******************************************************************************** Trades report produced on 12/03/2024 21:37 from 11/03/2024 21:37 to 12/03/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11223 CHF caleb_strategy_v3 [20240600] 2024-03-12 15:08:14 [-1] 1.149200 11215 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:04:13 [1] 1.138100 11213 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:03:14 [-1] 1.149400 11212 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:03:13 [1] 1.138250 11209 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:02:15 [-1] 1.149550 11208 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:02:14 [1] 1.138400 11204 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:01:17 [-1] 1.149450 11203 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:01:14 [1] 1.138350 11218 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:05:13 [-1] 1.149450 11198 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:00:45 [-1] 1.149550 11219 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:06:13 [1] 1.138150 11220 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:06:19 [-1] 1.149350 11216 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:04:24 [-1] 1.149250 11221 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:07:15 [1] 1.138200 11222 CHF _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-12 15:07:19 [-1] 1.149300 11217 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:05:12 [1] 1.138350 11197 CHF _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-12 15:00:41 [1] 1.138400 11186 COCOA caleb_strategy_v3 [20240500] 2024-03-12 14:00:10 [-1] 6894.000000 11190 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-12 14:00:22 [1] 73.910000 11194 DOW caleb_strategy_v3 [20240300] 2024-03-12 15:00:35 [-1] 39033.000000 11184 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-12 09:07:30 [1] 97.760000 11182 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-12 09:01:10 [1] 97.760000 11183 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-12 09:01:30 [1] 97.760000 11178 EUROSTX caleb_strategy_v3 [20240600] 2024-03-12 08:00:29 [1] 4907.000000 11180 EUROSTX caleb_strategy_v3 [20240600] 2024-03-12 08:01:28 [1] 4909.000000 11181 GASOIL caleb_strategy_v3 [20240600] 2024-03-12 09:00:47 [1] 787.500000 11187 GAS_US_mini caleb_strategy_v3 [20240500] 2024-03-12 14:00:19 [1] 1.880000 11188 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-12 14:00:20 [1] 2166.800000 11193 JPY caleb_strategy_v3 [20240600] 2024-03-12 15:00:33 [1] 0.006866 11205 JPY caleb_strategy_v3 [20240600] 2024-03-12 15:02:12 [1] 0.006866 11200 JPY caleb_strategy_v3 [20240600] 2024-03-12 15:01:12 [1] 0.006865 11214 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-12 15:04:12 [-1] 18421.250000 11206 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-12 15:02:13 [-1] 18413.000000 11201 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-12 15:01:13 [-1] 18420.500000 11195 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-12 15:00:36 [-1] 18417.000000 11210 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-12 15:03:12 [-1] 18424.750000 11189 PLAT caleb_strategy_v3 [20240400] 2024-03-12 14:00:21 [-1] 918.500000 11185 ROBUSTA caleb_strategy_v3 [20240500] 2024-03-12 10:01:41 [-1] 3307.000000 11196 RUSSELL caleb_strategy_v3 [20240600] 2024-03-12 15:00:37 [1] 2093.600000 11211 RUSSELL caleb_strategy_v3 [20240600] 2024-03-12 15:03:12 [1] 2094.700000 11202 RUSSELL caleb_strategy_v3 [20240600] 2024-03-12 15:01:13 [1] 2093.800000 11207 RUSSELL caleb_strategy_v3 [20240600] 2024-03-12 15:02:13 [1] 2093.400000 11179 SMI caleb_strategy_v3 [20240600] 2024-03-12 08:00:32 [1] 11596.000000 11192 SP500_micro caleb_strategy_v3 [20240600] 2024-03-12 15:00:31 [-1] 5231.500000 11191 US5 caleb_strategy_v3 [20240600] 2024-03-12 15:00:30 [1] 107.382813 11199 US5 caleb_strategy_v3 [20240600] 2024-03-12 15:01:11 [1] 107.367188 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11179 SMI caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 08:00:30.178 2024-03-12 08:00:32 115230.178 1.822 11178 EUROSTX caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 08:00:28.622 2024-03-12 08:00:29 115228.622 0.378 11180 EUROSTX caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 08:01:28.261 2024-03-12 08:01:28 115288.261 NaN 11181 GASOIL caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 09:00:30.346 2024-03-12 09:00:47 118830.346 16.654 11184 EURIBOR-ICE caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 09:02:30.236 2024-03-12 09:07:30 118950.236 299.764 11182 EURIBOR-ICE caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 09:00:48.614 2024-03-12 09:01:10 118848.614 21.386 11183 EURIBOR-ICE caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 09:01:30.042 2024-03-12 09:01:30 118890.042 NaN 11185 ROBUSTA caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 10:00:45.090 2024-03-12 10:01:41 122445.09 55.91 11186 COCOA caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 14:00:08.839 2024-03-12 14:00:10 136808.839 1.161 11187 GAS_US_mini caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 14:00:12.102 2024-03-12 14:00:19 136812.102 6.898 11188 GOLD_micro caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 14:00:20.050 2024-03-12 14:00:20 136820.05 NaN 11189 PLAT caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 14:00:21.738 2024-03-12 14:00:21 136821.738 NaN 11190 CRUDE_W caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 14:00:22.726 2024-03-12 14:00:22 136822.726 NaN 11192 SP500_micro caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:00:31.354 2024-03-12 15:00:31 140431.354 NaN 11194 DOW caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:00:33.878 2024-03-12 15:00:35 140433.878 1.122 11199 US5 caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:01:11.853 2024-03-12 15:01:11 140471.853 NaN 11191 US5 caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:00:12.062 2024-03-12 15:00:30 140412.062 17.938 11200 JPY caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:01:12.443 2024-03-12 15:01:12 140472.443 NaN 11193 JPY caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:00:32.614 2024-03-12 15:00:33 140432.614 0.386 11205 JPY caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:02:12.076 2024-03-12 15:02:12 140532.076 NaN 11202 RUSSELL caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:01:13.505 2024-03-12 15:01:13 140473.505 NaN 11211 RUSSELL caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:03:12.835 2024-03-12 15:03:12 140592.835 NaN 11196 RUSSELL caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:00:36.966 2024-03-12 15:00:37 140436.966 0.034 11207 RUSSELL caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:02:13.742 2024-03-12 15:02:13 140533.742 NaN 11201 NASDAQ_micro caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:01:13.056 2024-03-12 15:01:13 140473.056 NaN 11206 NASDAQ_micro caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:02:13.067 2024-03-12 15:02:13 140533.067 NaN 11210 NASDAQ_micro caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:03:12.230 2024-03-12 15:03:12 140592.23 NaN 11214 NASDAQ_micro caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:04:12.375 2024-03-12 15:04:12 140652.375 NaN 11195 NASDAQ_micro caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:00:35.890 2024-03-12 15:00:36 140435.89 0.11 11203 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:01:14.248 2024-03-12 15:01:14 68474.248 NaN 11204 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:01:14.850 2024-03-12 15:01:17 68474.85 2.15 11208 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:02:14.353 2024-03-12 15:02:14 68534.353 NaN 11209 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:02:15.018 2024-03-12 15:02:15 68535.018 NaN 11212 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:03:13.574 2024-03-12 15:03:13 68593.574 NaN 11213 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:03:13.944 2024-03-12 15:03:14 68593.944 0.056 11215 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:04:13.100 2024-03-12 15:04:13 68653.1 NaN 11216 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:04:13.712 2024-03-12 15:04:24 68653.712 10.288 11217 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:05:12.593 2024-03-12 15:05:12 68712.593 NaN 11218 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:05:13.288 2024-03-12 15:05:13 68713.288 NaN 11219 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:06:12.988 2024-03-12 15:06:13 68772.988 0.012 11220 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:06:13.621 2024-03-12 15:06:19 68773.621 5.379 11221 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:07:13.056 2024-03-12 15:07:15 68833.056 1.944 11222 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:07:15.712 2024-03-12 15:07:19 68835.712 3.288 11197 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:00:37.942 2024-03-12 15:00:41 68437.942 3.058 11198 CHF _ROLL_PSEUDO_STRATEGY 2024-03-11 20:00:00 2024-03-12 15:00:42.178 2024-03-12 15:00:45 68442.178 2.822 11223 CHF caleb_strategy_v3 2024-03-11 00:00:00 2024-03-12 15:08:13.255 2024-03-12 15:08:14 140893.255 0.745 ======================================================================================================================================================================================================================================== 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 11179 SMI caleb_strategy_v3 [1] 11581.0 None 11594.5 11595.0 11594.0 11594.0 11596.0 -13.5 -0.5 -1.0 -2.0 NaN -1.5 11178 EUROSTX caleb_strategy_v3 [1] 4897.0 None 4905.5 4906.0 4905.0 4905.0 4907.0 -8.5 -0.5 -1.0 -2.0 NaN -1.5 11180 EUROSTX caleb_strategy_v3 [1] 4897.0 None 4905.5 4906.0 4905.0 NaN 4909.0 -8.5 -0.5 -3.0 NaN NaN -3.5 11181 GASOIL caleb_strategy_v3 [1] 783.5 None 787.125 787.25 787.0 787.0 787.5 -3.625 -0.125 -0.25 -0.5 NaN -0.375 11184 EURIBOR-ICE caleb_strategy_v3 [1] 97.745 None 97.7575 97.76 97.755 97.755 97.76 -0.0125 -0.0025 0.0 -0.005 NaN -0.0025 11182 EURIBOR-ICE caleb_strategy_v3 [1] 97.745 None 97.7575 97.76 97.755 97.755 97.76 -0.0125 -0.0025 0.0 -0.005 NaN -0.0025 11183 EURIBOR-ICE caleb_strategy_v3 [1] 97.745 None 97.7575 97.76 97.755 NaN 97.76 -0.0125 -0.0025 0.0 NaN NaN -0.0025 11185 ROBUSTA caleb_strategy_v3 [-1] 3278.0 None 3305.5 3304.0 3307.0 3307.0 3307.0 27.5 -1.5 3.0 -0.0 NaN 1.5 11186 COCOA caleb_strategy_v3 [-1] 6751.0 None 6899.0 6897.0 6901.0 6901.0 6894.0 148.0 -2.0 -3.0 -7.0 NaN -5.0 11187 GAS_US_mini caleb_strategy_v3 [1] 1.855 None 1.8825 1.885 1.88 1.88 1.88 -0.0275 -0.0025 0.005 0.0 NaN 0.0025 11188 GOLD_micro caleb_strategy_v3 [1] 2187.4 None 2166.7 2166.8 2166.6 2166.6 2166.8 20.7 -0.1 0.0 -0.2 NaN -0.1 11189 PLAT caleb_strategy_v3 [-1] 942.6 None 918.4 918.3 918.5 918.5 918.5 -24.2 -0.1 0.2 -0.0 NaN 0.1 11190 CRUDE_W caleb_strategy_v3 [1] 73.99 None 73.905 73.91 73.9 73.9 73.91 0.085 -0.005 0.0 -0.01 NaN -0.005 11192 SP500_micro caleb_strategy_v3 [-1] 5187.0 None 5231.875 5231.75 5232.0 5232.0 5231.5 44.875 -0.125 -0.25 -0.5 NaN -0.375 11194 DOW caleb_strategy_v3 [-1] 38791.0 None 39032.0 39031.0 39033.0 39033.0 39033.0 241.0 -1.0 2.0 -0.0 NaN 1.0 11199 US5 caleb_strategy_v3 [1] 107.625 None 107.378906 107.382812 107.375 107.375 107.367188 0.246094 -0.003906 0.015625 0.007812 NaN 0.011718 11191 US5 caleb_strategy_v3 [1] 107.625 None 107.371094 107.375 107.367188 107.367188 107.382813 0.253906 -0.003906 -0.007813 -0.015625 NaN -0.011719 11200 JPY caleb_strategy_v3 [1] 0.006908 None 0.006865 0.006866 0.006865 0.006865 0.006865 0.000043 -0.0 0.000001 0.0 NaN 0.0 11193 JPY caleb_strategy_v3 [1] 0.006908 None 0.006865 0.006866 0.006864 0.006864 0.006866 0.000044 -0.000001 -0.0 -0.000001 NaN -0.000001 11205 JPY caleb_strategy_v3 [1] 0.006908 None 0.006865 0.006865 0.006864 NaN 0.006866 0.000044 -0.0 -0.000001 NaN NaN -0.000001 11202 RUSSELL caleb_strategy_v3 [1] 2093.2 None 2093.55 2093.6 2093.5 2093.5 2093.8 -0.35 -0.05 -0.2 -0.3 NaN -0.25 11211 RUSSELL caleb_strategy_v3 [1] 2093.2 None 2093.35 2093.4 2093.3 2093.3 2094.7 -0.15 -0.05 -1.3 -1.4 NaN -1.35 11196 RUSSELL caleb_strategy_v3 [1] 2093.2 None 2093.45 2093.5 2093.4 2093.4 2093.6 -0.25 -0.05 -0.1 -0.2 NaN -0.15 11207 RUSSELL caleb_strategy_v3 [1] 2093.2 None 2093.75 2093.8 2093.7 2093.7 2093.4 -0.55 -0.05 0.4 0.3 NaN 0.35 11201 NASDAQ_micro caleb_strategy_v3 [-1] 18229.5 None 18417.25 18417.0 18417.5 18417.5 18420.5 187.75 -0.25 3.5 3.0 NaN 3.25 11206 NASDAQ_micro caleb_strategy_v3 [-1] 18229.5 None 18420.5 18420.25 18420.75 18420.75 18413.0 191.0 -0.25 -7.25 -7.75 NaN -7.5 11210 NASDAQ_micro caleb_strategy_v3 [-1] 18229.5 None 18413.0 18412.75 18413.25 18413.25 18424.75 183.5 -0.25 12.0 11.5 NaN 11.75 11214 NASDAQ_micro caleb_strategy_v3 [-1] 18229.5 None 18425.0 18424.75 18425.25 18425.25 18421.25 195.5 -0.25 -3.5 -4.0 NaN -3.75 11195 NASDAQ_micro caleb_strategy_v3 [-1] 18229.5 None 18417.5 18417.25 18417.75 18417.75 18417.0 188.0 -0.25 -0.25 -0.75 NaN -0.5 11203 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.138375 1.1384 1.13835 1.13835 1.13835 0.001925 -0.000025 0.00005 0.0 NaN 0.000025 11204 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.149525 1.1495 1.14955 1.14955 1.14945 -0.002025 -0.000025 -0.00005 -0.0001 NaN -0.000075 11208 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.138325 1.13835 1.1383 1.1383 1.1384 0.001975 -0.000025 -0.00005 -0.0001 NaN -0.000075 11209 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.149475 1.14945 1.1495 1.1495 1.14955 -0.002075 -0.000025 0.0001 0.00005 NaN 0.000075 11212 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.138375 1.1384 1.13835 1.13835 1.13825 0.001925 -0.000025 0.00015 0.0001 NaN 0.000125 11213 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.1496 1.14955 1.14965 NaN 1.1494 -0.00195 -0.00005 -0.00015 NaN NaN -0.0002 11215 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.138225 1.13825 1.1382 1.1382 1.1381 0.002075 -0.000025 0.00015 0.0001 NaN 0.000125 11216 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.1493 1.14925 1.14935 1.14935 1.14925 -0.00225 -0.00005 -0.0 -0.0001 NaN -0.00005 11217 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.138075 1.1381 1.13805 1.13805 1.13835 0.002225 -0.000025 -0.00025 -0.0003 NaN -0.000275 11218 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.1495 1.14945 1.14955 1.14955 1.14945 -0.00205 -0.00005 -0.0 -0.0001 NaN -0.00005 11219 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.1383 1.13835 1.13825 1.13825 1.13815 0.002 -0.00005 0.0002 0.0001 NaN 0.00015 11220 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.1493 1.14925 1.14935 1.14935 1.14935 -0.00225 -0.00005 0.0001 -0.0 NaN 0.00005 11221 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.138125 1.13815 1.1381 1.1381 1.1382 0.002175 -0.000025 -0.00005 -0.0001 NaN -0.000075 11222 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.14935 1.1493 1.1494 1.1494 1.1493 -0.0022 -0.00005 -0.0 -0.0001 NaN -0.00005 11197 CHF _ROLL_PSEUDO_STRATEGY [1] 1.1403 None 1.138425 1.13845 1.1384 1.1384 1.1384 0.001875 -0.000025 0.00005 0.0 NaN 0.000025 11198 CHF _ROLL_PSEUDO_STRATEGY [-1] 1.15155 None 1.149525 1.1495 1.14955 1.14955 1.14955 -0.002025 -0.000025 0.00005 -0.0 NaN 0.000025 11223 CHF caleb_strategy_v3 [-1] 1.15155 None 1.14925 1.1492 1.1493 1.1493 1.1492 -0.0023 -0.00005 -0.0 -0.0001 NaN -0.00005 =================================================================================================================================================================== 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 11179 SMI caleb_strategy_v3 [1] 1082.325358 -124.73144 -4.619683 -9.239366 -18.478732 NaN -13.859049 11178 EUROSTX caleb_strategy_v3 [1] 543.219388 -156.474533 -9.204384 -18.408769 -36.817537 NaN -27.613153 11180 EUROSTX caleb_strategy_v3 [1] 543.219388 -156.474533 -9.204384 -55.226306 NaN NaN -64.43069 11181 GASOIL caleb_strategy_v3 [1] 227.140367 -159.592945 -5.503205 -11.00641 -22.01282 NaN -16.509615 11184 EURIBOR-ICE caleb_strategy_v3 [1] 0.953131 -131.146735 -26.229347 0.0 -52.458694 NaN -26.229347 11182 EURIBOR-ICE caleb_strategy_v3 [1] 0.953131 -131.146735 -26.229347 0.0 -52.458694 NaN -26.229347 11183 EURIBOR-ICE caleb_strategy_v3 [1] 0.953131 -131.146735 -26.229347 0.0 NaN NaN -26.229347 11185 ROBUSTA caleb_strategy_v3 [-1] 794.176505 346.270632 -18.887489 37.774978 -0.0 NaN 18.887489 11186 COCOA caleb_strategy_v3 [-1] 2422.636381 610.90472 -8.255469 -12.383204 -28.894142 NaN -20.638673 11187 GAS_US_mini caleb_strategy_v3 [1] 1.646436 -167.027444 -15.184313 30.368626 0.0 NaN 15.184313 11188 GOLD_micro caleb_strategy_v3 [1] 257.198077 804.827167 -3.888054 0.0 -7.776108 NaN -3.888054 11189 PLAT caleb_strategy_v3 [-1] 253.975415 -952.848132 -3.937389 7.874778 -0.0 NaN 3.937389 11190 CRUDE_W caleb_strategy_v3 [1] 15.328121 55.453635 -3.261979 0.0 -6.523957 NaN -3.261979 11192 SP500_micro caleb_strategy_v3 [-1] 591.394732 758.799455 -2.113648 -4.227295 -8.45459 NaN -6.340943 11194 DOW caleb_strategy_v3 [-1] 3666.493626 657.303747 -2.727401 5.454803 -0.0 NaN 2.727401 11199 US5 caleb_strategy_v3 [1] 4.856967 506.681916 -8.04257 32.169251 16.084111 NaN 24.126681 11191 US5 caleb_strategy_v3 [1] 4.856967 522.767056 -8.04257 -16.08617 -32.17131 NaN -24.12874 11200 JPY caleb_strategy_v3 [1] 0.00059 733.261974 -4.238509 8.477017 0.0 NaN 4.238509 11193 JPY caleb_strategy_v3 [1] 0.00059 737.500483 -8.477017 -8.477017 -25.431051 NaN -16.954034 11205 JPY caleb_strategy_v3 [1] 0.00059 741.738991 -4.238509 -16.954034 NaN NaN -21.192543 11202 RUSSELL caleb_strategy_v3 [1] 393.813778 -8.887449 -1.269636 -5.078542 -7.617814 NaN -6.348178 11211 RUSSELL caleb_strategy_v3 [1] 393.813778 -3.808907 -1.269636 -33.010526 -35.549797 NaN -34.280162 11196 RUSSELL caleb_strategy_v3 [1] 393.813778 -6.348178 -1.269636 -2.539271 -5.078542 NaN -3.808907 11207 RUSSELL caleb_strategy_v3 [1] 393.813778 -13.965992 -1.269636 10.157085 7.617814 NaN 8.887449 11201 NASDAQ_micro caleb_strategy_v3 [-1] 2877.927418 652.379205 -0.868681 12.16153 10.424168 NaN 11.292849 11206 NASDAQ_micro caleb_strategy_v3 [-1] 2877.927418 663.672054 -0.868681 -25.19174 -26.929102 NaN -26.060421 11210 NASDAQ_micro caleb_strategy_v3 [-1] 2877.927418 637.611633 -0.868681 41.696674 39.959312 NaN 40.827993 11214 NASDAQ_micro caleb_strategy_v3 [-1] 2877.927418 679.308306 -0.868681 -12.16153 -13.898891 NaN -13.03021 11195 NASDAQ_micro caleb_strategy_v3 [-1] 2877.927418 653.247885 -0.868681 -0.868681 -2.606042 NaN -1.737361 11203 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 258.974552 -3.363306 6.726612 0.0 NaN 3.363306 11204 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -272.427775 -3.363306 -6.726612 -13.453223 NaN -10.089918 11208 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 265.701163 -3.363306 -6.726612 -13.453223 NaN -10.089918 11209 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -279.154387 -3.363306 13.453223 6.726612 NaN 10.089918 11212 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 258.974552 -3.363306 20.179835 13.453223 NaN 16.816529 11213 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -262.337857 -6.726612 -20.179835 NaN NaN -26.906447 11215 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 279.154387 -3.363306 20.179835 13.453223 NaN 16.816529 11216 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -302.697528 -6.726612 -0.0 -13.453223 NaN -6.726612 11217 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 299.334222 -3.363306 -33.633059 -40.35967 NaN -36.996365 11218 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -275.791081 -6.726612 -0.0 -13.453223 NaN -6.726612 11219 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 269.064469 -6.726612 26.906447 13.453223 NaN 20.179835 11220 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -302.697528 -6.726612 13.453223 -0.0 NaN 6.726612 11221 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 292.60761 -3.363306 -6.726612 -13.453223 NaN -10.089918 11222 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -295.970916 -6.726612 -0.0 -13.453223 NaN -6.726612 11197 CHF _ROLL_PSEUDO_STRATEGY [1] 0.074332 252.24794 -3.363306 6.726612 0.0 NaN 3.363306 11198 CHF _ROLL_PSEUDO_STRATEGY [-1] 0.074332 -272.427775 -3.363306 6.726612 -0.0 NaN 3.363306 11223 CHF caleb_strategy_v3 [-1] 0.074332 -309.42414 -6.726612 -0.0 -13.453223 NaN -6.726612 ============================================================================================================================================================================ 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 11179 SMI caleb_strategy_v3 [1] 11.4015 -153.92025 -5.70075 -11.4015 -22.803 NaN -17.10225 11178 EUROSTX caleb_strategy_v3 [1] 10.934 -92.939 -5.467 -10.934 -21.868 NaN -16.401 11180 EUROSTX caleb_strategy_v3 [1] 10.934 -92.939 -5.467 -32.802 NaN NaN -38.269 11181 GASOIL caleb_strategy_v3 [1] 100.0 -362.5 -12.5 -25.0 -50.0 NaN -37.5 11184 EURIBOR-ICE caleb_strategy_v3 [1] 2733.5 -34.16875 -6.83375 0.0 -13.6675 NaN -6.83375 11182 EURIBOR-ICE caleb_strategy_v3 [1] 2733.5 -34.16875 -6.83375 0.0 -13.6675 NaN -6.83375 11183 EURIBOR-ICE caleb_strategy_v3 [1] 2733.5 -34.16875 -6.83375 0.0 NaN NaN -6.83375 11185 ROBUSTA caleb_strategy_v3 [-1] 10.0 275.0 -15.0 30.0 -0.0 NaN 15.0 11186 COCOA caleb_strategy_v3 [-1] 10.0 1480.0 -20.0 -30.0 -70.0 NaN -50.0 11187 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -68.75 -6.25 12.5 0.0 NaN 6.25 11188 GOLD_micro caleb_strategy_v3 [1] 10.0 207.0 -1.0 0.0 -2.0 NaN -1.0 11189 PLAT caleb_strategy_v3 [-1] 50.0 -1210.0 -5.0 10.0 -0.0 NaN 5.0 11190 CRUDE_W caleb_strategy_v3 [1] 1000.0 85.0 -5.0 0.0 -10.0 NaN -5.0 11192 SP500_micro caleb_strategy_v3 [-1] 5.0 224.375 -0.625 -1.25 -2.5 NaN -1.875 11194 DOW caleb_strategy_v3 [-1] 0.5 120.5 -0.5 1.0 -0.0 NaN 0.5 11199 US5 caleb_strategy_v3 [1] 1000.0 246.09375 -3.90625 15.6245 7.812 NaN 11.71825 11191 US5 caleb_strategy_v3 [1] 1000.0 253.90625 -3.90625 -7.813 -15.6255 NaN -11.71925 11200 JPY caleb_strategy_v3 [1] 12500000.0 540.625 -3.125 6.25 0.0 NaN 3.125 11193 JPY caleb_strategy_v3 [1] 12500000.0 543.75 -6.25 -6.25 -18.75 NaN -12.5 11205 JPY caleb_strategy_v3 [1] 12500000.0 546.875 -3.125 -12.5 NaN NaN -15.625 11202 RUSSELL caleb_strategy_v3 [1] 5.0 -1.75 -0.25 -1.0 -1.5 NaN -1.25 11211 RUSSELL caleb_strategy_v3 [1] 5.0 -0.75 -0.25 -6.5 -7.0 NaN -6.75 11196 RUSSELL caleb_strategy_v3 [1] 5.0 -1.25 -0.25 -0.5 -1.0 NaN -0.75 11207 RUSSELL caleb_strategy_v3 [1] 5.0 -2.75 -0.25 2.0 1.5 NaN 1.75 11201 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 375.5 -0.5 7.0 6.0 NaN 6.5 11206 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 382.0 -0.5 -14.5 -15.5 NaN -15.0 11210 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 367.0 -0.5 24.0 23.0 NaN 23.5 11214 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 391.0 -0.5 -7.0 -8.0 NaN -7.5 11195 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 376.0 -0.5 -0.5 -1.5 NaN -1.0 11203 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 240.625 -3.125 6.25 0.0 NaN 3.125 11204 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -253.125 -3.125 -6.25 -12.5 NaN -9.375 11208 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 246.875 -3.125 -6.25 -12.5 NaN -9.375 11209 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -259.375 -3.125 12.5 6.25 NaN 9.375 11212 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 240.625 -3.125 18.75 12.5 NaN 15.625 11213 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -243.75 -6.25 -18.75 NaN NaN -25.0 11215 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 259.375 -3.125 18.75 12.5 NaN 15.625 11216 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -281.25 -6.25 -0.0 -12.5 NaN -6.25 11217 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 278.125 -3.125 -31.25 -37.5 NaN -34.375 11218 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -256.25 -6.25 -0.0 -12.5 NaN -6.25 11219 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 250.0 -6.25 25.0 12.5 NaN 18.75 11220 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -281.25 -6.25 12.5 -0.0 NaN 6.25 11221 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 271.875 -3.125 -6.25 -12.5 NaN -9.375 11222 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -275.0 -6.25 -0.0 -12.5 NaN -6.25 11197 CHF _ROLL_PSEUDO_STRATEGY [1] 125000.0 234.375 -3.125 6.25 0.0 NaN 3.125 11198 CHF _ROLL_PSEUDO_STRATEGY [-1] 125000.0 -253.125 -3.125 6.25 -0.0 NaN 3.125 11223 CHF caleb_strategy_v3 [-1] 125000.0 -287.5 -6.25 -0.0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF -81.25 caleb_strategy_v3 CHF -287.5 COCOA 1480.0 CRUDE_W 85.0 DOW 120.5 EURIBOR-ICE -102.50625 EUROSTX -185.878 GASOIL -362.5 GAS_US_mini -68.75 GOLD_micro 207.0 JPY 1631.25 NASDAQ_micro 1891.5 PLAT -1210.0 ROBUSTA 275.0 RUSSELL -6.5 SMI -153.92025 SP500_micro 224.375 US5 500.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -81.25 caleb_strategy_v3 4037.0705 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF -68.75 caleb_strategy_v3 CHF -6.25 COCOA -20.0 CRUDE_W -5.0 DOW -0.5 EURIBOR-ICE -20.50125 EUROSTX -10.934 GASOIL -12.5 GAS_US_mini -6.25 GOLD_micro -1.0 JPY -12.5 NASDAQ_micro -2.5 PLAT -5.0 ROBUSTA -15.0 RUSSELL -1.0 SMI -5.70075 SP500_micro -0.625 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -68.75 caleb_strategy_v3 -133.0735 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF 37.5 caleb_strategy_v3 CHF -0.0 COCOA -30.0 CRUDE_W 0.0 DOW 1.0 EURIBOR-ICE 0.0 EUROSTX -43.736 GASOIL -25.0 GAS_US_mini 12.5 GOLD_micro 0.0 JPY -12.5 NASDAQ_micro 9.0 PLAT 10.0 ROBUSTA 30.0 RUSSELL -6.0 SMI -11.4015 SP500_micro -1.25 US5 7.8115 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 37.5 caleb_strategy_v3 -59.576 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF -68.75 caleb_strategy_v3 CHF -12.5 COCOA -70.0 CRUDE_W -10.0 DOW -0.0 EURIBOR-ICE -27.335 EUROSTX -21.868 GASOIL -50.0 GAS_US_mini 0.0 GOLD_micro -2.0 JPY -18.75 NASDAQ_micro 4.0 PLAT -0.0 ROBUSTA -0.0 RUSSELL -8.0 SMI -22.803 SP500_micro -2.5 US5 -7.8135 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -68.75 caleb_strategy_v3 -249.5695 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF 0 caleb_strategy_v3 CHF 0 COCOA 0 CRUDE_W 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 NASDAQ_micro 0 PLAT 0 ROBUSTA 0 RUSSELL 0 SMI 0 SP500_micro 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CHF -31.25 caleb_strategy_v3 CHF -6.25 COCOA -50.0 CRUDE_W -5.0 DOW 0.5 EURIBOR-ICE -20.50125 EUROSTX -54.67 GASOIL -37.5 GAS_US_mini 6.25 GOLD_micro -1.0 JPY -25.0 NASDAQ_micro 6.5 PLAT 5.0 ROBUSTA 15.0 RUSSELL -7.0 SMI -17.10225 SP500_micro -1.875 US5 -0.001 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -31.25 caleb_strategy_v3 -192.6495 ******************************************************************************** END OF REPORT ********************************************************************************