******************************************************************************** Trades report produced on 15/04/2024 21:37 from 14/04/2024 21:37 to 15/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11834 CAC caleb_strategy_v3 [20240500] 2024-04-15 07:06:20 [-1] 7983.00000 11824 CAC caleb_strategy_v3 [20240500] 2024-04-15 07:01:22 [-1] 7985.00000 11821 CAC caleb_strategy_v3 [20240500] 2024-04-15 07:00:27 [-1] 7984.00000 11832 CAC caleb_strategy_v3 [20240500] 2024-04-15 07:04:21 [-1] 7999.00000 11833 CAC caleb_strategy_v3 [20240500] 2024-04-15 07:05:20 [-1] 7990.50000 11827 CAC caleb_strategy_v3 [20240500] 2024-04-15 07:02:21 [-1] 7990.00000 11830 CAC caleb_strategy_v3 [20240500] 2024-04-15 07:03:21 [-1] 7998.00000 11838 COCOA caleb_strategy_v3 [20240700] 2024-04-15 13:01:52 [1] 10708.00000 11839 COPPER caleb_strategy_v3 [20240700] 2024-04-15 13:01:54 [1] 4.36800 11840 CRUDE_W caleb_strategy_v3 [20241200] 2024-04-15 13:02:00 [-1] 79.89000 11822 DAX caleb_strategy_v3 [20240600] 2024-04-15 07:01:20 [-1] 18247.00000 11819 DAX caleb_strategy_v3 [20240600] 2024-04-15 07:00:21 [-1] 18241.00000 11825 DAX caleb_strategy_v3 [20240600] 2024-04-15 07:02:20 [-1] 18256.00000 11828 DAX caleb_strategy_v3 [20240600] 2024-04-15 07:03:20 [-1] 18262.00000 11853 DOW caleb_strategy_v3 [20240600] 2024-04-15 14:03:28 [1] 38540.00000 11851 DOW caleb_strategy_v3 [20240600] 2024-04-15 14:02:28 [1] 38558.00000 11844 DOW caleb_strategy_v3 [20240600] 2024-04-15 14:00:36 [1] 38560.00000 11847 DOW caleb_strategy_v3 [20240600] 2024-04-15 14:01:28 [1] 38563.00000 11836 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-15 08:06:22 [-1] 97.55500 11829 EUROSTX caleb_strategy_v3 [20240600] 2024-04-15 07:03:20 [-1] 4940.00000 11826 EUROSTX caleb_strategy_v3 [20240600] 2024-04-15 07:02:21 [-1] 4937.00000 11823 EUROSTX caleb_strategy_v3 [20240600] 2024-04-15 07:01:22 [-1] 4935.00000 11820 EUROSTX caleb_strategy_v3 [20240600] 2024-04-15 07:00:25 [-1] 4935.00000 11831 EUROSTX caleb_strategy_v3 [20240600] 2024-04-15 07:04:20 [-1] 4941.00000 11835 GASOIL caleb_strategy_v3 [20240700] 2024-04-15 08:00:39 [-1] 816.00000 11817 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-15 02:08:53 [-1] 144.47000 11818 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-15 02:09:00 [-1] 144.47000 11816 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-15 02:07:17 [-1] 144.47000 11815 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-15 02:01:37 [-1] 144.47000 11843 MXP caleb_strategy_v3 [20240600] 2024-04-15 14:00:35 [1] 0.05938 11850 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-15 14:01:49 [1] 18323.25000 11846 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-15 14:00:40 [1] 18311.50000 11841 PLAT caleb_strategy_v3 [20240700] 2024-04-15 13:02:01 [1] 985.50000 11837 ROBUSTA caleb_strategy_v3 [20240700] 2024-04-15 09:01:07 [-1] 3830.00000 11842 SP400 caleb_strategy_v3 [20240600] 2024-04-15 14:00:30 [-1] 2941.70000 11848 SP500_micro caleb_strategy_v3 [20240600] 2024-04-15 14:01:28 [-1] 5209.50000 11852 SP500_micro caleb_strategy_v3 [20240600] 2024-04-15 14:02:29 [-1] 5209.25000 11845 SP500_micro caleb_strategy_v3 [20240600] 2024-04-15 14:00:38 [-1] 5207.50000 11849 VIX caleb_strategy_v3 [20240700] 2024-04-15 14:01:49 [1] 17.65000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11816 JGB-SGX-mini caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 03:02:17.162 2024-04-15 02:07:17 270137.162 NaN 11817 JGB-SGX-mini caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 03:07:21.133 2024-04-15 02:08:53 270441.133 NaN 11818 JGB-SGX-mini caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 03:08:57.171 2024-04-15 02:09:00 270537.171 NaN 11815 JGB-SGX-mini caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 03:01:16.774 2024-04-15 02:01:37 270076.774 NaN 11825 DAX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:02:19.887 2024-04-15 07:02:20 288139.887 NaN 11819 DAX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:00:20.906 2024-04-15 07:00:21 288020.906 NaN 11828 DAX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:03:19.856 2024-04-15 07:03:20 288199.856 NaN 11822 DAX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:01:19.992 2024-04-15 07:01:20 288079.992 NaN 11820 EUROSTX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:00:22.046 2024-04-15 07:00:25 288022.046 NaN 11823 EUROSTX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:01:20.541 2024-04-15 07:01:22 288080.541 NaN 11826 EUROSTX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:02:21.024 2024-04-15 07:02:21 288141.024 NaN 11829 EUROSTX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:03:20.547 2024-04-15 07:03:20 288200.547 NaN 11831 EUROSTX caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 08:04:20.240 2024-04-15 07:04:20 288260.24 NaN 11821 CAC caleb_strategy_v3 2024-04-12 16:00:00 2024-04-15 08:00:26.810 2024-04-15 07:00:27 230426.81 NaN 11824 CAC caleb_strategy_v3 2024-04-12 16:00:00 2024-04-15 08:01:22.871 2024-04-15 07:01:22 230482.871 NaN 11827 CAC caleb_strategy_v3 2024-04-12 16:00:00 2024-04-15 08:02:21.730 2024-04-15 07:02:21 230541.73 NaN 11830 CAC caleb_strategy_v3 2024-04-12 16:00:00 2024-04-15 08:03:21.262 2024-04-15 07:03:21 230601.262 NaN 11832 CAC caleb_strategy_v3 2024-04-12 16:00:00 2024-04-15 08:04:20.964 2024-04-15 07:04:21 230660.964 NaN 11833 CAC caleb_strategy_v3 2024-04-12 16:00:00 2024-04-15 08:05:20.257 2024-04-15 07:05:20 230720.257 NaN 11834 CAC caleb_strategy_v3 2024-04-12 16:00:00 2024-04-15 08:06:20.142 2024-04-15 07:06:20 230780.142 NaN 11835 GASOIL caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 09:00:23.722 2024-04-15 08:00:39 291623.722 NaN 11836 EURIBOR-ICE caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 09:01:22.167 2024-04-15 08:06:22 291682.167 NaN 11837 ROBUSTA caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 10:00:34.902 2024-04-15 09:01:07 295234.902 NaN 11838 COCOA caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 14:00:48.794 2024-04-15 13:01:52 309648.794 NaN 11839 COPPER caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 14:01:53.770 2024-04-15 13:01:54 309713.77 NaN 11840 CRUDE_W caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 14:01:55.595 2024-04-15 13:02:00 309715.595 NaN 11841 PLAT caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 14:02:00.970 2024-04-15 13:02:01 309720.97 NaN 11842 SP400 caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:00:28.810 2024-04-15 14:00:30 313228.81 NaN 11843 MXP caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:00:31.662 2024-04-15 14:00:35 313231.662 NaN 11849 VIX caleb_strategy_v3 2024-04-11 00:00:00 2024-04-15 15:01:29.499 2024-04-15 14:01:49 399689.499 NaN 11850 NASDAQ_micro caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:01:49.598 2024-04-15 14:01:49 313309.598 NaN 11846 NASDAQ_micro caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:00:40.354 2024-04-15 14:00:40 313240.354 NaN 11848 SP500_micro caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:01:28.808 2024-04-15 14:01:28 313288.808 NaN 11852 SP500_micro caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:02:28.953 2024-04-15 14:02:29 313348.953 NaN 11845 SP500_micro caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:00:37.471 2024-04-15 14:00:38 313237.471 NaN 11851 DOW caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:02:28.383 2024-04-15 14:02:28 313348.383 NaN 11844 DOW caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:00:36.142 2024-04-15 14:00:36 313236.142 NaN 11853 DOW caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:03:28.873 2024-04-15 14:03:28 313408.873 NaN 11847 DOW caleb_strategy_v3 2024-04-12 00:00:00 2024-04-15 15:01:28.141 2024-04-15 14:01:28 313288.141 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 11816 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.475 144.47 144.48 144.48 144.47 -0.155 -0.005 -0.0 -0.01 NaN -0.005 11817 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.48 144.47 144.49 144.49 144.47 -0.15 -0.01 -0.0 -0.02 NaN -0.01 11818 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.48 144.47 144.49 144.49 144.47 -0.15 -0.01 -0.0 -0.02 NaN -0.01 11815 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.485 144.48 144.49 144.49 144.47 -0.145 -0.005 -0.01 -0.02 NaN -0.015 11825 DAX caleb_strategy_v3 [-1] 18071.0 None 18255.5 18255.0 18256.0 18256.0 18256.0 184.5 -0.5 1.0 -0.0 NaN 0.5 11819 DAX caleb_strategy_v3 [-1] 18071.0 None 18240.0 18239.0 18241.0 18241.0 18241.0 169.0 -1.0 2.0 -0.0 NaN 1.0 11828 DAX caleb_strategy_v3 [-1] 18071.0 None 18255.5 18255.0 18256.0 18256.0 18262.0 184.5 -0.5 7.0 6.0 NaN 6.5 11822 DAX caleb_strategy_v3 [-1] 18071.0 None 18241.0 18240.0 18242.0 18242.0 18247.0 170.0 -1.0 7.0 5.0 NaN 6.0 11820 EUROSTX caleb_strategy_v3 [-1] 4881.0 None 4934.5 4934.0 4935.0 4935.0 4935.0 53.5 -0.5 1.0 -0.0 NaN 0.5 11823 EUROSTX caleb_strategy_v3 [-1] 4881.0 None 4934.5 4934.0 4935.0 4935.0 4935.0 53.5 -0.5 1.0 -0.0 NaN 0.5 11826 EUROSTX caleb_strategy_v3 [-1] 4881.0 None 4934.5 4934.0 4935.0 4935.0 4937.0 53.5 -0.5 3.0 2.0 NaN 2.5 11829 EUROSTX caleb_strategy_v3 [-1] 4881.0 None 4937.5 4937.0 4938.0 4938.0 4940.0 56.5 -0.5 3.0 2.0 NaN 2.5 11831 EUROSTX caleb_strategy_v3 [-1] 4881.0 None 4940.5 4940.0 4941.0 4941.0 4941.0 59.5 -0.5 1.0 -0.0 NaN 0.5 11821 CAC caleb_strategy_v3 [-1] 7945.0 None 7964.25 7963.0 7965.5 7965.5 7984.0 19.25 -1.25 21.0 18.5 NaN 19.75 11824 CAC caleb_strategy_v3 [-1] 7945.0 None 7964.25 7963.0 7965.5 7965.5 7985.0 19.25 -1.25 22.0 19.5 NaN 20.75 11827 CAC caleb_strategy_v3 [-1] 7945.0 None 7964.25 7963.0 7965.5 7965.5 7990.0 19.25 -1.25 27.0 24.5 NaN 25.75 11830 CAC caleb_strategy_v3 [-1] 7945.0 None 7964.25 7963.0 7965.5 7965.5 7998.0 19.25 -1.25 35.0 32.5 NaN 33.75 11832 CAC caleb_strategy_v3 [-1] 7945.0 None 7966.75 7965.5 7968.0 7968.0 7999.0 21.75 -1.25 33.5 31.0 NaN 32.25 11833 CAC caleb_strategy_v3 [-1] 7945.0 None 7966.75 7965.5 7968.0 7968.0 7990.5 21.75 -1.25 25.0 22.5 NaN 23.75 11834 CAC caleb_strategy_v3 [-1] 7945.0 None 7966.75 7965.5 7968.0 7968.0 7983.0 21.75 -1.25 17.5 15.0 NaN 16.25 11835 GASOIL caleb_strategy_v3 [-1] 823.75 None 816.125 816.0 816.25 816.25 816.0 -7.625 -0.125 -0.0 -0.25 NaN -0.125 11836 EURIBOR-ICE caleb_strategy_v3 [-1] 97.57 None 97.5575 97.555 97.56 97.56 97.555 -0.0125 -0.0025 -0.0 -0.005 NaN -0.0025 11837 ROBUSTA caleb_strategy_v3 [-1] 3850.0 None 3828.5 3827.0 3830.0 3830.0 3830.0 -21.5 -1.5 3.0 -0.0 NaN 1.5 11838 COCOA caleb_strategy_v3 [1] 10377.0 None 10712.5 10717.0 10708.0 10708.0 10708.0 -335.5 -4.5 9.0 0.0 NaN 4.5 11839 COPPER caleb_strategy_v3 [1] 4.29 None 4.3685 4.369 4.368 4.368 4.368 -0.0785 -0.0005 0.001 0.0 NaN 0.0005 11840 CRUDE_W caleb_strategy_v3 [-1] 80.21 None 79.88 79.87 79.89 79.89 79.89 -0.33 -0.01 0.02 -0.0 NaN 0.01 11841 PLAT caleb_strategy_v3 [1] 993.4 None 985.1 985.3 984.9 984.9 985.5 8.3 -0.2 -0.2 -0.6 NaN -0.4 11842 SP400 caleb_strategy_v3 [-1] 2916.7 None 2942.45 2941.9 2943.0 2943.0 2941.7 25.75 -0.55 -0.2 -1.3 NaN -0.75 11843 MXP caleb_strategy_v3 [1] 0.05937 None 0.059375 0.05938 0.05937 0.05937 0.05938 -0.000005 -0.000005 0.0 -0.00001 NaN -0.000005 11849 VIX caleb_strategy_v3 [1] 17.25 None 17.675 17.7 17.65 17.65 17.65 -0.425 -0.025 0.05 0.0 NaN 0.025 11850 NASDAQ_micro caleb_strategy_v3 [1] 18136.5 None 18312.0 18312.25 18311.75 18311.75 18323.25 -175.5 -0.25 -11.0 -11.5 NaN -11.25 11846 NASDAQ_micro caleb_strategy_v3 [1] 18136.5 None 18310.375 18310.5 18310.25 18310.25 18311.5 -173.875 -0.125 -1.0 -1.25 NaN -1.125 11848 SP500_micro caleb_strategy_v3 [-1] 5154.5 None 5207.625 5207.5 5207.75 5207.75 5209.5 53.125 -0.125 2.0 1.75 NaN 1.875 11852 SP500_micro caleb_strategy_v3 [-1] 5154.5 None 5209.625 5209.5 5209.75 5209.75 5209.25 55.125 -0.125 -0.25 -0.5 NaN -0.375 11845 SP500_micro caleb_strategy_v3 [-1] 5154.5 None 5207.625 5207.5 5207.75 5207.75 5207.5 53.125 -0.125 -0.0 -0.25 NaN -0.125 11851 DOW caleb_strategy_v3 [1] 38183.0 None 38562.0 38563.0 38561.0 38561.0 38558.0 -379.0 -1.0 5.0 3.0 NaN 4.0 11844 DOW caleb_strategy_v3 [1] 38183.0 None 38557.0 38558.0 38556.0 38556.0 38560.0 -374.0 -1.0 -2.0 -4.0 NaN -3.0 11853 DOW caleb_strategy_v3 [1] 38183.0 None 38557.5 38558.0 38557.0 38557.0 38540.0 -374.5 -0.5 18.0 17.0 NaN 17.5 11847 DOW caleb_strategy_v3 [1] 38183.0 None 38559.5 38560.0 38559.0 38559.0 38563.0 -376.5 -0.5 -3.0 -4.0 NaN -3.5 ================================================================================================================================================================ 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 11816 JGB-SGX-mini caleb_strategy_v3 [-1] 4.404902 -351.880685 -11.35099 -0.0 -22.70198 NaN -11.35099 11817 JGB-SGX-mini caleb_strategy_v3 [-1] 4.404902 -340.529695 -22.70198 -0.0 -45.403959 NaN -22.70198 11818 JGB-SGX-mini caleb_strategy_v3 [-1] 4.404902 -340.529695 -22.70198 -0.0 -45.403959 NaN -22.70198 11815 JGB-SGX-mini caleb_strategy_v3 [-1] 4.404902 -329.178705 -11.35099 -22.70198 -45.403959 NaN -34.05297 11825 DAX caleb_strategy_v3 [-1] 1945.431375 948.375781 -2.570124 5.140248 -0.0 NaN 2.570124 11819 DAX caleb_strategy_v3 [-1] 1945.431375 868.701935 -5.140248 10.280496 -0.0 NaN 5.140248 11828 DAX caleb_strategy_v3 [-1] 1945.431375 948.375781 -2.570124 35.981737 30.841489 NaN 33.411613 11822 DAX caleb_strategy_v3 [-1] 1945.431375 873.842183 -5.140248 35.981737 25.701241 NaN 30.841489 11820 EUROSTX caleb_strategy_v3 [-1] 529.494165 1010.398291 -9.442975 18.885949 -0.0 NaN 9.442975 11823 EUROSTX caleb_strategy_v3 [-1] 529.494165 1010.398291 -9.442975 18.885949 -0.0 NaN 9.442975 11826 EUROSTX caleb_strategy_v3 [-1] 529.494165 1010.398291 -9.442975 56.657848 37.771899 NaN 47.214873 11829 EUROSTX caleb_strategy_v3 [-1] 529.494165 1067.056139 -9.442975 56.657848 37.771899 NaN 47.214873 11831 EUROSTX caleb_strategy_v3 [-1] 529.494165 1123.713988 -9.442975 18.885949 -0.0 NaN 9.442975 11821 CAC caleb_strategy_v3 [-1] 752.139126 255.936692 -16.619266 279.203664 245.965133 NaN 262.584399 11824 CAC caleb_strategy_v3 [-1] 752.139126 255.936692 -16.619266 292.499077 259.260545 NaN 275.879811 11827 CAC caleb_strategy_v3 [-1] 752.139126 255.936692 -16.619266 358.97614 325.737608 NaN 342.356874 11830 CAC caleb_strategy_v3 [-1] 752.139126 255.936692 -16.619266 465.33944 432.100909 NaN 448.720175 11832 CAC caleb_strategy_v3 [-1] 752.139126 289.175224 -16.619266 445.396322 412.15779 NaN 428.777056 11833 CAC caleb_strategy_v3 [-1] 752.139126 289.175224 -16.619266 332.385315 299.146783 NaN 315.766049 11834 CAC caleb_strategy_v3 [-1] 752.139126 289.175224 -16.619266 232.66972 199.431189 NaN 216.050454 11835 GASOIL caleb_strategy_v3 [-1] 207.231443 -367.946095 -6.031903 -0.0 -12.063806 NaN -6.031903 11836 EURIBOR-ICE caleb_strategy_v3 [-1] 1.06566 -117.298192 -23.459638 -0.0 -46.919277 NaN -23.459638 11837 ROBUSTA caleb_strategy_v3 [-1] 828.741613 -259.429473 -18.099731 36.199461 -0.0 NaN 18.099731 11838 COCOA caleb_strategy_v3 [1] 2857.612418 -1174.057048 -15.747412 31.494824 0.0 NaN 15.747412 11839 COPPER caleb_strategy_v3 [1] 0.709746 -1106.030001 -7.044777 14.089554 0.0 NaN 7.044777 11840 CRUDE_W caleb_strategy_v3 [-1] 13.500281 -244.43936 -7.407253 14.814507 -0.0 NaN 7.407253 11841 PLAT caleb_strategy_v3 [1] 253.728863 327.120845 -7.88243 -7.88243 -23.64729 NaN -15.76486 11842 SP400 caleb_strategy_v3 [-1] 485.829675 530.021144 -11.32084 -4.116669 -26.758349 NaN -15.437509 11843 MXP caleb_strategy_v3 [1] 0.00532 -9.398084 -9.398084 0.0 -18.796168 NaN -9.398084 11849 VIX caleb_strategy_v3 [1] 6.55549 -648.311548 -38.135973 76.271947 0.0 NaN 38.135973 11850 NASDAQ_micro caleb_strategy_v3 [1] 3056.015278 -574.277234 -0.818059 -35.994584 -37.630702 NaN -36.812643 11846 NASDAQ_micro caleb_strategy_v3 [1] 3056.015278 -568.959852 -0.409029 -3.272235 -4.090294 NaN -3.681264 11848 SP500_micro caleb_strategy_v3 [-1] 675.974093 785.9029 -1.849183 29.586933 25.888566 NaN 27.737749 11852 SP500_micro caleb_strategy_v3 [-1] 675.974093 815.489832 -1.849183 -3.698367 -7.396733 NaN -5.54755 11845 SP500_micro caleb_strategy_v3 [-1] 675.974093 785.9029 -1.849183 -0.0 -3.698367 NaN -1.849183 11851 DOW caleb_strategy_v3 [1] 4572.622996 -828.845939 -2.186929 10.934643 6.560786 NaN 8.747714 11844 DOW caleb_strategy_v3 [1] 4572.622996 -817.911296 -2.186929 -4.373857 -8.747714 NaN -6.560786 11853 DOW caleb_strategy_v3 [1] 4572.622996 -819.00476 -1.093464 39.364715 37.177786 NaN 38.27125 11847 DOW caleb_strategy_v3 [1] 4572.622996 -823.378617 -1.093464 -6.560786 -8.747714 NaN -7.65425 ========================================================================================================================================================================= 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 11816 JGB-SGX-mini caleb_strategy_v3 [-1] 649.979526 -100.746826 -3.249898 -0.0 -6.499795 NaN -3.249898 11817 JGB-SGX-mini caleb_strategy_v3 [-1] 649.979526 -97.496929 -6.499795 -0.0 -12.999591 NaN -6.499795 11818 JGB-SGX-mini caleb_strategy_v3 [-1] 649.979526 -97.496929 -6.499795 -0.0 -12.999591 NaN -6.499795 11815 JGB-SGX-mini caleb_strategy_v3 [-1] 649.979526 -94.247031 -3.249898 -6.499795 -12.999591 NaN -9.749693 11825 DAX caleb_strategy_v3 [-1] 1.06575 196.630875 -0.532875 1.06575 -0.0 NaN 0.532875 11819 DAX caleb_strategy_v3 [-1] 1.06575 180.11175 -1.06575 2.1315 -0.0 NaN 1.06575 11828 DAX caleb_strategy_v3 [-1] 1.06575 196.630875 -0.532875 7.46025 6.3945 NaN 6.927375 11822 DAX caleb_strategy_v3 [-1] 1.06575 181.1775 -1.06575 7.46025 5.32875 NaN 6.3945 11820 EUROSTX caleb_strategy_v3 [-1] 10.6575 570.17625 -5.32875 10.6575 -0.0 NaN 5.32875 11823 EUROSTX caleb_strategy_v3 [-1] 10.6575 570.17625 -5.32875 10.6575 -0.0 NaN 5.32875 11826 EUROSTX caleb_strategy_v3 [-1] 10.6575 570.17625 -5.32875 31.9725 21.315 NaN 26.64375 11829 EUROSTX caleb_strategy_v3 [-1] 10.6575 602.14875 -5.32875 31.9725 21.315 NaN 26.64375 11831 EUROSTX caleb_strategy_v3 [-1] 10.6575 634.12125 -5.32875 10.6575 -0.0 NaN 5.32875 11821 CAC caleb_strategy_v3 [-1] 10.6575 205.156875 -13.321875 223.8075 197.16375 NaN 210.485625 11824 CAC caleb_strategy_v3 [-1] 10.6575 205.156875 -13.321875 234.465 207.82125 NaN 221.143125 11827 CAC caleb_strategy_v3 [-1] 10.6575 205.156875 -13.321875 287.7525 261.10875 NaN 274.430625 11830 CAC caleb_strategy_v3 [-1] 10.6575 205.156875 -13.321875 373.0125 346.36875 NaN 359.690625 11832 CAC caleb_strategy_v3 [-1] 10.6575 231.800625 -13.321875 357.02625 330.3825 NaN 343.704375 11833 CAC caleb_strategy_v3 [-1] 10.6575 231.800625 -13.321875 266.4375 239.79375 NaN 253.115625 11834 CAC caleb_strategy_v3 [-1] 10.6575 231.800625 -13.321875 186.50625 159.8625 NaN 173.184375 11835 GASOIL caleb_strategy_v3 [-1] 100.0 -762.5 -12.5 -0.0 -25.0 NaN -12.5 11836 EURIBOR-ICE caleb_strategy_v3 [-1] 2664.375 -33.304687 -6.660937 -0.0 -13.321875 NaN -6.660937 11837 ROBUSTA caleb_strategy_v3 [-1] 10.0 -215.0 -15.0 30.0 -0.0 NaN 15.0 11838 COCOA caleb_strategy_v3 [1] 10.0 -3355.0 -45.0 90.0 0.0 NaN 45.0 11839 COPPER caleb_strategy_v3 [1] 25000.0 -1962.5 -12.5 25.0 0.0 NaN 12.5 11840 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -330.0 -10.0 20.0 -0.0 NaN 10.0 11841 PLAT caleb_strategy_v3 [1] 50.0 415.0 -10.0 -10.0 -30.0 NaN -20.0 11842 SP400 caleb_strategy_v3 [-1] 100.0 2575.0 -55.0 -20.0 -130.0 NaN -75.0 11843 MXP caleb_strategy_v3 [1] 500000.0 -2.5 -2.5 0.0 -5.0 NaN -2.5 11849 VIX caleb_strategy_v3 [1] 1000.0 -425.0 -25.0 50.0 0.0 NaN 25.0 11850 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -351.0 -0.5 -22.0 -23.0 NaN -22.5 11846 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -347.75 -0.25 -2.0 -2.5 NaN -2.25 11848 SP500_micro caleb_strategy_v3 [-1] 5.0 265.625 -0.625 10.0 8.75 NaN 9.375 11852 SP500_micro caleb_strategy_v3 [-1] 5.0 275.625 -0.625 -1.25 -2.5 NaN -1.875 11845 SP500_micro caleb_strategy_v3 [-1] 5.0 265.625 -0.625 -0.0 -1.25 NaN -0.625 11851 DOW caleb_strategy_v3 [1] 0.5 -189.5 -0.5 2.5 1.5 NaN 2.0 11844 DOW caleb_strategy_v3 [1] 0.5 -187.0 -0.5 -1.0 -2.0 NaN -1.5 11853 DOW caleb_strategy_v3 [1] 0.5 -187.25 -0.25 9.0 8.5 NaN 8.75 11847 DOW caleb_strategy_v3 [1] 0.5 -188.25 -0.25 -1.5 -2.0 NaN -1.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAC 1516.029375 COCOA -3355.0 COPPER -1962.5 CRUDE_W -330.0 DAX 754.551 DOW -752.0 EURIBOR-ICE -33.304687 EUROSTX 2946.79875 GASOIL -762.5 JGB-SGX-mini -389.987715 MXP -2.5 NASDAQ_micro -698.75 PLAT 415.0 ROBUSTA -215.0 SP400 2575.0 SP500_micro 806.875 VIX -425.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 87.711722 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAC -93.253125 COCOA -45.0 COPPER -12.5 CRUDE_W -10.0 DAX -3.19725 DOW -1.5 EURIBOR-ICE -6.660937 EUROSTX -26.64375 GASOIL -12.5 JGB-SGX-mini -19.499386 MXP -2.5 NASDAQ_micro -0.75 PLAT -10.0 ROBUSTA -15.0 SP400 -55.0 SP500_micro -1.875 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -340.879448 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAC 1929.0075 COCOA 90.0 COPPER 25.0 CRUDE_W 20.0 DAX 18.11775 DOW 9.0 EURIBOR-ICE -0.0 EUROSTX 95.9175 GASOIL -0.0 JGB-SGX-mini -6.499795 MXP 0.0 NASDAQ_micro -24.0 PLAT -10.0 ROBUSTA 30.0 SP400 -20.0 SP500_micro 8.75 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 2215.292955 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 1742.50125 COCOA 0.0 COPPER 0.0 CRUDE_W -0.0 DAX 11.72325 DOW 6.0 EURIBOR-ICE -13.321875 EUROSTX 42.63 GASOIL -25.0 JGB-SGX-mini -45.498567 MXP -5.0 NASDAQ_micro -25.5 PLAT -30.0 ROBUSTA -0.0 SP400 -130.0 SP500_micro 5.0 VIX 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 1533.534058 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 0 COCOA 0 COPPER 0 CRUDE_W 0 DAX 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 JGB-SGX-mini 0 MXP 0 NASDAQ_micro 0 PLAT 0 ROBUSTA 0 SP400 0 SP500_micro 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 1835.754375 COCOA 45.0 COPPER 12.5 CRUDE_W 10.0 DAX 14.9205 DOW 7.5 EURIBOR-ICE -6.660937 EUROSTX 69.27375 GASOIL -12.5 JGB-SGX-mini -25.999181 MXP -2.5 NASDAQ_micro -24.75 PLAT -20.0 ROBUSTA 15.0 SP400 -75.0 SP500_micro 6.875 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 1874.413506 ******************************************************************************** END OF REPORT ********************************************************************************