35 115355.51 NaN 10995 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:03:35.542 2024-03-07 08:03:35 115415.542 NaN 10996 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:04:35.548 2024-03-07 08:04:46 115475.548 10.452 10997 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:05:35.845 2024-03-07 08:05:36 115535.845 0.155 10998 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:06:35.879 2024-03-07 08:06:36 115595.879 0.121 10999 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:07:35.888 2024-03-07 08:07:36 115655.888 0.112 11000 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:08:35.888 2024-03-07 08:08:44 115715.888 8.112 11001 DAX caleb_strategy_v3 2024-03-06 2024-03-07 08:09:35.905 2024-03-07 08:09:37 115775.905 1.095 11002 EURIBOR-ICE caleb_strategy_v3 2024-03-06 2024-03-07 09:00:37.102 2024-03-07 09:05:37 118837.102 299.898 11003 EURIBOR-ICE caleb_strategy_v3 2024-03-06 2024-03-07 09:05:40.796 2024-03-07 09:06:15 119140.796 34.204 11004 PALLAD caleb_strategy_v3 2024-03-06 2024-03-07 14:00:05.262 2024-03-07 14:00:05 136805.262 NaN 11005 SUGAR11 caleb_strategy_v3 2024-03-06 2024-03-07 14:00:06.655 2024-03-07 14:00:06 136806.655 NaN 11007 COCOA caleb_strategy_v3 2024-03-06 2024-03-07 14:00:08.686 2024-03-07 14:00:11 136808.686 2.314 11008 PLAT caleb_strategy_v3 2024-03-06 2024-03-07 14:00:12.506 2024-03-07 14:00:13 136812.506 0.494 11009 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:01:04.643 2024-03-07 14:01:06 136864.643 1.357 11010 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:02:04.774 2024-03-07 14:02:05 136924.774 0.226 11011 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:03:04.785 2024-03-07 14:03:05 136984.785 0.215 11012 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:04:04.678 2024-03-07 14:04:05 137044.678 0.322 11013 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:05:04.802 2024-03-07 14:05:05 137104.802 0.198 11014 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:06:04.699 2024-03-07 14:06:05 137164.699 0.301 11015 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:07:04.828 2024-03-07 14:07:05 137224.828 0.172 11016 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:08:04.634 2024-03-07 14:08:05 137284.634 0.366 11017 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:09:04.857 2024-03-07 14:09:06 137344.857 1.143 11018 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:10:04.743 2024-03-07 14:10:08 137404.743 3.257 11019 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:11:05.091 2024-03-07 14:11:05 137465.091 NaN 11020 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:12:04.979 2024-03-07 14:12:05 137524.979 0.021 11021 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:13:05.113 2024-03-07 14:13:05 137585.113 NaN 11022 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:14:05.135 2024-03-07 14:14:05 137645.135 NaN 11023 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:15:05.144 2024-03-07 14:15:05 137705.144 NaN 11024 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:16:05.161 2024-03-07 14:16:05 137765.161 NaN 11025 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:17:05.176 2024-03-07 14:17:06 137825.176 0.824 11026 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:18:05.476 2024-03-07 14:18:05 137885.476 NaN 11006 GOLD_micro caleb_strategy_v3 2024-03-06 2024-03-07 14:00:07.746 2024-03-07 14:00:07 136807.746 NaN 11028 VIX caleb_strategy_v3 2024-03-06 2024-03-07 15:00:14.402 2024-03-07 15:00:24 140414.402 9.598 11029 NASDAQ_micro caleb_strategy_v3 2024-03-06 2024-03-07 15:00:25.086 2024-03-07 15:00:25 140425.086 NaN 11030 MXP caleb_strategy_v3 2024-03-06 2024-03-07 15:00:26.074 2024-03-07 15:00:50 140426.074 23.926 11032 JPY caleb_strategy_v3 2024-03-06 2024-03-07 15:01:34.084 2024-03-07 15:01:34 140494.084 NaN 11034 JPY caleb_strategy_v3 2024-03-06 2024-03-07 15:02:34.563 2024-03-07 15:02:34 140554.563 NaN 11027 JPY caleb_strategy_v3 2024-03-06 2024-03-07 15:00:07.554 2024-03-07 15:00:13 140407.554 5.446 11033 US5 caleb_strategy_v3 2024-03-06 2024-03-07 15:01:35.035 2024-03-07 15:01:35 140495.035 NaN 11035 US5 caleb_strategy_v3 2024-03-06 2024-03-07 15:02:35.522 2024-03-07 15:02:35 140555.522 NaN 11036 US5 caleb_strategy_v3 2024-03-06 2024-03-07 15:03:34.798 2024-03-07 15:03:34 140614.798 NaN 11031 US5 caleb_strategy_v3 2024-03-06 2024-03-07 15:00:51.370 2024-03-07 15:01:16 140451.37 24.63 11037 LEANHOG caleb_strategy_v3 2024-03-06 2024-03-07 15:30:41.018 2024-03-07 15:31:09 142241.018 27.982 ==================================================================================================================================================================================================================================== 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 10989 CAC caleb_strategy_v3 [-1] 7960.5 None 7925.0 7924.5 7925.5 7925.5 7925.5 -35.5 -0.5 1.0 -0.0 NaN 0.5 10990 SMI caleb_strategy_v3 [-1] 11355.0 None 11346.5 11345.0 11348.0 NaN 11345.0 -8.5 -1.5 -0.0 NaN NaN -1.5 10992 EUROSTX caleb_strategy_v3 [-1] 4925.0 None 4902.5 4902.0 4903.0 4903.0 4903.0 -22.5 -0.5 1.0 -0.0 NaN 0.5 10991 DAX caleb_strategy_v3 [1] 18024.0 None 17934.5 17937.0 17932.0 17932.0 17940.0 89.5 -2.5 -3.0 -8.0 NaN -5.5 10993 DAX caleb_strategy_v3 [1] 18024.0 None 17937.0 17940.0 17934.0 17934.0 17942.0 87.0 -3.0 -2.0 -8.0 NaN -5.0 10994 DAX caleb_strategy_v3 [1] 18024.0 None 17939.5 17942.0 17937.0 17937.0 17952.0 84.5 -2.5 -10.0 -15.0 NaN -12.5 10995 DAX caleb_strategy_v3 [1] 18024.0 None 17950.0 17952.0 17948.0 17948.0 17945.0 74.0 -2.0 7.0 3.0 NaN 5.0 10996 DAX caleb_strategy_v3 [1] 18024.0 None 17943.0 17945.0 17941.0 17941.0 17941.0 81.0 -2.0 4.0 0.0 NaN 2.0 10997 DAX caleb_strategy_v3 [1] 18024.0 None 17940.0 17943.0 17937.0 17937.0 17952.0 84.0 -3.0 -9.0 -15.0 NaN -12.0 10998 DAX caleb_strategy_v3 [1] 18024.0 None 17950.0 17952.0 17948.0 17948.0 17940.0 74.0 -2.0 12.0 8.0 NaN 10.0 10999 DAX caleb_strategy_v3 [1] 18024.0 None 17937.0 17940.0 17934.0 17934.0 17942.0 87.0 -3.0 -2.0 -8.0 NaN -5.0 11000 DAX caleb_strategy_v3 [1] 18024.0 None 17939.0 17942.0 17936.0 17936.0 17936.0 85.0 -3.0 6.0 0.0 NaN 3.0 11001 DAX caleb_strategy_v3 [1] 18024.0 None 17936.5 17938.0 17935.0 17935.0 17940.0 87.5 -1.5 -2.0 -5.0 NaN -3.5 11002 EURIBOR-ICE caleb_strategy_v3 [1] 97.66 None 97.6525 97.655 97.65 97.65 97.655 0.0075 -0.0025 0.0 -0.005 NaN -0.0025 11003 EURIBOR-ICE caleb_strategy_v3 [1] 97.66 None 97.6525 97.655 97.65 97.65 97.65 0.0075 -0.0025 0.005 0.0 NaN 0.0025 11004 PALLAD caleb_strategy_v3 [1] 1048.0 None 1038.75 1040.0 1037.5 1037.5 1040.0 9.25 -1.25 0.0 -2.5 NaN -1.25 11005 SUGAR11 caleb_strategy_v3 [-1] 21.15 None 21.0 21.0 21.0 21.0 21.13 -0.15 -0.0 0.13 0.13 NaN 0.13 11007 COCOA caleb_strategy_v3 [-1] 6572.0 None 6419.5 6418.0 6421.0 6421.0 6417.0 -152.5 -1.5 -1.0 -4.0 NaN -2.5 11008 PLAT caleb_strategy_v3 [1] 911.2 None 926.3 926.5 926.1 926.1 926.5 -15.1 -0.2 0.0 -0.4 NaN -0.2 11009 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2164.9 2165.0 2164.8 2164.8 2165.0 -12.4 -0.1 0.0 -0.2 NaN -0.1 11010 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2164.65 2164.7 2164.6 2164.6 2164.8 -12.15 -0.05 -0.1 -0.2 NaN -0.15 11011 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.9 2164.0 2163.8 2163.8 2164.0 -11.4 -0.1 0.0 -0.2 NaN -0.1 11012 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.75 2163.8 2163.7 2163.7 2163.8 -11.25 -0.05 0.0 -0.1 NaN -0.05 11013 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.9 2164.0 2163.8 2163.8 2164.0 -11.4 -0.1 0.0 -0.2 NaN -0.1 11014 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.5 2163.6 2163.4 2163.4 2163.7 -11.0 -0.1 -0.1 -0.3 NaN -0.2 11015 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.05 2163.1 2163.0 2163.0 2163.0 -10.55 -0.05 0.1 0.0 NaN 0.05 11016 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2164.35 2164.4 2164.3 NaN 2164.5 -11.85 -0.05 -0.1 NaN NaN -0.15 11017 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.8 2163.9 2163.7 2163.7 2163.7 -11.3 -0.1 0.2 0.0 NaN 0.1 11018 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.35 2163.4 2163.3 2163.3 2163.6 -10.85 -0.05 -0.2 -0.3 NaN -0.25 11019 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2162.1 2162.2 2162.0 2162.0 2162.0 -9.6 -0.1 0.2 0.0 NaN 0.1 11020 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2161.6 2161.7 2161.5 2161.5 2161.8 -9.1 -0.1 -0.1 -0.3 NaN -0.2 11021 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2162.1 2162.2 2162.0 2162.0 2162.2 -9.6 -0.1 0.0 -0.2 NaN -0.1 11022 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2162.25 2162.3 2162.2 2162.2 2162.2 -9.75 -0.05 0.1 0.0 NaN 0.05 11023 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.3 2163.4 2163.2 2163.2 2163.4 -10.8 -0.1 0.0 -0.2 NaN -0.1 11024 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.6 2163.7 2163.5 2163.5 2163.7 -11.1 -0.1 0.0 -0.2 NaN -0.1 11025 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2164.05 2164.1 2164.0 2164.0 2164.1 -11.55 -0.05 0.0 -0.1 NaN -0.05 11026 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2163.9 2164.0 2163.8 2163.8 2163.9 -11.4 -0.1 0.1 -0.1 NaN 0.0 11006 GOLD_micro caleb_strategy_v3 [1] 2152.5 None 2166.05 2166.1 2166.0 NaN 2166.2 -13.55 -0.05 -0.1 NaN NaN -0.15 11028 VIX caleb_strategy_v3 [-1] 16.25 None 16.125 16.1 16.15 16.15 16.15 -0.125 -0.025 0.05 -0.0 NaN 0.025 11029 NASDAQ_micro caleb_strategy_v3 [1] 18279.25 None 18436.75 18437.25 18436.25 18436.25 18434.5 -157.5 -0.5 2.75 1.75 NaN 2.25 11030 MXP caleb_strategy_v3 [1] 0.05828 None 0.05822 0.05823 0.05821 0.05821 0.05823 0.00006 -0.00001 0.0 -0.00002 NaN -0.00001 11032 JPY caleb_strategy_v3 [-1] 0.006803 None 0.006857 0.006856 0.006857 NaN 0.006855 0.000054 -0.0 -0.000001 NaN NaN -0.000002 11034 JPY caleb_strategy_v3 [-1] 0.006803 None 0.006856 0.006855 0.006856 0.006856 0.006855 0.000053 -0.000001 -0.0 -0.000001 NaN -0.000001 11027 JPY caleb_strategy_v3 [-1] 0.006803 None 0.006856 0.006856 0.006857 0.006857 0.006857 0.000054 -0.0 0.000001 0.0 NaN 0.000001 11033 US5 caleb_strategy_v3 [-1] 107.46875 None 107.535156 107.53125 107.539062 107.539062 107.523438 0.066406 -0.003906 -0.007812 -0.015625 NaN -0.011718 11035 US5 caleb_strategy_v3 [-1] 107.46875 None 107.527344 107.523438 107.53125 107.53125 107.53125 0.058594 -0.003906 0.007812 -0.0 NaN 0.003906 11036 US5 caleb_strategy_v3 [-1] 107.46875 None 107.535156 107.53125 107.539062 107.539062 107.523438 0.066406 -0.003906 -0.007812 -0.015625 NaN -0.011718 11031 US5 caleb_strategy_v3 [-1] 107.46875 None 107.535156 107.53125 107.539062 107.539062 107.53125 0.066406 -0.003906 -0.0 -0.007812 NaN -0.003906 11037 LEANHOG caleb_strategy_v3 [1] 100.725 None 100.75 100.775 100.725 100.725 100.725 -0.025 -0.025 0.05 0.0 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 10989 CAC caleb_strategy_v3 [-1] 812.426919 -436.96238 -6.1544 12.308799 -0.0 NaN 6.1544 10990 SMI caleb_strategy_v3 [-1] 1075.557621 -79.028774 -13.946254 -0.0 NaN NaN -13.946254 10992 EUROSTX caleb_strategy_v3 [-1] 520.000579 -432.691826 -9.615374 19.230748 -0.0 NaN 9.615374 10991 DAX caleb_strategy_v3 [1] 1710.124106 523.35383 -14.618822 -17.542586 -46.780231 NaN -32.161409 10993 DAX caleb_strategy_v3 [1] 1710.124106 508.735008 -17.542586 -11.695058 -46.780231 NaN -29.237644 10994 DAX caleb_strategy_v3 [1] 1710.124106 494.116186 -14.618822 -58.475288 -87.712932 NaN -73.09411 10995 DAX caleb_strategy_v3 [1] 1710.124106 432.717133 -11.695058 40.932702 17.542586 NaN 29.237644 10996 DAX caleb_strategy_v3 [1] 1710.124106 473.649835 -11.695058 23.390115 0.0 NaN 11.695058 10997 DAX caleb_strategy_v3 [1] 1710.124106 491.192421 -17.542586 -52.627759 -87.712932 NaN -70.170346 10998 DAX caleb_strategy_v3 [1] 1710.124106 432.717133 -11.695058 70.170346 46.780231 NaN 58.475288 10999 DAX caleb_strategy_v3 [1] 1710.124106 508.735008 -17.542586 -11.695058 -46.780231 NaN -29.237644 11000 DAX caleb_strategy_v3 [1] 1710.124106 497.03995 -17.542586 35.085173 0.0 NaN 17.542586 11001 DAX caleb_strategy_v3 [1] 1710.124106 511.658772 -8.771293 -11.695058 -29.237644 NaN -20.466351 11002 EURIBOR-ICE caleb_strategy_v3 [1] 0.950493 78.906382 -26.302127 0.0 -52.604254 NaN -26.302127 11003 EURIBOR-ICE caleb_strategy_v3 [1] 0.950493 78.906382 -26.302127 52.604254 0.0 NaN 26.302127 11004 PALLAD caleb_strategy_v3 [1] 581.85063 158.975509 -21.483177 0.0 -42.966354 NaN -21.483177 11005 SUGAR11 caleb_strategy_v3 [-1] 6.056264 -247.677445 -0.0 214.653785 214.653785 NaN 214.653785 11007 COCOA caleb_strategy_v3 [-1] 2307.867189 -660.783258 -6.499507 -4.333005 -17.33202 NaN -10.832512 11008 PLAT caleb_strategy_v3 [1] 248.668439 -607.234277 -8.042838 0.0 -16.085676 NaN -8.042838 11009 GOLD_micro caleb_strategy_v3 [1] 242.940642 -510.412745 -4.116232 0.0 -8.232464 NaN -4.116232 11010 GOLD_micro caleb_strategy_v3 [1] 242.940642 -500.122165 -2.058116 -4.116232 -8.232464 NaN -6.174348 11011 GOLD_micro caleb_strategy_v3 [1] 242.940642 -469.250426 -4.116232 0.0 -8.232464 NaN -4.116232 11012 GOLD_micro caleb_strategy_v3 [1] 242.940642 -463.076079 -2.058116 0.0 -4.116232 NaN -2.058116 11013 GOLD_micro caleb_strategy_v3 [1] 242.940642 -469.250426 -4.116232 0.0 -8.232464 NaN -4.116232 11014 GOLD_micro caleb_strategy_v3 [1] 242.940642 -452.785499 -4.116232 -4.116232 -12.348695 NaN -8.232464 11015 GOLD_micro caleb_strategy_v3 [1] 242.940642 -434.262456 -2.058116 4.116232 0.0 NaN 2.058116 11016 GOLD_micro caleb_strategy_v3 [1] 242.940642 -487.77347 -2.058116 -4.116232 NaN NaN -6.174348 11017 GOLD_micro caleb_strategy_v3 [1] 242.940642 -465.134195 -4.116232 8.232464 0.0 NaN 4.116232 11018 GOLD_micro caleb_strategy_v3 [1] 242.940642 -446.611152 -2.058116 -8.232464 -12.348695 NaN -10.29058 11019 GOLD_micro caleb_strategy_v3 [1] 242.940642 -395.158254 -4.116232 8.232464 0.0 NaN 4.116232 11020 GOLD_micro caleb_strategy_v3 [1] 242.940642 -374.577095 -4.116232 -4.116232 -12.348695 NaN -8.232464 11021 GOLD_micro caleb_strategy_v3 [1] 242.940642 -395.158254 -4.116232 0.0 -8.232464 NaN -4.116232 11022 GOLD_micro caleb_strategy_v3 [1] 242.940642 -401.332602 -2.058116 4.116232 0.0 NaN 2.058116 11023 GOLD_micro caleb_strategy_v3 [1] 242.940642 -444.553036 -4.116232 0.0 -8.232464 NaN -4.116232 11024 GOLD_micro caleb_strategy_v3 [1] 242.940642 -456.901731 -4.116232 0.0 -8.232464 NaN -4.116232 11025 GOLD_micro caleb_strategy_v3 [1] 242.940642 -475.424774 -2.058116 0.0 -4.116232 NaN -2.058116 11026 GOLD_micro caleb_strategy_v3 [1] 242.940642 -469.250426 -4.116232 4.116232 -4.116232 NaN 0.0 11006 GOLD_micro caleb_strategy_v3 [1] 242.940642 -557.74941 -2.058116 -4.116232 NaN NaN -6.174348 11028 VIX caleb_strategy_v3 [-1] 5.564543 -224.636598 -44.92732 89.854639 -0.0 NaN 44.92732 11029 NASDAQ_micro caleb_strategy_v3 [1] 2902.743928 -542.590059 -1.722508 9.473795 6.028778 NaN 7.751287 11030 MXP caleb_strategy_v3 [1] 0.004295 139.698086 -23.283014 0.0 -46.566029 NaN -23.283014 11032 JPY caleb_strategy_v3 [-1] 0.000588 922.075362 -4.249195 -25.495171 NaN NaN -29.744367 11034 JPY caleb_strategy_v3 [-1] 0.000588 900.829386 -8.49839 -0.0 -16.996781 NaN -8.49839 11027 JPY caleb_strategy_v3 [-1] 0.000588 917.826167 -8.49839 16.996781 0.0 NaN 8.49839 11033 US5 caleb_strategy_v3 [-1] 4.975629 133.463013 -7.850765 -15.700526 -31.402057 NaN -23.551292 11035 US5 caleb_strategy_v3 [-1] 4.975629 117.761482 -7.850765 15.701531 -0.0 NaN 7.850765 11036 US5 caleb_strategy_v3 [-1] 4.975629 133.463013 -7.850765 -15.700526 -31.402057 NaN -23.551292 11031 US5 caleb_strategy_v3 [-1] 4.975629 133.463013 -7.850765 -0.0 -15.701531 NaN -7.850765 11037 LEANHOG caleb_strategy_v3 [1] 16.830971 -14.853569 -14.853569 29.707139 0.0 NaN 14.853569 ======================================================================================================================================================================== 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 10989 CAC caleb_strategy_v3 [-1] 10.902 -387.021 -5.451 10.902 -0.0 NaN 5.451 10990 SMI caleb_strategy_v3 [-1] 11.3475 -96.45375 -17.02125 -0.0 NaN NaN -17.02125 10992 EUROSTX caleb_strategy_v3 [-1] 10.902 -245.295 -5.451 10.902 -0.0 NaN 5.451 10991 DAX caleb_strategy_v3 [1] 1.0902 97.5729 -2.7255 -3.2706 -8.7216 NaN -5.9961 10993 DAX caleb_strategy_v3 [1] 1.0902 94.8474 -3.2706 -2.1804 -8.7216 NaN -5.451 10994 DAX caleb_strategy_v3 [1] 1.0902 92.1219 -2.7255 -10.902 -16.353 NaN -13.6275 10995 DAX caleb_strategy_v3 [1] 1.0902 80.6748 -2.1804 7.6314 3.2706 NaN 5.451 10996 DAX caleb_strategy_v3 [1] 1.0902 88.3062 -2.1804 4.3608 0.0 NaN 2.1804 10997 DAX caleb_strategy_v3 [1] 1.0902 91.5768 -3.2706 -9.8118 -16.353 NaN -13.0824 10998 DAX caleb_strategy_v3 [1] 1.0902 80.6748 -2.1804 13.0824 8.7216 NaN 10.902 10999 DAX caleb_strategy_v3 [1] 1.0902 94.8474 -3.2706 -2.1804 -8.7216 NaN -5.451 11000 DAX caleb_strategy_v3 [1] 1.0902 92.667 -3.2706 6.5412 0.0 NaN 3.2706 11001 DAX caleb_strategy_v3 [1] 1.0902 95.3925 -1.6353 -2.1804 -5.451 NaN -3.8157 11002 EURIBOR-ICE caleb_strategy_v3 [1] 2725.5 20.44125 -6.81375 0.0 -13.6275 NaN -6.81375 11003 EURIBOR-ICE caleb_strategy_v3 [1] 2725.5 20.44125 -6.81375 13.6275 0.0 NaN 6.81375 11004 PALLAD caleb_strategy_v3 [1] 100.0 925.0 -125.0 0.0 -250.0 NaN -125.0 11005 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -168.0 -0.0 145.6 145.6 NaN 145.6 11007 COCOA caleb_strategy_v3 [-1] 10.0 -1525.0 -15.0 -10.0 -40.0 NaN -25.0 11008 PLAT caleb_strategy_v3 [1] 50.0 -755.0 -10.0 0.0 -20.0 NaN -10.0 11009 GOLD_micro caleb_strategy_v3 [1] 10.0 -124.0 -1.0 0.0 -2.0 NaN -1.0 11010 GOLD_micro caleb_strategy_v3 [1] 10.0 -121.5 -0.5 -1.0 -2.0 NaN -1.5 11011 GOLD_micro caleb_strategy_v3 [1] 10.0 -114.0 -1.0 0.0 -2.0 NaN -1.0 11012 GOLD_micro caleb_strategy_v3 [1] 10.0 -112.5 -0.5 0.0 -1.0 NaN -0.5 11013 GOLD_micro caleb_strategy_v3 [1] 10.0 -114.0 -1.0 0.0 -2.0 NaN -1.0 11014 GOLD_micro caleb_strategy_v3 [1] 10.0 -110.0 -1.0 -1.0 -3.0 NaN -2.0 11015 GOLD_micro caleb_strategy_v3 [1] 10.0 -105.5 -0.5 1.0 0.0 NaN 0.5 11016 GOLD_micro caleb_strategy_v3 [1] 10.0 -118.5 -0.5 -1.0 NaN NaN -1.5 11017 GOLD_micro caleb_strategy_v3 [1] 10.0 -113.0 -1.0 2.0 0.0 NaN 1.0 11018 GOLD_micro caleb_strategy_v3 [1] 10.0 -108.5 -0.5 -2.0 -3.0 NaN -2.5 11019 GOLD_micro caleb_strategy_v3 [1] 10.0 -96.0 -1.0 2.0 0.0 NaN 1.0 11020 GOLD_micro caleb_strategy_v3 [1] 10.0 -91.0 -1.0 -1.0 -3.0 NaN -2.0 11021 GOLD_micro caleb_strategy_v3 [1] 10.0 -96.0 -1.0 0.0 -2.0 NaN -1.0 11022 GOLD_micro caleb_strategy_v3 [1] 10.0 -97.5 -0.5 1.0 0.0 NaN 0.5 11023 GOLD_micro caleb_strategy_v3 [1] 10.0 -108.0 -1.0 0.0 -2.0 NaN -1.0 11024 GOLD_micro caleb_strategy_v3 [1] 10.0 -111.0 -1.0 0.0 -2.0 NaN -1.0 11025 GOLD_micro caleb_strategy_v3 [1] 10.0 -115.5 -0.5 0.0 -1.0 NaN -0.5 11026 GOLD_micro caleb_strategy_v3 [1] 10.0 -114.0 -1.0 1.0 -1.0 NaN 0.0 11006 GOLD_micro caleb_strategy_v3 [1] 10.0 -135.5 -0.5 -1.0 NaN NaN -1.5 11028 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 50.0 -0.0 NaN 25.0 11029 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -315.0 -1.0 5.5 3.5 NaN 4.5 11030 MXP caleb_strategy_v3 [1] 500000.0 30.0 -5.0 0.0 -10.0 NaN -5.0 11032 JPY caleb_strategy_v3 [-1] 12500000.0 678.125 -3.125 -18.75 NaN NaN -21.875 11034 JPY caleb_strategy_v3 [-1] 12500000.0 662.5 -6.25 -0.0 -12.5 NaN -6.25 11027 JPY caleb_strategy_v3 [-1] 12500000.0 675.0 -6.25 12.5 0.0 NaN 6.25 11033 US5 caleb_strategy_v3 [-1] 1000.0 66.40625 -3.90625 -7.812 -15.6245 NaN -11.71825 11035 US5 caleb_strategy_v3 [-1] 1000.0 58.59375 -3.90625 7.8125 -0.0 NaN 3.90625 11036 US5 caleb_strategy_v3 [-1] 1000.0 66.40625 -3.90625 -7.812 -15.6245 NaN -11.71825 11031 US5 caleb_strategy_v3 [-1] 1000.0 66.40625 -3.90625 -0.0 -7.8125 NaN -3.90625 11037 LEANHOG caleb_strategy_v3 [1] 400.0 -10.0 -10.0 20.0 0.0 NaN 10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAC -387.021 COCOA -1525.0 DAX 908.6817 EURIBOR-ICE 40.8825 EUROSTX -245.295 GOLD_micro -2106.0 JPY 2015.625 LEANHOG -10.0 MXP 30.0 NASDAQ_micro -315.0 PALLAD 925.0 PLAT -755.0 SMI -96.45375 SUGAR11 -168.0 US5 257.8125 VIX -125.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1554.76805 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAC -5.451 COCOA -15.0 DAX -26.7099 EURIBOR-ICE -13.6275 EUROSTX -5.451 GOLD_micro -15.0 JPY -15.625 LEANHOG -10.0 MXP -5.0 NASDAQ_micro -1.0 PALLAD -125.0 PLAT -10.0 SMI -17.02125 SUGAR11 -0.0 US5 -15.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -305.51065 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAC 10.902 COCOA -10.0 DAX 1.0902 EURIBOR-ICE 13.6275 EUROSTX 10.902 GOLD_micro 0.0 JPY -6.25 LEANHOG 20.0 MXP 0.0 NASDAQ_micro 5.5 PALLAD 0.0 PLAT 0.0 SMI -0.0 SUGAR11 145.6 US5 -7.8115 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 233.5602 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC -0.0 COCOA -40.0 DAX -52.3296 EURIBOR-ICE -13.6275 EUROSTX -0.0 GOLD_micro -26.0 JPY -12.5 LEANHOG 0.0 MXP -10.0 NASDAQ_micro 3.5 PALLAD -250.0 PLAT -20.0 SMI 0 SUGAR11 145.6 US5 -39.0615 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -314.4186 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 0 COCOA 0 DAX 0 EURIBOR-ICE 0 EUROSTX 0 GOLD_micro 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 PALLAD 0 PLAT 0 SMI 0 SUGAR11 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 CAC 5.451 COCOA -25.0 DAX -25.6197 EURIBOR-ICE 0.0 EUROSTX 5.451 GOLD_micro -15.0 JPY -21.875 LEANHOG 10.0 MXP -5.0 NASDAQ_micro 4.5 PALLAD -125.0 PLAT -10.0 SMI -17.02125 SUGAR11 145.6 US5 -23.4365 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -71.95045 ******************************************************************************** END OF REPORT ********************************************************************************