******************************************************************************** Trades report produced on 10/05/2024 21:37 from 09/05/2024 21:37 to 10/05/2024 21:37 ******************************************************************************** =================================================================================================== Broker orders =================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12452 AUD caleb_strategy_v3 [20240600] 2024-05-10 14:00:52 [1] 0.662350 12436 BTP caleb_strategy_v3 [20240600] 2024-05-10 07:00:49 [-1] 118.130000 12437 BUXL caleb_strategy_v3 [20240600] 2024-05-10 07:00:50 [1] 131.120000 12462 CAD caleb_strategy_v3 [20240600] 2024-05-10 14:06:53 [-1] 0.733350 12457 CAD caleb_strategy_v3 [20240600] 2024-05-10 14:01:06 [-1] 0.733400 12456 CHF caleb_strategy_v3 [20240600] 2024-05-10 14:01:02 [1] 1.108200 12446 COCOA caleb_strategy_v3 [20240900] 2024-05-10 13:01:24 [-1] 8276.000000 12447 COTTON2 caleb_strategy_v3 [20240700] 2024-05-10 13:02:38 [1] 78.200000 12441 DAX caleb_strategy_v3 [20240600] 2024-05-10 07:01:31 [1] 18886.000000 12443 DAX caleb_strategy_v3 [20240600] 2024-05-10 07:02:30 [1] 18889.000000 12444 DAX caleb_strategy_v3 [20240600] 2024-05-10 07:03:30 [1] 18887.000000 12438 DAX caleb_strategy_v3 [20240600] 2024-05-10 07:00:51 [1] 18886.000000 12445 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-05-10 08:04:24 [-1] 97.445000 12435 EUROSTX caleb_strategy_v3 [20240600] 2024-05-10 07:00:39 [1] 5067.000000 12440 EUROSTX caleb_strategy_v3 [20240600] 2024-05-10 07:01:30 [1] 5068.000000 12448 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-10 13:02:39 [1] 2369.100000 12449 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-10 13:02:43 [1] 2369.000000 12450 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-10 13:03:43 [1] 2367.800000 12451 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-10 13:04:44 [1] 2367.600000 12453 JPY caleb_strategy_v3 [20240600] 2024-05-10 14:00:52 [-1] 0.006461 12461 MXP caleb_strategy_v3 [20240600] 2024-05-10 14:06:45 [1] 0.059420 12454 MXP caleb_strategy_v3 [20240600] 2024-05-10 14:01:00 [1] 0.059390 12466 MXP caleb_strategy_v3 [20240600] 2024-05-10 14:11:59 [1] 0.059360 12463 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-10 14:06:54 [1] 18308.750000 12458 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-10 14:01:07 [1] 18306.750000 12433 NIKKEI caleb_strategy_v3 [20240600] 2024-05-10 02:01:18 [-1] 38365.000000 12434 OAT caleb_strategy_v3 [20240600] 2024-05-10 07:00:31 [-1] 126.530000 12439 SMI caleb_strategy_v3 [20240600] 2024-05-10 07:00:55 [1] 11661.000000 12442 SMI caleb_strategy_v3 [20240600] 2024-05-10 07:01:32 [1] 11665.000000 12455 SP400 caleb_strategy_v3 [20240600] 2024-05-10 14:01:01 [-1] 3010.300000 12469 VIX caleb_strategy_v3 [20240800] 2024-05-10 14:22:06 [-1] 15.750000 12459 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-10 14:06:08 [1] 15.300000 12460 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-10 14:06:41 [-1] 15.700000 12464 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-10 14:06:55 [1] 15.250000 12465 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-10 14:11:55 [-1] 15.700000 12467 VIX _ROLL_PSEUDO_STRATEGY [20240700] 2024-05-10 14:17:00 [49] 15.300000 12468 VIX _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-10 14:22:00 [-49] 15.750000 12470 WHEAT caleb_strategy_v3 [20241200] 2024-05-10 14:30:10 [1] 693.000000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12433 NIKKEI caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 03:01:17.342 2024-05-10 02:01:18 97277.342 NaN 12434 OAT caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:00:30.746 2024-05-10 07:00:31 115230.746 NaN 12436 BTP caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:00:40.550 2024-05-10 07:00:49 115240.55 NaN 12437 BUXL caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:00:50.242 2024-05-10 07:00:50 115250.242 NaN 12440 EUROSTX caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:01:30.499 2024-05-10 07:01:30 115290.499 NaN 12435 EUROSTX caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:00:31.882 2024-05-10 07:00:39 115231.882 NaN 12442 SMI caleb_strategy_v3 2024-05-08 23:00:00 2024-05-10 08:01:32.272 2024-05-10 07:01:32 118892.272 NaN 12439 SMI caleb_strategy_v3 2024-05-08 23:00:00 2024-05-10 08:00:52.374 2024-05-10 07:00:55 118852.374 NaN 12441 DAX caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:01:31.410 2024-05-10 07:01:31 115291.41 NaN 12443 DAX caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:02:30.554 2024-05-10 07:02:30 115350.554 NaN 12444 DAX caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:03:30.548 2024-05-10 07:03:30 115410.548 NaN 12438 DAX caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 08:00:51.302 2024-05-10 07:00:51 115251.302 NaN 12445 EURIBOR-ICE caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 09:00:31.910 2024-05-10 08:04:24 118831.91 NaN 12446 COCOA caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 14:00:52.622 2024-05-10 13:01:24 136852.622 NaN 12447 COTTON2 caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 14:01:24.870 2024-05-10 13:02:38 136884.87 NaN 12448 GOLD_micro caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 14:02:38.750 2024-05-10 13:02:39 136958.75 NaN 12449 GOLD_micro caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 14:02:42.762 2024-05-10 13:02:43 136962.762 NaN 12450 GOLD_micro caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 14:03:43.091 2024-05-10 13:03:43 137023.091 NaN 12451 GOLD_micro caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 14:04:43.757 2024-05-10 13:04:44 137083.757 NaN 12452 AUD caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:00:51.406 2024-05-10 14:00:52 140451.406 NaN 12453 JPY caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:00:52.822 2024-05-10 14:00:52 140452.822 NaN 12455 SP400 caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:01:00.750 2024-05-10 14:01:01 140460.75 NaN 12456 CHF caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:01:01.834 2024-05-10 14:01:02 140461.834 NaN 12457 CAD caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:01:03.690 2024-05-10 14:01:06 140463.69 NaN 12462 CAD caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:06:45.611 2024-05-10 14:06:53 140805.611 NaN 12458 NASDAQ_micro caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:01:07.547 2024-05-10 14:01:07 140467.547 NaN 12463 NASDAQ_micro caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:06:54.479 2024-05-10 14:06:54 140814.479 NaN 12466 MXP caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:11:59.480 2024-05-10 14:11:59 141119.48 NaN 12461 MXP caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:06:44.860 2024-05-10 14:06:45 140804.86 NaN 12454 MXP caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:00:53.702 2024-05-10 14:01:00 140453.702 NaN 12459 VIX _ROLL_PSEUDO_STRATEGY 2024-05-09 19:00:00 2024-05-10 15:01:08.306 2024-05-10 14:06:08 72068.306 NaN 12460 VIX _ROLL_PSEUDO_STRATEGY 2024-05-09 19:00:00 2024-05-10 15:06:09.050 2024-05-10 14:06:41 72369.05 NaN 12464 VIX _ROLL_PSEUDO_STRATEGY 2024-05-09 19:00:00 2024-05-10 15:06:55.161 2024-05-10 14:06:55 72415.161 NaN 12465 VIX _ROLL_PSEUDO_STRATEGY 2024-05-09 19:00:00 2024-05-10 15:06:55.721 2024-05-10 14:11:55 72415.721 NaN 12467 VIX _ROLL_PSEUDO_STRATEGY 2024-05-09 19:00:00 2024-05-10 15:12:00.154 2024-05-10 14:17:00 72720.154 NaN 12468 VIX _ROLL_PSEUDO_STRATEGY 2024-05-09 19:00:00 2024-05-10 15:17:00.838 2024-05-10 14:22:00 73020.838 NaN 12469 VIX caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:22:06.422 2024-05-10 14:22:06 141726.422 NaN 12470 WHEAT caleb_strategy_v3 2024-05-09 00:00:00 2024-05-10 15:30:09.262 2024-05-10 14:30:10 142209.262 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 12433 NIKKEI caleb_strategy_v3 [-1] 38420.0 None 38372.5 38370.0 38375.0 38375.0 38365.0 -47.5 -2.5 -5.0 -10.0 NaN -7.5 12434 OAT caleb_strategy_v3 [-1] 126.47 None 126.545 126.54 126.55 126.55 126.53 0.075 -0.005 -0.01 -0.02 NaN -0.015 12436 BTP caleb_strategy_v3 [-1] 117.85 None 118.135 118.13 118.14 118.14 118.13 0.285 -0.005 -0.0 -0.01 NaN -0.005 12437 BUXL caleb_strategy_v3 [1] 131.04 None 131.13 131.14 131.12 131.12 131.12 -0.09 -0.01 0.02 0.0 NaN 0.01 12440 EUROSTX caleb_strategy_v3 [1] 5052.0 None 5066.5 5067.0 5066.0 5066.0 5068.0 -14.5 -0.5 -1.0 -2.0 NaN -1.5 12435 EUROSTX caleb_strategy_v3 [1] 5052.0 None 5065.5 5066.0 5065.0 5065.0 5067.0 -13.5 -0.5 -1.0 -2.0 NaN -1.5 12442 SMI caleb_strategy_v3 [1] 11574.0 None 11660.5 11661.0 11660.0 11660.0 11665.0 -86.5 -0.5 -4.0 -5.0 NaN -4.5 12439 SMI caleb_strategy_v3 [1] 11574.0 None 11660.0 11661.0 11659.0 11659.0 11661.0 -86.0 -1.0 0.0 -2.0 NaN -1.0 12441 DAX caleb_strategy_v3 [1] 18836.0 None 18884.5 18886.0 18883.0 18883.0 18886.0 -48.5 -1.5 0.0 -3.0 NaN -1.5 12443 DAX caleb_strategy_v3 [1] 18836.0 None 18885.0 18886.0 18884.0 18884.0 18889.0 -49.0 -1.0 -3.0 -5.0 NaN -4.0 12444 DAX caleb_strategy_v3 [1] 18836.0 None 18889.0 18890.0 18888.0 18888.0 18887.0 -53.0 -1.0 3.0 1.0 NaN 2.0 12438 DAX caleb_strategy_v3 [1] 18836.0 None 18885.5 18887.0 18884.0 18884.0 18886.0 -49.5 -1.5 1.0 -2.0 NaN -0.5 12445 EURIBOR-ICE caleb_strategy_v3 [-1] 97.44 None 97.4425 97.44 97.445 97.445 97.445 0.0025 -0.0025 0.005 -0.0 NaN 0.0025 12446 COCOA caleb_strategy_v3 [-1] 8269.0 None 8282.5 8278.0 8287.0 8287.0 8276.0 13.5 -4.5 -2.0 -11.0 NaN -6.5 12447 COTTON2 caleb_strategy_v3 [1] 78.38 None 78.13 78.15 78.11 78.11 78.2 0.25 -0.02 -0.05 -0.09 NaN -0.07 12448 GOLD_micro caleb_strategy_v3 [1] 2343.6 None 2369.15 2369.2 2369.1 2369.1 2369.1 -25.55 -0.05 0.1 0.0 NaN 0.05 12449 GOLD_micro caleb_strategy_v3 [1] 2343.6 None 2369.1 2369.2 2369.0 2369.0 2369.0 -25.5 -0.1 0.2 0.0 NaN 0.1 12450 GOLD_micro caleb_strategy_v3 [1] 2343.6 None 2368.95 2369.0 2368.9 2368.9 2367.8 -25.35 -0.05 1.2 1.1 NaN 1.15 12451 GOLD_micro caleb_strategy_v3 [1] 2343.6 None 2367.7 2367.8 2367.6 2367.6 2367.6 -24.1 -0.1 0.2 0.0 NaN 0.1 12452 AUD caleb_strategy_v3 [1] 0.6626 None 0.6623 0.66235 0.66225 0.66225 0.66235 0.0003 -0.00005 0.0 -0.0001 NaN -0.00005 12453 JPY caleb_strategy_v3 [-1] 0.006469 None 0.006461 0.006461 0.006462 0.006461 0.006461 -0.000008 -0.0 0.0 -0.0 NaN 0.0 12455 SP400 caleb_strategy_v3 [-1] 3005.7 None 3010.7 3010.5 3010.9 3010.9 3010.3 5.0 -0.2 -0.2 -0.6 NaN -0.4 12456 CHF caleb_strategy_v3 [1] 1.1087 None 1.1081 1.10815 1.10805 1.10805 1.1082 0.0006 -0.00005 -0.00005 -0.00015 NaN -0.0001 12457 CAD caleb_strategy_v3 [-1] 0.73165 None 0.733475 0.73345 0.7335 0.7335 0.7334 0.001825 -0.000025 -0.00005 -0.0001 NaN -0.000075 12462 CAD caleb_strategy_v3 [-1] 0.73165 None 0.733425 0.7334 0.73345 0.73345 0.73335 0.001775 -0.000025 -0.00005 -0.0001 NaN -0.000075 12458 NASDAQ_micro caleb_strategy_v3 [1] 18227.25 None 18305.25 18305.5 18305.0 18305.0 18306.75 -78.0 -0.25 -1.25 -1.75 NaN -1.5 12463 NASDAQ_micro caleb_strategy_v3 [1] 18227.25 None 18306.5 18306.75 18306.25 18306.25 18308.75 -79.25 -0.25 -2.0 -2.5 NaN -2.25 12466 MXP caleb_strategy_v3 [1] 0.05913 None 0.059415 0.05942 0.05941 0.05941 0.05936 -0.000285 -0.000005 0.00006 0.00005 NaN 0.000055 12461 MXP caleb_strategy_v3 [1] 0.05913 None 0.05939 0.0594 0.05938 0.05938 0.05942 -0.00026 -0.00001 -0.00002 -0.00004 NaN -0.00003 12454 MXP caleb_strategy_v3 [1] 0.05913 None 0.059395 0.0594 0.05939 0.05939 0.05939 -0.000265 -0.000005 0.00001 0.0 NaN 0.000005 12459 VIX _ROLL_PSEUDO_STRATEGY [1] 15.25 None 15.275 15.3 15.25 15.25 15.3 -0.025 -0.025 0.0 -0.05 NaN -0.025 12460 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.85 None 15.775 15.75 15.8 15.8 15.7 -0.075 -0.025 -0.05 -0.1 NaN -0.075 12464 VIX _ROLL_PSEUDO_STRATEGY [1] 15.25 None 15.275 15.3 15.25 15.25 15.25 -0.025 -0.025 0.05 0.0 NaN 0.025 12465 VIX _ROLL_PSEUDO_STRATEGY [-1] 15.85 None 15.725 15.7 15.75 15.75 15.7 -0.125 -0.025 -0.0 -0.05 NaN -0.025 12467 VIX _ROLL_PSEUDO_STRATEGY [49] 15.25 None 15.275 15.3 15.25 15.25 15.3 -0.025 -0.025 0.0 -0.05 NaN -0.025 12468 VIX _ROLL_PSEUDO_STRATEGY [-49] 15.85 None 15.775 15.75 15.8 15.8 15.75 -0.075 -0.025 -0.0 -0.05 NaN -0.025 12469 VIX caleb_strategy_v3 [-1] 15.85 None 15.725 15.7 15.75 15.75 15.75 -0.125 -0.025 0.05 -0.0 NaN 0.025 12470 WHEAT caleb_strategy_v3 [1] 682.25 None 692.875 693.0 692.75 692.75 693.0 -10.625 -0.125 0.0 -0.25 NaN -0.125 ==================================================================================================================================================================== 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 12433 NIKKEI caleb_strategy_v3 [-1] 6788.283775 -69.973504 -3.682816 -7.365632 -14.731264 NaN -11.048448 12434 OAT caleb_strategy_v3 [-1] 9.613608 78.014418 -5.200961 -10.401922 -20.803845 NaN -15.602884 12436 BTP caleb_strategy_v3 [-1] 10.257679 277.840627 -4.874397 -0.0 -9.748794 NaN -4.874397 12437 BUXL caleb_strategy_v3 [1] 22.262812 -40.42616 -4.491796 8.983591 0.0 NaN 4.491796 12440 EUROSTX caleb_strategy_v3 [1] 618.320236 -234.506315 -8.086425 -16.172849 -32.345699 NaN -24.259274 12435 EUROSTX caleb_strategy_v3 [1] 618.320236 -218.333466 -8.086425 -16.172849 -32.345699 NaN -24.259274 12442 SMI caleb_strategy_v3 [1] 1369.766277 -631.494595 -3.650258 -29.202062 -36.502578 NaN -32.85232 12439 SMI caleb_strategy_v3 [1] 1369.766277 -627.844337 -7.300516 0.0 -14.601031 NaN -7.300516 12441 DAX caleb_strategy_v3 [1] 2275.81173 -213.110774 -6.591055 0.0 -13.18211 NaN -6.591055 12443 DAX caleb_strategy_v3 [1] 2275.81173 -215.307793 -4.394037 -13.18211 -21.970183 NaN -17.576146 12444 DAX caleb_strategy_v3 [1] 2275.81173 -232.883939 -4.394037 13.18211 4.394037 NaN 8.788073 12438 DAX caleb_strategy_v3 [1] 2275.81173 -217.504811 -6.591055 4.394037 -8.788073 NaN -2.197018 12445 EURIBOR-ICE caleb_strategy_v3 [-1] 0.985663 25.363628 -25.363628 50.727256 -0.0 NaN 25.363628 12446 COCOA caleb_strategy_v3 [-1] 6755.954548 19.982372 -6.660791 -2.960351 -16.281933 NaN -9.621142 12447 COTTON2 caleb_strategy_v3 [1] 24.43249 102.322767 -8.185821 -20.464553 -36.836196 NaN -28.650375 12448 GOLD_micro caleb_strategy_v3 [1] 351.331331 -727.233746 -1.423158 2.846316 0.0 NaN 1.423158 12449 GOLD_micro caleb_strategy_v3 [1] 351.331331 -725.810588 -2.846316 5.692632 0.0 NaN 2.846316 12450 GOLD_micro caleb_strategy_v3 [1] 351.331331 -721.541114 -1.423158 34.155792 31.309476 NaN 32.732634 12451 GOLD_micro caleb_strategy_v3 [1] 351.331331 -685.962164 -2.846316 5.692632 0.0 NaN 2.846316 12452 AUD caleb_strategy_v3 [1] 0.065701 45.661666 -7.610278 0.0 -15.220555 NaN -7.610278 12453 JPY caleb_strategy_v3 [-1] 0.000772 -103.632516 -6.477032 6.477032 -6.477032 NaN 0.0 12455 SP400 caleb_strategy_v3 [-1] 442.050916 113.109142 -4.524366 -4.524366 -13.573097 NaN -9.048731 12456 CHF caleb_strategy_v3 [1] 0.077054 77.867336 -6.488945 -6.488945 -19.466834 NaN -12.977889 12457 CAD caleb_strategy_v3 [-1] 0.041992 434.603653 -5.953475 -11.906949 -23.813899 NaN -17.860424 12462 CAD caleb_strategy_v3 [-1] 0.041992 422.696704 -5.953475 -11.906949 -23.813899 NaN -17.860424 12458 NASDAQ_micro caleb_strategy_v3 [1] 3057.528753 -255.107985 -0.817654 -4.088269 -5.723577 NaN -4.905923 12463 NASDAQ_micro caleb_strategy_v3 [1] 3057.528753 -259.196254 -0.817654 -6.54123 -8.176538 NaN -7.358884 12466 MXP caleb_strategy_v3 [1] 0.005528 -515.573088 -9.045142 108.541703 90.451419 NaN 99.496561 12461 MXP caleb_strategy_v3 [1] 0.005528 -470.347378 -18.090284 -36.180568 -72.361135 NaN -54.270851 12454 MXP caleb_strategy_v3 [1] 0.005528 -479.39252 -9.045142 18.090284 0.0 NaN 9.045142 12459 VIX _ROLL_PSEUDO_STRATEGY [1] 6.054763 -41.28981 -41.28981 0.0 -82.57962 NaN -41.28981 12460 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.054763 -123.86943 -41.28981 -82.57962 -165.159239 NaN -123.86943 12464 VIX _ROLL_PSEUDO_STRATEGY [1] 6.054763 -41.28981 -41.28981 82.57962 0.0 NaN 41.28981 12465 VIX _ROLL_PSEUDO_STRATEGY [-1] 6.054763 -206.449049 -41.28981 -0.0 -82.57962 NaN -41.28981 12467 VIX _ROLL_PSEUDO_STRATEGY [49] 6.054763 -41.28981 -41.28981 0.0 -82.57962 NaN -41.28981 12468 VIX _ROLL_PSEUDO_STRATEGY [-49] 6.054763 -123.86943 -41.28981 -0.0 -82.57962 NaN -41.28981 12469 VIX caleb_strategy_v3 [-1] 6.054763 -206.449049 -41.28981 82.57962 -0.0 NaN 41.28981 12470 WHEAT caleb_strategy_v3 [1] 182.240653 -583.0203 -6.859062 0.0 -13.718125 NaN -6.859062 ============================================================================================================================================================================= 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 12433 NIKKEI caleb_strategy_v3 [-1] 0.642835 -30.534646 -1.607087 -3.214173 -6.428346 NaN -4.82126 12434 OAT caleb_strategy_v3 [-1] 1077.85 80.83875 -5.38925 -10.7785 -21.557 NaN -16.16775 12436 BTP caleb_strategy_v3 [-1] 1077.85 307.18725 -5.38925 -0.0 -10.7785 NaN -5.38925 12437 BUXL caleb_strategy_v3 [1] 1077.85 -97.0065 -10.7785 21.557 0.0 NaN 10.7785 12440 EUROSTX caleb_strategy_v3 [1] 10.7785 -156.28825 -5.38925 -10.7785 -21.557 NaN -16.16775 12435 EUROSTX caleb_strategy_v3 [1] 10.7785 -145.50975 -5.38925 -10.7785 -21.557 NaN -16.16775 12442 SMI caleb_strategy_v3 [1] 11.034 -954.441 -5.517 -44.136 -55.17 NaN -49.653 12439 SMI caleb_strategy_v3 [1] 11.034 -948.924 -11.034 0.0 -22.068 NaN -11.034 12441 DAX caleb_strategy_v3 [1] 1.07785 -52.275725 -1.616775 0.0 -3.23355 NaN -1.616775 12443 DAX caleb_strategy_v3 [1] 1.07785 -52.81465 -1.07785 -3.23355 -5.38925 NaN -4.3114 12444 DAX caleb_strategy_v3 [1] 1.07785 -57.12605 -1.07785 3.23355 1.07785 NaN 2.1557 12438 DAX caleb_strategy_v3 [1] 1.07785 -53.353575 -1.616775 1.07785 -2.1557 NaN -0.538925 12445 EURIBOR-ICE caleb_strategy_v3 [-1] 2694.625 6.736562 -6.736562 13.473125 -0.0 NaN 6.736562 12446 COCOA caleb_strategy_v3 [-1] 10.0 135.0 -45.0 -20.0 -110.0 NaN -65.0 12447 COTTON2 caleb_strategy_v3 [1] 500.0 125.0 -10.0 -25.0 -45.0 NaN -35.0 12448 GOLD_micro caleb_strategy_v3 [1] 10.0 -255.5 -0.5 1.0 0.0 NaN 0.5 12449 GOLD_micro caleb_strategy_v3 [1] 10.0 -255.0 -1.0 2.0 0.0 NaN 1.0 12450 GOLD_micro caleb_strategy_v3 [1] 10.0 -253.5 -0.5 12.0 11.0 NaN 11.5 12451 GOLD_micro caleb_strategy_v3 [1] 10.0 -241.0 -1.0 2.0 0.0 NaN 1.0 12452 AUD caleb_strategy_v3 [1] 100000.0 30.0 -5.0 0.0 -10.0 NaN -5.0 12453 JPY caleb_strategy_v3 [-1] 12500000.0 -100.0 -6.25 6.25 -6.25 NaN 0.0 12455 SP400 caleb_strategy_v3 [-1] 100.0 500.0 -20.0 -20.0 -60.0 NaN -40.0 12456 CHF caleb_strategy_v3 [1] 125000.0 75.0 -6.25 -6.25 -18.75 NaN -12.5 12457 CAD caleb_strategy_v3 [-1] 100000.0 182.5 -2.5 -5.0 -10.0 NaN -7.5 12462 CAD caleb_strategy_v3 [-1] 100000.0 177.5 -2.5 -5.0 -10.0 NaN -7.5 12458 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -156.0 -0.5 -2.5 -3.5 NaN -3.0 12463 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -158.5 -0.5 -4.0 -5.0 NaN -4.5 12466 MXP caleb_strategy_v3 [1] 500000.0 -142.5 -2.5 30.0 25.0 NaN 27.5 12461 MXP caleb_strategy_v3 [1] 500000.0 -130.0 -5.0 -10.0 -20.0 NaN -15.0 12454 MXP caleb_strategy_v3 [1] 500000.0 -132.5 -2.5 5.0 0.0 NaN 2.5 12459 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 0.0 -50.0 NaN -25.0 12460 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 12464 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 50.0 0.0 NaN 25.0 12465 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -125.0 -25.0 -0.0 -50.0 NaN -25.0 12467 VIX _ROLL_PSEUDO_STRATEGY [49] 1000.0 -25.0 -25.0 0.0 -50.0 NaN -25.0 12468 VIX _ROLL_PSEUDO_STRATEGY [-49] 1000.0 -75.0 -25.0 -0.0 -50.0 NaN -25.0 12469 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 50.0 -0.0 NaN 25.0 12470 WHEAT caleb_strategy_v3 [1] 50.0 -531.25 -6.25 0.0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -350.0 caleb_strategy_v3 AUD 30.0 BTP 307.18725 BUXL -97.0065 CAD 360.0 CHF 75.0 COCOA 135.0 COTTON2 125.0 DAX -215.57 EURIBOR-ICE 6.736562 EUROSTX -301.798 GOLD_micro -1005.0 JPY -100.0 MXP -405.0 NASDAQ_micro -314.5 NIKKEI -30.534646 OAT 80.83875 SMI -1903.365 SP400 500.0 VIX -125.0 WHEAT -531.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -350.0 caleb_strategy_v3 -3409.261583 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -150.0 caleb_strategy_v3 AUD -5.0 BTP -5.38925 BUXL -10.7785 CAD -5.0 CHF -6.25 COCOA -45.0 COTTON2 -10.0 DAX -5.38925 EURIBOR-ICE -6.736562 EUROSTX -10.7785 GOLD_micro -3.0 JPY -6.25 MXP -10.0 NASDAQ_micro -1.0 NIKKEI -1.607087 OAT -5.38925 SMI -16.551 SP400 -20.0 VIX -25.0 WHEAT -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -150.0 caleb_strategy_v3 -205.369399 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0.0 caleb_strategy_v3 AUD 0.0 BTP -0.0 BUXL 21.557 CAD -10.0 CHF -6.25 COCOA -20.0 COTTON2 -25.0 DAX 1.07785 EURIBOR-ICE 13.473125 EUROSTX -21.557 GOLD_micro 17.0 JPY 6.25 MXP 25.0 NASDAQ_micro -6.5 NIKKEI -3.214173 OAT -10.7785 SMI -44.136 SP400 -20.0 VIX 50.0 WHEAT 0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v3 -33.077698 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -300.0 caleb_strategy_v3 AUD -10.0 BTP -10.7785 BUXL 0.0 CAD -20.0 CHF -18.75 COCOA -110.0 COTTON2 -45.0 DAX -9.70065 EURIBOR-ICE -0.0 EUROSTX -43.114 GOLD_micro 11.0 JPY -6.25 MXP 5.0 NASDAQ_micro -8.5 NIKKEI -6.428346 OAT -21.557 SMI -77.238 SP400 -60.0 VIX -0.0 WHEAT -12.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -300.0 caleb_strategy_v3 -443.816496 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 AUD 0 BTP 0 BUXL 0 CAD 0 CHF 0 COCOA 0 COTTON2 0 DAX 0 EURIBOR-ICE 0 EUROSTX 0 GOLD_micro 0 JPY 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 OAT 0 SMI 0 SP400 0 VIX 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 VIX -150.0 caleb_strategy_v3 AUD -5.0 BTP -5.38925 BUXL 10.7785 CAD -15.0 CHF -12.5 COCOA -65.0 COTTON2 -35.0 DAX -4.3114 EURIBOR-ICE 6.736562 EUROSTX -32.3355 GOLD_micro 14.0 JPY 0.0 MXP 15.0 NASDAQ_micro -7.5 NIKKEI -4.82126 OAT -16.16775 SMI -60.687 SP400 -40.0 VIX 25.0 WHEAT -6.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -150.0 caleb_strategy_v3 -238.447097 ******************************************************************************** END OF REPORT ********************************************************************************