******************************************************************************** Trades report produced on 05/06/2024 21:37 from 04/06/2024 21:37 to 05/06/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13090 BUND caleb_strategy_v3 [20240900] 2024-06-05 07:03:44.000 [-1] 131.080000 13105 CAD caleb_strategy_v3 [20240900] 2024-06-05 14:01:34.000 [1] 0.730850 13100 CAD caleb_strategy_v3 [20240900] 2024-06-05 14:00:44.000 [1] 0.731200 13093 CANOLA caleb_strategy_v3 [20241100] 2024-06-05 13:00:20.000 [-1] 652.400000 13096 CANOLA caleb_strategy_v3 [20241100] 2024-06-05 13:10:21.000 [-1] 653.800000 13097 CANOLA caleb_strategy_v3 [20241100] 2024-06-05 13:11:21.000 [-1] 653.900000 13098 CANOLA caleb_strategy_v3 [20241100] 2024-06-05 13:12:21.000 [-1] 654.100000 13095 COFFEE caleb_strategy_v3 [20240900] 2024-06-05 13:10:05.000 [-1] 229.850000 13094 CRUDE_W caleb_strategy_v3 [20241200] 2024-06-05 13:10:04.000 [-1] 71.750000 13089 DAX caleb_strategy_v3 [20240600] 2024-06-05 07:00:19.000 [-1] 18555.000000 13092 GAS_US_mini caleb_strategy_v3 [20240800] 2024-06-05 13:00:19.000 [1] 2.735000 13101 JPY caleb_strategy_v3 [20240900] 2024-06-05 14:00:45.000 [1] 0.006506 13121 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:25:30.000 [-1] 0.056660 13117 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:21:30.000 [-1] 0.056610 13116 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:20:29.000 [-1] 0.056550 13115 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:19:29.000 [-1] 0.056570 13114 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:18:29.000 [-1] 0.056600 13113 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:17:29.000 [-1] 0.056590 13112 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:16:30.000 [-1] 0.056550 13110 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:16:25.000 [-1] 0.056560 13107 MXP caleb_strategy_v3 [20240600] 2024-06-05 19:45:01.072 [0] NaN 13103 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:00:48.000 [-1] 0.056630 13120 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:24:30.000 [-1] 0.056660 13119 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:23:30.000 [-1] 0.056650 13118 MXP caleb_strategy_v3 [20240600] 2024-06-05 14:22:30.000 [-1] 0.056630 13081 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:23:10.000 [1] 38490.000000 13080 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:21:49.000 [1] 38495.000000 13079 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 19:45:00.973 [0] NaN 13087 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:28:42.000 [1] 38505.000000 13088 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:29:43.000 [1] 38505.000000 13085 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:26:42.000 [1] 38490.000000 13084 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:26:38.000 [1] 38490.000000 13083 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:24:30.000 [1] 38495.000000 13082 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:23:30.000 [1] 38495.000000 13086 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 02:27:44.000 [1] 38505.000000 13078 NIKKEI caleb_strategy_v3 [20240900] 2024-06-05 19:45:00.886 [0] NaN 13091 ROBUSTA caleb_strategy_v3 [20240900] 2024-06-05 09:00:04.000 [1] 4180.000000 13111 SP500_micro caleb_strategy_v3 [20240600] 2024-06-05 14:16:29.000 [-1] 5314.250000 13102 SP500_micro caleb_strategy_v3 [20240600] 2024-06-05 14:00:47.000 [-1] 5316.500000 13109 SP500_micro caleb_strategy_v3 [20240600] 2024-06-05 14:16:24.000 [-1] 5314.000000 13106 SP500_micro caleb_strategy_v3 [20240600] 2024-06-05 14:01:34.000 [-1] 5317.250000 13108 US10U caleb_strategy_v3 [20240900] 2024-06-05 14:11:57.000 [1] 113.546875 13099 US10U caleb_strategy_v3 [20240900] 2024-06-05 14:00:34.000 [1] 113.750000 13104 US10U caleb_strategy_v3 [20240900] 2024-06-05 14:01:33.000 [1] 113.796875 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13089 DAX caleb_strategy_v3 2024-06-04 2024-06-05 08:00:09.710 2024-06-05 07:00:19.000 115209.71 NaN 13090 BUND caleb_strategy_v3 2024-06-04 2024-06-05 08:01:07.678 2024-06-05 07:03:44.000 115267.678 NaN 13091 ROBUSTA caleb_strategy_v3 2024-06-04 2024-06-05 10:00:04.531 2024-06-05 09:00:04.000 122404.531 NaN 13092 GAS_US_mini caleb_strategy_v3 2024-06-04 2024-06-05 14:00:17.462 2024-06-05 13:00:19.000 136817.462 NaN 13094 CRUDE_W caleb_strategy_v3 2024-06-04 2024-06-05 14:00:21.982 2024-06-05 13:10:04.000 136821.982 NaN 13095 COFFEE caleb_strategy_v3 2024-06-04 2024-06-05 14:10:05.693 2024-06-05 13:10:05.000 137405.693 NaN 13096 CANOLA caleb_strategy_v3 2024-06-04 2024-06-05 14:10:21.009 2024-06-05 13:10:21.000 137421.009 NaN 13097 CANOLA caleb_strategy_v3 2024-06-04 2024-06-05 14:11:21.167 2024-06-05 13:11:21.000 137481.167 NaN 13098 CANOLA caleb_strategy_v3 2024-06-04 2024-06-05 14:12:20.966 2024-06-05 13:12:21.000 137540.966 NaN 13093 CANOLA caleb_strategy_v3 2024-06-04 2024-06-05 14:00:20.710 2024-06-05 13:00:20.000 136820.71 NaN 13101 JPY caleb_strategy_v3 2024-06-04 2024-06-05 15:00:45.217 2024-06-05 14:00:45.000 140445.217 NaN 13105 CAD caleb_strategy_v3 2024-06-04 2024-06-05 15:01:34.079 2024-06-05 14:01:34.000 140494.079 NaN 13100 CAD caleb_strategy_v3 2024-06-04 2024-06-05 15:00:35.922 2024-06-05 14:00:44.000 140435.922 NaN 13104 US10U caleb_strategy_v3 2024-06-04 2024-06-05 15:01:33.459 2024-06-05 14:01:33.000 140493.459 NaN 13099 US10U caleb_strategy_v3 2024-06-04 2024-06-05 15:00:34.594 2024-06-05 14:00:34.000 140434.594 NaN 13108 US10U caleb_strategy_v3 2024-06-04 2024-06-05 15:11:57.059 2024-06-05 14:11:57.000 141117.059 NaN 13106 SP500_micro caleb_strategy_v3 2024-06-04 2024-06-05 15:01:34.688 2024-06-05 14:01:34.000 140494.688 NaN 13109 SP500_micro caleb_strategy_v3 2024-06-04 2024-06-05 15:11:57.688 2024-06-05 14:16:24.000 141117.688 NaN 13102 SP500_micro caleb_strategy_v3 2024-06-04 2024-06-05 15:00:46.546 2024-06-05 14:00:47.000 140446.546 NaN 13111 SP500_micro caleb_strategy_v3 2024-06-04 2024-06-05 15:16:29.374 2024-06-05 14:16:29.000 141389.374 NaN 13088 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:29:42.815 2024-06-05 02:29:43.000 98982.815 NaN 13078 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:01:22.298 2024-06-05 19:45:00.886 97282.298 60218.588 13079 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:11:26.262 2024-06-05 19:45:00.973 97886.262 59614.711 13080 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:21:29.943 2024-06-05 02:21:49.000 98489.943 NaN 13081 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:22:29.968 2024-06-05 02:23:10.000 98549.968 NaN 13082 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:23:30.133 2024-06-05 02:23:30.000 98610.133 NaN 13083 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:24:30.158 2024-06-05 02:24:30.000 98670.158 NaN 13084 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:25:30.178 2024-06-05 02:26:38.000 98730.178 NaN 13085 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:26:42.190 2024-06-05 02:26:42.000 98802.19 NaN 13086 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:27:42.095 2024-06-05 02:27:44.000 98862.095 NaN 13087 NIKKEI caleb_strategy_v3 2024-06-04 2024-06-05 03:28:42.326 2024-06-05 02:28:42.000 98922.326 NaN 13120 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:24:30.112 2024-06-05 14:24:30.000 141870.112 NaN 13121 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:25:30.208 2024-06-05 14:25:30.000 141930.208 NaN 13103 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:00:48.829 2024-06-05 14:00:48.000 140448.829 NaN 13107 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:01:35.297 2024-06-05 19:45:01.072 140495.297 17005.775 13110 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:16:25.055 2024-06-05 14:16:25.000 141385.055 NaN 13112 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:16:29.963 2024-06-05 14:16:30.000 141389.963 NaN 13113 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:17:29.392 2024-06-05 14:17:29.000 141449.392 NaN 13114 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:18:29.473 2024-06-05 14:18:29.000 141509.473 NaN 13115 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:19:29.542 2024-06-05 14:19:29.000 141569.542 NaN 13116 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:20:29.457 2024-06-05 14:20:29.000 141629.457 NaN 13117 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:21:29.969 2024-06-05 14:21:30.000 141689.969 NaN 13118 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:22:30.047 2024-06-05 14:22:30.000 141750.047 NaN 13119 MXP caleb_strategy_v3 2024-06-04 2024-06-05 15:23:29.959 2024-06-05 14:23:30.000 141809.959 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 13089 DAX caleb_strategy_v3 [-1] 18515.0 None 18557.0 18556.0 18558.0 18558.0 18555.0 42.0 -1.0 -1.0 -3.0 NaN -2.0 13090 BUND caleb_strategy_v3 [-1] 131.13 None 131.105 131.1 131.11 131.11 131.08 -0.025 -0.005 -0.02 -0.03 NaN -0.025 13091 ROBUSTA caleb_strategy_v3 [1] 4191.0 None 4197.0 4199.0 4195.0 NaN 4180.0 -6.0 -2.0 19.0 NaN NaN 17.0 13092 GAS_US_mini caleb_strategy_v3 [1] 2.67 None 2.73 2.735 2.725 2.725 2.735 -0.06 -0.005 0.0 -0.01 NaN -0.005 13094 CRUDE_W caleb_strategy_v3 [-1] 71.73 None 71.975 71.97 71.98 71.98 71.75 0.245 -0.005 -0.22 -0.23 NaN -0.225 13095 COFFEE caleb_strategy_v3 [-1] 230.2 None 229.25 229.15 229.35 229.35 229.85 -0.95 -0.1 0.7 0.5 NaN 0.6 13096 CANOLA caleb_strategy_v3 [-1] 649.0 None 651.65 651.5 651.8 651.8 653.8 2.65 -0.15 2.3 2.0 NaN 2.15 13097 CANOLA caleb_strategy_v3 [-1] 649.0 None 651.65 651.5 651.8 651.8 653.9 2.65 -0.15 2.4 2.1 NaN 2.25 13098 CANOLA caleb_strategy_v3 [-1] 649.0 None 652.5 652.4 652.6 NaN 654.1 3.5 -0.1 1.7 NaN NaN 1.6 13093 CANOLA caleb_strategy_v3 [-1] 649.0 None 651.65 651.5 651.8 651.8 652.4 2.65 -0.15 0.9 0.6 NaN 0.75 13101 JPY caleb_strategy_v3 [1] 0.006565 None 0.006514 0.006514 0.006514 0.006513 0.006506 0.000051 -0.0 0.000008 0.000007 NaN 0.000008 13105 CAD caleb_strategy_v3 [1] 0.73265 None 0.73115 0.7312 0.7311 0.7311 0.73085 0.0015 -0.00005 0.00035 0.00025 NaN 0.0003 13100 CAD caleb_strategy_v3 [1] 0.73265 None 0.731075 0.7311 0.73105 0.73105 0.7312 0.001575 -0.000025 -0.0001 -0.00015 NaN -0.000125 13104 US10U caleb_strategy_v3 [1] 113.59375 None 113.851562 113.859375 113.84375 113.84375 113.796875 -0.257812 -0.007812 0.0625 0.046875 NaN 0.054688 13099 US10U caleb_strategy_v3 [1] 113.59375 None 113.851562 113.859375 113.84375 113.84375 113.75 -0.257812 -0.007812 0.109375 0.09375 NaN 0.101562 13108 US10U caleb_strategy_v3 [1] 113.59375 None 113.851562 113.859375 113.84375 113.84375 113.546875 -0.257812 -0.007812 0.3125 0.296875 NaN 0.304688 13106 SP500_micro caleb_strategy_v3 [-1] 5295.5 None 5316.375 5316.25 5316.5 5316.5 5317.25 20.875 -0.125 1.0 0.75 NaN 0.875 13109 SP500_micro caleb_strategy_v3 [-1] 5295.5 None 5317.375 5317.25 5317.5 5317.5 5314.0 21.875 -0.125 -3.25 -3.5 NaN -3.375 13102 SP500_micro caleb_strategy_v3 [-1] 5295.5 None 5316.375 5316.25 5316.5 5316.5 5316.5 20.875 -0.125 0.25 -0.0 NaN 0.125 13111 SP500_micro caleb_strategy_v3 [-1] 5295.5 None 5314.125 5314.0 5314.25 5314.25 5314.25 18.625 -0.125 0.25 -0.0 NaN 0.125 13088 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38512.5 38515.0 38510.0 38510.0 38505.0 -2.5 -2.5 10.0 5.0 NaN 7.5 13078 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38357.5 38360.0 38355.0 38355.0 NaN 152.5 -2.5 NaN NaN NaN NaN 13079 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38415.0 38420.0 38410.0 38410.0 NaN 95.0 -5.0 NaN NaN NaN NaN 13080 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38472.5 38475.0 38470.0 38470.0 38495.0 37.5 -2.5 -20.0 -25.0 NaN -22.5 13081 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38492.5 38495.0 38490.0 38490.0 38490.0 17.5 -2.5 5.0 0.0 NaN 2.5 13082 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38492.5 38495.0 38490.0 38490.0 38495.0 17.5 -2.5 0.0 -5.0 NaN -2.5 13083 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38497.5 38500.0 38495.0 38495.0 38495.0 12.5 -2.5 5.0 0.0 NaN 2.5 13084 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38492.5 38495.0 38490.0 38490.0 38490.0 17.5 -2.5 5.0 0.0 NaN 2.5 13085 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38495.0 38500.0 38490.0 38490.0 38490.0 15.0 -5.0 10.0 0.0 NaN 5.0 13086 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38502.5 38505.0 38500.0 38500.0 38505.0 7.5 -2.5 0.0 -5.0 NaN -2.5 13087 NIKKEI caleb_strategy_v3 [1] 38510.0 None 38507.5 38510.0 38505.0 38505.0 38505.0 2.5 -2.5 5.0 0.0 NaN 2.5 13120 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056495 0.05649 0.0565 0.0565 0.05666 0.000665 -0.000005 0.00017 0.00016 NaN 0.000165 13121 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056535 0.05653 0.05654 0.05654 0.05666 0.000705 -0.000005 0.00013 0.00012 NaN 0.000125 13103 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056635 0.05663 0.05664 NaN 0.05663 0.000805 -0.000005 -0.0 NaN NaN -0.000005 13107 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056625 0.05662 0.05663 0.05663 NaN 0.000795 -0.000005 NaN NaN NaN NaN 13110 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056505 0.0565 0.05651 0.05651 0.05656 0.000675 -0.000005 0.00006 0.00005 NaN 0.000055 13112 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056485 0.05648 0.05649 0.05649 0.05655 0.000655 -0.000005 0.00007 0.00006 NaN 0.000065 13113 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056495 0.05649 0.0565 0.0565 0.05659 0.000665 -0.000005 0.0001 0.00009 NaN 0.000095 13114 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056525 0.05652 0.05653 0.05653 0.0566 0.000695 -0.000005 0.00008 0.00007 NaN 0.000075 13115 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056515 0.05651 0.05652 0.05652 0.05657 0.000685 -0.000005 0.00006 0.00005 NaN 0.000055 13116 MXP caleb_strategy_v3 [-1] 0.05583 None 0.05648 0.05647 0.05649 0.05649 0.05655 0.00065 -0.00001 0.00008 0.00006 NaN 0.00007 13117 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056515 0.05651 0.05652 0.05652 0.05661 0.000685 -0.000005 0.0001 0.00009 NaN 0.000095 13118 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056535 0.05653 0.05654 0.05654 0.05663 0.000705 -0.000005 0.0001 0.00009 NaN 0.000095 13119 MXP caleb_strategy_v3 [-1] 0.05583 None 0.056525 0.05652 0.05653 0.05653 0.05665 0.000695 -0.000005 0.00013 0.00012 NaN 0.000125 =============================================================================================================================================================== 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 13089 DAX caleb_strategy_v3 [-1] 2096.671038 200.317547 -4.769465 -4.769465 -14.308396 NaN -9.538931 13090 BUND caleb_strategy_v3 [-1] 9.634553 -25.948272 -5.189654 -20.758618 -31.137926 NaN -25.948272 13091 ROBUSTA caleb_strategy_v3 [1] 1384.949521 -43.322879 -14.44096 137.189116 NaN NaN 122.748156 13092 GAS_US_mini caleb_strategy_v3 [1] 1.844825 -325.234026 -27.102835 0.0 -54.205671 NaN -27.102835 13094 CRUDE_W caleb_strategy_v3 [-1] 16.419742 149.210624 -3.045115 -133.98505 -140.075279 NaN -137.030165 13095 COFFEE caleb_strategy_v3 [-1] 78.186062 -121.505032 -12.790003 89.530023 63.950017 NaN 76.74002 13096 CANOLA caleb_strategy_v3 [-1] 153.033564 173.164627 -9.801771 150.293827 130.690285 NaN 140.492056 13097 CANOLA caleb_strategy_v3 [-1] 153.033564 173.164627 -9.801771 156.828342 137.224799 NaN 147.02657 13098 CANOLA caleb_strategy_v3 [-1] 153.033564 228.707998 -6.534514 111.086742 NaN NaN 104.552228 13093 CANOLA caleb_strategy_v3 [-1] 153.033564 173.164627 -9.801771 58.810628 39.207085 NaN 49.008857 13101 JPY caleb_strategy_v3 [1] 0.000669 765.888073 -3.736039 119.55326 112.081181 NaN 115.817221 13105 CAD caleb_strategy_v3 [1] 0.038614 388.458423 -12.948614 90.640299 64.74307 NaN 77.691685 13100 CAD caleb_strategy_v3 [1] 0.038614 407.881344 -6.474307 -25.897228 -38.845842 NaN -32.371535 13104 US10U caleb_strategy_v3 [1] 8.658251 -297.765112 -9.023185 72.185482 54.139111 NaN 63.162296 13099 US10U caleb_strategy_v3 [1] 8.658251 -297.765112 -9.023185 126.324593 108.278223 NaN 117.301408 13108 US10U caleb_strategy_v3 [1] 8.658251 -297.765112 -9.023185 360.927409 342.881038 NaN 351.904223 13106 SP500_micro caleb_strategy_v3 [-1] 601.874444 346.833135 -2.076845 16.614761 12.461071 NaN 14.537916 13109 SP500_micro caleb_strategy_v3 [-1] 601.874444 363.447896 -2.076845 -53.997973 -58.151663 NaN -56.074818 13102 SP500_micro caleb_strategy_v3 [-1] 601.874444 346.833135 -2.076845 4.15369 -0.0 NaN 2.076845 13111 SP500_micro caleb_strategy_v3 [-1] 601.874444 309.449923 -2.076845 4.15369 -0.0 NaN 2.076845 13088 NIKKEI caleb_strategy_v3 [1] 6006.211893 -4.162357 -4.162357 16.649429 8.324715 NaN 12.487072 13078 NIKKEI caleb_strategy_v3 [1] 6006.211893 253.903796 -4.162357 NaN NaN NaN NaN 13079 NIKKEI caleb_strategy_v3 [1] 6006.211893 158.169578 -8.324715 NaN NaN NaN NaN 13080 NIKKEI caleb_strategy_v3 [1] 6006.211893 62.43536 -4.162357 -33.298859 -41.623573 NaN -37.461216 13081 NIKKEI caleb_strategy_v3 [1] 6006.211893 29.136501 -4.162357 8.324715 0.0 NaN 4.162357 13082 NIKKEI caleb_strategy_v3 [1] 6006.211893 29.136501 -4.162357 0.0 -8.324715 NaN -4.162357 13083 NIKKEI caleb_strategy_v3 [1] 6006.211893 20.811787 -4.162357 8.324715 0.0 NaN 4.162357 13084 NIKKEI caleb_strategy_v3 [1] 6006.211893 29.136501 -4.162357 8.324715 0.0 NaN 4.162357 13085 NIKKEI caleb_strategy_v3 [1] 6006.211893 24.974144 -8.324715 16.649429 0.0 NaN 8.324715 13086 NIKKEI caleb_strategy_v3 [1] 6006.211893 12.487072 -4.162357 0.0 -8.324715 NaN -4.162357 13087 NIKKEI caleb_strategy_v3 [1] 6006.211893 4.162357 -4.162357 8.324715 0.0 NaN 4.162357 13120 MXP caleb_strategy_v3 [-1] 0.009157 726.207691 -5.460208 185.647079 174.726662 NaN 180.186871 13121 MXP caleb_strategy_v3 [-1] 0.009157 769.889356 -5.460208 141.965413 131.044997 NaN 136.505205 13103 MXP caleb_strategy_v3 [-1] 0.009157 879.09352 -5.460208 -0.0 NaN NaN -5.460208 13107 MXP caleb_strategy_v3 [-1] 0.009157 868.173104 -5.460208 NaN NaN NaN NaN 13110 MXP caleb_strategy_v3 [-1] 0.009157 737.128107 -5.460208 65.522498 54.602082 NaN 60.06229 13112 MXP caleb_strategy_v3 [-1] 0.009157 715.287274 -5.460208 76.442915 65.522498 NaN 70.982707 13113 MXP caleb_strategy_v3 [-1] 0.009157 726.207691 -5.460208 109.204164 98.283748 NaN 103.743956 13114 MXP caleb_strategy_v3 [-1] 0.009157 758.96894 -5.460208 87.363331 76.442915 NaN 81.903123 13115 MXP caleb_strategy_v3 [-1] 0.009157 748.048523 -5.460208 65.522498 54.602082 NaN 60.06229 13116 MXP caleb_strategy_v3 [-1] 0.009157 709.827066 -10.920416 87.363331 65.522498 NaN 76.442915 13117 MXP caleb_strategy_v3 [-1] 0.009157 748.048523 -5.460208 109.204164 98.283748 NaN 103.743956 13118 MXP caleb_strategy_v3 [-1] 0.009157 769.889356 -5.460208 109.204164 98.283748 NaN 103.743956 13119 MXP caleb_strategy_v3 [-1] 0.009157 758.96894 -5.460208 141.965413 131.044997 NaN 136.505205 ======================================================================================================================================================================== 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 13089 DAX caleb_strategy_v3 [-1] 1.0878 45.6876 -1.0878 -1.0878 -3.2634 NaN -2.1756 13090 BUND caleb_strategy_v3 [-1] 1087.8 -27.195 -5.439 -21.756 -32.634 NaN -27.195 13091 ROBUSTA caleb_strategy_v3 [1] 10.0 -60.0 -20.0 190.0 NaN NaN 170.0 13092 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -150.0 -12.5 0.0 -25.0 NaN -12.5 13094 CRUDE_W caleb_strategy_v3 [-1] 1000.0 245.0 -5.0 -220.0 -230.0 NaN -225.0 13095 COFFEE caleb_strategy_v3 [-1] 375.0 -356.25 -37.5 262.5 187.5 NaN 225.0 13096 CANOLA caleb_strategy_v3 [-1] 14.626298 38.75969 -2.193945 33.640486 29.252596 NaN 31.446541 13097 CANOLA caleb_strategy_v3 [-1] 14.626298 38.75969 -2.193945 35.103115 30.715226 NaN 32.909171 13098 CANOLA caleb_strategy_v3 [-1] 14.626298 51.192043 -1.46263 24.864707 NaN NaN 23.402077 13093 CANOLA caleb_strategy_v3 [-1] 14.626298 38.75969 -2.193945 13.163668 8.775779 NaN 10.969724 13101 JPY caleb_strategy_v3 [1] 12500000.0 640.625 -3.125 100.0 93.75 NaN 96.875 13105 CAD caleb_strategy_v3 [1] 100000.0 150.0 -5.0 35.0 25.0 NaN 30.0 13100 CAD caleb_strategy_v3 [1] 100000.0 157.5 -2.5 -10.0 -15.0 NaN -12.5 13104 US10U caleb_strategy_v3 [1] 1000.0 -257.8125 -7.8125 62.5 46.875 NaN 54.6875 13099 US10U caleb_strategy_v3 [1] 1000.0 -257.8125 -7.8125 109.375 93.75 NaN 101.5625 13108 US10U caleb_strategy_v3 [1] 1000.0 -257.8125 -7.8125 312.5 296.875 NaN 304.6875 13106 SP500_micro caleb_strategy_v3 [-1] 5.0 104.375 -0.625 5.0 3.75 NaN 4.375 13109 SP500_micro caleb_strategy_v3 [-1] 5.0 109.375 -0.625 -16.25 -17.5 NaN -16.875 13102 SP500_micro caleb_strategy_v3 [-1] 5.0 104.375 -0.625 1.25 -0.0 NaN 0.625 13111 SP500_micro caleb_strategy_v3 [-1] 5.0 93.125 -0.625 1.25 -0.0 NaN 0.625 13088 NIKKEI caleb_strategy_v3 [1] 0.642166 -1.605415 -1.605415 6.421659 3.210829 NaN 4.816244 13078 NIKKEI caleb_strategy_v3 [1] 0.642166 97.930299 -1.605415 NaN NaN NaN NaN 13079 NIKKEI caleb_strategy_v3 [1] 0.642166 61.00576 -3.210829 NaN NaN NaN NaN 13080 NIKKEI caleb_strategy_v3 [1] 0.642166 24.081221 -1.605415 -12.843318 -16.054147 NaN -14.448733 13081 NIKKEI caleb_strategy_v3 [1] 0.642166 11.237903 -1.605415 3.210829 0.0 NaN 1.605415 13082 NIKKEI caleb_strategy_v3 [1] 0.642166 11.237903 -1.605415 0.0 -3.210829 NaN -1.605415 13083 NIKKEI caleb_strategy_v3 [1] 0.642166 8.027074 -1.605415 3.210829 0.0 NaN 1.605415 13084 NIKKEI caleb_strategy_v3 [1] 0.642166 11.237903 -1.605415 3.210829 0.0 NaN 1.605415 13085 NIKKEI caleb_strategy_v3 [1] 0.642166 9.632488 -3.210829 6.421659 0.0 NaN 3.210829 13086 NIKKEI caleb_strategy_v3 [1] 0.642166 4.816244 -1.605415 0.0 -3.210829 NaN -1.605415 13087 NIKKEI caleb_strategy_v3 [1] 0.642166 1.605415 -1.605415 3.210829 0.0 NaN 1.605415 13120 MXP caleb_strategy_v3 [-1] 500000.0 332.5 -2.5 85.0 80.0 NaN 82.5 13121 MXP caleb_strategy_v3 [-1] 500000.0 352.5 -2.5 65.0 60.0 NaN 62.5 13103 MXP caleb_strategy_v3 [-1] 500000.0 402.5 -2.5 -0.0 NaN NaN -2.5 13107 MXP caleb_strategy_v3 [-1] 500000.0 397.5 -2.5 NaN NaN NaN NaN 13110 MXP caleb_strategy_v3 [-1] 500000.0 337.5 -2.5 30.0 25.0 NaN 27.5 13112 MXP caleb_strategy_v3 [-1] 500000.0 327.5 -2.5 35.0 30.0 NaN 32.5 13113 MXP caleb_strategy_v3 [-1] 500000.0 332.5 -2.5 50.0 45.0 NaN 47.5 13114 MXP caleb_strategy_v3 [-1] 500000.0 347.5 -2.5 40.0 35.0 NaN 37.5 13115 MXP caleb_strategy_v3 [-1] 500000.0 342.5 -2.5 30.0 25.0 NaN 27.5 13116 MXP caleb_strategy_v3 [-1] 500000.0 325.0 -5.0 40.0 30.0 NaN 35.0 13117 MXP caleb_strategy_v3 [-1] 500000.0 342.5 -2.5 50.0 45.0 NaN 47.5 13118 MXP caleb_strategy_v3 [-1] 500000.0 352.5 -2.5 50.0 45.0 NaN 47.5 13119 MXP caleb_strategy_v3 [-1] 500000.0 347.5 -2.5 65.0 60.0 NaN 62.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUND -27.195 CAD 307.5 CANOLA 167.471113 COFFEE -356.25 CRUDE_W 245.0 DAX 45.6876 GAS_US_mini -150.0 JPY 640.625 MXP 4540.0 NIKKEI 239.206797 ROBUSTA -60.0 SP500_micro 411.25 US10U -773.4375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 5229.85801 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUND -5.439 CAD -7.5 CANOLA -8.044464 COFFEE -37.5 CRUDE_W -5.0 DAX -1.0878 GAS_US_mini -12.5 JPY -3.125 MXP -35.0 NIKKEI -20.870392 ROBUSTA -20.0 SP500_micro -2.5 US10U -23.4375 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -182.004156 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUND -21.756 CAD 25.0 CANOLA 106.771976 COFFEE 262.5 CRUDE_W -220.0 DAX -1.0878 GAS_US_mini 0.0 JPY 100.0 MXP 540.0 NIKKEI 12.843318 ROBUSTA 190.0 SP500_micro -8.75 US10U 484.375 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1469.896494 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND -32.634 CAD 10.0 CANOLA 68.743601 COFFEE 187.5 CRUDE_W -230.0 DAX -3.2634 GAS_US_mini -25.0 JPY 93.75 MXP 480.0 NIKKEI -19.264977 ROBUSTA 0 SP500_micro -13.75 US10U 437.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 953.581224 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0 CAD 0 CANOLA 0 COFFEE 0 CRUDE_W 0 DAX 0 GAS_US_mini 0 JPY 0 MXP 0 NIKKEI 0 ROBUSTA 0 SP500_micro 0 US10U 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 BUND -27.195 CAD 17.5 CANOLA 98.727512 COFFEE 225.0 CRUDE_W -225.0 DAX -2.1756 GAS_US_mini -12.5 JPY 96.875 MXP 507.5 NIKKEI -3.210829 ROBUSTA 170.0 SP500_micro -11.25 US10U 460.9375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 1295.208583 ******************************************************************************** END OF REPORT ********************************************************************************