******************************************************************************** Trades report produced on 14/03/2024 21:37 from 13/03/2024 21:37 to 14/03/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11252 CHF caleb_strategy_v3 [20240600] 2024-03-14 15:00:39 [-1] 1.144750 11260 CHF caleb_strategy_v3 [20240600] 2024-03-14 15:01:26 [-1] 1.144600 11241 COPPER caleb_strategy_v3 [20240700] 2024-03-14 14:00:18 [1] 4.067000 11244 COPPER caleb_strategy_v3 [20240700] 2024-03-14 14:01:16 [1] 4.064000 11246 COPPER caleb_strategy_v3 [20240700] 2024-03-14 14:02:16 [1] 4.065000 11240 COTTON2 caleb_strategy_v3 [20240500] 2024-03-14 14:00:16 [-1] 93.960000 11242 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-14 14:00:22 [1] 75.590000 11245 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-14 14:01:17 [1] 75.630000 11236 DAX caleb_strategy_v3 [20240600] 2024-03-14 08:00:03 [1] 18296.000000 11239 DAX caleb_strategy_v3 [20240600] 2024-03-14 08:01:02 [1] 18299.000000 11253 DOW caleb_strategy_v3 [20240600] 2024-03-14 15:00:40 [-1] 39422.000000 11259 EUR caleb_strategy_v3 [20240600] 2024-03-14 15:01:25 [1] 1.093950 11251 EUR caleb_strategy_v3 [20240600] 2024-03-14 15:00:37 [1] 1.093950 11237 EUROSTX caleb_strategy_v3 [20240600] 2024-03-14 08:00:10 [1] 4973.000000 11234 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-03-14 03:05:23 [-1] 145.230000 11248 MXP caleb_strategy_v3 [20240600] 2024-03-14 15:00:30 [-1] 0.059030 11249 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-14 15:00:31 [-1] 18302.500000 11263 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-14 15:02:19 [-1] 18327.250000 11257 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-14 15:01:19 [-1] 18322.000000 11271 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-14 15:06:20 [-1] 18326.000000 11269 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-14 15:05:20 [-1] 18318.500000 11267 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-14 15:04:20 [-1] 18323.250000 11265 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-14 15:03:20 [-1] 18326.250000 11235 NIKKEI caleb_strategy_v3 [20240600] 2024-03-14 03:05:47 [1] 38455.000000 11254 NZD caleb_strategy_v3 [20240600] 2024-03-14 15:00:43 [1] 0.613500 11243 PLAT caleb_strategy_v3 [20240400] 2024-03-14 14:00:23 [-1] 931.300000 11275 REDWHEAT caleb_strategy_v3 [20240700] 2024-03-14 15:30:24 [1] 566.000000 11258 RUSSELL caleb_strategy_v3 [20240600] 2024-03-14 15:01:19 [1] 2064.200000 11250 RUSSELL caleb_strategy_v3 [20240600] 2024-03-14 15:00:32 [1] 2063.600000 11238 SMI caleb_strategy_v3 [20240600] 2024-03-14 08:00:12 [1] 11660.000000 11256 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:01:18 [1] 5220.500000 11247 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:00:18 [1] 5218.000000 11274 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:09:20 [1] 5216.750000 11273 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:08:20 [1] 5217.000000 11272 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:07:19 [1] 5220.000000 11268 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:05:19 [1] 5220.750000 11266 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:04:19 [1] 5221.750000 11264 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:03:19 [1] 5222.500000 11262 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:02:19 [1] 5222.000000 11270 SP500_micro caleb_strategy_v3 [20240600] 2024-03-14 15:06:19 [1] 5222.500000 11255 US10U caleb_strategy_v3 [20240600] 2024-03-14 15:01:12 [-1] 113.812500 11261 US10U caleb_strategy_v3 [20240600] 2024-03-14 15:01:27 [-1] 113.828125 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11234 JGB-SGX-mini caleb_strategy_v3 2024-03-13 2024-03-14 03:00:23.075 2024-03-14 03:05:23 97223.075 299.925 11235 NIKKEI caleb_strategy_v3 2024-03-12 2024-03-14 03:05:38.560 2024-03-14 03:05:47 183938.56 8.44 11237 EUROSTX caleb_strategy_v3 2024-03-13 2024-03-14 08:00:04.430 2024-03-14 08:00:10 115204.43 5.57 11238 SMI caleb_strategy_v3 2024-03-13 2024-03-14 08:00:11.536 2024-03-14 08:00:12 115211.536 0.464 11236 DAX caleb_strategy_v3 2024-03-13 2024-03-14 08:00:02.946 2024-03-14 08:00:03 115202.946 0.054 11239 DAX caleb_strategy_v3 2024-03-13 2024-03-14 08:01:01.851 2024-03-14 08:01:02 115261.851 0.149 11240 COTTON2 caleb_strategy_v3 2024-03-13 2024-03-14 14:00:16.774 2024-03-14 14:00:16 136816.774 NaN 11243 PLAT caleb_strategy_v3 2024-03-13 2024-03-14 14:00:23.535 2024-03-14 14:00:23 136823.535 NaN 11242 CRUDE_W caleb_strategy_v3 2024-03-13 2024-03-14 14:00:19.390 2024-03-14 14:00:22 136819.39 2.61 11245 CRUDE_W caleb_strategy_v3 2024-03-13 2024-03-14 14:01:16.727 2024-03-14 14:01:17 136876.727 0.273 11241 COPPER caleb_strategy_v3 2024-03-13 2024-03-14 14:00:18.240 2024-03-14 14:00:18 136818.24 NaN 11244 COPPER caleb_strategy_v3 2024-03-13 2024-03-14 14:01:15.979 2024-03-14 14:01:16 136875.979 0.021 11246 COPPER caleb_strategy_v3 2024-03-13 2024-03-14 14:02:16.197 2024-03-14 14:02:16 136936.197 NaN 11248 MXP caleb_strategy_v3 2024-03-13 2024-03-14 15:00:19.762 2024-03-14 15:00:30 140419.762 10.238 11253 DOW caleb_strategy_v3 2024-03-13 2024-03-14 15:00:40.039 2024-03-14 15:00:40 140440.039 NaN 11254 NZD caleb_strategy_v3 2024-03-13 2024-03-14 15:00:41.191 2024-03-14 15:00:43 140441.191 1.809 11250 RUSSELL caleb_strategy_v3 2024-03-13 2024-03-14 15:00:32.211 2024-03-14 15:00:32 140432.211 NaN 11258 RUSSELL caleb_strategy_v3 2024-03-13 2024-03-14 15:01:19.833 2024-03-14 15:01:19 140479.833 NaN 11251 EUR caleb_strategy_v3 2024-03-13 2024-03-14 15:00:33.515 2024-03-14 15:00:37 140433.515 3.485 11259 EUR caleb_strategy_v3 2024-03-13 2024-03-14 15:01:20.512 2024-03-14 15:01:25 140480.512 4.488 11252 CHF caleb_strategy_v3 2024-03-13 2024-03-14 15:00:38.486 2024-03-14 15:00:39 140438.486 0.514 11260 CHF caleb_strategy_v3 2024-03-13 2024-03-14 15:01:26.507 2024-03-14 15:01:26 140486.507 NaN 11261 US10U caleb_strategy_v3 2024-03-13 2024-03-14 15:01:27.182 2024-03-14 15:01:27 140487.182 NaN 11255 US10U caleb_strategy_v3 2024-03-13 2024-03-14 15:00:44.318 2024-03-14 15:01:12 140444.318 27.682 11265 NASDAQ_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:03:19.980 2024-03-14 15:03:20 140599.98 0.02 11267 NASDAQ_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:04:20.233 2024-03-14 15:04:20 140660.233 NaN 11269 NASDAQ_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:05:20.320 2024-03-14 15:05:20 140720.32 NaN 11271 NASDAQ_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:06:20.342 2024-03-14 15:06:20 140780.342 NaN 11249 NASDAQ_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:00:31.330 2024-03-14 15:00:31 140431.33 NaN 11257 NASDAQ_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:01:19.271 2024-03-14 15:01:19 140479.271 NaN 11263 NASDAQ_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:02:19.711 2024-03-14 15:02:19 140539.711 NaN 11264 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:03:19.288 2024-03-14 15:03:19 140599.288 NaN 11266 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:04:19.649 2024-03-14 15:04:19 140659.649 NaN 11268 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:05:19.739 2024-03-14 15:05:19 140719.739 NaN 11270 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:06:19.671 2024-03-14 15:06:19 140779.671 NaN 11272 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:07:19.743 2024-03-14 15:07:19 140839.743 NaN 11273 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:08:20.340 2024-03-14 15:08:20 140900.34 NaN 11274 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:09:20.449 2024-03-14 15:09:20 140960.449 NaN 11247 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:00:18.694 2024-03-14 15:00:18 140418.694 NaN 11256 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:01:18.593 2024-03-14 15:01:18 140478.593 NaN 11262 SP500_micro caleb_strategy_v3 2024-03-13 2024-03-14 15:02:19.008 2024-03-14 15:02:19 140539.008 NaN 11275 REDWHEAT caleb_strategy_v3 2024-03-13 2024-03-14 15:30:24.671 2024-03-14 15:30:24 142224.671 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 11234 JGB-SGX-mini caleb_strategy_v3 [-1] 145.33 None 145.24 145.23 145.25 145.25 145.23 -0.09 -0.01 -0.0 -0.02 NaN -0.01 11235 NIKKEI caleb_strategy_v3 [1] 38490.0 None 38447.5 38450.0 38445.0 38445.0 38455.0 42.5 -2.5 -5.0 -10.0 NaN -7.5 11237 EUROSTX caleb_strategy_v3 [1] 4961.0 None 4972.5 4973.0 4972.0 4972.0 4973.0 -11.5 -0.5 0.0 -1.0 NaN -0.5 11238 SMI caleb_strategy_v3 [1] 11651.0 None 11660.0 11661.0 11659.0 11659.0 11660.0 -9.0 -1.0 1.0 -1.0 NaN 0.0 11236 DAX caleb_strategy_v3 [1] 18269.0 None 18293.5 18296.0 18291.0 18291.0 18296.0 -24.5 -2.5 0.0 -5.0 NaN -2.5 11239 DAX caleb_strategy_v3 [1] 18269.0 None 18294.0 18296.0 18292.0 18292.0 18299.0 -25.0 -2.0 -3.0 -7.0 NaN -5.0 11240 COTTON2 caleb_strategy_v3 [-1] 95.0 None 93.99 93.96 94.02 94.02 93.96 -1.01 -0.03 -0.0 -0.06 NaN -0.03 11243 PLAT caleb_strategy_v3 [-1] 945.2 None 931.5 931.4 931.6 931.6 931.3 -13.7 -0.1 -0.1 -0.3 NaN -0.2 11242 CRUDE_W caleb_strategy_v3 [1] 75.15 None 75.585 75.59 75.58 75.58 75.59 -0.435 -0.005 0.0 -0.01 NaN -0.005 11245 CRUDE_W caleb_strategy_v3 [1] 75.15 None 75.585 75.59 75.58 NaN 75.63 -0.435 -0.005 -0.04 NaN NaN -0.045 11241 COPPER caleb_strategy_v3 [1] 4.073 None 4.067 4.0675 4.0665 4.0665 4.067 0.006 -0.0005 0.0005 -0.0005 NaN 0.0 11244 COPPER caleb_strategy_v3 [1] 4.073 None 4.06675 4.067 4.0665 NaN 4.064 0.00625 -0.00025 0.003 NaN NaN 0.00275 11246 COPPER caleb_strategy_v3 [1] 4.073 None 4.0645 4.065 4.064 4.064 4.065 0.0085 -0.0005 0.0 -0.001 NaN -0.0005 11248 MXP caleb_strategy_v3 [-1] 0.0591 None 0.059045 0.05904 0.05905 0.05905 0.05903 -0.000055 -0.000005 -0.00001 -0.00002 NaN -0.000015 11253 DOW caleb_strategy_v3 [-1] 39531.0 None 39421.5 39421.0 39422.0 39422.0 39422.0 -109.5 -0.5 1.0 -0.0 NaN 0.5 11254 NZD caleb_strategy_v3 [1] 0.6156 None 0.613525 0.61355 0.6135 0.6135 0.6135 0.002075 -0.000025 0.00005 0.0 NaN 0.000025 11250 RUSSELL caleb_strategy_v3 [1] 2097.0 None 2063.7 2063.8 2063.6 2063.6 2063.6 33.3 -0.1 0.2 0.0 NaN 0.1 11258 RUSSELL caleb_strategy_v3 [1] 2097.0 None 2063.7 2063.8 2063.6 2063.6 2064.2 33.3 -0.1 -0.4 -0.6 NaN -0.5 11251 EUR caleb_strategy_v3 [1] 1.0991 None 1.093975 1.094 1.09395 1.09395 1.09395 0.005125 -0.000025 0.00005 0.0 NaN 0.000025 11259 EUR caleb_strategy_v3 [1] 1.0991 None 1.093975 1.094 1.09395 1.09395 1.09395 0.005125 -0.000025 0.00005 0.0 NaN 0.000025 11252 CHF caleb_strategy_v3 [-1] 1.14955 None 1.144725 1.1447 1.14475 1.14475 1.14475 -0.004825 -0.000025 0.00005 -0.0 NaN 0.000025 11260 CHF caleb_strategy_v3 [-1] 1.14955 None 1.14475 1.1447 1.1448 1.1448 1.1446 -0.0048 -0.00005 -0.0001 -0.0002 NaN -0.00015 11261 US10U caleb_strategy_v3 [-1] 114.703125 None 113.820312 113.8125 113.828125 113.828125 113.828125 -0.882812 -0.007812 0.015625 -0.0 NaN 0.007812 11255 US10U caleb_strategy_v3 [-1] 114.703125 None 113.835938 113.828125 113.84375 113.84375 113.8125 -0.867188 -0.007812 -0.015625 -0.03125 NaN -0.023438 11265 NASDAQ_micro caleb_strategy_v3 [-1] 18342.25 None 18327.625 18327.5 18327.75 18327.75 18326.25 -14.625 -0.125 -1.25 -1.5 NaN -1.375 11267 NASDAQ_micro caleb_strategy_v3 [-1] 18342.25 None 18326.375 18326.25 18326.5 18326.5 18323.25 -15.875 -0.125 -3.0 -3.25 NaN -3.125 11269 NASDAQ_micro caleb_strategy_v3 [-1] 18342.25 None 18323.75 18323.5 18324.0 18324.0 18318.5 -18.5 -0.25 -5.0 -5.5 NaN -5.25 11271 NASDAQ_micro caleb_strategy_v3 [-1] 18342.25 None 18318.75 18318.5 18319.0 18319.0 18326.0 -23.5 -0.25 7.5 7.0 NaN 7.25 11249 NASDAQ_micro caleb_strategy_v3 [-1] 18342.25 None 18302.25 18302.0 18302.5 18302.5 18302.5 -40.0 -0.25 0.5 -0.0 NaN 0.25 11257 NASDAQ_micro caleb_strategy_v3 [-1] 18342.25 None 18303.25 18303.0 18303.5 18303.5 18322.0 -39.0 -0.25 19.0 18.5 NaN 18.75 11263 NASDAQ_micro caleb_strategy_v3 [-1] 18342.25 None 18322.25 18322.0 18322.5 18322.5 18327.25 -20.0 -0.25 5.25 4.75 NaN 5.0 11264 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5221.875 5222.0 5221.75 5221.75 5222.5 13.625 -0.125 -0.5 -0.75 NaN -0.625 11266 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5222.375 5222.5 5222.25 5222.25 5221.75 13.125 -0.125 0.75 0.5 NaN 0.625 11268 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5221.75 5222.0 5221.5 5221.5 5220.75 13.75 -0.25 1.25 0.75 NaN 1.0 11270 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5220.625 5220.75 5220.5 5220.5 5222.5 14.875 -0.125 -1.75 -2.0 NaN -1.875 11272 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5222.375 5222.5 5222.25 5222.25 5220.0 13.125 -0.125 2.5 2.25 NaN 2.375 11273 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5219.875 5220.0 5219.75 5219.75 5217.0 15.625 -0.125 3.0 2.75 NaN 2.875 11274 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5216.875 5217.0 5216.75 5216.75 5216.75 18.625 -0.125 0.25 0.0 NaN 0.125 11247 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5217.625 5217.75 5217.5 5217.5 5218.0 17.875 -0.125 -0.25 -0.5 NaN -0.375 11256 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5217.875 5218.0 5217.75 5217.75 5220.5 17.625 -0.125 -2.5 -2.75 NaN -2.625 11262 SP500_micro caleb_strategy_v3 [1] 5235.5 None 5220.375 5220.5 5220.25 5220.25 5222.0 15.125 -0.125 -1.5 -1.75 NaN -1.625 11275 REDWHEAT caleb_strategy_v3 [1] 578.75 None 575.0 575.0 575.0 575.0 566.0 3.75 0.0 9.0 9.0 NaN 9.0 =============================================================================================================================================================== 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 11234 JGB-SGX-mini caleb_strategy_v3 [-1] 3.954693 -227.577734 -25.286415 -0.0 -50.57283 NaN -25.286415 11235 NIKKEI caleb_strategy_v3 [1] 6739.258308 63.06332 -3.709607 -7.419214 -14.838428 NaN -11.128821 11237 EUROSTX caleb_strategy_v3 [1] 522.668951 -220.024548 -9.566285 0.0 -19.132569 NaN -9.566285 11238 SMI caleb_strategy_v3 [1] 1051.510404 -85.591165 -9.510129 9.510129 -9.510129 NaN 0.0 11236 DAX caleb_strategy_v3 [1] 1764.692119 -138.834416 -14.166777 0.0 -28.333554 NaN -14.166777 11239 DAX caleb_strategy_v3 [1] 1764.692119 -141.667772 -11.333422 -17.000133 -39.666976 NaN -28.333554 11240 COTTON2 caleb_strategy_v3 [-1] 29.782044 -339.13052 -10.073184 -0.0 -20.146368 NaN -10.073184 11243 PLAT caleb_strategy_v3 [-1] 253.854738 -539.678719 -3.939261 -3.939261 -11.817782 NaN -7.878521 11242 CRUDE_W caleb_strategy_v3 [1] 15.561107 -279.543096 -3.213139 0.0 -6.426278 NaN -3.213139 11245 CRUDE_W caleb_strategy_v3 [1] 15.561107 -279.543096 -3.213139 -25.705112 NaN NaN -28.918251 11241 COPPER caleb_strategy_v3 [1] 0.709617 84.552624 -7.046052 7.046052 -7.046052 NaN 0.0 11244 COPPER caleb_strategy_v3 [1] 0.709617 88.07565 -3.523026 42.276312 NaN NaN 38.753286 11246 COPPER caleb_strategy_v3 [1] 0.709617 119.782884 -7.046052 0.0 -14.092104 NaN -7.046052 11248 MXP caleb_strategy_v3 [-1] 0.004167 -131.985432 -11.998676 -23.997351 -47.994702 NaN -35.996027 11253 DOW caleb_strategy_v3 [-1] 3625.175751 -302.054321 -1.379243 2.758487 -0.0 NaN 1.379243 11254 NZD caleb_strategy_v3 [1] 0.055022 377.120915 -4.543625 9.087251 0.0 NaN 4.543625 11250 RUSSELL caleb_strategy_v3 [1] 405.850341 820.499496 -2.463962 4.927925 0.0 NaN 2.463962 11258 RUSSELL caleb_strategy_v3 [1] 405.850341 820.499496 -2.463962 -9.85585 -14.783775 NaN -12.319812 11251 EUR caleb_strategy_v3 [1] 0.062108 825.172525 -4.025232 8.050464 0.0 NaN 4.025232 11259 EUR caleb_strategy_v3 [1] 0.062108 825.172525 -4.025232 8.050464 0.0 NaN 4.025232 11252 CHF caleb_strategy_v3 [-1] 0.075007 -643.271561 -3.333013 6.666027 -0.0 NaN 3.333013 11260 CHF caleb_strategy_v3 [-1] 0.075007 -639.938548 -6.666027 -13.332053 -26.664106 NaN -19.99808 11261 US10U caleb_strategy_v3 [-1] 9.300653 -949.194067 -8.399947 16.799895 -0.0 NaN 8.399947 11255 US10U caleb_strategy_v3 [-1] 9.300653 -932.394172 -8.399947 -16.799895 -33.59979 NaN -25.199842 11265 NASDAQ_micro caleb_strategy_v3 [-1] 2824.828244 -51.773059 -0.442505 -4.425048 -5.310057 NaN -4.867553 11267 NASDAQ_micro caleb_strategy_v3 [-1] 2824.828244 -56.198107 -0.442505 -10.620115 -11.505124 NaN -11.062619 11269 NASDAQ_micro caleb_strategy_v3 [-1] 2824.828244 -65.490707 -0.88501 -17.700191 -19.47021 NaN -18.585201 11271 NASDAQ_micro caleb_strategy_v3 [-1] 2824.828244 -83.190899 -0.88501 26.550287 24.780268 NaN 25.665277 11249 NASDAQ_micro caleb_strategy_v3 [-1] 2824.828244 -141.60153 -0.88501 1.770019 -0.0 NaN 0.88501 11257 NASDAQ_micro caleb_strategy_v3 [-1] 2824.828244 -138.061491 -0.88501 67.260727 65.490707 NaN 66.375717 11263 NASDAQ_micro caleb_strategy_v3 [-1] 2824.828244 -70.800765 -0.88501 18.585201 16.815182 NaN 17.700191 11264 SP500_micro caleb_strategy_v3 [1] 574.344013 237.227162 -2.176396 -8.705584 -13.058376 NaN -10.88198 11266 SP500_micro caleb_strategy_v3 [1] 574.344013 228.521578 -2.176396 13.058376 8.705584 NaN 10.88198 11268 SP500_micro caleb_strategy_v3 [1] 574.344013 239.403558 -4.352792 21.76396 13.058376 NaN 17.411168 11270 SP500_micro caleb_strategy_v3 [1] 574.344013 258.991121 -2.176396 -30.469544 -34.822336 NaN -32.64594 11272 SP500_micro caleb_strategy_v3 [1] 574.344013 228.521578 -2.176396 43.52792 39.175128 NaN 41.351524 11273 SP500_micro caleb_strategy_v3 [1] 574.344013 272.049497 -2.176396 52.233503 47.880712 NaN 50.057108 11274 SP500_micro caleb_strategy_v3 [1] 574.344013 324.283001 -2.176396 4.352792 0.0 NaN 2.176396 11247 SP500_micro caleb_strategy_v3 [1] 574.344013 311.224625 -2.176396 -4.352792 -8.705584 NaN -6.529188 11256 SP500_micro caleb_strategy_v3 [1] 574.344013 306.871833 -2.176396 -43.52792 -47.880712 NaN -45.704316 11262 SP500_micro caleb_strategy_v3 [1] 574.344013 263.343913 -2.176396 -26.116752 -30.469544 NaN -28.293148 11275 REDWHEAT caleb_strategy_v3 [1] 188.960745 198.453917 0.0 476.289401 476.289401 NaN 476.289401 ======================================================================================================================================================================== 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 11234 JGB-SGX-mini caleb_strategy_v3 [-1] 676.114236 -60.850281 -6.761142 -0.0 -13.522285 NaN -6.761142 11235 NIKKEI caleb_strategy_v3 [1] 0.676114 28.734855 -1.690286 -3.380571 -6.761142 NaN -5.070857 11237 EUROSTX caleb_strategy_v3 [1] 10.94 -125.81 -5.47 0.0 -10.94 NaN -5.47 11238 SMI caleb_strategy_v3 [1] 11.3655 -102.2895 -11.3655 11.3655 -11.3655 NaN 0.0 11236 DAX caleb_strategy_v3 [1] 1.094 -26.803 -2.735 0.0 -5.47 NaN -2.735 11239 DAX caleb_strategy_v3 [1] 1.094 -27.35 -2.188 -3.282 -7.658 NaN -5.47 11240 COTTON2 caleb_strategy_v3 [-1] 500.0 -505.0 -15.0 -0.0 -30.0 NaN -15.0 11243 PLAT caleb_strategy_v3 [-1] 50.0 -685.0 -5.0 -5.0 -15.0 NaN -10.0 11242 CRUDE_W caleb_strategy_v3 [1] 1000.0 -435.0 -5.0 0.0 -10.0 NaN -5.0 11245 CRUDE_W caleb_strategy_v3 [1] 1000.0 -435.0 -5.0 -40.0 NaN NaN -45.0 11241 COPPER caleb_strategy_v3 [1] 25000.0 150.0 -12.5 12.5 -12.5 NaN 0.0 11244 COPPER caleb_strategy_v3 [1] 25000.0 156.25 -6.25 75.0 NaN NaN 68.75 11246 COPPER caleb_strategy_v3 [1] 25000.0 212.5 -12.5 0.0 -25.0 NaN -12.5 11248 MXP caleb_strategy_v3 [-1] 500000.0 -27.5 -2.5 -5.0 -10.0 NaN -7.5 11253 DOW caleb_strategy_v3 [-1] 0.5 -54.75 -0.25 0.5 -0.0 NaN 0.25 11254 NZD caleb_strategy_v3 [1] 100000.0 207.5 -2.5 5.0 0.0 NaN 2.5 11250 RUSSELL caleb_strategy_v3 [1] 5.0 166.5 -0.5 1.0 0.0 NaN 0.5 11258 RUSSELL caleb_strategy_v3 [1] 5.0 166.5 -0.5 -2.0 -3.0 NaN -2.5 11251 EUR caleb_strategy_v3 [1] 125000.0 640.625 -3.125 6.25 0.0 NaN 3.125 11259 EUR caleb_strategy_v3 [1] 125000.0 640.625 -3.125 6.25 0.0 NaN 3.125 11252 CHF caleb_strategy_v3 [-1] 125000.0 -603.125 -3.125 6.25 -0.0 NaN 3.125 11260 CHF caleb_strategy_v3 [-1] 125000.0 -600.0 -6.25 -12.5 -25.0 NaN -18.75 11261 US10U caleb_strategy_v3 [-1] 1000.0 -882.8125 -7.8125 15.625 -0.0 NaN 7.8125 11255 US10U caleb_strategy_v3 [-1] 1000.0 -867.1875 -7.8125 -15.625 -31.25 NaN -23.4375 11265 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -29.25 -0.25 -2.5 -3.0 NaN -2.75 11267 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -31.75 -0.25 -6.0 -6.5 NaN -6.25 11269 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -37.0 -0.5 -10.0 -11.0 NaN -10.5 11271 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -47.0 -0.5 15.0 14.0 NaN 14.5 11249 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -80.0 -0.5 1.0 -0.0 NaN 0.5 11257 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -78.0 -0.5 38.0 37.0 NaN 37.5 11263 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -40.0 -0.5 10.5 9.5 NaN 10.0 11264 SP500_micro caleb_strategy_v3 [1] 5.0 68.125 -0.625 -2.5 -3.75 NaN -3.125 11266 SP500_micro caleb_strategy_v3 [1] 5.0 65.625 -0.625 3.75 2.5 NaN 3.125 11268 SP500_micro caleb_strategy_v3 [1] 5.0 68.75 -1.25 6.25 3.75 NaN 5.0 11270 SP500_micro caleb_strategy_v3 [1] 5.0 74.375 -0.625 -8.75 -10.0 NaN -9.375 11272 SP500_micro caleb_strategy_v3 [1] 5.0 65.625 -0.625 12.5 11.25 NaN 11.875 11273 SP500_micro caleb_strategy_v3 [1] 5.0 78.125 -0.625 15.0 13.75 NaN 14.375 11274 SP500_micro caleb_strategy_v3 [1] 5.0 93.125 -0.625 1.25 0.0 NaN 0.625 11247 SP500_micro caleb_strategy_v3 [1] 5.0 89.375 -0.625 -1.25 -2.5 NaN -1.875 11256 SP500_micro caleb_strategy_v3 [1] 5.0 88.125 -0.625 -12.5 -13.75 NaN -13.125 11262 SP500_micro caleb_strategy_v3 [1] 5.0 75.625 -0.625 -7.5 -8.75 NaN -8.125 11275 REDWHEAT caleb_strategy_v3 [1] 50.0 187.5 0.0 450.0 450.0 NaN 450.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF -1203.125 COPPER 518.75 COTTON2 -505.0 CRUDE_W -870.0 DAX -54.153 DOW -54.75 EUR 1281.25 EUROSTX -125.81 JGB-SGX-mini -60.850281 MXP -27.5 NASDAQ_micro -343.0 NIKKEI 28.734855 NZD 207.5 PLAT -685.0 REDWHEAT 187.5 RUSSELL 333.0 SMI -102.2895 SP500_micro 766.875 US10U -1750.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2457.867926 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -9.375 COPPER -31.25 COTTON2 -15.0 CRUDE_W -10.0 DAX -4.923 DOW -0.25 EUR -6.25 EUROSTX -5.47 JGB-SGX-mini -6.761142 MXP -2.5 NASDAQ_micro -3.0 NIKKEI -1.690286 NZD -2.5 PLAT -5.0 REDWHEAT 0.0 RUSSELL -1.0 SMI -11.3655 SP500_micro -6.875 US10U -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -138.834928 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF -6.25 COPPER 87.5 COTTON2 -0.0 CRUDE_W -40.0 DAX -3.282 DOW 0.5 EUR 12.5 EUROSTX 0.0 JGB-SGX-mini -0.0 MXP -5.0 NASDAQ_micro 46.0 NIKKEI -3.380571 NZD 5.0 PLAT -5.0 REDWHEAT 450.0 RUSSELL -1.0 SMI 11.3655 SP500_micro 6.25 US10U 0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 555.202929 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF -25.0 COPPER -37.5 COTTON2 -30.0 CRUDE_W -10.0 DAX -13.128 DOW -0.0 EUR 0.0 EUROSTX -10.94 JGB-SGX-mini -13.522285 MXP -10.0 NASDAQ_micro 40.0 NIKKEI -6.761142 NZD 0.0 PLAT -15.0 REDWHEAT 450.0 RUSSELL -3.0 SMI -11.3655 SP500_micro -7.5 US10U -31.25 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 265.033073 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 COPPER 0 COTTON2 0 CRUDE_W 0 DAX 0 DOW 0 EUR 0 EUROSTX 0 JGB-SGX-mini 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 PLAT 0 REDWHEAT 0 RUSSELL 0 SMI 0 SP500_micro 0 US10U 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 CHF -15.625 COPPER 56.25 COTTON2 -15.0 CRUDE_W -50.0 DAX -8.205 DOW 0.25 EUR 6.25 EUROSTX -5.47 JGB-SGX-mini -6.761142 MXP -7.5 NASDAQ_micro 43.0 NIKKEI -5.070857 NZD 2.5 PLAT -10.0 REDWHEAT 450.0 RUSSELL -2.0 SMI 0.0 SP500_micro -0.625 US10U -15.625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 416.368001 ******************************************************************************** END OF REPORT ********************************************************************************