******************************************************************************** Trades report produced on 08/03/2024 21:37 from 07/03/2024 21:37 to 08/03/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11059 CAC caleb_strategy_v3 [20240500] 2024-03-08 11:27:36 [-1] 7955.00000 11051 CAC caleb_strategy_v3 [20240400] 2024-03-08 11:05:16 [-1] 8059.00000 11049 CAC caleb_strategy_v3 [20240400] 2024-03-08 11:03:55 [-1] 8061.50000 11047 CAC caleb_strategy_v3 [20240400] 2024-03-08 11:03:28 [-1] 8060.50000 11044 CAC caleb_strategy_v3 [20240400] 2024-03-08 11:02:46 [-1] 8059.00000 11041 CAC caleb_strategy_v3 [20240400] 2024-03-08 11:01:14 [-1] 8058.00000 11056 CAC caleb_strategy_v3 [20240500] 2024-03-08 11:08:59 [1] 8019.50000 11053 CAC caleb_strategy_v3 [20240400] 2024-03-08 11:07:42 [-1] 8058.00000 11057 CAC caleb_strategy_v3 [20240500] 2024-03-08 11:15:30 [1] 8021.50000 11058 CAC caleb_strategy_v3 [20240500] 2024-03-08 11:21:41 [-1] 7952.50000 11055 CAC caleb_strategy_v3 [20240400] 2024-03-08 11:08:27 [-1] 8059.00000 11066 DOW caleb_strategy_v3 [20240300] 2024-03-08 15:01:00 [-1] 39002.00000 11074 DOW caleb_strategy_v3 [20240300] 2024-03-08 15:02:59 [-1] 38996.00000 11076 DOW caleb_strategy_v3 [20240300] 2024-03-08 15:03:59 [-1] 38992.00000 11078 DOW caleb_strategy_v3 [20240300] 2024-03-08 15:05:00 [-1] 38986.00000 11079 DOW caleb_strategy_v3 [20240300] 2024-03-08 15:06:00 [-1] 38969.00000 11080 DOW caleb_strategy_v3 [20240300] 2024-03-08 15:06:59 [-1] 38973.00000 11071 DOW caleb_strategy_v3 [20240300] 2024-03-08 15:01:59 [-1] 38997.00000 11068 EUR caleb_strategy_v3 [20240600] 2024-03-08 15:01:04 [1] 1.10045 11040 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-08 11:01:09 [1] 97.77000 11042 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-08 11:02:27 [1] 97.76500 11045 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-08 11:03:27 [1] 97.77000 11060 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-08 14:00:59 [1] 2178.20000 11061 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-08 14:01:57 [1] 2180.10000 11062 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-08 14:02:57 [1] 2180.30000 11063 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-08 14:03:57 [1] 2180.50000 11064 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-08 14:04:57 [1] 2180.60000 11065 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-08 14:05:57 [1] 2178.50000 11069 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-08 15:01:05 [-1] 18638.50000 11077 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-08 15:04:00 [-1] 18646.50000 11075 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-08 15:03:00 [-1] 18641.25000 11073 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-08 15:02:00 [-1] 18649.75000 11072 NZD caleb_strategy_v3 [20240300] 2024-03-08 15:02:00 [-1] 0.62040 11067 NZD caleb_strategy_v3 [20240300] 2024-03-08 15:01:03 [-1] 0.62030 11038 SMI caleb_strategy_v3 [20240600] 2024-03-08 08:00:32 [-1] 11437.00000 11048 SMI caleb_strategy_v3 [20240600] 2024-03-08 11:03:54 [-1] 11487.00000 11046 SMI caleb_strategy_v3 [20240600] 2024-03-08 11:03:28 [-1] 11487.00000 11043 SMI caleb_strategy_v3 [20240600] 2024-03-08 11:02:45 [-1] 11488.00000 11050 SMI caleb_strategy_v3 [20240600] 2024-03-08 11:05:16 [-1] 11489.00000 11052 SMI caleb_strategy_v3 [20240600] 2024-03-08 11:05:50 [-1] 11487.00000 11054 SMI caleb_strategy_v3 [20240600] 2024-03-08 11:07:47 [-1] 11490.00000 11070 SP400 caleb_strategy_v3 [20240600] 2024-03-08 15:01:09 [1] 3024.30000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11040 EURIBOR-ICE caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 11:00:21.846 2024-03-08 11:01:09 126021.846 47.154 11042 EURIBOR-ICE caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 11:01:36.476 2024-03-08 11:02:27 126096.476 50.524 11045 EURIBOR-ICE caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 11:02:49.750 2024-03-08 11:03:27 126169.75 37.25 11043 SMI caleb_strategy_v3 2024-03-06 23:00:00 2024-03-08 11:02:28.127 2024-03-08 11:02:45 129748.127 16.873 11046 SMI caleb_strategy_v3 2024-03-06 23:00:00 2024-03-08 11:03:27.493 2024-03-08 11:03:28 129807.493 0.507 11048 SMI caleb_strategy_v3 2024-03-06 23:00:00 2024-03-08 11:03:49.648 2024-03-08 11:03:54 129829.648 4.352 11050 SMI caleb_strategy_v3 2024-03-06 23:00:00 2024-03-08 11:04:49.746 2024-03-08 11:05:16 129889.746 26.254 11052 SMI caleb_strategy_v3 2024-03-06 23:00:00 2024-03-08 11:05:50.141 2024-03-08 11:05:50 129950.141 NaN 11054 SMI caleb_strategy_v3 2024-03-06 23:00:00 2024-03-08 11:07:46.303 2024-03-08 11:07:47 130066.303 0.697 11038 SMI caleb_strategy_v3 2024-03-06 23:00:00 2024-03-08 08:00:30.634 2024-03-08 08:00:32 118830.634 1.366 11041 CAC caleb_strategy_v3 2024-03-07 13:00:00 2024-03-08 11:01:13.595 2024-03-08 11:01:14 79273.595 0.405 11044 CAC caleb_strategy_v3 2024-03-07 13:00:00 2024-03-08 11:02:46.156 2024-03-08 11:02:46 79366.156 NaN 11047 CAC caleb_strategy_v3 2024-03-07 13:00:00 2024-03-08 11:03:28.319 2024-03-08 11:03:28 79408.319 NaN 11049 CAC caleb_strategy_v3 2024-03-07 13:00:00 2024-03-08 11:03:55.480 2024-03-08 11:03:55 79435.48 NaN 11051 CAC caleb_strategy_v3 2024-03-07 13:00:00 2024-03-08 11:05:16.667 2024-03-08 11:05:16 79516.667 NaN 11053 CAC caleb_strategy_v3 2024-03-07 13:00:00 2024-03-08 11:05:51.066 2024-03-08 11:07:42 79551.066 110.934 11055 CAC caleb_strategy_v3 2024-03-07 13:00:00 2024-03-08 11:07:48.164 2024-03-08 11:08:27 79668.164 38.836 11056 CAC caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 11:08:49.646 2024-03-08 11:08:59 126529.646 9.354 11057 CAC caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 11:09:48.775 2024-03-08 11:15:30 126588.775 341.225 11058 CAC caleb_strategy_v3 NaT 2024-03-08 11:21:37.002 2024-03-08 11:21:41 NaN 3.998 11059 CAC caleb_strategy_v3 NaT 2024-03-08 11:22:36.516 2024-03-08 11:27:36 NaN 299.484 11060 GOLD_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 14:00:58.390 2024-03-08 14:00:59 136858.39 0.61 11061 GOLD_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 14:01:57.575 2024-03-08 14:01:57 136917.575 NaN 11062 GOLD_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 14:02:57.717 2024-03-08 14:02:57 136977.717 NaN 11063 GOLD_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 14:03:57.726 2024-03-08 14:03:57 137037.726 NaN 11064 GOLD_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 14:04:57.747 2024-03-08 14:04:57 137097.747 NaN 11065 GOLD_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 14:05:57.752 2024-03-08 14:05:57 137157.752 NaN 11068 EUR caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:01:04.373 2024-03-08 15:01:04 140464.373 NaN 11070 SP400 caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:01:06.346 2024-03-08 15:01:09 140466.346 2.654 11072 NZD caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:02:00.235 2024-03-08 15:02:00 140520.235 NaN 11067 NZD caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:01:01.255 2024-03-08 15:01:03 140461.255 1.745 11073 NASDAQ_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:02:00.815 2024-03-08 15:02:00 140520.815 NaN 11075 NASDAQ_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:03:00.333 2024-03-08 15:03:00 140580.333 NaN 11077 NASDAQ_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:04:00.256 2024-03-08 15:04:00 140640.256 NaN 11069 NASDAQ_micro caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:01:05.178 2024-03-08 15:01:05 140465.178 NaN 11074 DOW caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:02:59.550 2024-03-08 15:02:59 140579.55 NaN 11076 DOW caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:03:59.693 2024-03-08 15:03:59 140639.693 NaN 11078 DOW caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:04:59.935 2024-03-08 15:05:00 140699.935 0.065 11079 DOW caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:05:59.953 2024-03-08 15:06:00 140759.953 0.047 11080 DOW caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:06:59.788 2024-03-08 15:06:59 140819.788 NaN 11066 DOW caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:01:00.311 2024-03-08 15:01:00 140460.311 NaN 11071 DOW caleb_strategy_v3 2024-03-07 00:00:00 2024-03-08 15:01:59.686 2024-03-08 15:01:59 140519.686 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 11040 EURIBOR-ICE caleb_strategy_v3 [1] 97.715 None 97.7625 97.765 97.76 97.76 97.77 -0.0475 -0.0025 -0.005 -0.01 NaN -0.0075 11042 EURIBOR-ICE caleb_strategy_v3 [1] 97.715 None 97.7675 97.77 97.765 97.765 97.765 -0.0525 -0.0025 0.005 0.0 NaN 0.0025 11045 EURIBOR-ICE caleb_strategy_v3 [1] 97.715 None 97.7675 97.77 97.765 97.765 97.77 -0.0525 -0.0025 0.0 -0.005 NaN -0.0025 11043 SMI caleb_strategy_v3 [-1] 11334.0 None 11488.0 11487.0 11489.0 11489.0 11488.0 154.0 -1.0 1.0 -1.0 NaN 0.0 11046 SMI caleb_strategy_v3 [-1] 11334.0 None 11489.0 11488.0 11490.0 NaN 11487.0 155.0 -1.0 -1.0 NaN NaN -2.0 11048 SMI caleb_strategy_v3 [-1] 11334.0 None 11489.0 11488.0 11490.0 11490.0 11487.0 155.0 -1.0 -1.0 -3.0 NaN -2.0 11050 SMI caleb_strategy_v3 [-1] 11334.0 None 11489.0 11488.0 11490.0 11490.0 11489.0 155.0 -1.0 1.0 -1.0 NaN 0.0 11052 SMI caleb_strategy_v3 [-1] 11334.0 None 11488.0 11487.0 11489.0 NaN 11487.0 154.0 -1.0 -0.0 NaN NaN -1.0 11054 SMI caleb_strategy_v3 [-1] 11334.0 None 11491.0 11490.0 11492.0 11492.0 11490.0 157.0 -1.0 -0.0 -2.0 NaN -1.0 11038 SMI caleb_strategy_v3 [-1] 11334.0 None 11438.5 11437.0 11440.0 11440.0 11437.0 104.5 -1.5 -0.0 -3.0 NaN -1.5 11041 CAC caleb_strategy_v3 [-1] 8038.0 None 8057.0 8056.0 8058.0 8058.0 8058.0 19.0 -1.0 2.0 -0.0 NaN 1.0 11044 CAC caleb_strategy_v3 [-1] 8038.0 None 8057.0 8056.0 8058.0 8058.0 8059.0 19.0 -1.0 3.0 1.0 NaN 2.0 11047 CAC caleb_strategy_v3 [-1] 8038.0 None 8057.0 8056.0 8058.0 8058.0 8060.5 19.0 -1.0 4.5 2.5 NaN 3.5 11049 CAC caleb_strategy_v3 [-1] 8038.0 None 8057.0 8056.0 8058.0 8058.0 8061.5 19.0 -1.0 5.5 3.5 NaN 4.5 11051 CAC caleb_strategy_v3 [-1] 8038.0 None 8057.0 8056.0 8058.0 8058.0 8059.0 19.0 -1.0 3.0 1.0 NaN 2.0 11053 CAC caleb_strategy_v3 [-1] 8038.0 None 8057.0 8056.0 8058.0 8058.0 8058.0 19.0 -1.0 2.0 -0.0 NaN 1.0 11055 CAC caleb_strategy_v3 [-1] 8038.0 None 8057.75 8056.5 8059.0 8059.0 8059.0 19.75 -1.25 2.5 -0.0 NaN 1.25 11056 CAC caleb_strategy_v3 [1] 7987.5 None 7985.25 8020.0 7950.5 7950.5 8019.5 2.25 -34.75 0.5 -69.0 NaN -34.25 11057 CAC caleb_strategy_v3 [1] 7987.5 None 7986.75 8022.5 7951.0 7951.0 8021.5 0.75 -35.75 1.0 -70.5 NaN -34.75 11058 CAC caleb_strategy_v3 [-1] NaN None 7982.25 7946.5 8018.0 8018.0 7952.5 NaN -35.75 6.0 -65.5 NaN -29.75 11059 CAC caleb_strategy_v3 [-1] NaN None 7982.25 7947.0 8017.5 8017.5 7955.0 NaN -35.25 8.0 -62.5 NaN -27.25 11060 GOLD_micro caleb_strategy_v3 [1] 2165.7 None 2177.95 2178.0 2177.9 2177.9 2178.2 -12.25 -0.05 -0.2 -0.3 NaN -0.25 11061 GOLD_micro caleb_strategy_v3 [1] 2165.7 None 2178.1 2178.2 2178.0 2178.0 2180.1 -12.4 -0.1 -1.9 -2.1 NaN -2.0 11062 GOLD_micro caleb_strategy_v3 [1] 2165.7 None 2180.0 2180.1 2179.9 2179.9 2180.3 -14.3 -0.1 -0.2 -0.4 NaN -0.3 11063 GOLD_micro caleb_strategy_v3 [1] 2165.7 None 2180.2 2180.3 2180.1 2180.1 2180.5 -14.5 -0.1 -0.2 -0.4 NaN -0.3 11064 GOLD_micro caleb_strategy_v3 [1] 2165.7 None 2180.4 2180.5 2180.3 2180.3 2180.6 -14.7 -0.1 -0.1 -0.3 NaN -0.2 11065 GOLD_micro caleb_strategy_v3 [1] 2165.7 None 2180.55 2180.6 2180.5 2180.5 2178.5 -14.85 -0.05 2.1 2.0 NaN 2.05 11068 EUR caleb_strategy_v3 [1] 1.0989 None 1.100375 1.1004 1.10035 NaN 1.10045 -0.001475 -0.000025 -0.00005 NaN NaN -0.000075 11070 SP400 caleb_strategy_v3 [1] 2999.6 None 3024.25 3024.6 3023.9 3023.9 3024.3 -24.65 -0.35 0.3 -0.4 NaN -0.05 11072 NZD caleb_strategy_v3 [-1] 0.6173 None 0.62035 0.6203 0.6204 0.6204 0.6204 0.00305 -0.00005 0.0001 -0.0 NaN 0.00005 11067 NZD caleb_strategy_v3 [-1] 0.6173 None 0.62035 0.6203 0.6204 0.6204 0.6203 0.00305 -0.00005 -0.0 -0.0001 NaN -0.00005 11073 NASDAQ_micro caleb_strategy_v3 [-1] 18557.0 None 18638.625 18638.25 18639.0 18639.0 18649.75 81.625 -0.375 11.5 10.75 NaN 11.125 11075 NASDAQ_micro caleb_strategy_v3 [-1] 18557.0 None 18650.125 18649.75 18650.5 18650.5 18641.25 93.125 -0.375 -8.5 -9.25 NaN -8.875 11077 NASDAQ_micro caleb_strategy_v3 [-1] 18557.0 None 18641.5 18641.25 18641.75 18641.75 18646.5 84.5 -0.25 5.25 4.75 NaN 5.0 11069 NASDAQ_micro caleb_strategy_v3 [-1] 18557.0 None 18638.125 18637.75 18638.5 18638.5 18638.5 81.125 -0.375 0.75 -0.0 NaN 0.375 11074 DOW caleb_strategy_v3 [-1] 38785.0 None 38998.0 38997.0 38999.0 38999.0 38996.0 213.0 -1.0 -1.0 -3.0 NaN -2.0 11076 DOW caleb_strategy_v3 [-1] 38785.0 None 38997.0 38996.0 38998.0 38998.0 38992.0 212.0 -1.0 -4.0 -6.0 NaN -5.0 11078 DOW caleb_strategy_v3 [-1] 38785.0 None 38992.5 38992.0 38993.0 38993.0 38986.0 207.5 -0.5 -6.0 -7.0 NaN -6.5 11079 DOW caleb_strategy_v3 [-1] 38785.0 None 38986.5 38986.0 38987.0 38987.0 38969.0 201.5 -0.5 -17.0 -18.0 NaN -17.5 11080 DOW caleb_strategy_v3 [-1] 38785.0 None 38969.5 38969.0 38970.0 38970.0 38973.0 184.5 -0.5 4.0 3.0 NaN 3.5 11066 DOW caleb_strategy_v3 [-1] 38785.0 None 39001.5 39001.0 39002.0 39002.0 39002.0 216.5 -0.5 1.0 -0.0 NaN 0.5 11071 DOW caleb_strategy_v3 [-1] 38785.0 None 39001.5 39001.0 39002.0 39002.0 38997.0 216.5 -0.5 -4.0 -5.0 NaN -4.5 ================================================================================================================================================================ 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 11040 EURIBOR-ICE caleb_strategy_v3 [1] 0.958786 -495.418224 -26.074643 -52.149287 -104.298573 NaN -78.22393 11042 EURIBOR-ICE caleb_strategy_v3 [1] 0.958786 -547.567511 -26.074643 52.149287 0.0 NaN 26.074643 11045 EURIBOR-ICE caleb_strategy_v3 [1] 0.958786 -547.567511 -26.074643 0.0 -52.149287 NaN -26.074643 11043 SMI caleb_strategy_v3 [-1] 1061.657791 1450.561578 -9.419231 9.419231 -9.419231 NaN 0.0 11046 SMI caleb_strategy_v3 [-1] 1061.657791 1459.980809 -9.419231 -9.419231 NaN NaN -18.838462 11048 SMI caleb_strategy_v3 [-1] 1061.657791 1459.980809 -9.419231 -9.419231 -28.257693 NaN -18.838462 11050 SMI caleb_strategy_v3 [-1] 1061.657791 1459.980809 -9.419231 9.419231 -9.419231 NaN 0.0 11052 SMI caleb_strategy_v3 [-1] 1061.657791 1450.561578 -9.419231 -0.0 NaN NaN -9.419231 11054 SMI caleb_strategy_v3 [-1] 1061.657791 1478.819271 -9.419231 -0.0 -18.838462 NaN -9.419231 11038 SMI caleb_strategy_v3 [-1] 1061.657791 984.309642 -14.128847 -0.0 -28.257693 NaN -14.128847 11041 CAC caleb_strategy_v3 [-1] 794.091939 239.267005 -12.593 25.186001 -0.0 NaN 12.593 11044 CAC caleb_strategy_v3 [-1] 794.091939 239.267005 -12.593 37.779001 12.593 NaN 25.186001 11047 CAC caleb_strategy_v3 [-1] 794.091939 239.267005 -12.593 56.668501 31.482501 NaN 44.075501 11049 CAC caleb_strategy_v3 [-1] 794.091939 239.267005 -12.593 69.261501 44.075501 NaN 56.668501 11051 CAC caleb_strategy_v3 [-1] 794.091939 239.267005 -12.593 37.779001 12.593 NaN 25.186001 11053 CAC caleb_strategy_v3 [-1] 794.091939 239.267005 -12.593 25.186001 -0.0 NaN 12.593 11055 CAC caleb_strategy_v3 [-1] 794.091939 248.711755 -15.74125 31.482501 -0.0 NaN 15.74125 11056 CAC caleb_strategy_v3 [1] 794.091939 28.334251 -437.606759 6.2965 -868.917018 NaN -431.310259 11057 CAC caleb_strategy_v3 [1] 794.091939 9.44475 -450.199759 12.593 -887.806518 NaN -437.606759 11058 CAC caleb_strategy_v3 [-1] 794.091939 NaN -450.199759 75.558002 -824.841517 NaN -374.641758 11059 CAC caleb_strategy_v3 [-1] 794.091939 NaN -443.903259 100.744002 -787.062516 NaN -343.159257 11060 GOLD_micro caleb_strategy_v3 [1] 240.242043 -509.902424 -2.081234 -8.324938 -12.487406 NaN -10.406172 11061 GOLD_micro caleb_strategy_v3 [1] 240.242043 -516.146128 -4.162469 -79.086907 -87.411844 NaN -83.249375 11062 GOLD_micro caleb_strategy_v3 [1] 240.242043 -595.233034 -4.162469 -8.324938 -16.649875 NaN -12.487406 11063 GOLD_micro caleb_strategy_v3 [1] 240.242043 -603.557972 -4.162469 -8.324938 -16.649875 NaN -12.487406 11064 GOLD_micro caleb_strategy_v3 [1] 240.242043 -611.882909 -4.162469 -4.162469 -12.487406 NaN -8.324938 11065 GOLD_micro caleb_strategy_v3 [1] 240.242043 -618.126613 -2.081234 87.411844 83.249375 NaN 85.33061 11068 EUR caleb_strategy_v3 [1] 0.060495 -243.822676 -4.132588 -8.265175 NaN NaN -12.397763 11070 SP400 caleb_strategy_v3 [1] 419.025056 -588.27031 -8.352722 7.159476 -9.545969 NaN -1.193246 11072 NZD caleb_strategy_v3 [-1] 0.057789 527.78111 -8.652149 17.304299 -0.0 NaN 8.652149 11067 NZD caleb_strategy_v3 [-1] 0.057789 527.78111 -8.652149 -0.0 -17.304299 NaN -8.652149 11073 NASDAQ_micro caleb_strategy_v3 [-1] 2868.402009 284.566109 -1.307348 40.092009 37.477313 NaN 38.784661 11075 NASDAQ_micro caleb_strategy_v3 [-1] 2868.402009 324.658119 -1.307348 -29.633224 -32.247921 NaN -30.940572 11077 NASDAQ_micro caleb_strategy_v3 [-1] 2868.402009 294.589112 -0.871565 18.302874 16.559743 NaN 17.431308 11069 NASDAQ_micro caleb_strategy_v3 [-1] 2868.402009 282.822979 -1.307348 2.614696 -0.0 NaN 1.307348 11074 DOW caleb_strategy_v3 [-1] 3733.649823 570.487352 -2.678344 -2.678344 -8.035033 NaN -5.356689 11076 DOW caleb_strategy_v3 [-1] 3733.649823 567.809007 -2.678344 -10.713377 -16.070066 NaN -13.391722 11078 DOW caleb_strategy_v3 [-1] 3733.649823 555.756458 -1.339172 -16.070066 -18.748411 NaN -17.409238 11079 DOW caleb_strategy_v3 [-1] 3733.649823 539.686391 -1.339172 -45.531854 -48.210199 NaN -46.871027 11080 DOW caleb_strategy_v3 [-1] 3733.649823 494.154537 -1.339172 10.713377 8.035033 NaN 9.374205 11066 DOW caleb_strategy_v3 [-1] 3733.649823 579.861557 -1.339172 2.678344 -0.0 NaN 1.339172 11071 DOW caleb_strategy_v3 [-1] 3733.649823 579.861557 -1.339172 -10.713377 -13.391722 NaN -12.05255 ========================================================================================================================================================================= 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 11040 EURIBOR-ICE caleb_strategy_v3 [1] 2737.25 -130.019375 -6.843125 -13.68625 -27.3725 NaN -20.529375 11042 EURIBOR-ICE caleb_strategy_v3 [1] 2737.25 -143.705625 -6.843125 13.68625 0.0 NaN 6.843125 11045 EURIBOR-ICE caleb_strategy_v3 [1] 2737.25 -143.705625 -6.843125 0.0 -13.68625 NaN -6.843125 11043 SMI caleb_strategy_v3 [-1] 11.403 1756.062 -11.403 11.403 -11.403 NaN 0.0 11046 SMI caleb_strategy_v3 [-1] 11.403 1767.465 -11.403 -11.403 NaN NaN -22.806 11048 SMI caleb_strategy_v3 [-1] 11.403 1767.465 -11.403 -11.403 -34.209 NaN -22.806 11050 SMI caleb_strategy_v3 [-1] 11.403 1767.465 -11.403 11.403 -11.403 NaN 0.0 11052 SMI caleb_strategy_v3 [-1] 11.403 1756.062 -11.403 -0.0 NaN NaN -11.403 11054 SMI caleb_strategy_v3 [-1] 11.403 1790.271 -11.403 -0.0 -22.806 NaN -11.403 11038 SMI caleb_strategy_v3 [-1] 11.403 1191.6135 -17.1045 -0.0 -34.209 NaN -17.1045 11041 CAC caleb_strategy_v3 [-1] 10.949 208.031 -10.949 21.898 -0.0 NaN 10.949 11044 CAC caleb_strategy_v3 [-1] 10.949 208.031 -10.949 32.847 10.949 NaN 21.898 11047 CAC caleb_strategy_v3 [-1] 10.949 208.031 -10.949 49.2705 27.3725 NaN 38.3215 11049 CAC caleb_strategy_v3 [-1] 10.949 208.031 -10.949 60.2195 38.3215 NaN 49.2705 11051 CAC caleb_strategy_v3 [-1] 10.949 208.031 -10.949 32.847 10.949 NaN 21.898 11053 CAC caleb_strategy_v3 [-1] 10.949 208.031 -10.949 21.898 -0.0 NaN 10.949 11055 CAC caleb_strategy_v3 [-1] 10.949 216.24275 -13.68625 27.3725 -0.0 NaN 13.68625 11056 CAC caleb_strategy_v3 [1] 10.949 24.63525 -380.47775 5.4745 -755.481 NaN -375.00325 11057 CAC caleb_strategy_v3 [1] 10.949 8.21175 -391.42675 10.949 -771.9045 NaN -380.47775 11058 CAC caleb_strategy_v3 [-1] 10.949 NaN -391.42675 65.694 -717.1595 NaN -325.73275 11059 CAC caleb_strategy_v3 [-1] 10.949 NaN -385.95225 87.592 -684.3125 NaN -298.36025 11060 GOLD_micro caleb_strategy_v3 [1] 10.0 -122.5 -0.5 -2.0 -3.0 NaN -2.5 11061 GOLD_micro caleb_strategy_v3 [1] 10.0 -124.0 -1.0 -19.0 -21.0 NaN -20.0 11062 GOLD_micro caleb_strategy_v3 [1] 10.0 -143.0 -1.0 -2.0 -4.0 NaN -3.0 11063 GOLD_micro caleb_strategy_v3 [1] 10.0 -145.0 -1.0 -2.0 -4.0 NaN -3.0 11064 GOLD_micro caleb_strategy_v3 [1] 10.0 -147.0 -1.0 -1.0 -3.0 NaN -2.0 11065 GOLD_micro caleb_strategy_v3 [1] 10.0 -148.5 -0.5 21.0 20.0 NaN 20.5 11068 EUR caleb_strategy_v3 [1] 125000.0 -184.375 -3.125 -6.25 NaN NaN -9.375 11070 SP400 caleb_strategy_v3 [1] 100.0 -2465.0 -35.0 30.0 -40.0 NaN -5.0 11072 NZD caleb_strategy_v3 [-1] 100000.0 305.0 -5.0 10.0 -0.0 NaN 5.0 11067 NZD caleb_strategy_v3 [-1] 100000.0 305.0 -5.0 -0.0 -10.0 NaN -5.0 11073 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 163.25 -0.75 23.0 21.5 NaN 22.25 11075 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 186.25 -0.75 -17.0 -18.5 NaN -17.75 11077 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 169.0 -0.5 10.5 9.5 NaN 10.0 11069 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 162.25 -0.75 1.5 -0.0 NaN 0.75 11074 DOW caleb_strategy_v3 [-1] 0.5 106.5 -0.5 -0.5 -1.5 NaN -1.0 11076 DOW caleb_strategy_v3 [-1] 0.5 106.0 -0.5 -2.0 -3.0 NaN -2.5 11078 DOW caleb_strategy_v3 [-1] 0.5 103.75 -0.25 -3.0 -3.5 NaN -3.25 11079 DOW caleb_strategy_v3 [-1] 0.5 100.75 -0.25 -8.5 -9.0 NaN -8.75 11080 DOW caleb_strategy_v3 [-1] 0.5 92.25 -0.25 2.0 1.5 NaN 1.75 11066 DOW caleb_strategy_v3 [-1] 0.5 108.25 -0.25 0.5 -0.0 NaN 0.25 11071 DOW caleb_strategy_v3 [-1] 0.5 108.25 -0.25 -2.0 -2.5 NaN -2.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAC 1497.27575 DOW 725.75 EUR -184.375 EURIBOR-ICE -417.430625 GOLD_micro -830.0 NASDAQ_micro 680.75 NZD 610.0 SMI 11796.4035 SP400 -2465.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 11413.373625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAC -1628.66375 DOW -2.25 EUR -3.125 EURIBOR-ICE -20.529375 GOLD_micro -5.0 NASDAQ_micro -2.75 NZD -10.0 SMI -85.5225 SP400 -35.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -1792.840625 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAC 416.062 DOW -13.5 EUR -6.25 EURIBOR-ICE 0.0 GOLD_micro -5.0 NASDAQ_micro 18.0 NZD 10.0 SMI 0.0 SP400 30.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 449.312 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC -2841.2655 DOW -18.0 EUR 0 EURIBOR-ICE -41.05875 GOLD_micro -15.0 NASDAQ_micro 12.5 NZD -10.0 SMI -114.03 SP400 -40.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -3066.85425 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 0 DOW 0 EUR 0 EURIBOR-ICE 0 GOLD_micro 0 NASDAQ_micro 0 NZD 0 SMI 0 SP400 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 -1212.60175 DOW -15.75 EUR -9.375 EURIBOR-ICE -20.529375 GOLD_micro -10.0 NASDAQ_micro 15.25 NZD 0.0 SMI -85.5225 SP400 -5.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -1343.528625 ******************************************************************************** END OF REPORT ********************************************************************************