******************************************************************************** Trades report produced on 17/04/2024 21:37 from 16/04/2024 21:37 to 17/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11955 BUXL caleb_strategy_v3 [20240600] 2024-04-17 07:00:39 [-1] 131.24000 11972 COCOA caleb_strategy_v3 [20240700] 2024-04-17 13:01:10 [-1] 10030.00000 11966 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:07:36 [-1] 18002.00000 11965 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:06:36 [-1] 17996.00000 11964 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:05:36 [-1] 18002.00000 11957 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:00:46 [-1] 17980.00000 11959 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:01:36 [-1] 17983.00000 11961 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:02:35 [-1] 17994.00000 11962 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:03:36 [-1] 18005.00000 11963 DAX caleb_strategy_v3 [20240600] 2024-04-17 07:04:36 [-1] 18007.00000 11995 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:09:09 [1] 38158.00000 11984 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:02:08 [1] 38163.00000 11994 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:08:08 [1] 38162.00000 11986 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:03:08 [1] 38171.00000 11990 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:05:08 [1] 38134.00000 11981 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:01:07 [1] 38156.00000 11992 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:06:08 [1] 38137.00000 11974 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:00:03 [1] 38206.00000 11993 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:07:08 [1] 38152.00000 11988 DOW caleb_strategy_v3 [20240600] 2024-04-17 14:04:08 [1] 38146.00000 11978 EUR caleb_strategy_v3 [20240600] 2024-04-17 14:00:40 [-1] 1.06695 11967 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-17 08:03:31 [-1] 97.42000 11968 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-17 08:04:06 [-1] 97.41500 11954 EUROSTX caleb_strategy_v3 [20240600] 2024-04-17 07:00:36 [-1] 4854.00000 11969 GAS_US_mini caleb_strategy_v3 [20240700] 2024-04-17 13:01:02 [-1] 2.29500 11973 GAS_US_mini caleb_strategy_v3 [20240700] 2024-04-17 13:02:32 [-1] 2.29000 11970 GOLD_micro caleb_strategy_v3 [20240600] 2024-04-17 13:01:03 [-1] 2400.40000 11997 LEANHOG caleb_strategy_v3 [20240700] 2024-04-17 14:30:15 [-1] 104.10000 11996 LIVECOW caleb_strategy_v3 [20240600] 2024-04-17 14:30:14 [-1] 174.97500 11976 MXP caleb_strategy_v3 [20240600] 2024-04-17 14:00:35 [-1] 0.05855 11977 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-17 14:00:36 [-1] 17881.50000 11982 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-17 14:01:08 [-1] 17873.50000 11952 NIKKEI caleb_strategy_v3 [20240600] 2024-04-17 02:02:23 [-1] 38400.00000 11951 NIKKEI caleb_strategy_v3 [20240600] 2024-04-17 02:01:20 [-1] 38380.00000 11953 NIKKEI caleb_strategy_v3 [20240600] 2024-04-17 02:03:20 [-1] 38400.00000 11956 OAT caleb_strategy_v3 [20240600] 2024-04-17 07:00:45 [1] 126.05000 11971 PLAT caleb_strategy_v3 [20240700] 2024-04-17 13:01:05 [-1] 962.70000 11960 SMI caleb_strategy_v3 [20240600] 2024-04-17 07:01:36 [-1] 11136.00000 11958 SMI caleb_strategy_v3 [20240600] 2024-04-17 07:00:47 [-1] 11132.00000 11998 SOYBEAN caleb_strategy_v3 [20241100] 2024-04-17 14:30:16 [-1] 1161.00000 11989 SP500_micro caleb_strategy_v3 [20240600] 2024-04-17 14:04:08 [-1] 5101.00000 11987 SP500_micro caleb_strategy_v3 [20240600] 2024-04-17 14:03:08 [-1] 5103.25000 11985 SP500_micro caleb_strategy_v3 [20240600] 2024-04-17 14:02:09 [-1] 5104.50000 11983 SP500_micro caleb_strategy_v3 [20240600] 2024-04-17 14:01:08 [-1] 5104.00000 11980 SP500_micro caleb_strategy_v3 [20240600] 2024-04-17 14:00:49 [-1] 5105.50000 11991 SP500_micro caleb_strategy_v3 [20240600] 2024-04-17 14:05:08 [-1] 5100.50000 11979 US10U caleb_strategy_v3 [20240600] 2024-04-17 14:00:48 [-1] 110.68750 11975 VIX caleb_strategy_v3 [20240700] 2024-04-17 14:00:29 [1] 18.10000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11952 NIKKEI caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 03:02:19.955 2024-04-17 02:02:23 97339.955 NaN 11953 NIKKEI caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 03:03:20.140 2024-04-17 02:03:20 97400.14 NaN 11951 NIKKEI caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 03:01:19.647 2024-04-17 02:01:20 97279.647 NaN 11954 EUROSTX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:00:35.962 2024-04-17 07:00:36 115235.962 NaN 11955 BUXL caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:00:37.026 2024-04-17 07:00:39 115237.026 NaN 11956 OAT caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:00:39.754 2024-04-17 07:00:45 115239.754 NaN 11960 SMI caleb_strategy_v3 2024-04-16 19:00:00 2024-04-17 08:01:36.641 2024-04-17 07:01:36 46896.641 NaN 11958 SMI caleb_strategy_v3 2024-04-16 19:00:00 2024-04-17 08:00:47.394 2024-04-17 07:00:47 46847.394 NaN 11957 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:00:45.750 2024-04-17 07:00:46 115245.75 NaN 11959 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:01:35.936 2024-04-17 07:01:36 115295.936 NaN 11961 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:02:35.760 2024-04-17 07:02:35 115355.76 NaN 11962 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:03:35.950 2024-04-17 07:03:36 115415.95 NaN 11963 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:04:35.965 2024-04-17 07:04:36 115475.965 NaN 11964 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:05:35.989 2024-04-17 07:05:36 115535.989 NaN 11965 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:06:36.010 2024-04-17 07:06:36 115596.01 NaN 11966 DAX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 08:07:36.032 2024-04-17 07:07:36 115656.032 NaN 11968 EURIBOR-ICE caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 09:03:35.292 2024-04-17 08:04:06 119015.292 NaN 11967 EURIBOR-ICE caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 09:00:38.538 2024-04-17 08:03:31 118838.538 NaN 11970 GOLD_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 14:01:03.178 2024-04-17 13:01:03 136863.178 NaN 11971 PLAT caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 14:01:04.366 2024-04-17 13:01:05 136864.366 NaN 11972 COCOA caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 14:01:06.302 2024-04-17 13:01:10 136866.302 NaN 11969 GAS_US_mini caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 14:01:00.539 2024-04-17 13:01:02 136860.539 NaN 11973 GAS_US_mini caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 14:02:00.146 2024-04-17 13:02:32 136920.146 NaN 11975 VIX caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:00:04.347 2024-04-17 14:00:29 140404.347 NaN 11976 MXP caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:00:30.310 2024-04-17 14:00:35 140430.31 NaN 11978 EUR caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:00:37.735 2024-04-17 14:00:40 140437.735 NaN 11979 US10U caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:00:41.118 2024-04-17 14:00:48 140441.118 NaN 11977 NASDAQ_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:00:36.782 2024-04-17 14:00:36 140436.782 NaN 11982 NASDAQ_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:01:08.042 2024-04-17 14:01:08 140468.042 NaN 11980 SP500_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:00:49.254 2024-04-17 14:00:49 140449.254 NaN 11983 SP500_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:01:08.579 2024-04-17 14:01:08 140468.579 NaN 11985 SP500_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:02:08.997 2024-04-17 14:02:09 140528.997 NaN 11987 SP500_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:03:08.758 2024-04-17 14:03:08 140588.758 NaN 11989 SP500_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:04:08.675 2024-04-17 14:04:08 140648.675 NaN 11991 SP500_micro caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:05:08.672 2024-04-17 14:05:08 140708.672 NaN 11974 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:00:02.907 2024-04-17 14:00:03 140402.907 NaN 11981 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:01:07.465 2024-04-17 14:01:07 140467.465 NaN 11984 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:02:08.026 2024-04-17 14:02:08 140528.026 NaN 11986 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:03:08.078 2024-04-17 14:03:08 140588.078 NaN 11988 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:04:08.079 2024-04-17 14:04:08 140648.079 NaN 11990 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:05:08.080 2024-04-17 14:05:08 140708.08 NaN 11992 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:06:08.101 2024-04-17 14:06:08 140768.101 NaN 11993 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:07:08.632 2024-04-17 14:07:08 140828.632 NaN 11994 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:08:08.610 2024-04-17 14:08:08 140888.61 NaN 11995 DOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:09:09.131 2024-04-17 14:09:09 140949.131 NaN 11996 LIVECOW caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:30:14.139 2024-04-17 14:30:14 142214.139 NaN 11997 LEANHOG caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:30:15.326 2024-04-17 14:30:15 142215.326 NaN 11998 SOYBEAN caleb_strategy_v3 2024-04-16 00:00:00 2024-04-17 15:30:16.466 2024-04-17 14:30:16 142216.466 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 11952 NIKKEI caleb_strategy_v3 [-1] 38570.0 None 38397.5 38395.0 38400.0 38400.0 38400.0 -172.5 -2.5 5.0 -0.0 NaN 2.5 11953 NIKKEI caleb_strategy_v3 [-1] 38570.0 None 38397.5 38395.0 38400.0 38400.0 38400.0 -172.5 -2.5 5.0 -0.0 NaN 2.5 11951 NIKKEI caleb_strategy_v3 [-1] 38570.0 None 38382.5 38380.0 38385.0 38385.0 38380.0 -187.5 -2.5 -0.0 -5.0 NaN -2.5 11954 EUROSTX caleb_strategy_v3 [-1] 4891.0 None 4853.5 4853.0 4854.0 4854.0 4854.0 -37.5 -0.5 1.0 -0.0 NaN 0.5 11955 BUXL caleb_strategy_v3 [-1] 131.12 None 131.26 131.24 131.28 131.28 131.24 0.14 -0.02 -0.0 -0.04 NaN -0.02 11956 OAT caleb_strategy_v3 [1] 126.06 None 126.055 126.06 126.05 126.05 126.05 0.005 -0.005 0.01 0.0 NaN 0.005 11960 SMI caleb_strategy_v3 [-1] 11147.0 None 11132.5 11132.0 11133.0 11133.0 11136.0 -14.5 -0.5 4.0 3.0 NaN 3.5 11958 SMI caleb_strategy_v3 [-1] 11147.0 None 11131.5 11131.0 11132.0 11132.0 11132.0 -15.5 -0.5 1.0 -0.0 NaN 0.5 11957 DAX caleb_strategy_v3 [-1] 18018.0 None 17981.0 17980.0 17982.0 17982.0 17980.0 -37.0 -1.0 -0.0 -2.0 NaN -1.0 11959 DAX caleb_strategy_v3 [-1] 18018.0 None 17980.0 17979.0 17981.0 17981.0 17983.0 -38.0 -1.0 4.0 2.0 NaN 3.0 11961 DAX caleb_strategy_v3 [-1] 18018.0 None 17984.0 17983.0 17985.0 17985.0 17994.0 -34.0 -1.0 11.0 9.0 NaN 10.0 11962 DAX caleb_strategy_v3 [-1] 18018.0 None 17995.0 17994.0 17996.0 17996.0 18005.0 -23.0 -1.0 11.0 9.0 NaN 10.0 11963 DAX caleb_strategy_v3 [-1] 18018.0 None 18006.0 18005.0 18007.0 18007.0 18007.0 -12.0 -1.0 2.0 -0.0 NaN 1.0 11964 DAX caleb_strategy_v3 [-1] 18018.0 None 18008.0 18007.0 18009.0 18009.0 18002.0 -10.0 -1.0 -5.0 -7.0 NaN -6.0 11965 DAX caleb_strategy_v3 [-1] 18018.0 None 18003.0 18002.0 18004.0 18004.0 17996.0 -15.0 -1.0 -6.0 -8.0 NaN -7.0 11966 DAX caleb_strategy_v3 [-1] 18018.0 None 17997.0 17996.0 17998.0 17998.0 18002.0 -21.0 -1.0 6.0 4.0 NaN 5.0 11968 EURIBOR-ICE caleb_strategy_v3 [-1] 97.415 None 97.42 97.415 97.425 97.425 97.415 0.005 -0.005 -0.0 -0.01 NaN -0.005 11967 EURIBOR-ICE caleb_strategy_v3 [-1] 97.415 None 97.4175 97.415 97.42 97.42 97.42 0.0025 -0.0025 0.005 -0.0 NaN 0.0025 11970 GOLD_micro caleb_strategy_v3 [-1] 2409.5 None 2400.6 2400.5 2400.7 2400.7 2400.4 -8.9 -0.1 -0.1 -0.3 NaN -0.2 11971 PLAT caleb_strategy_v3 [-1] 975.5 None 962.55 962.4 962.7 962.7 962.7 -12.95 -0.15 0.3 -0.0 NaN 0.15 11972 COCOA caleb_strategy_v3 [-1] 9657.0 None 10047.5 10045.0 10050.0 10050.0 10030.0 390.5 -2.5 -15.0 -20.0 NaN -17.5 11969 GAS_US_mini caleb_strategy_v3 [-1] 2.315 None 2.2975 2.295 2.3 2.3 2.295 -0.0175 -0.0025 -0.0 -0.005 NaN -0.0025 11973 GAS_US_mini caleb_strategy_v3 [-1] 2.315 None 2.2975 2.295 2.3 2.3 2.29 -0.0175 -0.0025 -0.005 -0.01 NaN -0.0075 11975 VIX caleb_strategy_v3 [1] 18.1 None 18.025 18.05 18.0 18.0 18.1 0.075 -0.025 -0.05 -0.1 NaN -0.075 11976 MXP caleb_strategy_v3 [-1] 0.05818 None 0.058545 0.05854 0.05855 0.05855 0.05855 0.000365 -0.000005 0.00001 -0.0 NaN 0.000005 11978 EUR caleb_strategy_v3 [-1] 1.0655 None 1.066925 1.0669 1.06695 1.06695 1.06695 0.001425 -0.000025 0.00005 -0.0 NaN 0.000025 11979 US10U caleb_strategy_v3 [-1] 110.4375 None 110.679688 110.671875 110.6875 110.6875 110.6875 0.242188 -0.007812 0.015625 -0.0 NaN 0.007812 11977 NASDAQ_micro caleb_strategy_v3 [-1] 17937.5 None 17880.875 17880.75 17881.0 17881.0 17881.5 -56.625 -0.125 0.75 0.5 NaN 0.625 11982 NASDAQ_micro caleb_strategy_v3 [-1] 17937.5 None 17881.75 17881.5 17882.0 17882.0 17873.5 -55.75 -0.25 -8.0 -8.5 NaN -8.25 11980 SP500_micro caleb_strategy_v3 [-1] 5109.5 None 5105.875 5105.75 5106.0 5106.0 5105.5 -3.625 -0.125 -0.25 -0.5 NaN -0.375 11983 SP500_micro caleb_strategy_v3 [-1] 5109.5 None 5105.625 5105.5 5105.75 5105.75 5104.0 -3.875 -0.125 -1.5 -1.75 NaN -1.625 11985 SP500_micro caleb_strategy_v3 [-1] 5109.5 None 5104.125 5104.0 5104.25 5104.25 5104.5 -5.375 -0.125 0.5 0.25 NaN 0.375 11987 SP500_micro caleb_strategy_v3 [-1] 5109.5 None 5104.5 5104.25 5104.75 5104.75 5103.25 -5.0 -0.25 -1.0 -1.5 NaN -1.25 11989 SP500_micro caleb_strategy_v3 [-1] 5109.5 None 5103.375 5103.25 5103.5 5103.5 5101.0 -6.125 -0.125 -2.25 -2.5 NaN -2.375 11991 SP500_micro caleb_strategy_v3 [-1] 5109.5 None 5101.125 5101.0 5101.25 5101.25 5100.5 -8.375 -0.125 -0.5 -0.75 NaN -0.625 11974 DOW caleb_strategy_v3 [1] 38133.0 None 38206.0 38207.0 38205.0 38205.0 38206.0 -73.0 -1.0 1.0 -1.0 NaN 0.0 11981 DOW caleb_strategy_v3 [1] 38133.0 None 38206.0 38207.0 38205.0 38205.0 38156.0 -73.0 -1.0 51.0 49.0 NaN 50.0 11984 DOW caleb_strategy_v3 [1] 38133.0 None 38154.5 38155.0 38154.0 38154.0 38163.0 -21.5 -0.5 -8.0 -9.0 NaN -8.5 11986 DOW caleb_strategy_v3 [1] 38133.0 None 38162.0 38163.0 38161.0 38161.0 38171.0 -29.0 -1.0 -8.0 -10.0 NaN -9.0 11988 DOW caleb_strategy_v3 [1] 38133.0 None 38170.5 38171.0 38170.0 38170.0 38146.0 -37.5 -0.5 25.0 24.0 NaN 24.5 11990 DOW caleb_strategy_v3 [1] 38133.0 None 38145.0 38146.0 38144.0 38144.0 38134.0 -12.0 -1.0 12.0 10.0 NaN 11.0 11992 DOW caleb_strategy_v3 [1] 38133.0 None 38133.5 38134.0 38133.0 38133.0 38137.0 -0.5 -0.5 -3.0 -4.0 NaN -3.5 11993 DOW caleb_strategy_v3 [1] 38133.0 None 38136.0 38137.0 38135.0 38135.0 38152.0 -3.0 -1.0 -15.0 -17.0 NaN -16.0 11994 DOW caleb_strategy_v3 [1] 38133.0 None 38151.5 38152.0 38151.0 38151.0 38162.0 -18.5 -0.5 -10.0 -11.0 NaN -10.5 11995 DOW caleb_strategy_v3 [1] 38133.0 None 38161.0 38162.0 38160.0 38160.0 38158.0 -28.0 -1.0 4.0 2.0 NaN 3.0 11996 LIVECOW caleb_strategy_v3 [-1] 175.675 None 175.0125 174.975 175.05 175.05 174.975 -0.6625 -0.0375 -0.0 -0.075 NaN -0.0375 11997 LEANHOG caleb_strategy_v3 [-1] 103.85 None 105.0 105.0 105.0 105.0 104.1 1.15 -0.0 -0.9 -0.9 NaN -0.9 11998 SOYBEAN caleb_strategy_v3 [-1] 1158.5 None 1150.0 1150.0 1150.0 1150.0 1161.0 -8.5 -0.0 11.0 11.0 NaN 11.0 =============================================================================================================================================================== 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 11952 NIKKEI caleb_strategy_v3 [-1] 6435.138637 -268.059493 -3.88492 7.76984 -0.0 NaN 3.88492 11953 NIKKEI caleb_strategy_v3 [-1] 6435.138637 -268.059493 -3.88492 7.76984 -0.0 NaN 3.88492 11951 NIKKEI caleb_strategy_v3 [-1] 6435.138637 -291.369014 -3.88492 -0.0 -7.76984 NaN -3.88492 11954 EUROSTX caleb_strategy_v3 [-1] 567.028432 -661.342499 -8.8179 17.6358 -0.0 NaN 8.8179 11955 BUXL caleb_strategy_v3 [-1] 24.309733 57.590101 -8.227157 -0.0 -16.454315 NaN -8.227157 11956 OAT caleb_strategy_v3 [1] 10.352116 4.829931 -4.829931 9.659861 0.0 NaN 4.829931 11960 SMI caleb_strategy_v3 [-1] 1223.372522 -118.524813 -4.087063 32.6965 24.522375 NaN 28.609438 11958 SMI caleb_strategy_v3 [-1] 1223.372522 -126.698939 -4.087063 8.174125 -0.0 NaN 4.087063 11957 DAX caleb_strategy_v3 [-1] 2084.913958 -177.465357 -4.796361 -0.0 -9.592722 NaN -4.796361 11959 DAX caleb_strategy_v3 [-1] 2084.913958 -182.261718 -4.796361 19.185444 9.592722 NaN 14.389083 11961 DAX caleb_strategy_v3 [-1] 2084.913958 -163.076274 -4.796361 52.759971 43.167249 NaN 47.96361 11962 DAX caleb_strategy_v3 [-1] 2084.913958 -110.316303 -4.796361 52.759971 43.167249 NaN 47.96361 11963 DAX caleb_strategy_v3 [-1] 2084.913958 -57.556332 -4.796361 9.592722 -0.0 NaN 4.796361 11964 DAX caleb_strategy_v3 [-1] 2084.913958 -47.96361 -4.796361 -23.981805 -33.574527 NaN -28.778166 11965 DAX caleb_strategy_v3 [-1] 2084.913958 -71.945415 -4.796361 -28.778166 -38.370888 NaN -33.574527 11966 DAX caleb_strategy_v3 [-1] 2084.913958 -100.723581 -4.796361 28.778166 19.185444 NaN 23.981805 11968 EURIBOR-ICE caleb_strategy_v3 [-1] 1.066677 46.874558 -46.874558 -0.0 -93.749116 NaN -46.874558 11967 EURIBOR-ICE caleb_strategy_v3 [-1] 1.066677 23.437279 -23.437279 46.874558 -0.0 NaN 23.437279 11970 GOLD_micro caleb_strategy_v3 [-1] 310.410701 -286.716919 -3.221538 -3.221538 -9.664615 NaN -6.443077 11971 PLAT caleb_strategy_v3 [-1] 256.38544 -505.098885 -5.850566 11.701132 -0.0 NaN 5.850566 11972 COCOA caleb_strategy_v3 [-1] 4036.280737 967.474825 -6.193821 -37.162925 -49.550567 NaN -43.356746 11969 GAS_US_mini caleb_strategy_v3 [-1] 1.405663 -124.496372 -17.785196 -0.0 -35.570392 NaN -17.785196 11973 GAS_US_mini caleb_strategy_v3 [-1] 1.405663 -124.496372 -17.785196 -35.570392 -71.140784 NaN -53.355588 11975 VIX caleb_strategy_v3 [1] 6.804039 110.228653 -36.742884 -73.485769 -146.971537 NaN -110.228653 11976 MXP caleb_strategy_v3 [-1] 0.006059 602.361267 -8.251524 16.503048 -0.0 NaN 8.251524 11978 EUR caleb_strategy_v3 [-1] 0.073973 192.636623 -3.37959 6.75918 -0.0 NaN 3.37959 11979 US10U caleb_strategy_v3 [-1] 9.949689 243.412136 -7.852004 15.704009 -0.0 NaN 7.852004 11977 NASDAQ_micro caleb_strategy_v3 [-1] 2992.673172 -189.212108 -0.417687 2.506121 1.670747 NaN 2.088434 11982 NASDAQ_micro caleb_strategy_v3 [-1] 2992.673172 -186.288301 -0.835374 -26.731953 -28.402701 NaN -27.567327 11980 SP500_micro caleb_strategy_v3 [-1] 657.494892 -55.133508 -1.901155 -3.802311 -7.604622 NaN -5.703466 11983 SP500_micro caleb_strategy_v3 [-1] 657.494892 -58.935819 -1.901155 -22.813865 -26.616176 NaN -24.715021 11985 SP500_micro caleb_strategy_v3 [-1] 657.494892 -81.749685 -1.901155 7.604622 3.802311 NaN 5.703466 11987 SP500_micro caleb_strategy_v3 [-1] 657.494892 -76.046218 -3.802311 -15.209244 -22.813865 NaN -19.011555 11989 SP500_micro caleb_strategy_v3 [-1] 657.494892 -93.156617 -1.901155 -34.220798 -38.023109 NaN -36.121954 11991 SP500_micro caleb_strategy_v3 [-1] 657.494892 -127.377415 -1.901155 -7.604622 -11.406933 NaN -9.505777 11974 DOW caleb_strategy_v3 [1] 4408.516823 -165.588571 -2.268337 2.268337 -2.268337 NaN 0.0 11981 DOW caleb_strategy_v3 [1] 4408.516823 -165.588571 -2.268337 115.685166 111.148493 NaN 113.416829 11984 DOW caleb_strategy_v3 [1] 4408.516823 -48.769237 -1.134168 -18.146693 -20.415029 NaN -19.280861 11986 DOW caleb_strategy_v3 [1] 4408.516823 -65.781761 -2.268337 -18.146693 -22.683366 NaN -20.415029 11988 DOW caleb_strategy_v3 [1] 4408.516823 -85.062622 -1.134168 56.708415 54.440078 NaN 55.574246 11990 DOW caleb_strategy_v3 [1] 4408.516823 -27.220039 -2.268337 27.220039 22.683366 NaN 24.951702 11992 DOW caleb_strategy_v3 [1] 4408.516823 -1.134168 -1.134168 -6.80501 -9.073346 NaN -7.939178 11993 DOW caleb_strategy_v3 [1] 4408.516823 -6.80501 -2.268337 -34.025049 -38.561722 NaN -36.293385 11994 DOW caleb_strategy_v3 [1] 4408.516823 -41.964227 -1.134168 -22.683366 -24.951702 NaN -23.817534 11995 DOW caleb_strategy_v3 [1] 4408.516823 -63.513424 -2.268337 9.073346 4.536673 NaN 6.80501 11996 LIVECOW caleb_strategy_v3 [-1] 24.715951 -268.045523 -15.172388 -0.0 -30.344776 NaN -15.172388 11997 LEANHOG caleb_strategy_v3 [-1] 21.652642 531.113007 -0.0 -415.653657 -415.653657 NaN -415.653657 11998 SOYBEAN caleb_strategy_v3 [-1] 162.034416 -524.579915 -0.0 678.868125 678.868125 NaN 678.868125 ========================================================================================================================================================================= 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 11952 NIKKEI caleb_strategy_v3 [-1] 0.646803 -111.573575 -1.617008 3.234017 -0.0 NaN 1.617008 11953 NIKKEI caleb_strategy_v3 [-1] 0.646803 -111.573575 -1.617008 3.234017 -0.0 NaN 1.617008 11951 NIKKEI caleb_strategy_v3 [-1] 0.646803 -121.275626 -1.617008 -0.0 -3.234017 NaN -1.617008 11954 EUROSTX caleb_strategy_v3 [-1] 10.609 -397.8375 -5.3045 10.609 -0.0 NaN 5.3045 11955 BUXL caleb_strategy_v3 [-1] 1060.9 148.526 -21.218 -0.0 -42.436 NaN -21.218 11956 OAT caleb_strategy_v3 [1] 1060.9 5.3045 -5.3045 10.609 0.0 NaN 5.3045 11960 SMI caleb_strategy_v3 [-1] 10.952 -158.804 -5.476 43.808 32.856 NaN 38.332 11958 SMI caleb_strategy_v3 [-1] 10.952 -169.756 -5.476 10.952 -0.0 NaN 5.476 11957 DAX caleb_strategy_v3 [-1] 1.0609 -39.2533 -1.0609 -0.0 -2.1218 NaN -1.0609 11959 DAX caleb_strategy_v3 [-1] 1.0609 -40.3142 -1.0609 4.2436 2.1218 NaN 3.1827 11961 DAX caleb_strategy_v3 [-1] 1.0609 -36.0706 -1.0609 11.6699 9.5481 NaN 10.609 11962 DAX caleb_strategy_v3 [-1] 1.0609 -24.4007 -1.0609 11.6699 9.5481 NaN 10.609 11963 DAX caleb_strategy_v3 [-1] 1.0609 -12.7308 -1.0609 2.1218 -0.0 NaN 1.0609 11964 DAX caleb_strategy_v3 [-1] 1.0609 -10.609 -1.0609 -5.3045 -7.4263 NaN -6.3654 11965 DAX caleb_strategy_v3 [-1] 1.0609 -15.9135 -1.0609 -6.3654 -8.4872 NaN -7.4263 11966 DAX caleb_strategy_v3 [-1] 1.0609 -22.2789 -1.0609 6.3654 4.2436 NaN 5.3045 11968 EURIBOR-ICE caleb_strategy_v3 [-1] 2652.25 13.26125 -13.26125 -0.0 -26.5225 NaN -13.26125 11967 EURIBOR-ICE caleb_strategy_v3 [-1] 2652.25 6.630625 -6.630625 13.26125 -0.0 NaN 6.630625 11970 GOLD_micro caleb_strategy_v3 [-1] 10.0 -89.0 -1.0 -1.0 -3.0 NaN -2.0 11971 PLAT caleb_strategy_v3 [-1] 50.0 -647.5 -7.5 15.0 -0.0 NaN 7.5 11972 COCOA caleb_strategy_v3 [-1] 10.0 3905.0 -25.0 -150.0 -200.0 NaN -175.0 11969 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -43.75 -6.25 -0.0 -12.5 NaN -6.25 11973 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -43.75 -6.25 -12.5 -25.0 NaN -18.75 11975 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 11976 MXP caleb_strategy_v3 [-1] 500000.0 182.5 -2.5 5.0 -0.0 NaN 2.5 11978 EUR caleb_strategy_v3 [-1] 125000.0 178.125 -3.125 6.25 -0.0 NaN 3.125 11979 US10U caleb_strategy_v3 [-1] 1000.0 242.1875 -7.8125 15.625 -0.0 NaN 7.8125 11977 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -113.25 -0.25 1.5 1.0 NaN 1.25 11982 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -111.5 -0.5 -16.0 -17.0 NaN -16.5 11980 SP500_micro caleb_strategy_v3 [-1] 5.0 -18.125 -0.625 -1.25 -2.5 NaN -1.875 11983 SP500_micro caleb_strategy_v3 [-1] 5.0 -19.375 -0.625 -7.5 -8.75 NaN -8.125 11985 SP500_micro caleb_strategy_v3 [-1] 5.0 -26.875 -0.625 2.5 1.25 NaN 1.875 11987 SP500_micro caleb_strategy_v3 [-1] 5.0 -25.0 -1.25 -5.0 -7.5 NaN -6.25 11989 SP500_micro caleb_strategy_v3 [-1] 5.0 -30.625 -0.625 -11.25 -12.5 NaN -11.875 11991 SP500_micro caleb_strategy_v3 [-1] 5.0 -41.875 -0.625 -2.5 -3.75 NaN -3.125 11974 DOW caleb_strategy_v3 [1] 0.5 -36.5 -0.5 0.5 -0.5 NaN 0.0 11981 DOW caleb_strategy_v3 [1] 0.5 -36.5 -0.5 25.5 24.5 NaN 25.0 11984 DOW caleb_strategy_v3 [1] 0.5 -10.75 -0.25 -4.0 -4.5 NaN -4.25 11986 DOW caleb_strategy_v3 [1] 0.5 -14.5 -0.5 -4.0 -5.0 NaN -4.5 11988 DOW caleb_strategy_v3 [1] 0.5 -18.75 -0.25 12.5 12.0 NaN 12.25 11990 DOW caleb_strategy_v3 [1] 0.5 -6.0 -0.5 6.0 5.0 NaN 5.5 11992 DOW caleb_strategy_v3 [1] 0.5 -0.25 -0.25 -1.5 -2.0 NaN -1.75 11993 DOW caleb_strategy_v3 [1] 0.5 -1.5 -0.5 -7.5 -8.5 NaN -8.0 11994 DOW caleb_strategy_v3 [1] 0.5 -9.25 -0.25 -5.0 -5.5 NaN -5.25 11995 DOW caleb_strategy_v3 [1] 0.5 -14.0 -0.5 2.0 1.0 NaN 1.5 11996 LIVECOW caleb_strategy_v3 [-1] 400.0 -265.0 -15.0 -0.0 -30.0 NaN -15.0 11997 LEANHOG caleb_strategy_v3 [-1] 400.0 460.0 -0.0 -360.0 -360.0 NaN -360.0 11998 SOYBEAN caleb_strategy_v3 [-1] 50.0 -425.0 -0.0 550.0 550.0 NaN 550.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUXL 148.526 COCOA 3905.0 DAX -201.571 DOW -148.0 EUR 178.125 EURIBOR-ICE 19.891875 EUROSTX -397.8375 GAS_US_mini -87.5 GOLD_micro -89.0 LEANHOG 460.0 LIVECOW -265.0 MXP 182.5 NASDAQ_micro -224.75 NIKKEI -344.422777 OAT 5.3045 PLAT -647.5 SMI -328.56 SOYBEAN -425.0 SP500_micro -161.875 US10U 242.1875 VIX 75.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1895.518598 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUXL -21.218 COCOA -25.0 DAX -8.4872 DOW -4.0 EUR -3.125 EURIBOR-ICE -19.891875 EUROSTX -5.3045 GAS_US_mini -12.5 GOLD_micro -1.0 LEANHOG -0.0 LIVECOW -15.0 MXP -2.5 NASDAQ_micro -0.75 NIKKEI -4.851025 OAT -5.3045 PLAT -7.5 SMI -10.952 SOYBEAN -0.0 SP500_micro -4.375 US10U -7.8125 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -184.5716 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUXL -0.0 COCOA -150.0 DAX 24.4007 DOW 24.5 EUR 6.25 EURIBOR-ICE 13.26125 EUROSTX 10.609 GAS_US_mini -12.5 GOLD_micro -1.0 LEANHOG -360.0 LIVECOW -0.0 MXP 5.0 NASDAQ_micro -14.5 NIKKEI 6.468033 OAT 10.609 PLAT 15.0 SMI 54.76 SOYBEAN 550.0 SP500_micro -25.0 US10U 15.625 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 123.482983 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL -42.436 COCOA -200.0 DAX 7.4263 DOW 16.5 EUR -0.0 EURIBOR-ICE -26.5225 EUROSTX -0.0 GAS_US_mini -37.5 GOLD_micro -3.0 LEANHOG -360.0 LIVECOW -30.0 MXP -0.0 NASDAQ_micro -16.0 NIKKEI -3.234017 OAT 0.0 PLAT -0.0 SMI 32.856 SOYBEAN 550.0 SP500_micro -33.75 US10U -0.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -245.660217 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0 COCOA 0 DAX 0 DOW 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 GOLD_micro 0 LEANHOG 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 OAT 0 PLAT 0 SMI 0 SOYBEAN 0 SP500_micro 0 US10U 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 BUXL -21.218 COCOA -175.0 DAX 15.9135 DOW 20.5 EUR 3.125 EURIBOR-ICE -6.630625 EUROSTX 5.3045 GAS_US_mini -25.0 GOLD_micro -2.0 LEANHOG -360.0 LIVECOW -15.0 MXP 2.5 NASDAQ_micro -15.25 NIKKEI 1.617008 OAT 5.3045 PLAT 7.5 SMI 43.808 SOYBEAN 550.0 SP500_micro -29.375 US10U 7.8125 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -61.088617 ******************************************************************************** END OF REPORT ********************************************************************************