******************************************************************************** Trades report produced on 24/05/2024 21:37 from 23/05/2024 21:37 to 24/05/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12651 BTP caleb_strategy_v3 [20240600] 2024-05-24 07:00:35 [-1] 117.260000 12674 CAD caleb_strategy_v3 [20240600] 2024-05-24 14:00:29 [-1] 0.730800 12661 CANOLA caleb_strategy_v3 [20241100] 2024-05-24 13:03:52 [1] 694.800000 12653 CANOLA caleb_strategy_v3 [20241100] 2024-05-24 13:02:51 [1] 694.700000 12662 COPPER caleb_strategy_v3 [20240700] 2024-05-24 13:03:53 [-1] 4.779500 12654 COPPER caleb_strategy_v3 [20240700] 2024-05-24 13:02:55 [-1] 4.777500 12683 DOW caleb_strategy_v3 [20240600] 2024-05-24 14:03:17 [-1] 39209.000000 12680 DOW caleb_strategy_v3 [20240600] 2024-05-24 14:02:17 [-1] 39208.000000 12677 DOW caleb_strategy_v3 [20240600] 2024-05-24 14:01:17 [-1] 39233.000000 12669 DOW caleb_strategy_v3 [20240600] 2024-05-24 14:00:18 [-1] 39212.000000 12691 FEEDCOW caleb_strategy_v3 [20240900] 2024-05-24 14:30:24 [1] 261.200000 12655 GASOLINE caleb_strategy_v3 [20240800] 2024-05-24 13:02:57 [-1] 2.418300 12657 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-24 13:03:00 [1] 2.865000 12668 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-24 13:06:11 [1] 2.880000 12667 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-24 13:05:11 [1] 2.875000 12666 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-24 13:04:11 [1] 2.870000 12663 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-24 13:03:54 [1] 2.875000 12656 GOLD_micro caleb_strategy_v3 [20240800] 2024-05-24 13:02:59 [-1] 2362.500000 12664 HEATOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-24 13:03:55 [1] 2.436800 12659 HEATOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-05-24 13:03:05 [1] 2.436400 12665 HEATOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-24 13:03:55 [-1] 2.450700 12660 HEATOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-05-24 13:03:07 [-1] 2.449600 12672 JPY caleb_strategy_v3 [20240600] 2024-05-24 14:00:23 [-1] 0.006392 12692 LIVECOW caleb_strategy_v3 [20240800] 2024-05-24 14:30:26 [1] 181.075000 12675 MXP caleb_strategy_v3 [20240600] 2024-05-24 14:00:30 [1] 0.059590 12671 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-24 14:00:21 [1] 18774.750000 12648 NIKKEI caleb_strategy_v3 [20240600] 2024-05-24 02:01:19 [1] 38640.000000 12649 NIKKEI caleb_strategy_v3 [20240600] 2024-05-24 02:02:17 [1] 38650.000000 12650 NIKKEI caleb_strategy_v3 [20240600] 2024-05-24 02:03:17 [1] 38655.000000 12658 OJ caleb_strategy_v3 [20240900] 2024-05-24 13:03:01 [1] 453.250000 12652 ROBUSTA caleb_strategy_v3 [20240900] 2024-05-24 09:00:45 [1] 3797.000000 12676 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:00:32 [1] 2066.800000 12682 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:02:18 [1] 2067.900000 12685 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:03:19 [1] 2067.400000 12686 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:04:18 [1] 2066.900000 12687 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:05:18 [1] 2067.000000 12688 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:06:18 [1] 2068.900000 12689 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:07:18 [1] 2067.900000 12679 RUSSELL caleb_strategy_v3 [20240600] 2024-05-24 14:01:19 [1] 2068.200000 12690 SOYOIL caleb_strategy_v3 [20240900] 2024-05-24 14:30:22 [1] 45.460000 12670 SP400 caleb_strategy_v3 [20240600] 2024-05-24 14:00:20 [-1] 2974.700000 12673 SP500_micro caleb_strategy_v3 [20240600] 2024-05-24 14:00:24 [1] 5304.750000 12681 SP500_micro caleb_strategy_v3 [20240600] 2024-05-24 14:02:18 [1] 5305.250000 12684 SP500_micro caleb_strategy_v3 [20240600] 2024-05-24 14:03:18 [1] 5305.750000 12678 SP500_micro caleb_strategy_v3 [20240600] 2024-05-24 14:01:18 [1] 5308.000000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12648 NIKKEI caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 03:01:16.658 2024-05-24 02:01:19 97276.658 NaN 12649 NIKKEI caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 03:02:16.668 2024-05-24 02:02:17 97336.668 NaN 12650 NIKKEI caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 03:03:16.739 2024-05-24 02:03:17 97396.739 NaN 12651 BTP caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 08:00:29.698 2024-05-24 07:00:35 115229.698 NaN 12652 ROBUSTA caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 10:00:32.114 2024-05-24 09:00:45 122432.114 NaN 12655 GASOLINE caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:02:56.138 2024-05-24 13:02:57 136976.138 NaN 12656 GOLD_micro caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:02:57.990 2024-05-24 13:02:59 136977.99 NaN 12658 OJ caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:03:01.074 2024-05-24 13:03:01 136981.074 NaN 12653 CANOLA caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:00:37.282 2024-05-24 13:02:51 136837.282 NaN 12661 CANOLA caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:03:10.751 2024-05-24 13:03:52 136990.751 NaN 12662 COPPER caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:03:53.017 2024-05-24 13:03:53 137033.017 NaN 12654 COPPER caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:02:51.814 2024-05-24 13:02:55 136971.814 NaN 12664 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-05-23 20:00:00 2024-05-24 14:03:55.089 2024-05-24 13:03:55 65035.089 NaN 12665 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-05-23 20:00:00 2024-05-24 14:03:55.752 2024-05-24 13:03:55 65035.752 NaN 12659 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-05-23 20:00:00 2024-05-24 14:03:01.994 2024-05-24 13:03:05 64981.994 NaN 12660 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-05-23 20:00:00 2024-05-24 14:03:06.087 2024-05-24 13:03:07 64986.087 NaN 12657 GAS_US_mini caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:03:00.158 2024-05-24 13:03:00 136980.158 NaN 12663 GAS_US_mini caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:03:53.689 2024-05-24 13:03:54 137033.689 NaN 12666 GAS_US_mini caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:04:11.376 2024-05-24 13:04:11 137051.376 NaN 12667 GAS_US_mini caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:05:11.263 2024-05-24 13:05:11 137111.263 NaN 12668 GAS_US_mini caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 14:06:11.530 2024-05-24 13:06:11 137171.53 NaN 12670 SP400 caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:19.670 2024-05-24 14:00:20 140419.67 NaN 12671 NASDAQ_micro caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:21.034 2024-05-24 14:00:21 140421.034 NaN 12672 JPY caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:22.070 2024-05-24 14:00:23 140422.07 NaN 12674 CAD caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:25.674 2024-05-24 14:00:29 140425.674 NaN 12675 MXP caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:30.678 2024-05-24 14:00:30 140430.678 NaN 12680 DOW caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:02:17.842 2024-05-24 14:02:17 140537.842 NaN 12683 DOW caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:03:17.910 2024-05-24 14:03:17 140597.91 NaN 12669 DOW caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:18.474 2024-05-24 14:00:18 140418.474 NaN 12677 DOW caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:01:17.691 2024-05-24 14:01:17 140477.691 NaN 12673 SP500_micro caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:23.966 2024-05-24 14:00:24 140423.966 NaN 12681 SP500_micro caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:02:18.383 2024-05-24 14:02:18 140538.383 NaN 12684 SP500_micro caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:03:18.557 2024-05-24 14:03:18 140598.557 NaN 12678 SP500_micro caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:01:18.260 2024-05-24 14:01:18 140478.26 NaN 12676 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:00:31.570 2024-05-24 14:00:32 140431.57 NaN 12679 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:01:18.914 2024-05-24 14:01:19 140478.914 NaN 12682 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:02:18.822 2024-05-24 14:02:18 140538.822 NaN 12685 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:03:19.344 2024-05-24 14:03:19 140599.344 NaN 12686 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:04:18.087 2024-05-24 14:04:18 140658.087 NaN 12687 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:05:18.027 2024-05-24 14:05:18 140718.027 NaN 12688 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:06:18.030 2024-05-24 14:06:18 140778.03 NaN 12689 RUSSELL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:07:18.173 2024-05-24 14:07:18 140838.173 NaN 12690 SOYOIL caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:30:21.890 2024-05-24 14:30:22 142221.89 NaN 12691 FEEDCOW caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:30:23.958 2024-05-24 14:30:24 142223.958 NaN 12692 LIVECOW caleb_strategy_v3 2024-05-23 00:00:00 2024-05-24 15:30:25.087 2024-05-24 14:30:26 142225.087 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 12648 NIKKEI caleb_strategy_v3 [1] 38475.0 None 38642.5 38645.0 38640.0 38640.0 38640.0 -167.5 -2.5 5.0 0.0 NaN 2.5 12649 NIKKEI caleb_strategy_v3 [1] 38475.0 None 38637.5 38640.0 38635.0 38635.0 38650.0 -162.5 -2.5 -10.0 -15.0 NaN -12.5 12650 NIKKEI caleb_strategy_v3 [1] 38475.0 None 38647.5 38650.0 38645.0 38645.0 38655.0 -172.5 -2.5 -5.0 -10.0 NaN -7.5 12651 BTP caleb_strategy_v3 [-1] 117.31 None 117.275 117.27 117.28 117.28 117.26 -0.035 -0.005 -0.01 -0.02 NaN -0.015 12652 ROBUSTA caleb_strategy_v3 [1] 3745.0 None 3800.0 3803.0 3797.0 3797.0 3797.0 -55.0 -3.0 6.0 0.0 NaN 3.0 12655 GASOLINE caleb_strategy_v3 [-1] 2.4317 None 2.4187 2.4184 2.419 2.419 2.4183 -0.013 -0.0003 -0.0001 -0.0007 NaN -0.0004 12656 GOLD_micro caleb_strategy_v3 [-1] 2357.3 None 2362.7 2362.5 2362.9 2362.9 2362.5 5.4 -0.2 -0.0 -0.4 NaN -0.2 12658 OJ caleb_strategy_v3 [1] 448.85 None 452.875 453.25 452.5 452.5 453.25 -4.025 -0.375 0.0 -0.75 NaN -0.375 12653 CANOLA caleb_strategy_v3 [1] 692.1 None 694.4 694.5 694.3 694.3 694.7 -2.3 -0.1 -0.2 -0.4 NaN -0.3 12661 CANOLA caleb_strategy_v3 [1] 692.1 None 694.6 694.7 694.5 694.5 694.8 -2.5 -0.1 -0.1 -0.3 NaN -0.2 12662 COPPER caleb_strategy_v3 [-1] 4.768 None 4.778 4.7775 4.7785 4.7785 4.7795 0.01 -0.0005 0.002 0.001 NaN 0.0015 12654 COPPER caleb_strategy_v3 [-1] 4.768 None 4.7785 4.778 4.779 4.779 4.7775 0.0105 -0.0005 -0.0005 -0.0015 NaN -0.001 12664 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.4408 None 2.43595 2.4364 2.4355 2.4355 2.4368 0.00485 -0.00045 -0.0004 -0.0013 NaN -0.00085 12665 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.4555 None 2.45005 2.4496 2.4505 2.4505 2.4507 -0.00545 -0.00045 0.0011 0.0002 NaN 0.00065 12659 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.4408 None 2.4358 2.4363 2.4353 2.4353 2.4364 0.005 -0.0005 -0.0001 -0.0011 NaN -0.0006 12660 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.4555 None 2.45065 2.4503 2.451 2.451 2.4496 -0.00485 -0.00035 -0.0007 -0.0014 NaN -0.00105 12657 GAS_US_mini caleb_strategy_v3 [1] 2.94 None 2.8625 2.865 2.86 2.86 2.865 0.0775 -0.0025 0.0 -0.005 NaN -0.0025 12663 GAS_US_mini caleb_strategy_v3 [1] 2.94 None 2.8675 2.87 2.865 2.865 2.875 0.0725 -0.0025 -0.005 -0.01 NaN -0.0075 12666 GAS_US_mini caleb_strategy_v3 [1] 2.94 None 2.8725 2.875 2.87 2.87 2.87 0.0675 -0.0025 0.005 0.0 NaN 0.0025 12667 GAS_US_mini caleb_strategy_v3 [1] 2.94 None 2.8675 2.87 2.865 2.865 2.875 0.0725 -0.0025 -0.005 -0.01 NaN -0.0075 12668 GAS_US_mini caleb_strategy_v3 [1] 2.94 None 2.8725 2.875 2.87 2.87 2.88 0.0675 -0.0025 -0.005 -0.01 NaN -0.0075 12670 SP400 caleb_strategy_v3 [-1] 2957.9 None 2975.35 2975.1 2975.6 2975.6 2974.7 17.45 -0.25 -0.4 -0.9 NaN -0.65 12671 NASDAQ_micro caleb_strategy_v3 [1] 18650.75 None 18774.375 18774.75 18774.0 18774.0 18774.75 -123.625 -0.375 0.0 -0.75 NaN -0.375 12672 JPY caleb_strategy_v3 [-1] 0.006395 None 0.006391 0.006391 0.006391 0.006391 0.006392 -0.000004 -0.0 0.000001 0.000001 NaN 0.000001 12674 CAD caleb_strategy_v3 [-1] 0.72815 None 0.7309 0.73085 0.73095 0.73095 0.7308 0.00275 -0.00005 -0.00005 -0.00015 NaN -0.0001 12675 MXP caleb_strategy_v3 [1] 0.05952 None 0.059585 0.05959 0.05958 NaN 0.05959 -0.000065 -0.000005 0.0 NaN NaN -0.000005 12680 DOW caleb_strategy_v3 [-1] 39137.0 None 39234.0 39233.0 39235.0 39235.0 39208.0 97.0 -1.0 -25.0 -27.0 NaN -26.0 12683 DOW caleb_strategy_v3 [-1] 39137.0 None 39208.5 39208.0 39209.0 39209.0 39209.0 71.5 -0.5 1.0 -0.0 NaN 0.5 12669 DOW caleb_strategy_v3 [-1] 39137.0 None 39209.0 39208.0 39210.0 39210.0 39212.0 72.0 -1.0 4.0 2.0 NaN 3.0 12677 DOW caleb_strategy_v3 [-1] 39137.0 None 39213.0 39212.0 39214.0 39214.0 39233.0 76.0 -1.0 21.0 19.0 NaN 20.0 12673 SP500_micro caleb_strategy_v3 [1] 5276.5 None 5304.875 5305.0 5304.75 5304.75 5304.75 -28.375 -0.125 0.25 0.0 NaN 0.125 12681 SP500_micro caleb_strategy_v3 [1] 5276.5 None 5307.875 5308.0 5307.75 5307.75 5305.25 -31.375 -0.125 2.75 2.5 NaN 2.625 12684 SP500_micro caleb_strategy_v3 [1] 5276.5 None 5305.125 5305.25 5305.0 5305.0 5305.75 -28.625 -0.125 -0.5 -0.75 NaN -0.625 12678 SP500_micro caleb_strategy_v3 [1] 5276.5 None 5304.75 5305.0 5304.5 5304.5 5308.0 -28.25 -0.25 -3.0 -3.5 NaN -3.25 12676 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2066.7 2066.8 2066.6 2066.6 2066.8 -17.7 -0.1 0.0 -0.2 NaN -0.1 12679 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2066.8 2066.9 2066.7 2066.7 2068.2 -17.8 -0.1 -1.3 -1.5 NaN -1.4 12682 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2068.1 2068.2 2068.0 2068.0 2067.9 -19.1 -0.1 0.3 0.1 NaN 0.2 12685 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2067.8 2067.9 2067.7 2067.7 2067.4 -18.8 -0.1 0.5 0.3 NaN 0.4 12686 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2067.3 2067.4 2067.2 2067.2 2066.9 -18.3 -0.1 0.5 0.3 NaN 0.4 12687 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2066.8 2066.9 2066.7 2066.7 2067.0 -17.8 -0.1 -0.1 -0.3 NaN -0.2 12688 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2066.95 2067.0 2066.9 2066.9 2068.9 -17.95 -0.05 -1.9 -2.0 NaN -1.95 12689 RUSSELL caleb_strategy_v3 [1] 2049.0 None 2068.85 2068.9 2068.8 2068.8 2067.9 -19.85 -0.05 1.0 0.9 NaN 0.95 12690 SOYOIL caleb_strategy_v3 [1] 45.63 None 45.0 45.0 45.0 NaN 45.46 0.63 0.0 -0.46 NaN NaN -0.46 12691 FEEDCOW caleb_strategy_v3 [1] 262.4 None 260.0 260.0 260.0 260.0 261.2 2.4 0.0 -1.2 -1.2 NaN -1.2 12692 LIVECOW caleb_strategy_v3 [1] 181.025 None 181.0875 181.1 181.075 181.075 181.075 -0.0625 -0.0125 0.025 0.0 NaN 0.0125 =================================================================================================================================================================== 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 12648 NIKKEI caleb_strategy_v3 [1] 6156.090209 -272.088281 -4.061019 8.122038 0.0 NaN 4.061019 12649 NIKKEI caleb_strategy_v3 [1] 6156.090209 -263.966242 -4.061019 -16.244076 -24.366115 NaN -20.305096 12650 NIKKEI caleb_strategy_v3 [1] 6156.090209 -280.210319 -4.061019 -8.122038 -16.244076 NaN -12.183057 12651 BTP caleb_strategy_v3 [-1] 10.049446 -34.827791 -4.975399 -9.950798 -19.901595 NaN -14.926196 12652 ROBUSTA caleb_strategy_v3 [1] 1404.609705 -391.567848 -21.358246 42.716493 0.0 NaN 21.358246 12655 GASOLINE caleb_strategy_v3 [-1] 0.576215 -225.610106 -5.206387 -1.735462 -12.148236 NaN -6.941849 12656 GOLD_micro caleb_strategy_v3 [-1] 381.243802 141.641647 -5.245987 -0.0 -10.491974 NaN -5.245987 12658 OJ caleb_strategy_v3 [1] 101.655286 -395.94596 -36.889375 0.0 -73.77875 NaN -36.889375 12653 CANOLA caleb_strategy_v3 [1] 140.836673 -163.309737 -7.100423 -14.200847 -28.401693 NaN -21.30127 12661 CANOLA caleb_strategy_v3 [1] 140.836673 -177.510584 -7.100423 -7.100423 -21.30127 NaN -14.200847 12662 COPPER caleb_strategy_v3 [-1] 1.348996 74.129211 -3.706461 14.825842 7.412921 NaN 11.119382 12654 COPPER caleb_strategy_v3 [-1] 1.348996 77.835672 -3.706461 -3.706461 -11.119382 NaN -7.412921 12664 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.555985 87.232645 -8.093751 -7.194445 -23.381946 NaN -15.288195 12665 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.555985 -98.024312 -8.093751 19.784724 3.597222 NaN 11.690973 12659 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.555985 89.930561 -8.993056 -1.798611 -19.784724 NaN -10.791667 12660 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.555985 -87.232645 -6.295139 -12.590279 -25.180557 NaN -18.885418 12657 GAS_US_mini caleb_strategy_v3 [1] 1.658913 467.173434 -15.070111 0.0 -30.140222 NaN -15.070111 12663 GAS_US_mini caleb_strategy_v3 [1] 1.658913 437.033212 -15.070111 -30.140222 -60.280443 NaN -45.210332 12666 GAS_US_mini caleb_strategy_v3 [1] 1.658913 406.892991 -15.070111 30.140222 0.0 NaN 15.070111 12667 GAS_US_mini caleb_strategy_v3 [1] 1.658913 437.033212 -15.070111 -30.140222 -60.280443 NaN -45.210332 12668 GAS_US_mini caleb_strategy_v3 [1] 1.658913 406.892991 -15.070111 -30.140222 -60.280443 NaN -45.210332 12670 SP400 caleb_strategy_v3 [-1] 413.101772 422.414068 -6.051777 -9.682844 -21.786399 NaN -15.734621 12671 NASDAQ_micro caleb_strategy_v3 [1] 2721.154705 -454.310811 -1.378091 0.0 -2.756183 NaN -1.378091 12672 JPY caleb_strategy_v3 [-1] 0.000669 -59.777907 -7.472238 22.416715 7.472238 NaN 14.944477 12674 CAD caleb_strategy_v3 [-1] 0.0406 677.341108 -12.315293 -12.315293 -36.945879 NaN -24.630586 12675 MXP caleb_strategy_v3 [1] 0.005032 -129.175245 -9.936557 0.0 NaN NaN -9.936557 12680 DOW caleb_strategy_v3 [-1] 4329.064303 224.066896 -2.309968 -57.7492 -62.369136 NaN -60.059168 12683 DOW caleb_strategy_v3 [-1] 4329.064303 165.162712 -1.154984 2.309968 -0.0 NaN 1.154984 12669 DOW caleb_strategy_v3 [-1] 4329.064303 166.317696 -2.309968 9.239872 4.619936 NaN 6.929904 12677 DOW caleb_strategy_v3 [-1] 4329.064303 175.557568 -2.309968 48.509328 43.889392 NaN 46.19936 12673 SP500_micro caleb_strategy_v3 [1] 595.918319 -476.15586 -2.097603 4.195206 0.0 NaN 2.097603 12681 SP500_micro caleb_strategy_v3 [1] 595.918319 -526.49833 -2.097603 46.147264 41.952058 NaN 44.049661 12684 SP500_micro caleb_strategy_v3 [1] 595.918319 -480.351066 -2.097603 -8.390412 -12.585617 NaN -10.488015 12678 SP500_micro caleb_strategy_v3 [1] 595.918319 -474.058257 -4.195206 -50.34247 -58.732881 NaN -54.537676 12676 RUSSELL caleb_strategy_v3 [1] 351.953491 -502.907358 -2.841285 0.0 -5.682569 NaN -2.841285 12679 RUSSELL caleb_strategy_v3 [1] 351.953491 -505.748642 -2.841285 -36.936699 -42.619268 NaN -39.777983 12682 RUSSELL caleb_strategy_v3 [1] 351.953491 -542.685341 -2.841285 8.523854 2.841285 NaN 5.682569 12685 RUSSELL caleb_strategy_v3 [1] 351.953491 -534.161487 -2.841285 14.206423 8.523854 NaN 11.365138 12686 RUSSELL caleb_strategy_v3 [1] 351.953491 -519.955065 -2.841285 14.206423 8.523854 NaN 11.365138 12687 RUSSELL caleb_strategy_v3 [1] 351.953491 -505.748642 -2.841285 -2.841285 -8.523854 NaN -5.682569 12688 RUSSELL caleb_strategy_v3 [1] 351.953491 -510.010569 -1.420642 -53.984406 -56.82569 NaN -55.405048 12689 RUSSELL caleb_strategy_v3 [1] 351.953491 -563.994975 -1.420642 28.412845 25.571561 NaN 26.992203 12690 SOYOIL caleb_strategy_v3 [1] 13.855097 454.706301 0.0 -332.007775 NaN NaN -332.007775 12691 FEEDCOW caleb_strategy_v3 [1] 34.186617 702.029098 0.0 -351.014549 -351.014549 NaN -351.014549 12692 LIVECOW caleb_strategy_v3 [1] 22.014613 -28.390233 -5.678047 11.356093 0.0 NaN 5.678047 ============================================================================================================================================================================= 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 12648 NIKKEI caleb_strategy_v3 [1] 0.636614 -106.632884 -1.591536 3.183071 0.0 NaN 1.591536 12649 NIKKEI caleb_strategy_v3 [1] 0.636614 -103.449813 -1.591536 -6.366142 -9.549213 NaN -7.957678 12650 NIKKEI caleb_strategy_v3 [1] 0.636614 -109.815955 -1.591536 -3.183071 -6.366142 NaN -4.774607 12651 BTP caleb_strategy_v3 [-1] 1081.15 -37.84025 -5.40575 -10.8115 -21.623 NaN -16.21725 12652 ROBUSTA caleb_strategy_v3 [1] 10.0 -550.0 -30.0 60.0 0.0 NaN 30.0 12655 GASOLINE caleb_strategy_v3 [-1] 42000.0 -546.0 -12.6 -4.2 -29.4 NaN -16.8 12656 GOLD_micro caleb_strategy_v3 [-1] 10.0 54.0 -2.0 -0.0 -4.0 NaN -2.0 12658 OJ caleb_strategy_v3 [1] 150.0 -603.75 -56.25 0.0 -112.5 NaN -56.25 12653 CANOLA caleb_strategy_v3 [1] 14.56187 -33.4923 -1.456187 -2.912374 -5.824748 NaN -4.368561 12661 CANOLA caleb_strategy_v3 [1] 14.56187 -36.404674 -1.456187 -1.456187 -4.368561 NaN -2.912374 12662 COPPER caleb_strategy_v3 [-1] 25000.0 250.0 -12.5 50.0 25.0 NaN 37.5 12654 COPPER caleb_strategy_v3 [-1] 25000.0 262.5 -12.5 -12.5 -37.5 NaN -25.0 12664 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 203.7 -18.9 -16.8 -54.6 NaN -35.7 12665 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 -228.9 -18.9 46.2 8.4 NaN 27.3 12659 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 210.0 -21.0 -4.2 -46.2 NaN -25.2 12660 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 -203.7 -14.7 -29.4 -58.8 NaN -44.1 12657 GAS_US_mini caleb_strategy_v3 [1] 2500.0 193.75 -6.25 0.0 -12.5 NaN -6.25 12663 GAS_US_mini caleb_strategy_v3 [1] 2500.0 181.25 -6.25 -12.5 -25.0 NaN -18.75 12666 GAS_US_mini caleb_strategy_v3 [1] 2500.0 168.75 -6.25 12.5 0.0 NaN 6.25 12667 GAS_US_mini caleb_strategy_v3 [1] 2500.0 181.25 -6.25 -12.5 -25.0 NaN -18.75 12668 GAS_US_mini caleb_strategy_v3 [1] 2500.0 168.75 -6.25 -12.5 -25.0 NaN -18.75 12670 SP400 caleb_strategy_v3 [-1] 100.0 1745.0 -25.0 -40.0 -90.0 NaN -65.0 12671 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -247.25 -0.75 0.0 -1.5 NaN -0.75 12672 JPY caleb_strategy_v3 [-1] 12500000.0 -50.0 -6.25 18.75 6.25 NaN 12.5 12674 CAD caleb_strategy_v3 [-1] 100000.0 275.0 -5.0 -5.0 -15.0 NaN -10.0 12675 MXP caleb_strategy_v3 [1] 500000.0 -32.5 -2.5 0.0 NaN NaN -2.5 12680 DOW caleb_strategy_v3 [-1] 0.5 48.5 -0.5 -12.5 -13.5 NaN -13.0 12683 DOW caleb_strategy_v3 [-1] 0.5 35.75 -0.25 0.5 -0.0 NaN 0.25 12669 DOW caleb_strategy_v3 [-1] 0.5 36.0 -0.5 2.0 1.0 NaN 1.5 12677 DOW caleb_strategy_v3 [-1] 0.5 38.0 -0.5 10.5 9.5 NaN 10.0 12673 SP500_micro caleb_strategy_v3 [1] 5.0 -141.875 -0.625 1.25 0.0 NaN 0.625 12681 SP500_micro caleb_strategy_v3 [1] 5.0 -156.875 -0.625 13.75 12.5 NaN 13.125 12684 SP500_micro caleb_strategy_v3 [1] 5.0 -143.125 -0.625 -2.5 -3.75 NaN -3.125 12678 SP500_micro caleb_strategy_v3 [1] 5.0 -141.25 -1.25 -15.0 -17.5 NaN -16.25 12676 RUSSELL caleb_strategy_v3 [1] 5.0 -88.5 -0.5 0.0 -1.0 NaN -0.5 12679 RUSSELL caleb_strategy_v3 [1] 5.0 -89.0 -0.5 -6.5 -7.5 NaN -7.0 12682 RUSSELL caleb_strategy_v3 [1] 5.0 -95.5 -0.5 1.5 0.5 NaN 1.0 12685 RUSSELL caleb_strategy_v3 [1] 5.0 -94.0 -0.5 2.5 1.5 NaN 2.0 12686 RUSSELL caleb_strategy_v3 [1] 5.0 -91.5 -0.5 2.5 1.5 NaN 2.0 12687 RUSSELL caleb_strategy_v3 [1] 5.0 -89.0 -0.5 -0.5 -1.5 NaN -1.0 12688 RUSSELL caleb_strategy_v3 [1] 5.0 -89.75 -0.25 -9.5 -10.0 NaN -9.75 12689 RUSSELL caleb_strategy_v3 [1] 5.0 -99.25 -0.25 5.0 4.5 NaN 4.75 12690 SOYOIL caleb_strategy_v3 [1] 600.0 378.0 0.0 -276.0 NaN NaN -276.0 12691 FEEDCOW caleb_strategy_v3 [1] 500.0 1200.0 0.0 -600.0 -600.0 NaN -600.0 12692 LIVECOW caleb_strategy_v3 [1] 400.0 -25.0 -5.0 10.0 0.0 NaN 5.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -18.9 caleb_strategy_v3 BTP -37.84025 CAD 275.0 CANOLA -69.896975 COPPER 512.5 DOW 158.25 FEEDCOW 1200.0 GASOLINE -546.0 GAS_US_mini 893.75 GOLD_micro 54.0 JPY -50.0 LIVECOW -25.0 MXP -32.5 NASDAQ_micro -247.25 NIKKEI -319.898651 OJ -603.75 ROBUSTA -550.0 RUSSELL -736.5 SOYOIL 378.0 SP400 1745.0 SP500_micro -583.125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -18.9 caleb_strategy_v3 1414.739124 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -73.5 caleb_strategy_v3 BTP -5.40575 CAD -5.0 CANOLA -2.912374 COPPER -25.0 DOW -1.75 FEEDCOW 0.0 GASOLINE -12.6 GAS_US_mini -31.25 GOLD_micro -2.0 JPY -6.25 LIVECOW -5.0 MXP -2.5 NASDAQ_micro -0.75 NIKKEI -4.774607 OJ -56.25 ROBUSTA -30.0 RUSSELL -3.5 SOYOIL 0.0 SP400 -25.0 SP500_micro -3.125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -73.5 caleb_strategy_v3 -223.067731 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -4.2 caleb_strategy_v3 BTP -10.8115 CAD -5.0 CANOLA -4.368561 COPPER 37.5 DOW 0.5 FEEDCOW -600.0 GASOLINE -4.2 GAS_US_mini -25.0 GOLD_micro -0.0 JPY 18.75 LIVECOW 10.0 MXP 0.0 NASDAQ_micro 0.0 NIKKEI -6.366142 OJ 0.0 ROBUSTA 60.0 RUSSELL -5.0 SOYOIL -276.0 SP400 -40.0 SP500_micro -2.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -4.2 caleb_strategy_v3 -852.496203 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -151.2 caleb_strategy_v3 BTP -21.623 CAD -15.0 CANOLA -10.193309 COPPER -12.5 DOW -3.0 FEEDCOW -600.0 GASOLINE -29.4 GAS_US_mini -87.5 GOLD_micro -4.0 JPY 6.25 LIVECOW 0.0 MXP 0 NASDAQ_micro -1.5 NIKKEI -15.915356 OJ -112.5 ROBUSTA 0.0 RUSSELL -12.0 SOYOIL 0 SP400 -90.0 SP500_micro -8.75 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -151.2 caleb_strategy_v3 -1017.631665 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0 caleb_strategy_v3 BTP 0 CAD 0 CANOLA 0 COPPER 0 DOW 0 FEEDCOW 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 OJ 0 ROBUSTA 0 RUSSELL 0 SOYOIL 0 SP400 0 SP500_micro 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 HEATOIL -77.7 caleb_strategy_v3 BTP -16.21725 CAD -10.0 CANOLA -7.280935 COPPER 12.5 DOW -1.25 FEEDCOW -600.0 GASOLINE -16.8 GAS_US_mini -56.25 GOLD_micro -2.0 JPY 12.5 LIVECOW 5.0 MXP -2.5 NASDAQ_micro -0.75 NIKKEI -11.140749 OJ -56.25 ROBUSTA 30.0 RUSSELL -8.5 SOYOIL -276.0 SP400 -65.0 SP500_micro -5.625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -77.7 caleb_strategy_v3 -1075.563934 ******************************************************************************** END OF REPORT ********************************************************************************