******************************************************************************** Trades report produced on 25/04/2024 21:37 from 24/04/2024 21:37 to 25/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12133 BOBL caleb_strategy_v3 [20240600] 2024-04-25 07:03:33 [1] 116.63000 12129 BOBL caleb_strategy_v3 [20240600] 2024-04-25 07:01:32 [1] 116.62000 12131 BOBL caleb_strategy_v3 [20240600] 2024-04-25 07:02:33 [1] 116.61000 12126 BOBL caleb_strategy_v3 [20240600] 2024-04-25 07:00:47 [1] 116.62000 12128 BTP caleb_strategy_v3 [20240600] 2024-04-25 07:00:50 [1] 116.45000 12135 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-25 08:06:35 [1] 97.34500 12134 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-25 08:05:34 [1] 97.35000 12136 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-25 08:11:05 [1] 97.34000 12141 GASOLINE caleb_strategy_v3 [20240800] 2024-04-25 13:01:38 [1] 2.62570 12140 GASOLINE caleb_strategy_v3 [20240800] 2024-04-25 13:00:47 [1] 2.62530 12138 GOLD_micro caleb_strategy_v3 [20240600] 2024-04-25 13:00:43 [-1] 2341.80000 12139 HEATOIL caleb_strategy_v3 [20240800] 2024-04-25 13:00:45 [-1] 2.58180 12177 LEANHOG caleb_strategy_v3 [20240700] 2024-04-25 14:31:00 [1] 108.40000 12152 MXP caleb_strategy_v3 [20240600] 2024-04-25 14:04:06 [-1] 0.05737 12156 MXP caleb_strategy_v3 [20240600] 2024-04-25 14:05:07 [-1] 0.05738 12148 MXP caleb_strategy_v3 [20240600] 2024-04-25 14:03:08 [-1] 0.05736 12144 MXP caleb_strategy_v3 [20240600] 2024-04-25 14:02:59 [-1] 0.05737 12160 MXP caleb_strategy_v3 [20240600] 2024-04-25 14:06:43 [-1] 0.05740 12161 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-25 14:06:44 [-1] 17372.00000 12149 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-25 14:03:09 [-1] 17338.00000 12153 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-25 14:04:07 [-1] 17351.25000 12157 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-25 14:05:07 [-1] 17364.50000 12145 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-25 14:03:00 [-1] 17340.00000 12122 NIKKEI caleb_strategy_v3 [20240600] 2024-04-25 02:01:23 [-1] 37760.00000 12123 NIKKEI caleb_strategy_v3 [20240600] 2024-04-25 02:02:19 [-1] 37775.00000 12125 NIKKEI caleb_strategy_v3 [20240600] 2024-04-25 02:04:19 [-1] 37815.00000 12124 NIKKEI caleb_strategy_v3 [20240600] 2024-04-25 02:03:19 [-1] 37805.00000 12127 OAT caleb_strategy_v3 [20240600] 2024-04-25 07:00:49 [-1] 125.20000 12132 OAT caleb_strategy_v3 [20240600] 2024-04-25 07:02:33 [-1] 125.19000 12130 OAT caleb_strategy_v3 [20240600] 2024-04-25 07:01:33 [-1] 125.21000 12137 PLAT caleb_strategy_v3 [20240700] 2024-04-25 13:00:42 [-1] 912.80000 12162 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:06:45 [-1] 1969.40000 12158 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:05:08 [-1] 1968.80000 12150 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:03:09 [-1] 1966.60000 12146 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:03:02 [-1] 1966.40000 12172 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:12:51 [-1] 1976.90000 12154 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:04:07 [-1] 1967.10000 12168 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:09:08 [-1] 1972.60000 12166 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:08:09 [-1] 1972.50000 12164 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:07:08 [-1] 1969.90000 12170 RUSSELL caleb_strategy_v3 [20240600] 2024-04-25 14:10:11 [-1] 1974.70000 12142 SP400 caleb_strategy_v3 [20240600] 2024-04-25 14:00:48 [1] 2876.20000 12155 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:05:06 [-1] 17.20000 12151 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:04:06 [-1] 17.25000 12147 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:03:07 [-1] 17.30000 12176 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:16:45 [-1] 17.10000 12175 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:14:56 [-1] 17.15000 12143 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:02:48 [-1] 17.30000 12173 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:13:49 [-1] 17.15000 12171 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:12:50 [-1] 17.10000 12169 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:10:10 [-1] 17.15000 12159 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:06:43 [-1] 17.20000 12165 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:08:07 [-1] 17.15000 12163 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:07:07 [-1] 17.20000 12174 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:14:09 [-1] 17.15000 12167 VIX caleb_strategy_v3 [20240700] 2024-04-25 14:09:07 [-1] 17.20000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12122 NIKKEI caleb_strategy_v3 2024-04-24 2024-04-25 03:01:18.978 2024-04-25 02:01:23 97278.978 NaN 12123 NIKKEI caleb_strategy_v3 2024-04-24 2024-04-25 03:02:18.948 2024-04-25 02:02:19 97338.948 NaN 12124 NIKKEI caleb_strategy_v3 2024-04-24 2024-04-25 03:03:19.372 2024-04-25 02:03:19 97399.372 NaN 12125 NIKKEI caleb_strategy_v3 2024-04-24 2024-04-25 03:04:19.485 2024-04-25 02:04:19 97459.485 NaN 12128 BTP caleb_strategy_v3 2024-04-24 2024-04-25 08:00:50.043 2024-04-25 07:00:50 115250.043 NaN 12130 OAT caleb_strategy_v3 2024-04-24 2024-04-25 08:01:33.569 2024-04-25 07:01:33 115293.569 NaN 12132 OAT caleb_strategy_v3 2024-04-24 2024-04-25 08:02:33.538 2024-04-25 07:02:33 115353.538 NaN 12127 OAT caleb_strategy_v3 2024-04-24 2024-04-25 08:00:48.230 2024-04-25 07:00:49 115248.23 NaN 12129 BOBL caleb_strategy_v3 2024-04-24 2024-04-25 08:01:32.858 2024-04-25 07:01:32 115292.858 NaN 12131 BOBL caleb_strategy_v3 2024-04-24 2024-04-25 08:02:33.007 2024-04-25 07:02:33 115353.007 NaN 12133 BOBL caleb_strategy_v3 2024-04-24 2024-04-25 08:03:32.857 2024-04-25 07:03:33 115412.857 NaN 12126 BOBL caleb_strategy_v3 2024-04-24 2024-04-25 08:00:33.094 2024-04-25 07:00:47 115233.094 NaN 12136 EURIBOR-ICE caleb_strategy_v3 2024-04-24 2024-04-25 09:06:39.475 2024-04-25 08:11:05 119199.475 NaN 12134 EURIBOR-ICE caleb_strategy_v3 2024-04-24 2024-04-25 09:00:34.258 2024-04-25 08:05:34 118834.258 NaN 12135 EURIBOR-ICE caleb_strategy_v3 2024-04-24 2024-04-25 09:05:38.462 2024-04-25 08:06:35 119138.462 NaN 12137 PLAT caleb_strategy_v3 2024-04-24 2024-04-25 14:00:37.931 2024-04-25 13:00:42 136837.931 NaN 12138 GOLD_micro caleb_strategy_v3 2024-04-24 2024-04-25 14:00:43.623 2024-04-25 13:00:43 136843.623 NaN 12139 HEATOIL caleb_strategy_v3 2024-04-24 2024-04-25 14:00:44.683 2024-04-25 13:00:45 136844.683 NaN 12140 GASOLINE caleb_strategy_v3 2024-04-24 2024-04-25 14:00:46.511 2024-04-25 13:00:47 136846.511 NaN 12141 GASOLINE caleb_strategy_v3 2024-04-24 2024-04-25 14:01:37.837 2024-04-25 13:01:38 136897.837 NaN 12142 SP400 caleb_strategy_v3 2024-04-24 2024-04-25 15:00:42.435 2024-04-25 14:00:48 140442.435 NaN 12160 MXP caleb_strategy_v3 2024-04-24 2024-04-25 15:06:43.929 2024-04-25 14:06:43 140803.929 NaN 12144 MXP caleb_strategy_v3 2024-04-24 2024-04-25 15:02:49.287 2024-04-25 14:02:59 140569.287 NaN 12148 MXP caleb_strategy_v3 2024-04-24 2024-04-25 15:03:08.395 2024-04-25 14:03:08 140588.395 NaN 12152 MXP caleb_strategy_v3 2024-04-24 2024-04-25 15:04:06.732 2024-04-25 14:04:06 140646.732 NaN 12156 MXP caleb_strategy_v3 2024-04-24 2024-04-25 15:05:06.901 2024-04-25 14:05:07 140706.901 NaN 12161 NASDAQ_micro caleb_strategy_v3 2024-04-24 2024-04-25 15:06:44.528 2024-04-25 14:06:44 140804.528 NaN 12145 NASDAQ_micro caleb_strategy_v3 2024-04-24 2024-04-25 15:02:59.950 2024-04-25 14:03:00 140579.95 NaN 12149 NASDAQ_micro caleb_strategy_v3 2024-04-24 2024-04-25 15:03:08.890 2024-04-25 14:03:09 140588.89 NaN 12153 NASDAQ_micro caleb_strategy_v3 2024-04-24 2024-04-25 15:04:07.306 2024-04-25 14:04:07 140647.306 NaN 12157 NASDAQ_micro caleb_strategy_v3 2024-04-24 2024-04-25 15:05:07.717 2024-04-25 14:05:07 140707.717 NaN 12162 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:06:45.522 2024-04-25 14:06:45 140805.522 NaN 12164 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:07:07.575 2024-04-25 14:07:08 140827.575 NaN 12166 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:08:08.202 2024-04-25 14:08:09 140888.202 NaN 12168 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:09:08.322 2024-04-25 14:09:08 140948.322 NaN 12170 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:10:11.269 2024-04-25 14:10:11 141011.269 NaN 12172 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:12:51.076 2024-04-25 14:12:51 141171.076 NaN 12146 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:03:00.802 2024-04-25 14:03:02 140580.802 NaN 12150 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:03:09.848 2024-04-25 14:03:09 140589.848 NaN 12154 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:04:07.710 2024-04-25 14:04:07 140647.71 NaN 12158 RUSSELL caleb_strategy_v3 2024-04-24 2024-04-25 15:05:08.270 2024-04-25 14:05:08 140708.27 NaN 12163 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:07:07.095 2024-04-25 14:07:07 140827.095 NaN 12165 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:08:07.531 2024-04-25 14:08:07 140887.531 NaN 12167 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:09:07.719 2024-04-25 14:09:07 140947.719 NaN 12169 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:10:07.991 2024-04-25 14:10:10 141007.991 NaN 12171 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:11:08.367 2024-04-25 14:12:50 141068.367 NaN 12173 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:12:55.733 2024-04-25 14:13:49 141175.733 NaN 12174 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:13:56.015 2024-04-25 14:14:09 141236.015 NaN 12143 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:00:48.622 2024-04-25 14:02:48 140448.622 NaN 12175 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:14:56.508 2024-04-25 14:14:56 141296.508 NaN 12176 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:15:56.591 2024-04-25 14:16:45 141356.591 NaN 12147 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:03:05.951 2024-04-25 14:03:07 140585.951 NaN 12151 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:04:06.027 2024-04-25 14:04:06 140646.027 NaN 12155 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:05:06.250 2024-04-25 14:05:06 140706.25 NaN 12159 VIX caleb_strategy_v3 2024-04-24 2024-04-25 15:06:06.720 2024-04-25 14:06:43 140766.72 NaN 12177 LEANHOG caleb_strategy_v3 2024-04-24 2024-04-25 15:31:00.184 2024-04-25 14:31:00 142260.184 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 12122 NIKKEI caleb_strategy_v3 [-1] 38155.0 None 37767.5 37765.0 37770.0 37770.0 37760.0 -387.5 -2.5 -5.0 -10.0 NaN -7.5 12123 NIKKEI caleb_strategy_v3 [-1] 38155.0 None 37765.0 37760.0 37770.0 37770.0 37775.0 -390.0 -5.0 15.0 5.0 NaN 10.0 12124 NIKKEI caleb_strategy_v3 [-1] 38155.0 None 37777.5 37775.0 37780.0 37780.0 37805.0 -377.5 -2.5 30.0 25.0 NaN 27.5 12125 NIKKEI caleb_strategy_v3 [-1] 38155.0 None 37807.5 37805.0 37810.0 37810.0 37815.0 -347.5 -2.5 10.0 5.0 NaN 7.5 12128 BTP caleb_strategy_v3 [1] 116.48 None 116.455 116.46 116.45 116.45 116.45 0.025 -0.005 0.01 0.0 NaN 0.005 12130 OAT caleb_strategy_v3 [-1] 125.19 None 125.205 125.2 125.21 125.21 125.21 0.015 -0.005 0.01 -0.0 NaN 0.005 12132 OAT caleb_strategy_v3 [-1] 125.19 None 125.215 125.21 125.22 125.22 125.19 0.025 -0.005 -0.02 -0.03 NaN -0.025 12127 OAT caleb_strategy_v3 [-1] 125.19 None 125.215 125.21 125.22 125.22 125.2 0.025 -0.005 -0.01 -0.02 NaN -0.015 12129 BOBL caleb_strategy_v3 [1] 116.61 None 116.625 116.63 116.62 116.62 116.62 -0.015 -0.005 0.01 0.0 NaN 0.005 12131 BOBL caleb_strategy_v3 [1] 116.61 None 116.615 116.62 116.61 116.61 116.61 -0.005 -0.005 0.01 0.0 NaN 0.005 12133 BOBL caleb_strategy_v3 [1] 116.61 None 116.605 116.61 116.6 116.6 116.63 0.005 -0.005 -0.02 -0.03 NaN -0.025 12126 BOBL caleb_strategy_v3 [1] 116.61 None 116.625 116.63 116.62 116.62 116.62 -0.015 -0.005 0.01 0.0 NaN 0.005 12136 EURIBOR-ICE caleb_strategy_v3 [1] 97.32 None 97.345 97.35 97.34 97.34 97.34 -0.025 -0.005 0.01 0.0 NaN 0.005 12134 EURIBOR-ICE caleb_strategy_v3 [1] 97.32 None 97.3475 97.35 97.345 97.345 97.35 -0.0275 -0.0025 0.0 -0.005 NaN -0.0025 12135 EURIBOR-ICE caleb_strategy_v3 [1] 97.32 None 97.3475 97.35 97.345 97.345 97.345 -0.0275 -0.0025 0.005 0.0 NaN 0.0025 12137 PLAT caleb_strategy_v3 [-1] 913.8 None 912.65 912.5 912.8 912.8 912.8 -1.15 -0.15 0.3 -0.0 NaN 0.15 12138 GOLD_micro caleb_strategy_v3 [-1] 2334.2 None 2341.7 2341.6 2341.8 2341.8 2341.8 7.5 -0.1 0.2 -0.0 NaN 0.1 12139 HEATOIL caleb_strategy_v3 [-1] 2.5782 None 2.5829 2.5826 2.5832 2.5832 2.5818 0.0047 -0.0003 -0.0008 -0.0014 NaN -0.0011 12140 GASOLINE caleb_strategy_v3 [1] 2.6144 None 2.626 2.6263 2.6257 2.6257 2.6253 -0.0116 -0.0003 0.001 0.0004 NaN 0.0007 12141 GASOLINE caleb_strategy_v3 [1] 2.6144 None 2.625 2.6253 2.6247 2.6247 2.6257 -0.0106 -0.0003 -0.0004 -0.001 NaN -0.0007 12142 SP400 caleb_strategy_v3 [1] 2911.8 None 2876.5 2876.8 2876.2 2876.2 2876.2 35.3 -0.3 0.6 0.0 NaN 0.3 12160 MXP caleb_strategy_v3 [-1] 0.05807 None 0.057385 0.05738 0.05739 0.05739 0.0574 -0.000685 -0.000005 0.00002 0.00001 NaN 0.000015 12144 MXP caleb_strategy_v3 [-1] 0.05807 None 0.05738 0.05737 0.05739 0.05739 0.05737 -0.00069 -0.00001 -0.0 -0.00002 NaN -0.00001 12148 MXP caleb_strategy_v3 [-1] 0.05807 None 0.057375 0.05737 0.05738 0.05738 0.05736 -0.000695 -0.000005 -0.00001 -0.00002 NaN -0.000015 12152 MXP caleb_strategy_v3 [-1] 0.05807 None 0.057365 0.05736 0.05737 0.05737 0.05737 -0.000705 -0.000005 0.00001 -0.0 NaN 0.000005 12156 MXP caleb_strategy_v3 [-1] 0.05807 None 0.057375 0.05737 0.05738 0.05738 0.05738 -0.000695 -0.000005 0.00001 -0.0 NaN 0.000005 12161 NASDAQ_micro caleb_strategy_v3 [-1] 17634.25 None 17373.375 17373.25 17373.5 17373.5 17372.0 -260.875 -0.125 -1.25 -1.5 NaN -1.375 12145 NASDAQ_micro caleb_strategy_v3 [-1] 17634.25 None 17340.75 17340.5 17341.0 17341.0 17340.0 -293.5 -0.25 -0.5 -1.0 NaN -0.75 12149 NASDAQ_micro caleb_strategy_v3 [-1] 17634.25 None 17340.125 17340.0 17340.25 NaN 17338.0 -294.125 -0.125 -2.0 NaN NaN -2.125 12153 NASDAQ_micro caleb_strategy_v3 [-1] 17634.25 None 17350.875 17350.75 17351.0 17351.0 17351.25 -283.375 -0.125 0.5 0.25 NaN 0.375 12157 NASDAQ_micro caleb_strategy_v3 [-1] 17634.25 None 17363.75 17363.5 17364.0 17364.0 17364.5 -270.5 -0.25 1.0 0.5 NaN 0.75 12162 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1969.3 1969.2 1969.4 1969.4 1969.4 -32.8 -0.1 0.2 -0.0 NaN 0.1 12164 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1970.0 1969.9 1970.1 1970.1 1969.9 -32.1 -0.1 -0.0 -0.2 NaN -0.1 12166 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1972.4 1972.3 1972.5 1972.5 1972.5 -29.7 -0.1 0.2 -0.0 NaN 0.1 12168 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1972.8 1972.7 1972.9 1972.9 1972.6 -29.3 -0.1 -0.1 -0.3 NaN -0.2 12170 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1974.65 1974.6 1974.7 1974.7 1974.7 -27.45 -0.05 0.1 -0.0 NaN 0.05 12172 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1977.05 1977.0 1977.1 1977.1 1976.9 -25.05 -0.05 -0.1 -0.2 NaN -0.15 12146 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1966.55 1966.5 1966.6 1966.6 1966.4 -35.55 -0.05 -0.1 -0.2 NaN -0.15 12150 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1966.45 1966.4 1966.5 1966.5 1966.6 -35.65 -0.05 0.2 0.1 NaN 0.15 12154 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1966.65 1966.6 1966.7 NaN 1967.1 -35.45 -0.05 0.5 NaN NaN 0.45 12158 RUSSELL caleb_strategy_v3 [-1] 2002.1 None 1968.95 1968.9 1969.0 1969.0 1968.8 -33.15 -0.05 -0.1 -0.2 NaN -0.15 12163 VIX caleb_strategy_v3 [-1] 16.85 None 17.175 17.15 17.2 17.2 17.2 0.325 -0.025 0.05 -0.0 NaN 0.025 12165 VIX caleb_strategy_v3 [-1] 16.85 None 17.225 17.2 17.25 17.25 17.15 0.375 -0.025 -0.05 -0.1 NaN -0.075 12167 VIX caleb_strategy_v3 [-1] 16.85 None 17.175 17.15 17.2 17.2 17.2 0.325 -0.025 0.05 -0.0 NaN 0.025 12169 VIX caleb_strategy_v3 [-1] 16.85 None 17.225 17.2 17.25 17.25 17.15 0.375 -0.025 -0.05 -0.1 NaN -0.075 12171 VIX caleb_strategy_v3 [-1] 16.85 None 17.175 17.15 17.2 17.2 17.1 0.325 -0.025 -0.05 -0.1 NaN -0.075 12173 VIX caleb_strategy_v3 [-1] 16.85 None 17.125 17.1 17.15 17.15 17.15 0.275 -0.025 0.05 -0.0 NaN 0.025 12174 VIX caleb_strategy_v3 [-1] 16.85 None 17.125 17.1 17.15 17.15 17.15 0.275 -0.025 0.05 -0.0 NaN 0.025 12143 VIX caleb_strategy_v3 [-1] 16.85 None 17.275 17.25 17.3 17.3 17.3 0.425 -0.025 0.05 -0.0 NaN 0.025 12175 VIX caleb_strategy_v3 [-1] 16.85 None 17.125 17.1 17.15 17.15 17.15 0.275 -0.025 0.05 -0.0 NaN 0.025 12176 VIX caleb_strategy_v3 [-1] 16.85 None 17.175 17.15 17.2 17.2 17.1 0.325 -0.025 -0.05 -0.1 NaN -0.075 12147 VIX caleb_strategy_v3 [-1] 16.85 None 17.275 17.25 17.3 17.3 17.3 0.425 -0.025 0.05 -0.0 NaN 0.025 12151 VIX caleb_strategy_v3 [-1] 16.85 None 17.3 17.25 17.35 17.35 17.25 0.45 -0.05 -0.0 -0.1 NaN -0.05 12155 VIX caleb_strategy_v3 [-1] 16.85 None 17.275 17.25 17.3 17.3 17.2 0.425 -0.025 -0.05 -0.1 NaN -0.075 12159 VIX caleb_strategy_v3 [-1] 16.85 None 17.225 17.2 17.25 17.25 17.2 0.375 -0.025 -0.0 -0.05 NaN -0.025 12177 LEANHOG caleb_strategy_v3 [1] 110.0 None 107.5 107.5 107.5 NaN 108.4 2.5 0.0 -0.9 NaN NaN -0.9 ================================================================================================================================================================ 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 12122 NIKKEI caleb_strategy_v3 [-1] 7435.837053 -521.124921 -3.362096 -6.724193 -13.448385 NaN -10.086289 12123 NIKKEI caleb_strategy_v3 [-1] 7435.837053 -524.487018 -6.724193 20.172578 6.724193 NaN 13.448385 12124 NIKKEI caleb_strategy_v3 [-1] 7435.837053 -507.676536 -3.362096 40.345155 33.620963 NaN 36.983059 12125 NIKKEI caleb_strategy_v3 [-1] 7435.837053 -467.331381 -3.362096 13.448385 6.724193 NaN 10.086289 12128 BTP caleb_strategy_v3 [1] 10.910508 22.91369 -4.582738 9.165476 0.0 NaN 4.582738 12130 OAT caleb_strategy_v3 [-1] 9.791897 15.318789 -5.106263 10.212526 -0.0 NaN 5.106263 12132 OAT caleb_strategy_v3 [-1] 9.791897 25.531314 -5.106263 -20.425051 -30.637577 NaN -25.531314 12127 OAT caleb_strategy_v3 [-1] 9.791897 25.531314 -5.106263 -10.212526 -20.425051 NaN -15.318789 12129 BOBL caleb_strategy_v3 [1] 5.185395 -28.927399 -9.642466 19.284933 0.0 NaN 9.642466 12131 BOBL caleb_strategy_v3 [1] 5.185395 -9.642466 -9.642466 19.284933 0.0 NaN 9.642466 12133 BOBL caleb_strategy_v3 [1] 5.185395 9.642466 -9.642466 -38.569865 -57.854798 NaN -48.212332 12126 BOBL caleb_strategy_v3 [1] 5.185395 -28.927399 -9.642466 19.284933 0.0 NaN 9.642466 12136 EURIBOR-ICE caleb_strategy_v3 [1] 0.982752 -254.387606 -50.877521 101.755042 0.0 NaN 50.877521 12134 EURIBOR-ICE caleb_strategy_v3 [1] 0.982752 -279.826366 -25.438761 0.0 -50.877521 NaN -25.438761 12135 EURIBOR-ICE caleb_strategy_v3 [1] 0.982752 -279.826366 -25.438761 50.877521 0.0 NaN 25.438761 12137 PLAT caleb_strategy_v3 [-1] 238.496912 -48.218654 -6.28939 12.578779 -0.0 NaN 6.28939 12138 GOLD_micro caleb_strategy_v3 [-1] 354.195572 211.747424 -2.823299 5.646598 -0.0 NaN 2.823299 12139 HEATOIL caleb_strategy_v3 [-1] 0.644106 72.969381 -4.65762 -12.42032 -21.73556 NaN -17.07794 12140 GASOLINE caleb_strategy_v3 [1] 0.570588 -203.299173 -5.257737 17.525791 7.010316 NaN 12.268054 12141 GASOLINE caleb_strategy_v3 [1] 0.570588 -185.773383 -5.257737 -7.010316 -17.525791 NaN -12.268054 12142 SP400 caleb_strategy_v3 [1] 445.793732 791.846037 -6.72957 13.459139 0.0 NaN 6.72957 12160 MXP caleb_strategy_v3 [-1] 0.005965 -1148.275591 -8.381574 33.526295 16.763147 NaN 25.144721 12144 MXP caleb_strategy_v3 [-1] 0.005965 -1156.657165 -16.763147 -0.0 -33.526295 NaN -16.763147 12148 MXP caleb_strategy_v3 [-1] 0.005965 -1165.038739 -8.381574 -16.763147 -33.526295 NaN -25.144721 12152 MXP caleb_strategy_v3 [-1] 0.005965 -1181.801886 -8.381574 16.763147 -0.0 NaN 8.381574 12156 MXP caleb_strategy_v3 [-1] 0.005965 -1165.038739 -8.381574 16.763147 -0.0 NaN 8.381574 12161 NASDAQ_micro caleb_strategy_v3 [-1] 3107.149304 -839.595959 -0.402298 -4.02298 -4.827576 NaN -4.425278 12145 NASDAQ_micro caleb_strategy_v3 [-1] 3107.149304 -944.595741 -0.804596 -1.609192 -3.218384 NaN -2.413788 12149 NASDAQ_micro caleb_strategy_v3 [-1] 3107.149304 -946.607231 -0.402298 -6.436768 NaN NaN -6.839066 12153 NASDAQ_micro caleb_strategy_v3 [-1] 3107.149304 -912.009602 -0.402298 1.609192 0.804596 NaN 1.206894 12157 NASDAQ_micro caleb_strategy_v3 [-1] 3107.149304 -870.572906 -0.804596 3.218384 1.609192 NaN 2.413788 12162 RUSSELL caleb_strategy_v3 [-1] 390.193728 -840.608079 -2.56283 5.125659 -0.0 NaN 2.56283 12164 RUSSELL caleb_strategy_v3 [-1] 390.193728 -822.668272 -2.56283 -0.0 -5.125659 NaN -2.56283 12166 RUSSELL caleb_strategy_v3 [-1] 390.193728 -761.160364 -2.56283 5.125659 -0.0 NaN 2.56283 12168 RUSSELL caleb_strategy_v3 [-1] 390.193728 -750.909046 -2.56283 -2.56283 -7.688489 NaN -5.125659 12170 RUSSELL caleb_strategy_v3 [-1] 390.193728 -703.4967 -1.281415 2.56283 -0.0 NaN 1.281415 12172 RUSSELL caleb_strategy_v3 [-1] 390.193728 -641.988792 -1.281415 -2.56283 -5.125659 NaN -3.844244 12146 RUSSELL caleb_strategy_v3 [-1] 390.193728 -911.08589 -1.281415 -2.56283 -5.125659 NaN -3.844244 12150 RUSSELL caleb_strategy_v3 [-1] 390.193728 -913.64872 -1.281415 5.125659 2.56283 NaN 3.844244 12154 RUSSELL caleb_strategy_v3 [-1] 390.193728 -908.523061 -1.281415 12.814148 NaN NaN 11.532733 12158 RUSSELL caleb_strategy_v3 [-1] 390.193728 -849.577982 -1.281415 -2.56283 -5.125659 NaN -3.844244 12163 VIX caleb_strategy_v3 [-1] 7.010827 463.56873 -35.659133 71.318266 -0.0 NaN 35.659133 12165 VIX caleb_strategy_v3 [-1] 7.010827 534.886996 -35.659133 -71.318266 -142.636532 NaN -106.977399 12167 VIX caleb_strategy_v3 [-1] 7.010827 463.56873 -35.659133 71.318266 -0.0 NaN 35.659133 12169 VIX caleb_strategy_v3 [-1] 7.010827 534.886996 -35.659133 -71.318266 -142.636532 NaN -106.977399 12171 VIX caleb_strategy_v3 [-1] 7.010827 463.56873 -35.659133 -71.318266 -142.636532 NaN -106.977399 12173 VIX caleb_strategy_v3 [-1] 7.010827 392.250464 -35.659133 71.318266 -0.0 NaN 35.659133 12174 VIX caleb_strategy_v3 [-1] 7.010827 392.250464 -35.659133 71.318266 -0.0 NaN 35.659133 12143 VIX caleb_strategy_v3 [-1] 7.010827 606.205262 -35.659133 71.318266 -0.0 NaN 35.659133 12175 VIX caleb_strategy_v3 [-1] 7.010827 392.250464 -35.659133 71.318266 -0.0 NaN 35.659133 12176 VIX caleb_strategy_v3 [-1] 7.010827 463.56873 -35.659133 -71.318266 -142.636532 NaN -106.977399 12147 VIX caleb_strategy_v3 [-1] 7.010827 606.205262 -35.659133 71.318266 -0.0 NaN 35.659133 12151 VIX caleb_strategy_v3 [-1] 7.010827 641.864395 -71.318266 -0.0 -142.636532 NaN -71.318266 12155 VIX caleb_strategy_v3 [-1] 7.010827 606.205262 -35.659133 -71.318266 -142.636532 NaN -106.977399 12159 VIX caleb_strategy_v3 [-1] 7.010827 534.886996 -35.659133 -0.0 -71.318266 NaN -35.659133 12177 LEANHOG caleb_strategy_v3 [1] 22.602359 1106.079235 0.0 -398.188525 NaN NaN -398.188525 ========================================================================================================================================================================= 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 12122 NIKKEI caleb_strategy_v3 [-1] 0.642442 -248.946395 -1.606106 -3.212212 -6.424423 NaN -4.818317 12123 NIKKEI caleb_strategy_v3 [-1] 0.642442 -250.5525 -3.212212 9.636635 3.212212 NaN 6.424423 12124 NIKKEI caleb_strategy_v3 [-1] 0.642442 -242.521972 -1.606106 19.273269 16.061058 NaN 17.667163 12125 NIKKEI caleb_strategy_v3 [-1] 0.642442 -223.248702 -1.606106 6.424423 3.212212 NaN 4.818317 12128 BTP caleb_strategy_v3 [1] 1071.25 26.78125 -5.35625 10.7125 0.0 NaN 5.35625 12130 OAT caleb_strategy_v3 [-1] 1071.25 16.06875 -5.35625 10.7125 -0.0 NaN 5.35625 12132 OAT caleb_strategy_v3 [-1] 1071.25 26.78125 -5.35625 -21.425 -32.1375 NaN -26.78125 12127 OAT caleb_strategy_v3 [-1] 1071.25 26.78125 -5.35625 -10.7125 -21.425 NaN -16.06875 12129 BOBL caleb_strategy_v3 [1] 1071.25 -16.06875 -5.35625 10.7125 0.0 NaN 5.35625 12131 BOBL caleb_strategy_v3 [1] 1071.25 -5.35625 -5.35625 10.7125 0.0 NaN 5.35625 12133 BOBL caleb_strategy_v3 [1] 1071.25 5.35625 -5.35625 -21.425 -32.1375 NaN -26.78125 12126 BOBL caleb_strategy_v3 [1] 1071.25 -16.06875 -5.35625 10.7125 0.0 NaN 5.35625 12136 EURIBOR-ICE caleb_strategy_v3 [1] 2678.125 -66.953125 -13.390625 26.78125 0.0 NaN 13.390625 12134 EURIBOR-ICE caleb_strategy_v3 [1] 2678.125 -73.648438 -6.695312 0.0 -13.390625 NaN -6.695312 12135 EURIBOR-ICE caleb_strategy_v3 [1] 2678.125 -73.648438 -6.695312 13.390625 0.0 NaN 6.695312 12137 PLAT caleb_strategy_v3 [-1] 50.0 -57.5 -7.5 15.0 -0.0 NaN 7.5 12138 GOLD_micro caleb_strategy_v3 [-1] 10.0 75.0 -1.0 2.0 -0.0 NaN 1.0 12139 HEATOIL caleb_strategy_v3 [-1] 42000.0 197.4 -12.6 -33.6 -58.8 NaN -46.2 12140 GASOLINE caleb_strategy_v3 [1] 42000.0 -487.2 -12.6 42.0 16.8 NaN 29.4 12141 GASOLINE caleb_strategy_v3 [1] 42000.0 -445.2 -12.6 -16.8 -42.0 NaN -29.4 12142 SP400 caleb_strategy_v3 [1] 100.0 3530.0 -30.0 60.0 0.0 NaN 30.0 12160 MXP caleb_strategy_v3 [-1] 500000.0 -342.5 -2.5 10.0 5.0 NaN 7.5 12144 MXP caleb_strategy_v3 [-1] 500000.0 -345.0 -5.0 -0.0 -10.0 NaN -5.0 12148 MXP caleb_strategy_v3 [-1] 500000.0 -347.5 -2.5 -5.0 -10.0 NaN -7.5 12152 MXP caleb_strategy_v3 [-1] 500000.0 -352.5 -2.5 5.0 -0.0 NaN 2.5 12156 MXP caleb_strategy_v3 [-1] 500000.0 -347.5 -2.5 5.0 -0.0 NaN 2.5 12161 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -521.75 -0.25 -2.5 -3.0 NaN -2.75 12145 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -587.0 -0.5 -1.0 -2.0 NaN -1.5 12149 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -588.25 -0.25 -4.0 NaN NaN -4.25 12153 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -566.75 -0.25 1.0 0.5 NaN 0.75 12157 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -541.0 -0.5 2.0 1.0 NaN 1.5 12162 RUSSELL caleb_strategy_v3 [-1] 5.0 -164.0 -0.5 1.0 -0.0 NaN 0.5 12164 RUSSELL caleb_strategy_v3 [-1] 5.0 -160.5 -0.5 -0.0 -1.0 NaN -0.5 12166 RUSSELL caleb_strategy_v3 [-1] 5.0 -148.5 -0.5 1.0 -0.0 NaN 0.5 12168 RUSSELL caleb_strategy_v3 [-1] 5.0 -146.5 -0.5 -0.5 -1.5 NaN -1.0 12170 RUSSELL caleb_strategy_v3 [-1] 5.0 -137.25 -0.25 0.5 -0.0 NaN 0.25 12172 RUSSELL caleb_strategy_v3 [-1] 5.0 -125.25 -0.25 -0.5 -1.0 NaN -0.75 12146 RUSSELL caleb_strategy_v3 [-1] 5.0 -177.75 -0.25 -0.5 -1.0 NaN -0.75 12150 RUSSELL caleb_strategy_v3 [-1] 5.0 -178.25 -0.25 1.0 0.5 NaN 0.75 12154 RUSSELL caleb_strategy_v3 [-1] 5.0 -177.25 -0.25 2.5 NaN NaN 2.25 12158 RUSSELL caleb_strategy_v3 [-1] 5.0 -165.75 -0.25 -0.5 -1.0 NaN -0.75 12163 VIX caleb_strategy_v3 [-1] 1000.0 325.0 -25.0 50.0 -0.0 NaN 25.0 12165 VIX caleb_strategy_v3 [-1] 1000.0 375.0 -25.0 -50.0 -100.0 NaN -75.0 12167 VIX caleb_strategy_v3 [-1] 1000.0 325.0 -25.0 50.0 -0.0 NaN 25.0 12169 VIX caleb_strategy_v3 [-1] 1000.0 375.0 -25.0 -50.0 -100.0 NaN -75.0 12171 VIX caleb_strategy_v3 [-1] 1000.0 325.0 -25.0 -50.0 -100.0 NaN -75.0 12173 VIX caleb_strategy_v3 [-1] 1000.0 275.0 -25.0 50.0 -0.0 NaN 25.0 12174 VIX caleb_strategy_v3 [-1] 1000.0 275.0 -25.0 50.0 -0.0 NaN 25.0 12143 VIX caleb_strategy_v3 [-1] 1000.0 425.0 -25.0 50.0 -0.0 NaN 25.0 12175 VIX caleb_strategy_v3 [-1] 1000.0 275.0 -25.0 50.0 -0.0 NaN 25.0 12176 VIX caleb_strategy_v3 [-1] 1000.0 325.0 -25.0 -50.0 -100.0 NaN -75.0 12147 VIX caleb_strategy_v3 [-1] 1000.0 425.0 -25.0 50.0 -0.0 NaN 25.0 12151 VIX caleb_strategy_v3 [-1] 1000.0 450.0 -50.0 -0.0 -100.0 NaN -50.0 12155 VIX caleb_strategy_v3 [-1] 1000.0 425.0 -25.0 -50.0 -100.0 NaN -75.0 12159 VIX caleb_strategy_v3 [-1] 1000.0 375.0 -25.0 -0.0 -50.0 NaN -25.0 12177 LEANHOG caleb_strategy_v3 [1] 400.0 1000.0 0.0 -360.0 NaN NaN -360.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -32.1375 BTP 26.78125 EURIBOR-ICE -214.25 GASOLINE -932.4 GOLD_micro 75.0 HEATOIL 197.4 LEANHOG 1000.0 MXP -1735.0 NASDAQ_micro -2804.75 NIKKEI -965.269569 OAT 69.63125 PLAT -57.5 RUSSELL -1581.0 SP400 3530.0 VIX 4975.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1551.505431 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -21.425 BTP -5.35625 EURIBOR-ICE -26.78125 GASOLINE -25.2 GOLD_micro -1.0 HEATOIL -12.6 LEANHOG 0.0 MXP -15.0 NASDAQ_micro -1.75 NIKKEI -8.030529 OAT -16.06875 PLAT -7.5 RUSSELL -3.5 SP400 -30.0 VIX -375.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -549.211779 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.7125 BTP 10.7125 EURIBOR-ICE 40.171875 GASOLINE 25.2 GOLD_micro 2.0 HEATOIL -33.6 LEANHOG -360.0 MXP 15.0 NASDAQ_micro -4.5 NIKKEI 32.122115 OAT -21.425 PLAT 15.0 RUSSELL 4.0 SP400 60.0 VIX 100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -104.60601 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -32.1375 BTP 0.0 EURIBOR-ICE -13.390625 GASOLINE -25.2 GOLD_micro -0.0 HEATOIL -58.8 LEANHOG 0 MXP -15.0 NASDAQ_micro -3.5 NIKKEI 16.061058 OAT -53.5625 PLAT -0.0 RUSSELL -5.0 SP400 0.0 VIX -650.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -840.529567 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 BTP 0 EURIBOR-ICE 0 GASOLINE 0 GOLD_micro 0 HEATOIL 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 OAT 0 PLAT 0 RUSSELL 0 SP400 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 BOBL -10.7125 BTP 5.35625 EURIBOR-ICE 13.390625 GASOLINE 0.0 GOLD_micro 1.0 HEATOIL -46.2 LEANHOG -360.0 MXP 0.0 NASDAQ_micro -6.25 NIKKEI 24.091587 OAT -37.49375 PLAT 7.5 RUSSELL 0.5 SP400 30.0 VIX -275.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -653.817788 ******************************************************************************** END OF REPORT ********************************************************************************