******************************************************************************** Trades report produced on 08/05/2024 21:37 from 07/05/2024 21:37 to 08/05/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12382 CANOLA _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 13:25:44.000 [1] 662.800000 12370 CANOLA _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 13:08:48.000 [1] 662.100000 12381 CANOLA _ROLL_PSEUDO_STRATEGY [20241100] 2024-05-08 13:25:39.000 [-1] 676.800000 12371 CANOLA _ROLL_PSEUDO_STRATEGY [20241100] 2024-05-08 13:08:54.000 [-1] 676.100000 12373 CANOLA _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 19:45:26.188 [0] NaN 12374 CANOLA _ROLL_PSEUDO_STRATEGY [20241100] 2024-05-08 13:18:59.000 [-1] 676.600000 12376 CANOLA _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 13:22:07.000 [1] 662.600000 12377 CANOLA _ROLL_PSEUDO_STRATEGY [20241100] 2024-05-08 13:22:07.000 [-1] 676.400000 12378 CANOLA _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 13:22:13.000 [1] 662.600000 12368 CANOLA _ROLL_PSEUDO_STRATEGY [20241100] 2024-05-08 13:00:42.000 [-1] 675.900000 12379 CANOLA _ROLL_PSEUDO_STRATEGY [20241100] 2024-05-08 13:23:34.000 [-1] 676.600000 12380 CANOLA _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 13:25:38.000 [1] 662.800000 12367 CANOLA _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 13:00:35.000 [1] 661.800000 12385 CHF caleb_strategy_v3 [20240600] 2024-05-08 14:01:15.000 [1] 1.105900 12363 DAX caleb_strategy_v3 [20240600] 2024-05-08 07:01:58.000 [-1] 18640.000000 12362 DAX caleb_strategy_v3 [20240600] 2024-05-08 07:00:59.000 [-1] 18637.000000 12365 GASOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-08 08:00:04.000 [-1] 752.750000 12364 GASOIL _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-08 08:00:02.000 [1] 750.750000 12366 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-08 13:00:14.000 [-1] 2323.000000 12372 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-08 13:08:58.000 [-1] 2322.700000 12369 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-08 13:01:12.000 [-1] 2323.200000 12375 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-08 13:19:03.000 [-1] 2317.900000 12360 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-05-08 02:02:28.000 [1] 144.750000 12361 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-05-08 02:07:32.000 [1] 144.750000 12383 JPY caleb_strategy_v3 [20240600] 2024-05-08 14:01:09.000 [1] 0.006466 12386 MXP caleb_strategy_v3 [20240600] 2024-05-08 14:02:15.000 [1] 0.058640 12387 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-08 14:02:19.000 [-1] 18162.500000 12384 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-08 14:01:10.000 [-1] 18172.000000 12396 SOYOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-08 14:33:24.000 [1] 44.640000 12397 SOYOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-08 14:33:27.000 [-1] 44.790000 12394 SOYOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-08 14:32:24.000 [1] 44.630000 12393 SOYOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-08 14:31:25.000 [-1] 44.790000 12392 SOYOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-08 14:31:24.000 [1] 44.610000 12389 SOYOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-08 14:30:26.000 [1] 44.630000 12395 SOYOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-08 14:32:25.000 [-1] 44.810000 12390 SOYOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-08 14:30:29.000 [-1] 44.820000 12391 WHEAT caleb_strategy_v3 [20241200] 2024-05-08 14:31:24.000 [1] 678.250000 12388 WHEAT caleb_strategy_v3 [20241200] 2024-05-08 14:30:24.000 [1] 678.750000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12360 JGB-SGX-mini caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 03:01:15.722 2024-05-08 02:02:28.000 97275.722 NaN 12361 JGB-SGX-mini caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 03:02:32.417 2024-05-08 02:07:32.000 97352.417 NaN 12362 DAX caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 08:00:58.362 2024-05-08 07:00:59.000 115258.362 NaN 12363 DAX caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 08:01:58.259 2024-05-08 07:01:58.000 115318.259 NaN 12364 GASOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 20:00:00 2024-05-08 09:00:01.198 2024-05-08 08:00:02.000 46801.198 NaN 12365 GASOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 20:00:00 2024-05-08 09:00:03.302 2024-05-08 08:00:04.000 46803.302 NaN 12369 GOLD_micro caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 14:01:12.945 2024-05-08 13:01:12.000 136872.945 NaN 12372 GOLD_micro caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 14:08:57.976 2024-05-08 13:08:58.000 137337.976 NaN 12366 GOLD_micro caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 14:00:13.150 2024-05-08 13:00:14.000 136813.15 NaN 12375 GOLD_micro caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 14:19:03.155 2024-05-08 13:19:03.000 137943.155 NaN 12383 JPY caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 15:01:00.802 2024-05-08 14:01:09.000 140460.802 NaN 12385 CHF caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 15:01:11.046 2024-05-08 14:01:15.000 140471.046 NaN 12386 MXP caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 15:01:16.426 2024-05-08 14:02:15.000 140476.426 NaN 12384 NASDAQ_micro caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 15:01:10.006 2024-05-08 14:01:10.000 140470.006 NaN 12387 NASDAQ_micro caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 15:02:19.124 2024-05-08 14:02:19.000 140539.124 NaN 12388 WHEAT caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 15:30:24.678 2024-05-08 14:30:24.000 142224.678 NaN 12391 WHEAT caleb_strategy_v3 2024-05-07 00:00:00 2024-05-08 15:31:24.104 2024-05-08 14:31:24.000 142284.104 NaN 12389 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:30:25.799 2024-05-08 14:30:26.000 73825.799 NaN 12390 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:30:27.912 2024-05-08 14:30:29.000 73827.912 NaN 12392 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:31:24.685 2024-05-08 14:31:24.000 73884.685 NaN 12393 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:31:25.093 2024-05-08 14:31:25.000 73885.093 NaN 12394 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:32:24.423 2024-05-08 14:32:24.000 73944.423 NaN 12395 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:32:24.999 2024-05-08 14:32:25.000 73944.999 NaN 12396 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:33:24.659 2024-05-08 14:33:24.000 74004.659 NaN 12397 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 15:33:25.226 2024-05-08 14:33:27.000 74005.226 NaN 12367 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:00:16.086 2024-05-08 13:00:35.000 68416.086 NaN 12368 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:00:36.352 2024-05-08 13:00:42.000 68436.352 NaN 12370 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:01:13.557 2024-05-08 13:08:48.000 68473.557 NaN 12371 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:08:48.573 2024-05-08 13:08:54.000 68928.573 NaN 12373 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:08:58.749 2024-05-08 19:45:26.188 68938.749 20187.439 12374 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:18:59.325 2024-05-08 13:18:59.000 69539.325 NaN 12376 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:19:03.943 2024-05-08 13:22:07.000 69543.943 NaN 12377 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:22:07.761 2024-05-08 13:22:07.000 69727.761 NaN 12378 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:22:11.529 2024-05-08 13:22:13.000 69731.529 NaN 12379 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:22:13.490 2024-05-08 13:23:34.000 69733.49 NaN 12380 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:23:37.881 2024-05-08 13:25:38.000 69817.881 NaN 12381 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:25:39.289 2024-05-08 13:25:39.000 69939.289 NaN 12382 CANOLA _ROLL_PSEUDO_STRATEGY 2024-05-07 19:00:00 2024-05-08 14:25:43.019 2024-05-08 13:25:44.000 69943.019 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 12360 JGB-SGX-mini caleb_strategy_v3 [1] 144.82 None 144.74 144.75 144.73 144.73 144.75 0.08 -0.01 0.0 -0.02 NaN -0.01 12361 JGB-SGX-mini caleb_strategy_v3 [1] 144.82 None 144.745 144.75 144.74 144.74 144.75 0.075 -0.005 0.0 -0.01 NaN -0.005 12362 DAX caleb_strategy_v3 [-1] 18578.0 None 18638.0 18637.0 18639.0 18639.0 18637.0 60.0 -1.0 -0.0 -2.0 NaN -1.0 12363 DAX caleb_strategy_v3 [-1] 18578.0 None 18637.5 18637.0 18638.0 18638.0 18640.0 59.5 -0.5 3.0 2.0 NaN 2.5 12364 GASOIL _ROLL_PSEUDO_STRATEGY [1] 759.0 None 750.5 750.75 750.25 750.25 750.75 8.5 -0.25 0.0 -0.5 NaN -0.25 12365 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 760.75 None 752.625 752.5 752.75 752.75 752.75 -8.125 -0.125 0.25 -0.0 NaN 0.125 12369 GOLD_micro caleb_strategy_v3 [-1] 2323.6 None 2323.0 2322.9 2323.1 2323.1 2323.2 -0.6 -0.1 0.3 0.1 NaN 0.2 12372 GOLD_micro caleb_strategy_v3 [-1] 2323.6 None 2323.3 2323.2 2323.4 2323.4 2322.7 -0.3 -0.1 -0.5 -0.7 NaN -0.6 12366 GOLD_micro caleb_strategy_v3 [-1] 2323.6 None 2323.1 2323.0 2323.2 2323.2 2323.0 -0.5 -0.1 -0.0 -0.2 NaN -0.1 12375 GOLD_micro caleb_strategy_v3 [-1] 2323.6 None 2322.8 2322.7 2322.9 2322.9 2317.9 -0.8 -0.1 -4.8 -5.0 NaN -4.9 12383 JPY caleb_strategy_v3 [1] 0.006505 None 0.006465 0.006465 0.006465 0.006465 0.006466 0.00004 -0.0 -0.000001 -0.000001 NaN -0.000001 12385 CHF caleb_strategy_v3 [1] 1.10505 None 1.10595 1.106 1.1059 1.1059 1.1059 -0.0009 -0.00005 0.0001 0.0 NaN 0.00005 12386 MXP caleb_strategy_v3 [1] 0.05873 None 0.058645 0.05865 0.05864 0.05864 0.05864 0.000085 -0.000005 0.00001 0.0 NaN 0.000005 12384 NASDAQ_micro caleb_strategy_v3 [-1] 18200.0 None 18172.5 18172.25 18172.75 18172.75 18172.0 -27.5 -0.25 -0.25 -0.75 NaN -0.5 12387 NASDAQ_micro caleb_strategy_v3 [-1] 18200.0 None 18172.125 18172.0 18172.25 18172.25 18162.5 -27.875 -0.125 -9.5 -9.75 NaN -9.625 12388 WHEAT caleb_strategy_v3 [1] 690.0 None 675.0 675.0 675.0 675.0 678.75 15.0 0.0 -3.75 -3.75 NaN -3.75 12391 WHEAT caleb_strategy_v3 [1] 690.0 None 678.5 678.75 678.25 678.25 678.25 11.5 -0.25 0.5 0.0 NaN 0.25 12389 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 44.66 None 44.61 44.62 44.6 44.6 44.63 0.05 -0.01 -0.01 -0.03 NaN -0.02 12390 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 44.83 None 45.0 45.0 45.0 45.0 44.82 0.17 -0.0 -0.18 -0.18 NaN -0.18 12392 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 44.66 None 44.815 44.63 45.0 45.0 44.61 -0.155 0.185 0.02 0.39 NaN 0.205 12393 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 44.83 None 44.91 44.82 45.0 NaN 44.79 0.08 -0.09 -0.03 NaN NaN -0.12 12394 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 44.66 None 44.6 44.61 44.59 44.59 44.63 0.06 -0.01 -0.02 -0.04 NaN -0.03 12395 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 44.83 None 44.82 44.81 44.83 44.83 44.81 -0.01 -0.01 -0.0 -0.02 NaN -0.01 12396 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 44.66 None 44.815 44.63 45.0 45.0 44.64 -0.155 0.185 -0.01 0.36 NaN 0.175 12397 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 44.83 None 44.83 44.82 44.84 44.84 44.79 -0.0 -0.01 -0.03 -0.05 NaN -0.04 12367 CANOLA _ROLL_PSEUDO_STRATEGY [1] 667.6 None 661.9 662.0 661.8 661.8 661.8 5.7 -0.1 0.2 0.0 NaN 0.1 12368 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 681.8 None 676.2 676.0 676.4 676.4 675.9 -5.6 -0.2 -0.1 -0.5 NaN -0.3 12370 CANOLA _ROLL_PSEUDO_STRATEGY [1] 667.6 None 661.9 662.0 661.8 661.8 662.1 5.7 -0.1 -0.1 -0.3 NaN -0.2 12371 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 681.8 None 676.1 675.9 676.3 676.3 676.1 -5.7 -0.2 0.2 -0.2 NaN 0.0 12373 CANOLA _ROLL_PSEUDO_STRATEGY [1] 667.6 None 662.05 662.1 662.0 662.0 NaN 5.55 -0.05 NaN NaN NaN NaN 12374 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 681.8 None 676.1 676.0 676.2 676.2 676.6 -5.7 -0.1 0.6 0.4 NaN 0.5 12376 CANOLA _ROLL_PSEUDO_STRATEGY [1] 667.6 None 662.05 662.1 662.0 662.0 662.6 5.55 -0.05 -0.5 -0.6 NaN -0.55 12377 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 681.8 None 676.35 676.3 676.4 676.4 676.4 -5.45 -0.05 0.1 -0.0 NaN 0.05 12378 CANOLA _ROLL_PSEUDO_STRATEGY [1] 667.6 None 662.55 662.6 662.5 662.5 662.6 5.05 -0.05 0.0 -0.1 NaN -0.05 12379 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 681.8 None 676.85 676.8 676.9 676.9 676.6 -4.95 -0.05 -0.2 -0.3 NaN -0.25 12380 CANOLA _ROLL_PSEUDO_STRATEGY [1] 667.6 None 662.65 662.7 662.6 662.6 662.8 4.95 -0.05 -0.1 -0.2 NaN -0.15 12381 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 681.8 None 676.6 676.4 676.8 676.8 676.8 -5.2 -0.2 0.4 -0.0 NaN 0.2 12382 CANOLA _ROLL_PSEUDO_STRATEGY [1] 667.6 None 662.7 662.8 662.6 662.6 662.8 4.9 -0.1 0.0 -0.2 NaN -0.1 =================================================================================================================================================================== 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 12360 JGB-SGX-mini caleb_strategy_v3 [1] 3.971842 201.417906 -25.177238 0.0 -50.354476 NaN -25.177238 12361 JGB-SGX-mini caleb_strategy_v3 [1] 3.971842 188.829287 -12.588619 0.0 -25.177238 NaN -12.588619 12362 DAX caleb_strategy_v3 [-1] 2329.224377 257.59648 -4.293275 -0.0 -8.586549 NaN -4.293275 12363 DAX caleb_strategy_v3 [-1] 2329.224377 255.449842 -2.146637 12.879824 8.586549 NaN 10.733187 12364 GASOIL _ROLL_PSEUDO_STRATEGY [1] 195.353093 435.109569 -12.79734 0.0 -25.594681 NaN -12.79734 12365 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 195.353093 -415.913558 -6.39867 12.79734 -0.0 NaN 6.39867 12369 GOLD_micro caleb_strategy_v3 [-1] 345.167425 -17.382869 -2.897145 8.691434 2.897145 NaN 5.79429 12372 GOLD_micro caleb_strategy_v3 [-1] 345.167425 -8.691434 -2.897145 -14.485724 -20.280013 NaN -17.382869 12366 GOLD_micro caleb_strategy_v3 [-1] 345.167425 -14.485724 -2.897145 -0.0 -5.79429 NaN -2.897145 12375 GOLD_micro caleb_strategy_v3 [-1] 345.167425 -23.177158 -2.897145 -139.062949 -144.857239 NaN -141.960094 12383 JPY caleb_strategy_v3 [1] 0.000803 494.775351 -3.111795 -6.223589 -12.447179 NaN -9.335384 12385 CHF caleb_strategy_v3 [1] 0.079471 -113.249092 -6.291616 12.583232 0.0 NaN 6.291616 12386 MXP caleb_strategy_v3 [1] 0.005667 150.000325 -8.823549 17.647097 0.0 NaN 8.823549 12384 NASDAQ_micro caleb_strategy_v3 [-1] 3185.996377 -86.315227 -0.784684 -0.784684 -2.354052 NaN -1.569368 12387 NASDAQ_micro caleb_strategy_v3 [-1] 3185.996377 -87.492253 -0.392342 -29.817987 -30.602671 NaN -30.210329 12388 WHEAT caleb_strategy_v3 [1] 177.506056 845.041593 0.0 -211.260398 -211.260398 NaN -211.260398 12391 WHEAT caleb_strategy_v3 [1] 177.506056 647.865221 -14.084027 28.168053 0.0 NaN 14.084027 12389 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 12.532908 39.89497 -7.978994 -7.978994 -23.936982 NaN -15.957988 12390 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 12.532908 135.642898 -0.0 -143.621892 -143.621892 NaN -143.621892 12392 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 12.532908 -123.674407 147.611389 15.957988 311.180767 NaN 163.569378 12393 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 12.532908 63.831952 -71.810946 -23.936982 NaN NaN -95.747928 12394 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 12.532908 47.873964 -7.978994 -15.957988 -31.915976 NaN -23.936982 12395 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 12.532908 -7.978994 -7.978994 -0.0 -15.957988 NaN -7.978994 12396 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 12.532908 -123.674407 147.611389 -7.978994 287.243785 NaN 139.632395 12397 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 12.532908 -0.0 -7.978994 -23.936982 -39.89497 NaN -31.915976 12367 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.775567 383.127427 -6.721534 13.443068 0.0 NaN 6.721534 12368 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.775567 -376.405893 -13.443068 -6.721534 -33.607669 NaN -20.164601 12370 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.775567 383.127427 -6.721534 -6.721534 -20.164601 NaN -13.443068 12371 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.775567 -383.127427 -13.443068 13.443068 -13.443068 NaN 0.0 12373 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.775567 373.045126 -3.360767 NaN NaN NaN NaN 12374 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.775567 -383.127427 -6.721534 40.329203 26.886135 NaN 33.607669 12376 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.775567 373.045126 -3.360767 -33.607669 -40.329203 NaN -36.968436 12377 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.775567 -366.323592 -3.360767 6.721534 -0.0 NaN 3.360767 12378 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.775567 339.437457 -3.360767 0.0 -6.721534 NaN -3.360767 12379 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.775567 -332.715923 -3.360767 -13.443068 -20.164601 NaN -16.803834 12380 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.775567 332.715923 -3.360767 -6.721534 -13.443068 NaN -10.082301 12381 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.775567 -349.519758 -13.443068 26.886135 -0.0 NaN 13.443068 12382 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.775567 329.355156 -6.721534 0.0 -13.443068 NaN -6.721534 ============================================================================================================================================================================ 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 12360 JGB-SGX-mini caleb_strategy_v3 [1] 644.37972 51.550378 -6.443797 0.0 -12.887594 NaN -6.443797 12361 JGB-SGX-mini caleb_strategy_v3 [1] 644.37972 48.328479 -3.221899 0.0 -6.443797 NaN -3.221899 12362 DAX caleb_strategy_v3 [-1] 1.0744 64.464 -1.0744 -0.0 -2.1488 NaN -1.0744 12363 DAX caleb_strategy_v3 [-1] 1.0744 63.9268 -0.5372 3.2232 2.1488 NaN 2.686 12364 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100.0 850.0 -25.0 0.0 -50.0 NaN -25.0 12365 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100.0 -812.5 -12.5 25.0 -0.0 NaN 12.5 12369 GOLD_micro caleb_strategy_v3 [-1] 10.0 -6.0 -1.0 3.0 1.0 NaN 2.0 12372 GOLD_micro caleb_strategy_v3 [-1] 10.0 -3.0 -1.0 -5.0 -7.0 NaN -6.0 12366 GOLD_micro caleb_strategy_v3 [-1] 10.0 -5.0 -1.0 -0.0 -2.0 NaN -1.0 12375 GOLD_micro caleb_strategy_v3 [-1] 10.0 -8.0 -1.0 -48.0 -50.0 NaN -49.0 12383 JPY caleb_strategy_v3 [1] 12500000.0 496.875 -3.125 -6.25 -12.5 NaN -9.375 12385 CHF caleb_strategy_v3 [1] 125000.0 -112.5 -6.25 12.5 0.0 NaN 6.25 12386 MXP caleb_strategy_v3 [1] 500000.0 42.5 -2.5 5.0 0.0 NaN 2.5 12384 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -55.0 -0.5 -0.5 -1.5 NaN -1.0 12387 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -55.75 -0.25 -19.0 -19.5 NaN -19.25 12388 WHEAT caleb_strategy_v3 [1] 50.0 750.0 0.0 -187.5 -187.5 NaN -187.5 12391 WHEAT caleb_strategy_v3 [1] 50.0 575.0 -12.5 25.0 0.0 NaN 12.5 12389 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 30.0 -6.0 -6.0 -18.0 NaN -12.0 12390 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 102.0 -0.0 -108.0 -108.0 NaN -108.0 12392 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -93.0 111.0 12.0 234.0 NaN 123.0 12393 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 48.0 -54.0 -18.0 NaN NaN -72.0 12394 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 36.0 -6.0 -12.0 -24.0 NaN -18.0 12395 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 -6.0 -6.0 -0.0 -12.0 NaN -6.0 12396 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -93.0 111.0 -6.0 216.0 NaN 105.0 12397 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 -0.0 -6.0 -18.0 -30.0 NaN -24.0 12367 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.542282 82.891006 -1.454228 2.908456 0.0 NaN 1.454228 12368 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.542282 -81.436777 -2.908456 -1.454228 -7.271141 NaN -4.362685 12370 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.542282 82.891006 -1.454228 -1.454228 -4.362685 NaN -2.908456 12371 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.542282 -82.891006 -2.908456 2.908456 -2.908456 NaN 0.0 12373 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.542282 80.709663 -0.727114 NaN NaN NaN NaN 12374 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.542282 -82.891006 -1.454228 8.725369 5.816913 NaN 7.271141 12376 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.542282 80.709663 -0.727114 -7.271141 -8.725369 NaN -7.998255 12377 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.542282 -79.255435 -0.727114 1.454228 -0.0 NaN 0.727114 12378 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.542282 73.438523 -0.727114 0.0 -1.454228 NaN -0.727114 12379 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.542282 -71.984294 -0.727114 -2.908456 -4.362685 NaN -3.63557 12380 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.542282 71.984294 -0.727114 -1.454228 -2.908456 NaN -2.181342 12381 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.542282 -75.619865 -2.908456 5.816913 -0.0 NaN 2.908456 12382 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.542282 71.25718 -1.454228 0.0 -2.908456 NaN -1.454228 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 69.802952 GASOIL 37.5 SOYOIL 24.0 caleb_strategy_v3 CHF -112.5 DAX 128.3908 GOLD_micro -22.0 JGB-SGX-mini 99.878857 JPY 496.875 MXP 42.5 NASDAQ_micro -110.75 WHEAT 1325.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 131.302952 caleb_strategy_v3 1847.394657 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -18.904966 GASOIL -37.5 SOYOIL 144.0 caleb_strategy_v3 CHF -6.25 DAX -1.6116 GOLD_micro -4.0 JGB-SGX-mini -9.665696 JPY -3.125 MXP -2.5 NASDAQ_micro -0.75 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 87.595034 caleb_strategy_v3 -40.402296 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 7.271141 GASOIL 25.0 SOYOIL -156.0 caleb_strategy_v3 CHF 12.5 DAX 3.2232 GOLD_micro -50.0 JGB-SGX-mini 0.0 JPY -6.25 MXP 5.0 NASDAQ_micro -19.5 WHEAT -162.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -123.728859 caleb_strategy_v3 -217.5268 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -29.084563 GASOIL -50.0 SOYOIL 258.0 caleb_strategy_v3 CHF 0.0 DAX 0.0 GOLD_micro -58.0 JGB-SGX-mini -19.331392 JPY -12.5 MXP 0.0 NASDAQ_micro -21.0 WHEAT -187.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 178.915437 caleb_strategy_v3 -298.331392 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 0 GASOIL 0 SOYOIL 0 caleb_strategy_v3 CHF 0 DAX 0 GOLD_micro 0 JGB-SGX-mini 0 JPY 0 MXP 0 NASDAQ_micro 0 WHEAT 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -10.906711 GASOIL -12.5 SOYOIL -12.0 caleb_strategy_v3 CHF 6.25 DAX 1.6116 GOLD_micro -54.0 JGB-SGX-mini -9.665696 JPY -9.375 MXP 2.5 NASDAQ_micro -20.25 WHEAT -175.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.406711 caleb_strategy_v3 -257.929096 ******************************************************************************** END OF REPORT ********************************************************************************