******************************************************************************** Trades report produced on 16/05/2024 21:37 from 15/05/2024 21:37 to 16/05/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12513 BOBL caleb_strategy_v3 [20240600] 2024-05-16 07:00:43 [1] 117.300000 12514 BOBL caleb_strategy_v3 [20240600] 2024-05-16 07:01:30 [1] 117.320000 12515 BOBL caleb_strategy_v3 [20240600] 2024-05-16 07:02:33 [1] 117.310000 12512 BTP caleb_strategy_v3 [20240600] 2024-05-16 07:00:41 [-1] 118.780000 12519 COPPER caleb_strategy_v3 [20240700] 2024-05-16 13:00:39 [1] 4.884500 12518 CRUDE_W caleb_strategy_v3 [20241200] 2024-05-16 13:00:38 [-1] 76.000000 12535 EUR caleb_strategy_v3 [20240600] 2024-05-16 14:06:06 [1] 1.087400 12528 EUR caleb_strategy_v3 [20240600] 2024-05-16 14:00:51 [1] 1.087000 12516 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-05-16 08:00:31 [1] 97.525000 12517 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-05-16 08:01:31 [1] 97.520000 12522 GASOLINE caleb_strategy_v3 [20240800] 2024-05-16 13:01:08 [-1] 2.474100 12521 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-16 13:01:04 [1] 2.670000 12523 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-16 13:01:50 [1] 2.665000 12520 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-16 13:00:40 [1] 2383.200000 12552 LEANHOG caleb_strategy_v3 [20240800] 2024-05-16 14:30:19 [-1] 99.150000 12553 LEANHOG caleb_strategy_v3 [20240800] 2024-05-16 14:31:14 [-1] 99.200000 12532 MXP caleb_strategy_v3 [20240600] 2024-05-16 14:06:04 [1] 0.059530 12524 MXP caleb_strategy_v3 [20240600] 2024-05-16 14:00:44 [1] 0.059480 12538 MXP caleb_strategy_v3 [20240600] 2024-05-16 14:11:11 [1] 0.059540 12540 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-16 14:11:12 [-1] 18693.000000 12527 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-16 14:00:48 [-1] 18710.250000 12544 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-16 14:13:11 [-1] 18698.500000 12542 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-16 14:12:11 [-1] 18694.500000 12534 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-16 14:06:05 [-1] 18702.500000 12510 NIKKEI caleb_strategy_v3 [20240600] 2024-05-16 02:01:16 [1] 38650.000000 12511 OAT caleb_strategy_v3 [20240600] 2024-05-16 07:00:36 [-1] 127.110000 12549 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:18:12 [-1] 2111.900000 12543 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:13:11 [-1] 2110.700000 12541 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:12:11 [-1] 2109.300000 12545 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:14:11 [-1] 2111.100000 12546 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:15:11 [-1] 2112.400000 12547 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:16:12 [-1] 2112.000000 12548 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:17:12 [-1] 2111.700000 12539 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:11:12 [-1] 2108.300000 12550 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:19:12 [-1] 2111.500000 12525 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:00:45 [-1] 2109.200000 12533 RUSSELL caleb_strategy_v3 [20240600] 2024-05-16 14:06:04 [-1] 2109.700000 12551 SOYOIL caleb_strategy_v3 [20240900] 2024-05-16 14:30:15 [1] 44.620000 12530 SP400 caleb_strategy_v3 [20240600] 2024-05-16 14:01:00 [1] 3040.200000 12536 SP400 caleb_strategy_v3 [20240600] 2024-05-16 14:06:07 [1] 3041.500000 12526 SP500_micro caleb_strategy_v3 [20240600] 2024-05-16 14:00:47 [1] 5335.750000 12529 US5 caleb_strategy_v3 [20240600] 2024-05-16 14:00:52 [1] 106.085938 12537 VIX caleb_strategy_v3 [20240800] 2024-05-16 14:11:07 [-1] 15.150000 12531 VIX caleb_strategy_v3 [20240800] 2024-05-16 14:06:00 [-1] 15.150000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12510 NIKKEI caleb_strategy_v3 2024-05-15 2024-05-16 03:01:16.303 2024-05-16 02:01:16 97276.303 NaN 12511 OAT caleb_strategy_v3 2024-05-15 2024-05-16 08:00:30.314 2024-05-16 07:00:36 115230.314 NaN 12512 BTP caleb_strategy_v3 2024-05-15 2024-05-16 08:00:36.814 2024-05-16 07:00:41 115236.814 NaN 12513 BOBL caleb_strategy_v3 2024-05-15 2024-05-16 08:00:42.602 2024-05-16 07:00:43 115242.602 NaN 12514 BOBL caleb_strategy_v3 2024-05-15 2024-05-16 08:01:30.308 2024-05-16 07:01:30 115290.308 NaN 12515 BOBL caleb_strategy_v3 2024-05-15 2024-05-16 08:02:30.322 2024-05-16 07:02:33 115350.322 NaN 12516 EURIBOR-ICE caleb_strategy_v3 2024-05-15 2024-05-16 09:00:31.582 2024-05-16 08:00:31 118831.582 NaN 12517 EURIBOR-ICE caleb_strategy_v3 2024-05-15 2024-05-16 09:01:31.576 2024-05-16 08:01:31 118891.576 NaN 12518 CRUDE_W caleb_strategy_v3 2024-05-15 2024-05-16 14:00:37.823 2024-05-16 13:00:38 136837.823 NaN 12519 COPPER caleb_strategy_v3 2024-05-14 2024-05-16 14:00:39.271 2024-05-16 13:00:39 223239.271 NaN 12520 GOLD_micro caleb_strategy_v3 2024-05-15 2024-05-16 14:00:40.142 2024-05-16 13:00:40 136840.142 NaN 12522 GASOLINE caleb_strategy_v3 2024-05-15 2024-05-16 14:01:05.110 2024-05-16 13:01:08 136865.11 NaN 12521 GAS_US_mini caleb_strategy_v3 2024-05-15 2024-05-16 14:00:41.151 2024-05-16 13:01:04 136841.151 NaN 12523 GAS_US_mini caleb_strategy_v3 2024-05-15 2024-05-16 14:01:37.651 2024-05-16 13:01:50 136897.651 NaN 12526 SP500_micro caleb_strategy_v3 2024-05-15 2024-05-16 15:00:46.214 2024-05-16 14:00:47 140446.214 NaN 12529 US5 caleb_strategy_v3 2024-05-15 2024-05-16 15:00:51.826 2024-05-16 14:00:52 140451.826 NaN 12528 EUR caleb_strategy_v3 2024-05-15 2024-05-16 15:00:48.726 2024-05-16 14:00:51 140448.726 NaN 12535 EUR caleb_strategy_v3 2024-05-15 2024-05-16 15:06:06.201 2024-05-16 14:06:06 140766.201 NaN 12536 SP400 caleb_strategy_v3 2024-05-15 2024-05-16 15:06:06.915 2024-05-16 14:06:07 140766.915 NaN 12530 SP400 caleb_strategy_v3 2024-05-15 2024-05-16 15:00:52.962 2024-05-16 14:01:00 140452.962 NaN 12537 VIX caleb_strategy_v3 2024-05-15 2024-05-16 15:06:07.698 2024-05-16 14:11:07 140767.698 NaN 12531 VIX caleb_strategy_v3 2024-05-15 2024-05-16 15:01:00.587 2024-05-16 14:06:00 140460.587 NaN 12532 MXP caleb_strategy_v3 2024-05-15 2024-05-16 15:06:04.160 2024-05-16 14:06:04 140764.16 NaN 12538 MXP caleb_strategy_v3 2024-05-15 2024-05-16 15:11:11.262 2024-05-16 14:11:11 141071.262 NaN 12524 MXP caleb_strategy_v3 2024-05-15 2024-05-16 15:00:40.931 2024-05-16 14:00:44 140440.931 NaN 12544 NASDAQ_micro caleb_strategy_v3 2024-05-15 2024-05-16 15:13:11.847 2024-05-16 14:13:11 141191.847 NaN 12527 NASDAQ_micro caleb_strategy_v3 2024-05-15 2024-05-16 15:00:47.883 2024-05-16 14:00:48 140447.883 NaN 12534 NASDAQ_micro caleb_strategy_v3 2024-05-15 2024-05-16 15:06:05.466 2024-05-16 14:06:05 140765.466 NaN 12540 NASDAQ_micro caleb_strategy_v3 2024-05-15 2024-05-16 15:11:12.642 2024-05-16 14:11:12 141072.642 NaN 12542 NASDAQ_micro caleb_strategy_v3 2024-05-15 2024-05-16 15:12:11.607 2024-05-16 14:12:11 141131.607 NaN 12545 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:14:11.849 2024-05-16 14:14:11 141251.849 NaN 12546 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:15:11.905 2024-05-16 14:15:11 141311.905 NaN 12547 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:16:11.922 2024-05-16 14:16:12 141371.922 NaN 12548 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:17:11.903 2024-05-16 14:17:12 141431.903 NaN 12549 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:18:12.069 2024-05-16 14:18:12 141492.069 NaN 12550 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:19:12.430 2024-05-16 14:19:12 141552.43 NaN 12525 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:00:45.495 2024-05-16 14:00:45 140445.495 NaN 12533 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:06:04.892 2024-05-16 14:06:04 140764.892 NaN 12539 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:11:12.055 2024-05-16 14:11:12 141072.055 NaN 12541 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:12:11.141 2024-05-16 14:12:11 141131.141 NaN 12543 RUSSELL caleb_strategy_v3 2024-05-15 2024-05-16 15:13:11.349 2024-05-16 14:13:11 141191.349 NaN 12551 SOYOIL caleb_strategy_v3 2024-05-15 2024-05-16 15:30:15.098 2024-05-16 14:30:15 142215.098 NaN 12552 LEANHOG caleb_strategy_v3 2024-05-15 2024-05-16 15:30:16.122 2024-05-16 14:30:19 142216.122 NaN 12553 LEANHOG caleb_strategy_v3 2024-05-15 2024-05-16 15:31:14.479 2024-05-16 14:31:14 142274.479 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 12510 NIKKEI caleb_strategy_v3 [1] 38645.0 None 38652.5 38655.0 38650.0 38650.0 38650.0 -7.5 -2.5 5.0 0.0 NaN 2.5 12511 OAT caleb_strategy_v3 [-1] 127.05 None 127.125 127.12 127.13 127.13 127.11 0.075 -0.005 -0.01 -0.02 NaN -0.015 12512 BTP caleb_strategy_v3 [-1] 118.86 None 118.795 118.79 118.8 118.8 118.78 -0.065 -0.005 -0.01 -0.02 NaN -0.015 12513 BOBL caleb_strategy_v3 [1] 117.3 None 117.305 117.31 117.3 117.3 117.3 -0.005 -0.005 0.01 0.0 NaN 0.005 12514 BOBL caleb_strategy_v3 [1] 117.3 None 117.305 117.31 117.3 117.3 117.32 -0.005 -0.005 -0.01 -0.02 NaN -0.015 12515 BOBL caleb_strategy_v3 [1] 117.3 None 117.315 117.32 117.31 117.31 117.31 -0.015 -0.005 0.01 0.0 NaN 0.005 12516 EURIBOR-ICE caleb_strategy_v3 [1] 97.525 None 97.52 97.525 97.515 97.515 97.525 0.005 -0.005 0.0 -0.01 NaN -0.005 12517 EURIBOR-ICE caleb_strategy_v3 [1] 97.525 None 97.5225 97.525 97.52 97.52 97.52 0.0025 -0.0025 0.005 0.0 NaN 0.0025 12518 CRUDE_W caleb_strategy_v3 [-1] 75.64 None 75.99 75.98 76.0 76.0 76.0 0.35 -0.01 0.02 -0.0 NaN 0.01 12519 COPPER caleb_strategy_v3 [1] 4.906 None 4.8845 4.885 4.884 4.884 4.8845 0.0215 -0.0005 0.0005 -0.0005 NaN 0.0 12520 GOLD_micro caleb_strategy_v3 [1] 2391.1 None 2383.0 2383.1 2382.9 2382.9 2383.2 8.1 -0.1 -0.1 -0.3 NaN -0.2 12522 GASOLINE caleb_strategy_v3 [-1] 2.4601 None 2.47475 2.4744 2.4751 2.4751 2.4741 0.01465 -0.00035 -0.0003 -0.001 NaN -0.00065 12521 GAS_US_mini caleb_strategy_v3 [1] 2.63 None 2.6725 2.675 2.67 2.67 2.67 -0.0425 -0.0025 0.005 0.0 NaN 0.0025 12523 GAS_US_mini caleb_strategy_v3 [1] 2.63 None 2.67 2.675 2.665 2.665 2.665 -0.04 -0.005 0.01 0.0 NaN 0.005 12526 SP500_micro caleb_strategy_v3 [1] 5326.0 None 5335.375 5335.5 5335.25 5335.25 5335.75 -9.375 -0.125 -0.25 -0.5 NaN -0.375 12529 US5 caleb_strategy_v3 [1] 106.28125 None 106.089844 106.09375 106.085938 106.085938 106.085938 0.191406 -0.003906 0.007812 -0.0 NaN 0.003906 12528 EUR caleb_strategy_v3 [1] 1.0896 None 1.087025 1.08705 1.087 1.087 1.087 0.002575 -0.000025 0.00005 0.0 NaN 0.000025 12535 EUR caleb_strategy_v3 [1] 1.0896 None 1.087025 1.08705 1.087 1.087 1.0874 0.002575 -0.000025 -0.00035 -0.0004 NaN -0.000375 12536 SP400 caleb_strategy_v3 [1] 3050.2 None 3040.0 3040.3 3039.7 3039.7 3041.5 10.2 -0.3 -1.2 -1.8 NaN -1.5 12530 SP400 caleb_strategy_v3 [1] 3050.2 None 3040.4 3040.6 3040.2 3040.2 3040.2 9.8 -0.2 0.4 0.0 NaN 0.2 12537 VIX caleb_strategy_v3 [-1] 15.15 None 15.175 15.15 15.2 15.2 15.15 0.025 -0.025 -0.0 -0.05 NaN -0.025 12531 VIX caleb_strategy_v3 [-1] 15.15 None 15.175 15.15 15.2 15.2 15.15 0.025 -0.025 -0.0 -0.05 NaN -0.025 12532 MXP caleb_strategy_v3 [1] 0.05961 None 0.059475 0.05948 0.05947 0.05947 0.05953 0.000135 -0.000005 -0.00005 -0.00006 NaN -0.000055 12538 MXP caleb_strategy_v3 [1] 0.05961 None 0.059525 0.05953 0.05952 0.05952 0.05954 0.000085 -0.000005 -0.00001 -0.00002 NaN -0.000015 12524 MXP caleb_strategy_v3 [1] 0.05961 None 0.059465 0.05947 0.05946 0.05946 0.05948 0.000145 -0.000005 -0.00001 -0.00002 NaN -0.000015 12544 NASDAQ_micro caleb_strategy_v3 [-1] 18688.75 None 18694.75 18694.5 18695.0 18695.0 18698.5 6.0 -0.25 4.0 3.5 NaN 3.75 12527 NASDAQ_micro caleb_strategy_v3 [-1] 18688.75 None 18710.375 18710.25 18710.5 18710.5 18710.25 21.625 -0.125 -0.0 -0.25 NaN -0.125 12534 NASDAQ_micro caleb_strategy_v3 [-1] 18688.75 None 18710.125 18710.0 18710.25 18710.25 18702.5 21.375 -0.125 -7.5 -7.75 NaN -7.625 12540 NASDAQ_micro caleb_strategy_v3 [-1] 18688.75 None 18702.75 18702.5 18703.0 18703.0 18693.0 14.0 -0.25 -9.5 -10.0 NaN -9.75 12542 NASDAQ_micro caleb_strategy_v3 [-1] 18688.75 None 18692.875 18692.75 18693.0 18693.0 18694.5 4.125 -0.125 1.75 1.5 NaN 1.625 12545 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2110.8 2110.7 2110.9 2110.9 2111.1 -3.6 -0.1 0.4 0.2 NaN 0.3 12546 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2111.2 2111.1 2111.3 2111.3 2112.4 -3.2 -0.1 1.3 1.1 NaN 1.2 12547 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2112.45 2112.4 2112.5 2112.5 2112.0 -1.95 -0.05 -0.4 -0.5 NaN -0.45 12548 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2112.1 2112.0 2112.2 2112.2 2111.7 -2.3 -0.1 -0.3 -0.5 NaN -0.4 12549 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2111.75 2111.7 2111.8 2111.8 2111.9 -2.65 -0.05 0.2 0.1 NaN 0.15 12550 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2112.0 2111.9 2112.1 2112.1 2111.5 -2.4 -0.1 -0.4 -0.6 NaN -0.5 12525 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2109.15 2109.1 2109.2 2109.2 2109.2 -5.25 -0.05 0.1 -0.0 NaN 0.05 12533 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2109.15 2109.1 2109.2 2109.2 2109.7 -5.25 -0.05 0.6 0.5 NaN 0.55 12539 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2109.8 2109.7 2109.9 2109.9 2108.3 -4.6 -0.1 -1.4 -1.6 NaN -1.5 12541 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2108.4 2108.3 2108.5 2108.5 2109.3 -6.0 -0.1 1.0 0.8 NaN 0.9 12543 RUSSELL caleb_strategy_v3 [-1] 2114.4 None 2109.45 2109.4 2109.5 2109.5 2110.7 -4.95 -0.05 1.3 1.2 NaN 1.25 12551 SOYOIL caleb_strategy_v3 [1] 44.1 None 44.61 44.62 44.6 44.6 44.62 -0.51 -0.01 0.0 -0.02 NaN -0.01 12552 LEANHOG caleb_strategy_v3 [-1] 99.9 None 99.1875 99.175 99.2 99.2 99.15 -0.7125 -0.0125 -0.025 -0.05 NaN -0.0375 12553 LEANHOG caleb_strategy_v3 [-1] 99.9 None 99.575 99.15 100.0 100.0 99.2 -0.325 -0.425 0.05 -0.8 NaN -0.375 =============================================================================================================================================================== 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 12510 NIKKEI caleb_strategy_v3 [1] 6335.764435 -11.837561 -3.945854 7.891708 0.0 NaN 3.945854 12511 OAT caleb_strategy_v3 [-1] 10.142197 73.948473 -4.929898 -9.859796 -19.719593 NaN -14.789695 12512 BTP caleb_strategy_v3 [-1] 10.716259 -60.655497 -4.665807 -9.331615 -18.66323 NaN -13.997422 12513 BOBL caleb_strategy_v3 [1] 5.321162 -9.396443 -9.396443 18.792886 0.0 NaN 9.396443 12514 BOBL caleb_strategy_v3 [1] 5.321162 -9.396443 -9.396443 -18.792886 -37.585773 NaN -28.189329 12515 BOBL caleb_strategy_v3 [1] 5.321162 -28.189329 -9.396443 18.792886 0.0 NaN 9.396443 12516 EURIBOR-ICE caleb_strategy_v3 [1] 1.033822 48.364229 -48.364229 0.0 -96.728459 NaN -48.364229 12517 EURIBOR-ICE caleb_strategy_v3 [1] 1.033822 24.182115 -24.182115 48.364229 0.0 NaN 24.182115 12518 CRUDE_W caleb_strategy_v3 [-1] 14.507035 241.262258 -6.893207 13.786415 -0.0 NaN 6.893207 12519 COPPER caleb_strategy_v3 [1] 0.952086 225.819883 -5.251625 5.251625 -5.251625 NaN 0.0 12520 GOLD_micro caleb_strategy_v3 [1] 343.309172 235.938934 -2.912826 -2.912826 -8.738479 NaN -5.825653 12522 GASOLINE caleb_strategy_v3 [-1] 0.603182 242.878611 -5.802561 -4.973623 -16.578745 NaN -10.776184 12521 GAS_US_mini caleb_strategy_v3 [1] 1.448588 -293.389141 -17.258185 34.51637 0.0 NaN 17.258185 12523 GAS_US_mini caleb_strategy_v3 [1] 1.448588 -276.130956 -34.51637 69.032739 0.0 NaN 34.51637 12526 SP500_micro caleb_strategy_v3 [1] 630.745977 -148.633528 -1.98178 -3.963561 -7.927122 NaN -5.945341 12529 US5 caleb_strategy_v3 [1] 4.66889 409.960895 -8.366549 16.732027 -0.001071 NaN 8.365478 12528 EUR caleb_strategy_v3 [1] 0.062997 408.749385 -3.968441 7.936881 0.0 NaN 3.968441 12535 EUR caleb_strategy_v3 [1] 0.062997 408.749385 -3.968441 -55.558169 -63.49505 NaN -59.526609 12536 SP400 caleb_strategy_v3 [1] 421.495083 241.995705 -7.117521 -28.470083 -42.705124 NaN -35.587604 12530 SP400 caleb_strategy_v3 [1] 421.495083 232.505678 -4.745014 9.490028 0.0 NaN 4.745014 12537 VIX caleb_strategy_v3 [-1] 5.774632 43.292799 -43.292799 -0.0 -86.585598 NaN -43.292799 12531 VIX caleb_strategy_v3 [-1] 5.774632 43.292799 -43.292799 -0.0 -86.585598 NaN -43.292799 12532 MXP caleb_strategy_v3 [1] 0.005368 251.47247 -9.313795 -93.137952 -111.765542 NaN -102.451747 12538 MXP caleb_strategy_v3 [1] 0.005368 158.334518 -9.313795 -18.62759 -37.255181 NaN -27.941386 12524 MXP caleb_strategy_v3 [1] 0.005368 270.10006 -9.313795 -18.62759 -37.255181 NaN -27.941386 12544 NASDAQ_micro caleb_strategy_v3 [-1] 2945.953611 20.366919 -0.848622 13.577946 11.880703 NaN 12.729325 12527 NASDAQ_micro caleb_strategy_v3 [-1] 2945.953611 73.405772 -0.424311 -0.0 -0.848622 NaN -0.424311 12534 NASDAQ_micro caleb_strategy_v3 [-1] 2945.953611 72.557151 -0.424311 -25.458649 -26.307271 NaN -25.88296 12540 NASDAQ_micro caleb_strategy_v3 [-1] 2945.953611 47.522812 -0.848622 -32.247623 -33.944866 NaN -33.096244 12542 NASDAQ_micro caleb_strategy_v3 [-1] 2945.953611 14.002257 -0.424311 5.940352 5.09173 NaN 5.516041 12545 RUSSELL caleb_strategy_v3 [-1] 363.648738 -98.996631 -2.749906 10.999626 5.499813 NaN 8.249719 12546 RUSSELL caleb_strategy_v3 [-1] 363.648738 -87.997005 -2.749906 35.748783 30.248971 NaN 32.998877 12547 RUSSELL caleb_strategy_v3 [-1] 363.648738 -53.623175 -1.374953 -10.999626 -13.749532 NaN -12.374579 12548 RUSSELL caleb_strategy_v3 [-1] 363.648738 -63.247848 -2.749906 -8.249719 -13.749532 NaN -10.999626 12549 RUSSELL caleb_strategy_v3 [-1] 363.648738 -72.87252 -1.374953 5.499813 2.749906 NaN 4.12486 12550 RUSSELL caleb_strategy_v3 [-1] 363.648738 -65.997754 -2.749906 -10.999626 -16.499439 NaN -13.749532 12525 RUSSELL caleb_strategy_v3 [-1] 363.648738 -144.370087 -1.374953 2.749906 -0.0 NaN 1.374953 12533 RUSSELL caleb_strategy_v3 [-1] 363.648738 -144.370087 -1.374953 16.499439 13.749532 NaN 15.124485 12539 RUSSELL caleb_strategy_v3 [-1] 363.648738 -126.495695 -2.749906 -38.49869 -43.998503 NaN -41.248596 12541 RUSSELL caleb_strategy_v3 [-1] 363.648738 -164.994385 -2.749906 27.499064 21.999251 NaN 24.749158 12543 RUSSELL caleb_strategy_v3 [-1] 363.648738 -136.120368 -1.374953 35.748783 32.998877 NaN 34.37383 12551 SOYOIL caleb_strategy_v3 [1] 14.606215 -349.166431 -6.846401 0.0 -13.692801 NaN -6.846401 12552 LEANHOG caleb_strategy_v3 [-1] 19.331985 -368.560196 -6.465968 -12.931937 -25.863873 NaN -19.397905 12553 LEANHOG caleb_strategy_v3 [-1] 19.331985 -168.115177 -219.842924 25.863873 -413.821974 NaN -193.97905 ======================================================================================================================================================================== 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 12510 NIKKEI caleb_strategy_v3 [1] 0.648273 -4.862048 -1.620683 3.241365 0.0 NaN 1.620683 12511 OAT caleb_strategy_v3 [-1] 1087.9 81.5925 -5.4395 -10.879 -21.758 NaN -16.3185 12512 BTP caleb_strategy_v3 [-1] 1087.9 -70.7135 -5.4395 -10.879 -21.758 NaN -16.3185 12513 BOBL caleb_strategy_v3 [1] 1087.9 -5.4395 -5.4395 10.879 0.0 NaN 5.4395 12514 BOBL caleb_strategy_v3 [1] 1087.9 -5.4395 -5.4395 -10.879 -21.758 NaN -16.3185 12515 BOBL caleb_strategy_v3 [1] 1087.9 -16.3185 -5.4395 10.879 0.0 NaN 5.4395 12516 EURIBOR-ICE caleb_strategy_v3 [1] 2719.75 13.59875 -13.59875 0.0 -27.1975 NaN -13.59875 12517 EURIBOR-ICE caleb_strategy_v3 [1] 2719.75 6.799375 -6.799375 13.59875 0.0 NaN 6.799375 12518 CRUDE_W caleb_strategy_v3 [-1] 1000.0 350.0 -10.0 20.0 -0.0 NaN 10.0 12519 COPPER caleb_strategy_v3 [1] 25000.0 537.5 -12.5 12.5 -12.5 NaN 0.0 12520 GOLD_micro caleb_strategy_v3 [1] 10.0 81.0 -1.0 -1.0 -3.0 NaN -2.0 12522 GASOLINE caleb_strategy_v3 [-1] 42000.0 615.3 -14.7 -12.6 -42.0 NaN -27.3 12521 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -106.25 -6.25 12.5 0.0 NaN 6.25 12523 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -100.0 -12.5 25.0 0.0 NaN 12.5 12526 SP500_micro caleb_strategy_v3 [1] 5.0 -46.875 -0.625 -1.25 -2.5 NaN -1.875 12529 US5 caleb_strategy_v3 [1] 1000.0 191.40625 -3.90625 7.812 -0.0005 NaN 3.90575 12528 EUR caleb_strategy_v3 [1] 125000.0 321.875 -3.125 6.25 0.0 NaN 3.125 12535 EUR caleb_strategy_v3 [1] 125000.0 321.875 -3.125 -43.75 -50.0 NaN -46.875 12536 SP400 caleb_strategy_v3 [1] 100.0 1020.0 -30.0 -120.0 -180.0 NaN -150.0 12530 SP400 caleb_strategy_v3 [1] 100.0 980.0 -20.0 40.0 0.0 NaN 20.0 12537 VIX caleb_strategy_v3 [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 12531 VIX caleb_strategy_v3 [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 12532 MXP caleb_strategy_v3 [1] 500000.0 67.5 -2.5 -25.0 -30.0 NaN -27.5 12538 MXP caleb_strategy_v3 [1] 500000.0 42.5 -2.5 -5.0 -10.0 NaN -7.5 12524 MXP caleb_strategy_v3 [1] 500000.0 72.5 -2.5 -5.0 -10.0 NaN -7.5 12544 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 12.0 -0.5 8.0 7.0 NaN 7.5 12527 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 43.25 -0.25 -0.0 -0.5 NaN -0.25 12534 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 42.75 -0.25 -15.0 -15.5 NaN -15.25 12540 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 28.0 -0.5 -19.0 -20.0 NaN -19.5 12542 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 8.25 -0.25 3.5 3.0 NaN 3.25 12545 RUSSELL caleb_strategy_v3 [-1] 5.0 -18.0 -0.5 2.0 1.0 NaN 1.5 12546 RUSSELL caleb_strategy_v3 [-1] 5.0 -16.0 -0.5 6.5 5.5 NaN 6.0 12547 RUSSELL caleb_strategy_v3 [-1] 5.0 -9.75 -0.25 -2.0 -2.5 NaN -2.25 12548 RUSSELL caleb_strategy_v3 [-1] 5.0 -11.5 -0.5 -1.5 -2.5 NaN -2.0 12549 RUSSELL caleb_strategy_v3 [-1] 5.0 -13.25 -0.25 1.0 0.5 NaN 0.75 12550 RUSSELL caleb_strategy_v3 [-1] 5.0 -12.0 -0.5 -2.0 -3.0 NaN -2.5 12525 RUSSELL caleb_strategy_v3 [-1] 5.0 -26.25 -0.25 0.5 -0.0 NaN 0.25 12533 RUSSELL caleb_strategy_v3 [-1] 5.0 -26.25 -0.25 3.0 2.5 NaN 2.75 12539 RUSSELL caleb_strategy_v3 [-1] 5.0 -23.0 -0.5 -7.0 -8.0 NaN -7.5 12541 RUSSELL caleb_strategy_v3 [-1] 5.0 -30.0 -0.5 5.0 4.0 NaN 4.5 12543 RUSSELL caleb_strategy_v3 [-1] 5.0 -24.75 -0.25 6.5 6.0 NaN 6.25 12551 SOYOIL caleb_strategy_v3 [1] 600.0 -306.0 -6.0 0.0 -12.0 NaN -6.0 12552 LEANHOG caleb_strategy_v3 [-1] 400.0 -285.0 -5.0 -10.0 -20.0 NaN -15.0 12553 LEANHOG caleb_strategy_v3 [-1] 400.0 -130.0 -170.0 20.0 -320.0 NaN -150.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -27.1975 BTP -70.7135 COPPER 537.5 CRUDE_W 350.0 EUR 643.75 EURIBOR-ICE 20.398125 GASOLINE 615.3 GAS_US_mini -206.25 GOLD_micro 81.0 LEANHOG -415.0 MXP 182.5 NASDAQ_micro 134.25 NIKKEI -4.862048 OAT 81.5925 RUSSELL -210.75 SOYOIL -306.0 SP400 2000.0 SP500_micro -46.875 US5 191.40625 VIX 50.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 3600.048827 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -16.3185 BTP -5.4395 COPPER -12.5 CRUDE_W -10.0 EUR -6.25 EURIBOR-ICE -20.398125 GASOLINE -14.7 GAS_US_mini -18.75 GOLD_micro -1.0 LEANHOG -175.0 MXP -7.5 NASDAQ_micro -1.75 NIKKEI -1.620683 OAT -5.4395 RUSSELL -4.25 SOYOIL -6.0 SP400 -50.0 SP500_micro -0.625 US5 -3.90625 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -411.447558 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.879 BTP -10.879 COPPER 12.5 CRUDE_W 20.0 EUR -37.5 EURIBOR-ICE 13.59875 GASOLINE -12.6 GAS_US_mini 37.5 GOLD_micro -1.0 LEANHOG 10.0 MXP -35.0 NASDAQ_micro -22.5 NIKKEI 3.241365 OAT -10.879 RUSSELL 12.0 SOYOIL 0.0 SP400 -80.0 SP500_micro -1.25 US5 7.812 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -84.076885 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -21.758 BTP -21.758 COPPER -12.5 CRUDE_W -0.0 EUR -50.0 EURIBOR-ICE -27.1975 GASOLINE -42.0 GAS_US_mini 0.0 GOLD_micro -3.0 LEANHOG -340.0 MXP -50.0 NASDAQ_micro -26.0 NIKKEI 0.0 OAT -21.758 RUSSELL 3.5 SOYOIL -12.0 SP400 -180.0 SP500_micro -2.5 US5 -0.0005 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -906.972 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 BTP 0 COPPER 0 CRUDE_W 0 EUR 0 EURIBOR-ICE 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 OAT 0 RUSSELL 0 SOYOIL 0 SP400 0 SP500_micro 0 US5 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 -5.4395 BTP -16.3185 COPPER 0.0 CRUDE_W 10.0 EUR -43.75 EURIBOR-ICE -6.799375 GASOLINE -27.3 GAS_US_mini 18.75 GOLD_micro -2.0 LEANHOG -165.0 MXP -42.5 NASDAQ_micro -24.25 NIKKEI 1.620683 OAT -16.3185 RUSSELL 7.75 SOYOIL -6.0 SP400 -130.0 SP500_micro -1.875 US5 3.90575 VIX -50.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -495.524442 ******************************************************************************** END OF REPORT ********************************************************************************