******************************************************************************** Trades report produced on 06/06/2024 21:38 from 05/06/2024 21:38 to 06/06/2024 21:38 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13151 AUD caleb_strategy_v3 [20240900] 2024-06-06 14:11:24.000 [1] 0.666650 13138 CANOLA caleb_strategy_v3 [20241100] 2024-06-06 13:10:34.000 [-1] 649.800000 13145 CANOLA caleb_strategy_v3 [20241100] 2024-06-06 13:13:47.000 [-1] 649.800000 13146 CANOLA caleb_strategy_v3 [20241100] 2024-06-06 13:14:48.000 [-1] 650.000000 13144 CANOLA caleb_strategy_v3 [20241100] 2024-06-06 13:12:47.000 [-1] 649.600000 13143 CANOLA caleb_strategy_v3 [20241100] 2024-06-06 13:12:43.000 [-1] 649.600000 13149 CHF caleb_strategy_v3 [20240900] 2024-06-06 14:04:24.000 [1] 1.134650 13137 COTTON2 caleb_strategy_v3 [20241200] 2024-06-06 13:10:33.000 [-1] 73.260000 13127 DAX caleb_strategy_v3 [20240600] 2024-06-06 07:00:47.000 [-1] 18710.000000 13129 DAX caleb_strategy_v3 [20240600] 2024-06-06 07:01:46.000 [-1] 18716.000000 13130 DAX caleb_strategy_v3 [20240600] 2024-06-06 07:02:45.000 [-1] 18711.000000 13132 DAX caleb_strategy_v3 [20240600] 2024-06-06 07:04:45.000 [-1] 18710.000000 13131 DAX caleb_strategy_v3 [20240600] 2024-06-06 07:03:45.000 [-1] 18710.000000 13160 DOW caleb_strategy_v3 [20240600] 2024-06-06 14:22:39.000 [1] 39011.000000 13155 DOW caleb_strategy_v3 [20240600] 2024-06-06 14:19:25.000 [1] 39040.000000 13128 EUROSTX caleb_strategy_v3 [20240600] 2024-06-06 07:01:45.000 [-1] 5073.000000 13140 GAS_US_mini caleb_strategy_v3 [20240800] 2024-06-06 13:10:50.000 [1] 2.910000 13134 GAS_US_mini caleb_strategy_v3 [20240800] 2024-06-06 13:00:29.000 [1] 2.915000 13136 GOLD_micro caleb_strategy_v3 [20240800] 2024-06-06 13:10:31.000 [1] 2376.300000 13142 GOLD_micro caleb_strategy_v3 [20240800] 2024-06-06 13:12:43.000 [1] 2375.700000 13123 JGB-SGX-mini caleb_strategy_v3 [20240900] 2024-06-06 02:03:29.000 [-1] 143.350000 13195 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 15:13:21.000 [-1] 79.100000 13186 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 14:59:35.000 [1] 91.675000 13187 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 19:45:01.860 [0] NaN 13188 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 15:09:40.000 [1] 91.525000 13180 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 14:57:05.000 [-1] 79.175000 13179 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 14:57:04.000 [1] 91.650000 13189 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 15:10:41.000 [-1] 79.125000 13185 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 14:58:39.000 [-1] 79.225000 13190 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 15:10:45.000 [1] 91.600000 13192 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 15:11:52.000 [1] 91.575000 13193 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 15:11:53.000 [-1] 79.125000 13176 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 14:45:48.000 [-1] 79.075000 13194 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 15:12:45.000 [1] 91.475000 13175 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 14:38:16.000 [1] 91.625000 13196 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 15:13:50.000 [-1] 79.150000 13191 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 15:10:49.000 [-1] 79.150000 13184 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 14:58:39.000 [1] 91.725000 13183 LEANHOG _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 14:58:30.000 [-1] 79.225000 13182 LEANHOG _ROLL_PSEUDO_STRATEGY [20240800] 2024-06-06 14:57:54.000 [1] 91.675000 13172 LIVECOW caleb_strategy_v3 [20240800] 2024-06-06 14:33:31.000 [1] 177.750000 13156 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:20:03.000 [-1] 0.056820 13163 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:23:43.000 [-1] 0.056800 13147 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:02:59.000 [-1] 0.056830 13164 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:24:43.000 [-1] 0.056790 13161 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:22:43.000 [-1] 0.056790 13167 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:27:44.000 [-1] 0.056810 13166 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:26:44.000 [-1] 0.056820 13165 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:25:43.000 [-1] 0.056830 13168 MXP caleb_strategy_v3 [20240600] 2024-06-06 14:28:44.000 [-1] 0.056810 13122 NIKKEI caleb_strategy_v3 [20240900] 2024-06-06 02:02:04.000 [1] 38935.000000 13124 NIKKEI caleb_strategy_v3 [20240900] 2024-06-06 02:05:19.000 [1] 38930.000000 13125 NIKKEI caleb_strategy_v3 [20240900] 2024-06-06 02:05:28.000 [1] 38925.000000 13126 NIKKEI caleb_strategy_v3 [20240900] 2024-06-06 02:06:23.000 [1] 38925.000000 13141 PLAT caleb_strategy_v3 [20240700] 2024-06-06 13:12:42.000 [-1] 999.000000 13135 PLAT caleb_strategy_v3 [20240700] 2024-06-06 19:45:01.475 [0] NaN 13170 REDWHEAT caleb_strategy_v3 [20240900] 2024-06-06 14:30:47.000 [-1] 699.750000 13133 ROBUSTA caleb_strategy_v3 [20240900] 2024-06-06 09:06:55.000 [1] 4317.000000 13153 RUSSELL caleb_strategy_v3 [20240600] 2024-06-06 14:17:05.000 [1] 2057.700000 13158 RUSSELL caleb_strategy_v3 [20240600] 2024-06-06 14:20:05.000 [1] 2058.300000 13169 SOYMEAL caleb_strategy_v3 [20241000] 2024-06-06 14:30:45.000 [1] 351.900000 13181 SOYOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-06 14:57:24.000 [1] 44.880000 13178 SOYOIL _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 14:55:53.000 [-1] 44.850000 13177 SOYOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-06 19:45:01.660 [0] NaN 13174 SOYOIL _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-06 14:37:15.000 [-1] 44.730000 13173 SOYOIL _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-06 14:33:33.000 [1] 44.740000 13159 SP500_micro caleb_strategy_v3 [20240600] 2024-06-06 14:22:39.000 [-1] 5367.000000 13154 SP500_micro caleb_strategy_v3 [20240600] 2024-06-06 14:19:24.000 [-1] 5366.750000 13162 SP500_micro caleb_strategy_v3 [20240600] 2024-06-06 14:22:49.000 [-1] 5367.000000 13139 SUGAR11 caleb_strategy_v3 [20241000] 2024-06-06 13:10:36.000 [1] 19.030000 13157 US10U caleb_strategy_v3 [20240900] 2024-06-06 14:20:04.000 [1] 113.984375 13148 US10U caleb_strategy_v3 [20240900] 2024-06-06 14:03:06.000 [1] 113.968750 13150 US30 caleb_strategy_v3 [20240900] 2024-06-06 14:09:09.000 [1] 126.625000 13152 VIX caleb_strategy_v3 [20240800] 2024-06-06 14:17:04.000 [-1] 15.000000 13171 WHEAT caleb_strategy_v3 [20241200] 2024-06-06 14:32:18.000 [-1] 699.000000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13123 JGB-SGX-mini caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 03:02:21.082 2024-06-06 02:03:29.000 97341.082 NaN 13122 NIKKEI caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 03:00:20.798 2024-06-06 02:02:04.000 97220.798 NaN 13124 NIKKEI caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 03:03:30.044 2024-06-06 02:05:19.000 97410.044 NaN 13125 NIKKEI caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 03:05:22.945 2024-06-06 02:05:28.000 97522.945 NaN 13126 NIKKEI caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 03:06:22.971 2024-06-06 02:06:23.000 97582.971 NaN 13128 EUROSTX caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 08:01:45.486 2024-06-06 07:01:45.000 115305.486 NaN 13127 DAX caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 08:00:47.358 2024-06-06 07:00:47.000 115247.358 NaN 13129 DAX caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 08:01:46.320 2024-06-06 07:01:46.000 115306.32 NaN 13130 DAX caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 08:02:45.398 2024-06-06 07:02:45.000 115365.398 NaN 13131 DAX caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 08:03:45.244 2024-06-06 07:03:45.000 115425.244 NaN 13132 DAX caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 08:04:45.371 2024-06-06 07:04:45.000 115485.371 NaN 13133 ROBUSTA caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 10:00:50.698 2024-06-06 09:06:55.000 122450.698 NaN 13137 COTTON2 caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:10:33.286 2024-06-06 13:10:33.000 137433.286 NaN 13139 SUGAR11 caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:10:35.986 2024-06-06 13:10:36.000 137435.986 NaN 13140 GAS_US_mini caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:10:50.620 2024-06-06 13:10:50.000 137450.62 NaN 13134 GAS_US_mini caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:00:27.786 2024-06-06 13:00:29.000 136827.786 NaN 13136 GOLD_micro caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:10:31.706 2024-06-06 13:10:31.000 137431.706 NaN 13142 GOLD_micro caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:12:43.380 2024-06-06 13:12:43.000 137563.38 NaN 13138 CANOLA caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:10:34.683 2024-06-06 13:10:34.000 137434.683 NaN 13143 CANOLA caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:12:43.844 2024-06-06 13:12:43.000 137563.844 NaN 13144 CANOLA caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:12:47.706 2024-06-06 13:12:47.000 137567.706 NaN 13145 CANOLA caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:13:47.801 2024-06-06 13:13:47.000 137627.801 NaN 13146 CANOLA caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:14:48.274 2024-06-06 13:14:48.000 137688.274 NaN 13149 CHF caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:03:07.478 2024-06-06 14:04:24.000 140587.478 NaN 13150 US30 caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:04:25.383 2024-06-06 14:09:09.000 140665.383 NaN 13151 AUD caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:09:10.271 2024-06-06 14:11:24.000 140950.271 NaN 13152 VIX caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:11:26.315 2024-06-06 14:17:04.000 141086.315 NaN 13148 US10U caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:03:00.220 2024-06-06 14:03:06.000 140580.22 NaN 13157 US10U caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:20:04.326 2024-06-06 14:20:04.000 141604.326 NaN 13153 RUSSELL caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:17:05.810 2024-06-06 14:17:05.000 141425.81 NaN 13158 RUSSELL caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:20:05.104 2024-06-06 14:20:05.000 141605.104 NaN 13160 DOW caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:22:39.488 2024-06-06 14:22:39.000 141759.488 NaN 13155 DOW caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:19:25.822 2024-06-06 14:19:25.000 141565.822 NaN 13154 SP500_micro caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:17:07.072 2024-06-06 14:19:24.000 141427.072 NaN 13162 SP500_micro caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:22:44.099 2024-06-06 14:22:49.000 141764.099 NaN 13159 SP500_micro caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:20:05.716 2024-06-06 14:22:39.000 141605.716 NaN 13156 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:19:45.119 2024-06-06 14:20:03.000 141585.119 NaN 13161 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:22:43.346 2024-06-06 14:22:43.000 141763.346 NaN 13163 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:23:43.820 2024-06-06 14:23:43.000 141823.82 NaN 13164 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:24:43.911 2024-06-06 14:24:43.000 141883.911 NaN 13165 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:25:43.806 2024-06-06 14:25:43.000 141943.806 NaN 13166 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:26:44.063 2024-06-06 14:26:44.000 142004.063 NaN 13167 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:27:44.081 2024-06-06 14:27:44.000 142064.081 NaN 13168 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:28:43.971 2024-06-06 14:28:44.000 142123.971 NaN 13147 MXP caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:00:57.270 2024-06-06 14:02:59.000 140457.27 NaN 13169 SOYMEAL caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:30:45.306 2024-06-06 14:30:45.000 142245.306 NaN 13170 REDWHEAT caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:30:46.622 2024-06-06 14:30:47.000 142246.622 NaN 13171 WHEAT caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:30:48.946 2024-06-06 14:32:18.000 142248.946 NaN 13172 LIVECOW caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 15:32:19.318 2024-06-06 14:33:31.000 142339.318 NaN 13141 PLAT caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:10:51.283 2024-06-06 13:12:42.000 137451.283 NaN 13135 PLAT caleb_strategy_v3 2024-06-05 00:00:00 2024-06-06 14:00:30.414 2024-06-06 19:45:01.475 136830.414 20671.061 13173 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:33:32.701 2024-06-06 14:33:33.000 74012.701 NaN 13174 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:33:34.907 2024-06-06 14:37:15.000 74014.907 NaN 13177 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:45:52.499 2024-06-06 19:45:01.660 74752.499 14349.161 13178 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:55:53.094 2024-06-06 14:55:53.000 75353.094 NaN 13181 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:57:09.115 2024-06-06 14:57:24.000 75429.115 NaN 13184 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:58:34.704 2024-06-06 14:58:39.000 75514.704 NaN 13185 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:58:39.528 2024-06-06 14:58:39.000 75519.528 NaN 13186 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:59:35.146 2024-06-06 14:59:35.000 75575.146 NaN 13187 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:59:35.755 2024-06-06 19:45:01.860 75575.755 13526.105 13188 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:09:40.136 2024-06-06 15:09:40.000 76180.136 NaN 13189 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:09:40.741 2024-06-06 15:10:41.000 76180.741 NaN 13190 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:10:45.494 2024-06-06 15:10:45.000 76245.494 NaN 13191 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:10:46.085 2024-06-06 15:10:49.000 76246.085 NaN 13192 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:11:45.510 2024-06-06 15:11:52.000 76305.51 NaN 13193 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:11:53.013 2024-06-06 15:11:53.000 76313.013 NaN 13194 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:12:45.605 2024-06-06 15:12:45.000 76365.605 NaN 13195 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:12:46.291 2024-06-06 15:13:21.000 76366.291 NaN 13196 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 16:13:45.606 2024-06-06 15:13:50.000 76425.606 NaN 13175 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:37:16.455 2024-06-06 14:38:16.000 74236.455 NaN 13176 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:38:17.966 2024-06-06 14:45:48.000 74297.966 NaN 13179 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:55:53.582 2024-06-06 14:57:04.000 75353.582 NaN 13180 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:57:04.956 2024-06-06 14:57:05.000 75424.956 NaN 13182 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:57:25.559 2024-06-06 14:57:54.000 75445.559 NaN 13183 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-06-05 19:00:00 2024-06-06 15:57:54.664 2024-06-06 14:58:30.000 75474.664 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 13123 JGB-SGX-mini caleb_strategy_v3 [-1] 143.27 None 143.37 143.36 143.38 143.38 143.35 0.1 -0.01 -0.01 -0.03 NaN -0.02 13122 NIKKEI caleb_strategy_v3 [1] 38905.0 None 38892.5 38895.0 38890.0 38890.0 38935.0 12.5 -2.5 -40.0 -45.0 NaN -42.5 13124 NIKKEI caleb_strategy_v3 [1] 38905.0 None 38932.5 38935.0 38930.0 38930.0 38930.0 -27.5 -2.5 5.0 0.0 NaN 2.5 13125 NIKKEI caleb_strategy_v3 [1] 38905.0 None 38927.5 38930.0 38925.0 38925.0 38925.0 -22.5 -2.5 5.0 0.0 NaN 2.5 13126 NIKKEI caleb_strategy_v3 [1] 38905.0 None 38927.5 38930.0 38925.0 38925.0 38925.0 -22.5 -2.5 5.0 0.0 NaN 2.5 13128 EUROSTX caleb_strategy_v3 [-1] 5061.0 None 5064.5 5064.0 5065.0 5065.0 5073.0 3.5 -0.5 9.0 8.0 NaN 8.5 13127 DAX caleb_strategy_v3 [-1] 18666.0 None 18669.5 18669.0 18670.0 18670.0 18710.0 3.5 -0.5 41.0 40.0 NaN 40.5 13129 DAX caleb_strategy_v3 [-1] 18666.0 None 18669.5 18669.0 18670.0 18670.0 18716.0 3.5 -0.5 47.0 46.0 NaN 46.5 13130 DAX caleb_strategy_v3 [-1] 18666.0 None 18669.5 18669.0 18670.0 18670.0 18711.0 3.5 -0.5 42.0 41.0 NaN 41.5 13131 DAX caleb_strategy_v3 [-1] 18666.0 None 18669.5 18669.0 18670.0 18670.0 18710.0 3.5 -0.5 41.0 40.0 NaN 40.5 13132 DAX caleb_strategy_v3 [-1] 18666.0 None 18669.5 18669.0 18670.0 18670.0 18710.0 3.5 -0.5 41.0 40.0 NaN 40.5 13133 ROBUSTA caleb_strategy_v3 [1] 4327.0 None 4298.0 4300.0 4296.0 4296.0 4317.0 29.0 -2.0 -17.0 -21.0 NaN -19.0 13137 COTTON2 caleb_strategy_v3 [-1] 73.56 None 73.13 73.11 73.15 73.15 73.26 -0.43 -0.02 0.15 0.11 NaN 0.13 13139 SUGAR11 caleb_strategy_v3 [1] 19.06 None 19.04 19.05 19.03 19.03 19.03 0.02 -0.01 0.02 0.0 NaN 0.01 13140 GAS_US_mini caleb_strategy_v3 [1] 2.85 None 2.9175 2.92 2.915 2.915 2.91 -0.0675 -0.0025 0.01 0.005 NaN 0.0075 13134 GAS_US_mini caleb_strategy_v3 [1] 2.85 None 2.915 2.92 2.91 2.91 2.915 -0.065 -0.005 0.005 -0.005 NaN 0.0 13136 GOLD_micro caleb_strategy_v3 [1] 2375.5 None 2376.6 2376.7 2376.5 2376.5 2376.3 -1.1 -0.1 0.4 0.2 NaN 0.3 13142 GOLD_micro caleb_strategy_v3 [1] 2375.5 None 2376.6 2376.7 2376.5 2376.5 2375.7 -1.1 -0.1 1.0 0.8 NaN 0.9 13138 CANOLA caleb_strategy_v3 [-1] 640.7 None 648.15 648.1 648.2 648.2 649.8 7.45 -0.05 1.7 1.6 NaN 1.65 13143 CANOLA caleb_strategy_v3 [-1] 640.7 None 648.15 648.1 648.2 648.2 649.6 7.45 -0.05 1.5 1.4 NaN 1.45 13144 CANOLA caleb_strategy_v3 [-1] 640.7 None 648.15 648.1 648.2 648.2 649.6 7.45 -0.05 1.5 1.4 NaN 1.45 13145 CANOLA caleb_strategy_v3 [-1] 640.7 None 648.15 648.1 648.2 648.2 649.8 7.45 -0.05 1.7 1.6 NaN 1.65 13146 CANOLA caleb_strategy_v3 [-1] 640.7 None 648.15 648.1 648.2 648.2 650.0 7.45 -0.05 1.9 1.8 NaN 1.85 13149 CHF caleb_strategy_v3 [1] 1.1326 None 1.13465 1.1347 1.1346 1.1346 1.13465 -0.00205 -0.00005 0.00005 -0.00005 NaN 0.0 13150 US30 caleb_strategy_v3 [1] 126.78125 None 126.546875 126.5625 126.53125 126.53125 126.625 0.234375 -0.015625 -0.0625 -0.09375 NaN -0.078125 13151 AUD caleb_strategy_v3 [1] 0.6672 None 0.666875 0.6669 0.66685 0.66685 0.66665 0.000325 -0.000025 0.00025 0.0002 NaN 0.000225 13152 VIX caleb_strategy_v3 [-1] 15.0 None 15.075 15.05 15.1 15.1 15.0 0.075 -0.025 -0.05 -0.1 NaN -0.075 13148 US10U caleb_strategy_v3 [1] 114.015625 None 113.976562 113.984375 113.96875 113.96875 113.96875 0.039062 -0.007812 0.015625 0.0 NaN 0.007812 13157 US10U caleb_strategy_v3 [1] 114.015625 None 113.960938 113.96875 113.953125 113.953125 113.984375 0.054688 -0.007812 -0.015625 -0.03125 NaN -0.023438 13153 RUSSELL caleb_strategy_v3 [1] 2067.8 None 2059.7 2059.8 2059.6 2059.6 2057.7 8.1 -0.1 2.1 1.9 NaN 2.0 13158 RUSSELL caleb_strategy_v3 [1] 2067.8 None 2059.7 2059.8 2059.6 2059.6 2058.3 8.1 -0.1 1.5 1.3 NaN 1.4 13160 DOW caleb_strategy_v3 [1] 38918.0 None 39044.5 39045.0 39044.0 39044.0 39011.0 -126.5 -0.5 34.0 33.0 NaN 33.5 13155 DOW caleb_strategy_v3 [1] 38918.0 None 39044.5 39045.0 39044.0 39044.0 39040.0 -126.5 -0.5 5.0 4.0 NaN 4.5 13154 SP500_micro caleb_strategy_v3 [-1] 5360.75 None 5366.625 5366.5 5366.75 5366.75 5366.75 5.875 -0.125 0.25 -0.0 NaN 0.125 13162 SP500_micro caleb_strategy_v3 [-1] 5360.75 None 5367.125 5367.0 5367.25 5367.25 5367.0 6.375 -0.125 -0.0 -0.25 NaN -0.125 13159 SP500_micro caleb_strategy_v3 [-1] 5360.75 None 5367.625 5367.5 5367.75 5367.75 5367.0 6.875 -0.125 -0.5 -0.75 NaN -0.625 13156 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056835 0.05683 0.05684 0.05684 0.05682 0.000065 -0.000005 -0.00001 -0.00002 NaN -0.000015 13161 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056825 0.05682 0.05683 0.05683 0.05679 0.000055 -0.000005 -0.00003 -0.00004 NaN -0.000035 13163 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056745 0.05674 0.05675 0.05675 0.0568 -0.000025 -0.000005 0.00006 0.00005 NaN 0.000055 13164 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056765 0.05676 0.05677 0.05677 0.05679 -0.000005 -0.000005 0.00003 0.00002 NaN 0.000025 13165 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056775 0.05677 0.05678 0.05678 0.05683 0.000005 -0.000005 0.00006 0.00005 NaN 0.000055 13166 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056775 0.05677 0.05678 0.05678 0.05682 0.000005 -0.000005 0.00005 0.00004 NaN 0.000045 13167 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056775 0.05677 0.05678 0.05678 0.05681 0.000005 -0.000005 0.00004 0.00003 NaN 0.000035 13168 MXP caleb_strategy_v3 [-1] 0.05677 None 0.056805 0.0568 0.05681 0.05681 0.05681 0.000035 -0.000005 0.00001 -0.0 NaN 0.000005 13147 MXP caleb_strategy_v3 [-1] 0.05677 None 0.05687 0.05686 0.05688 0.05688 0.05683 0.0001 -0.00001 -0.00003 -0.00005 NaN -0.00004 13169 SOYMEAL caleb_strategy_v3 [1] 350.6 None 353.05 353.1 353.0 353.0 351.9 -2.45 -0.05 1.2 1.1 NaN 1.15 13170 REDWHEAT caleb_strategy_v3 [-1] 689.25 None 698.625 698.5 698.75 698.75 699.75 9.375 -0.125 1.25 1.0 NaN 1.125 13171 WHEAT caleb_strategy_v3 [-1] 693.75 None 699.625 699.5 699.75 699.75 699.0 5.875 -0.125 -0.5 -0.75 NaN -0.625 13172 LIVECOW caleb_strategy_v3 [1] 177.9 None 177.55 177.575 177.525 177.525 177.75 0.35 -0.025 -0.175 -0.225 NaN -0.2 13141 PLAT caleb_strategy_v3 [-1] 1002.6 None 1001.0 1000.8 1001.2 1001.2 999.0 -1.6 -0.2 -1.8 -2.2 NaN -2.0 13135 PLAT caleb_strategy_v3 [-1] 1002.6 None 1003.1 1003.0 1003.2 1003.2 NaN 0.5 -0.1 NaN NaN NaN NaN 13173 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 43.5 None 44.875 44.88 44.87 NaN 44.74 -1.375 -0.005 0.14 NaN NaN 0.135 13174 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 43.51 None 44.88 44.87 44.89 44.89 44.73 1.37 -0.01 -0.14 -0.16 NaN -0.15 13177 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 43.5 None 44.715 44.72 44.71 44.71 NaN -1.215 -0.005 NaN NaN NaN NaN 13178 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 43.51 None 44.74 44.73 44.75 44.75 44.85 1.23 -0.01 0.12 0.1 NaN 0.11 13181 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 43.5 None 44.88 44.89 44.87 44.87 44.88 -1.38 -0.01 0.01 -0.01 NaN -0.0 13184 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.6875 91.7 91.675 91.675 91.725 -0.1875 -0.0125 -0.025 -0.05 NaN -0.0375 13185 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.2375 79.225 79.25 NaN 79.225 -0.1375 -0.0125 -0.0 NaN NaN -0.0125 13186 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.7125 91.725 91.7 91.7 91.675 -0.2125 -0.0125 0.05 0.025 NaN 0.0375 13187 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.2375 79.225 79.25 79.25 NaN -0.1375 -0.0125 NaN NaN NaN NaN 13188 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.725 91.75 91.7 91.7 91.525 -0.225 -0.025 0.225 0.175 NaN 0.2 13189 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.2 79.175 79.225 79.225 79.125 -0.175 -0.025 -0.05 -0.1 NaN -0.075 13190 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.6625 91.675 91.65 91.65 91.6 -0.1625 -0.0125 0.075 0.05 NaN 0.0625 13191 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.15 79.125 79.175 79.175 79.15 -0.225 -0.025 0.025 -0.025 NaN 0.0 13192 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.6 91.625 91.575 91.575 91.575 -0.1 -0.025 0.05 0.0 NaN 0.025 13193 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.0375 79.025 79.05 79.05 79.125 -0.3375 -0.0125 0.1 0.075 NaN 0.0875 13194 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.4625 91.475 91.45 91.45 91.475 0.0375 -0.0125 0.0 -0.025 NaN -0.0125 13195 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.1125 79.1 79.125 79.125 79.1 -0.2625 -0.0125 -0.0 -0.025 NaN -0.0125 13196 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.125 79.1 79.15 79.15 79.15 -0.25 -0.025 0.05 -0.0 NaN 0.025 13175 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.625 91.65 91.6 91.6 91.625 -0.125 -0.025 0.025 -0.025 NaN 0.0 13176 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.125 79.1 79.15 79.15 79.075 -0.25 -0.025 -0.025 -0.075 NaN -0.05 13179 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.675 91.7 91.65 91.65 91.65 -0.175 -0.025 0.05 0.0 NaN 0.025 13180 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.05 79.025 79.075 79.075 79.175 -0.325 -0.025 0.15 0.1 NaN 0.125 13182 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 91.5 None 91.675 91.7 91.65 91.65 91.675 -0.175 -0.025 0.025 -0.025 NaN 0.0 13183 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 79.375 None 79.1875 79.175 79.2 79.2 79.225 -0.1875 -0.0125 0.05 0.025 NaN 0.0375 =================================================================================================================================================================== 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 13123 JGB-SGX-mini caleb_strategy_v3 [-1] 3.875805 258.010894 -25.801089 -25.801089 -77.403268 NaN -51.602179 13122 NIKKEI caleb_strategy_v3 [1] 5919.340113 21.117219 -4.223444 -67.5751 -76.021987 NaN -71.798544 13124 NIKKEI caleb_strategy_v3 [1] 5919.340113 -46.457881 -4.223444 8.446887 0.0 NaN 4.223444 13125 NIKKEI caleb_strategy_v3 [1] 5919.340113 -38.010994 -4.223444 8.446887 0.0 NaN 4.223444 13126 NIKKEI caleb_strategy_v3 [1] 5919.340113 -38.010994 -4.223444 8.446887 0.0 NaN 4.223444 13128 EUROSTX caleb_strategy_v3 [-1] 589.311561 59.391334 -8.484476 152.720574 135.751621 NaN 144.236098 13127 DAX caleb_strategy_v3 [-1] 2013.369517 17.383794 -2.483399 203.638724 198.671926 NaN 201.155325 13129 DAX caleb_strategy_v3 [-1] 2013.369517 17.383794 -2.483399 233.439513 228.472715 NaN 230.956114 13130 DAX caleb_strategy_v3 [-1] 2013.369517 17.383794 -2.483399 208.605522 203.638724 NaN 206.122123 13131 DAX caleb_strategy_v3 [-1] 2013.369517 17.383794 -2.483399 203.638724 198.671926 NaN 201.155325 13132 DAX caleb_strategy_v3 [-1] 2013.369517 17.383794 -2.483399 203.638724 198.671926 NaN 201.155325 13133 ROBUSTA caleb_strategy_v3 [1] 1354.822958 214.050108 -14.762076 -125.477649 -155.001802 NaN -140.239726 13137 COTTON2 caleb_strategy_v3 [-1] 22.04914 -195.018945 -9.070649 68.029865 49.888567 NaN 58.959216 13139 SUGAR11 caleb_strategy_v3 [1] 4.836729 41.350262 -20.675131 41.350262 0.0 NaN 20.675131 13140 GAS_US_mini caleb_strategy_v3 [1] 1.799723 -375.057777 -13.891029 55.564115 27.782058 NaN 41.673086 13134 GAS_US_mini caleb_strategy_v3 [1] 1.799723 -361.166748 -27.782058 27.782058 -27.782058 NaN 0.0 13136 GOLD_micro caleb_strategy_v3 [1] 362.629243 -30.334013 -2.757638 11.03055 5.515275 NaN 8.272913 13142 GOLD_micro caleb_strategy_v3 [1] 362.629243 -30.334013 -2.757638 27.576375 22.0611 NaN 24.818738 13138 CANOLA caleb_strategy_v3 [-1] 165.177202 451.030767 -3.027052 102.919772 96.865668 NaN 99.89272 13143 CANOLA caleb_strategy_v3 [-1] 165.177202 451.030767 -3.027052 90.811564 84.757459 NaN 87.784512 13144 CANOLA caleb_strategy_v3 [-1] 165.177202 451.030767 -3.027052 90.811564 84.757459 NaN 87.784512 13145 CANOLA caleb_strategy_v3 [-1] 165.177202 451.030767 -3.027052 102.919772 96.865668 NaN 99.89272 13146 CANOLA caleb_strategy_v3 [-1] 165.177202 451.030767 -3.027052 115.027981 108.973876 NaN 112.000929 13149 CHF caleb_strategy_v3 [1] 0.079654 -257.363269 -6.277153 6.277153 -6.277153 NaN 0.0 13150 US30 caleb_strategy_v3 [1] 17.641741 132.852532 -8.856835 -35.427342 -53.141013 NaN -44.284177 13151 AUD caleb_strategy_v3 [1] 0.056005 58.030172 -4.463859 44.638594 35.710875 NaN 40.174734 13152 VIX caleb_strategy_v3 [-1] 4.985688 150.430586 -50.143529 -100.287058 -200.574115 NaN -150.430586 13148 US10U caleb_strategy_v3 [1] 8.551171 45.680881 -9.136176 18.272352 0.0 NaN 9.136176 13157 US10U caleb_strategy_v3 [1] 8.551171 63.953233 -9.136176 -18.272352 -36.544704 NaN -27.408528 13153 RUSSELL caleb_strategy_v3 [1] 363.444283 222.867724 -2.751453 57.780521 52.277614 NaN 55.029068 13158 RUSSELL caleb_strategy_v3 [1] 363.444283 222.867724 -2.751453 41.271801 35.768894 NaN 38.520347 13160 DOW caleb_strategy_v3 [1] 4658.621629 -271.539546 -1.073279 72.982961 70.836403 NaN 71.909682 13155 DOW caleb_strategy_v3 [1] 4658.621629 -271.539546 -1.073279 10.732788 8.586231 NaN 9.65951 13154 SP500_micro caleb_strategy_v3 [-1] 594.681701 98.792345 -2.101965 4.20393 -0.0 NaN 2.101965 13162 SP500_micro caleb_strategy_v3 [-1] 594.681701 107.200205 -2.101965 -0.0 -4.20393 NaN -2.101965 13159 SP500_micro caleb_strategy_v3 [-1] 594.681701 115.608064 -2.101965 -8.407859 -12.611789 NaN -10.509824 13156 MXP caleb_strategy_v3 [-1] 0.009007 72.163082 -5.551006 -11.102013 -22.204025 NaN -16.653019 13161 MXP caleb_strategy_v3 [-1] 0.009007 61.061069 -5.551006 -33.306038 -44.40805 NaN -38.857044 13163 MXP caleb_strategy_v3 [-1] 0.009007 -27.755031 -5.551006 66.612075 55.510063 NaN 61.061069 13164 MXP caleb_strategy_v3 [-1] 0.009007 -5.551006 -5.551006 33.306038 22.204025 NaN 27.755031 13165 MXP caleb_strategy_v3 [-1] 0.009007 5.551006 -5.551006 66.612075 55.510063 NaN 61.061069 13166 MXP caleb_strategy_v3 [-1] 0.009007 5.551006 -5.551006 55.510063 44.40805 NaN 49.959057 13167 MXP caleb_strategy_v3 [-1] 0.009007 5.551006 -5.551006 44.40805 33.306038 NaN 38.857044 13168 MXP caleb_strategy_v3 [-1] 0.009007 38.857044 -5.551006 11.102013 -0.0 NaN 5.551006 13147 MXP caleb_strategy_v3 [-1] 0.009007 111.020126 -11.102013 -33.306038 -55.510063 NaN -44.40805 13169 SOYMEAL caleb_strategy_v3 [1] 81.441003 -300.831267 -6.139414 147.345927 135.0671 NaN 141.206513 13170 REDWHEAT caleb_strategy_v3 [-1] 213.655942 438.789575 -5.850528 58.505277 46.804221 NaN 52.654749 13171 WHEAT caleb_strategy_v3 [-1] 192.119641 305.799031 -6.506362 -26.025449 -39.038174 NaN -32.531812 13172 LIVECOW caleb_strategy_v3 [1] 20.281838 172.568182 -12.326299 -86.284091 -110.936689 NaN -98.61039 13141 PLAT caleb_strategy_v3 [-1] 276.733557 -57.817347 -7.227168 -65.044515 -79.498852 NaN -72.271683 13135 PLAT caleb_strategy_v3 [-1] 276.733557 18.067921 -3.613584 NaN NaN NaN NaN 13173 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 13.774154 -998.246452 -3.629987 101.639639 NaN NaN 98.009652 13174 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 13.774154 994.616465 -7.259974 -101.639639 -116.159587 NaN -108.899613 13177 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 13.774154 -882.086865 -3.629987 NaN NaN NaN NaN 13178 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 13.774154 892.976827 -7.259974 87.11969 72.599742 NaN 79.859716 13181 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 13.774154 -1001.87644 -7.259974 7.259974 -7.259974 NaN -0.0 13184 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -104.941906 -6.996127 -13.992254 -27.984508 NaN -20.988381 13185 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -76.957398 -6.996127 -0.0 NaN NaN -6.996127 13186 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -118.93416 -6.996127 27.984508 13.992254 NaN 20.988381 13187 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -76.957398 -6.996127 NaN NaN NaN NaN 13188 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -125.930287 -13.992254 125.930287 97.945779 NaN 111.938033 13189 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -97.945779 -13.992254 -27.984508 -55.969017 NaN -41.976762 13190 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -90.949652 -6.996127 41.976762 27.984508 NaN 34.980635 13191 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -125.930287 -13.992254 13.992254 -13.992254 NaN 0.0 13192 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -55.969017 -13.992254 27.984508 0.0 NaN 13.992254 13193 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -188.895431 -6.996127 55.969017 41.976762 NaN 48.972889 13194 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 20.988381 -6.996127 0.0 -13.992254 NaN -6.996127 13195 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -146.918668 -6.996127 -0.0 -13.992254 NaN -6.996127 13196 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -139.922541 -13.992254 27.984508 -0.0 NaN 13.992254 13175 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -69.961271 -13.992254 13.992254 -13.992254 NaN 0.0 13176 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -139.922541 -13.992254 -13.992254 -41.976762 NaN -27.984508 13179 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -97.945779 -13.992254 27.984508 0.0 NaN 13.992254 13180 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -181.899304 -13.992254 83.953525 55.969017 NaN 69.961271 13182 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 17.867028 -97.945779 -13.992254 13.992254 -13.992254 NaN 0.0 13183 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 17.867028 -104.941906 -6.996127 27.984508 13.992254 NaN 20.988381 ============================================================================================================================================================================= 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 13123 JGB-SGX-mini caleb_strategy_v3 [-1] 641.712603 64.17126 -6.417126 -6.417126 -19.251378 NaN -12.834252 13122 NIKKEI caleb_strategy_v3 [1] 0.641713 8.021408 -1.604282 -25.668504 -28.877067 NaN -27.272786 13124 NIKKEI caleb_strategy_v3 [1] 0.641713 -17.647097 -1.604282 3.208563 0.0 NaN 1.604282 13125 NIKKEI caleb_strategy_v3 [1] 0.641713 -14.438534 -1.604282 3.208563 0.0 NaN 1.604282 13126 NIKKEI caleb_strategy_v3 [1] 0.641713 -14.438534 -1.604282 3.208563 0.0 NaN 1.604282 13128 EUROSTX caleb_strategy_v3 [-1] 10.8825 38.08875 -5.44125 97.9425 87.06 NaN 92.50125 13127 DAX caleb_strategy_v3 [-1] 1.08825 3.808875 -0.544125 44.61825 43.53 NaN 44.074125 13129 DAX caleb_strategy_v3 [-1] 1.08825 3.808875 -0.544125 51.14775 50.0595 NaN 50.603625 13130 DAX caleb_strategy_v3 [-1] 1.08825 3.808875 -0.544125 45.7065 44.61825 NaN 45.162375 13131 DAX caleb_strategy_v3 [-1] 1.08825 3.808875 -0.544125 44.61825 43.53 NaN 44.074125 13132 DAX caleb_strategy_v3 [-1] 1.08825 3.808875 -0.544125 44.61825 43.53 NaN 44.074125 13133 ROBUSTA caleb_strategy_v3 [1] 10.0 290.0 -20.0 -170.0 -210.0 NaN -190.0 13137 COTTON2 caleb_strategy_v3 [-1] 500.0 -215.0 -10.0 75.0 55.0 NaN 65.0 13139 SUGAR11 caleb_strategy_v3 [1] 1120.0 22.4 -11.2 22.4 0.0 NaN 11.2 13140 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -168.75 -6.25 25.0 12.5 NaN 18.75 13134 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -162.5 -12.5 12.5 -12.5 NaN 0.0 13136 GOLD_micro caleb_strategy_v3 [1] 10.0 -11.0 -1.0 4.0 2.0 NaN 3.0 13142 GOLD_micro caleb_strategy_v3 [1] 10.0 -11.0 -1.0 10.0 8.0 NaN 9.0 13138 CANOLA caleb_strategy_v3 [-1] 14.620952 108.926091 -0.731048 24.855618 23.393523 NaN 24.124571 13143 CANOLA caleb_strategy_v3 [-1] 14.620952 108.926091 -0.731048 21.931428 20.469333 NaN 21.20038 13144 CANOLA caleb_strategy_v3 [-1] 14.620952 108.926091 -0.731048 21.931428 20.469333 NaN 21.20038 13145 CANOLA caleb_strategy_v3 [-1] 14.620952 108.926091 -0.731048 24.855618 23.393523 NaN 24.124571 13146 CANOLA caleb_strategy_v3 [-1] 14.620952 108.926091 -0.731048 27.779808 26.317713 NaN 27.048761 13149 CHF caleb_strategy_v3 [1] 125000.0 -256.25 -6.25 6.25 -6.25 NaN 0.0 13150 US30 caleb_strategy_v3 [1] 1000.0 234.375 -15.625 -62.5 -93.75 NaN -78.125 13151 AUD caleb_strategy_v3 [1] 100000.0 32.5 -2.5 25.0 20.0 NaN 22.5 13152 VIX caleb_strategy_v3 [-1] 1000.0 75.0 -25.0 -50.0 -100.0 NaN -75.0 13148 US10U caleb_strategy_v3 [1] 1000.0 39.0625 -7.8125 15.625 0.0 NaN 7.8125 13157 US10U caleb_strategy_v3 [1] 1000.0 54.6875 -7.8125 -15.625 -31.25 NaN -23.4375 13153 RUSSELL caleb_strategy_v3 [1] 5.0 40.5 -0.5 10.5 9.5 NaN 10.0 13158 RUSSELL caleb_strategy_v3 [1] 5.0 40.5 -0.5 7.5 6.5 NaN 7.0 13160 DOW caleb_strategy_v3 [1] 0.5 -63.25 -0.25 17.0 16.5 NaN 16.75 13155 DOW caleb_strategy_v3 [1] 0.5 -63.25 -0.25 2.5 2.0 NaN 2.25 13154 SP500_micro caleb_strategy_v3 [-1] 5.0 29.375 -0.625 1.25 -0.0 NaN 0.625 13162 SP500_micro caleb_strategy_v3 [-1] 5.0 31.875 -0.625 -0.0 -1.25 NaN -0.625 13159 SP500_micro caleb_strategy_v3 [-1] 5.0 34.375 -0.625 -2.5 -3.75 NaN -3.125 13156 MXP caleb_strategy_v3 [-1] 500000.0 32.5 -2.5 -5.0 -10.0 NaN -7.5 13161 MXP caleb_strategy_v3 [-1] 500000.0 27.5 -2.5 -15.0 -20.0 NaN -17.5 13163 MXP caleb_strategy_v3 [-1] 500000.0 -12.5 -2.5 30.0 25.0 NaN 27.5 13164 MXP caleb_strategy_v3 [-1] 500000.0 -2.5 -2.5 15.0 10.0 NaN 12.5 13165 MXP caleb_strategy_v3 [-1] 500000.0 2.5 -2.5 30.0 25.0 NaN 27.5 13166 MXP caleb_strategy_v3 [-1] 500000.0 2.5 -2.5 25.0 20.0 NaN 22.5 13167 MXP caleb_strategy_v3 [-1] 500000.0 2.5 -2.5 20.0 15.0 NaN 17.5 13168 MXP caleb_strategy_v3 [-1] 500000.0 17.5 -2.5 5.0 -0.0 NaN 2.5 13147 MXP caleb_strategy_v3 [-1] 500000.0 50.0 -5.0 -15.0 -25.0 NaN -20.0 13169 SOYMEAL caleb_strategy_v3 [1] 100.0 -245.0 -5.0 120.0 110.0 NaN 115.0 13170 REDWHEAT caleb_strategy_v3 [-1] 50.0 468.75 -6.25 62.5 50.0 NaN 56.25 13171 WHEAT caleb_strategy_v3 [-1] 50.0 293.75 -6.25 -25.0 -37.5 NaN -31.25 13172 LIVECOW caleb_strategy_v3 [1] 400.0 140.0 -10.0 -70.0 -90.0 NaN -80.0 13141 PLAT caleb_strategy_v3 [-1] 50.0 -80.0 -10.0 -90.0 -110.0 NaN -100.0 13135 PLAT caleb_strategy_v3 [-1] 50.0 25.0 -5.0 NaN NaN NaN NaN 13173 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -825.0 -3.0 84.0 NaN NaN 81.0 13174 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 822.0 -6.0 -84.0 -96.0 NaN -90.0 13177 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -729.0 -3.0 NaN NaN NaN NaN 13178 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 738.0 -6.0 72.0 60.0 NaN 66.0 13181 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -828.0 -6.0 6.0 -6.0 NaN -0.0 13184 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -75.0 -5.0 -10.0 -20.0 NaN -15.0 13185 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -55.0 -5.0 -0.0 NaN NaN -5.0 13186 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -85.0 -5.0 20.0 10.0 NaN 15.0 13187 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -55.0 -5.0 NaN NaN NaN NaN 13188 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -90.0 -10.0 90.0 70.0 NaN 80.0 13189 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -70.0 -10.0 -20.0 -40.0 NaN -30.0 13190 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -65.0 -5.0 30.0 20.0 NaN 25.0 13191 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -90.0 -10.0 10.0 -10.0 NaN 0.0 13192 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -40.0 -10.0 20.0 0.0 NaN 10.0 13193 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -135.0 -5.0 40.0 30.0 NaN 35.0 13194 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 15.0 -5.0 0.0 -10.0 NaN -5.0 13195 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -105.0 -5.0 -0.0 -10.0 NaN -5.0 13196 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -100.0 -10.0 20.0 -0.0 NaN 10.0 13175 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -50.0 -10.0 10.0 -10.0 NaN 0.0 13176 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -100.0 -10.0 -10.0 -30.0 NaN -20.0 13179 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -70.0 -10.0 20.0 0.0 NaN 10.0 13180 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -130.0 -10.0 60.0 40.0 NaN 50.0 13182 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -70.0 -10.0 10.0 -10.0 NaN 0.0 13183 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 -75.0 -5.0 20.0 10.0 NaN 15.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -1445.0 SOYOIL -822.0 caleb_strategy_v3 AUD 32.5 CANOLA 544.630455 CHF -256.25 COTTON2 -215.0 DAX 19.044375 DOW -126.5 EUROSTX 38.08875 GAS_US_mini -331.25 GOLD_micro -22.0 JGB-SGX-mini 64.17126 LIVECOW 140.0 MXP 120.0 NIKKEI -38.502756 PLAT -55.0 REDWHEAT 468.75 ROBUSTA 290.0 RUSSELL 81.0 SOYMEAL -245.0 SP500_micro 95.625 SUGAR11 22.4 US10U 93.75 US30 234.375 VIX 75.0 WHEAT 293.75 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -2267.0 caleb_strategy_v3 1323.582085 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -145.0 SOYOIL -24.0 caleb_strategy_v3 AUD -2.5 CANOLA -3.655238 CHF -6.25 COTTON2 -10.0 DAX -2.720625 DOW -0.5 EUROSTX -5.44125 GAS_US_mini -18.75 GOLD_micro -2.0 JGB-SGX-mini -6.417126 LIVECOW -10.0 MXP -25.0 NIKKEI -6.417126 PLAT -15.0 REDWHEAT -6.25 ROBUSTA -20.0 RUSSELL -1.0 SOYMEAL -5.0 SP500_micro -1.875 SUGAR11 -11.2 US10U -15.625 US30 -15.625 VIX -25.0 WHEAT -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -169.0 caleb_strategy_v3 -222.476365 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 310.0 SOYOIL 78.0 caleb_strategy_v3 AUD 25.0 CANOLA 121.3539 CHF 6.25 COTTON2 75.0 DAX 230.709 DOW 19.5 EUROSTX 97.9425 GAS_US_mini 37.5 GOLD_micro 14.0 JGB-SGX-mini -6.417126 LIVECOW -70.0 MXP 90.0 NIKKEI -16.042815 PLAT -90.0 REDWHEAT 62.5 ROBUSTA -170.0 RUSSELL 18.0 SOYMEAL 120.0 SP500_micro -1.25 SUGAR11 22.4 US10U 0.0 US30 -62.5 VIX -50.0 WHEAT -25.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 388.0 caleb_strategy_v3 448.945459 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 40.0 SOYOIL -42.0 caleb_strategy_v3 AUD 20.0 CANOLA 114.043424 CHF -6.25 COTTON2 55.0 DAX 225.26775 DOW 18.5 EUROSTX 87.06 GAS_US_mini 0.0 GOLD_micro 10.0 JGB-SGX-mini -19.251378 LIVECOW -90.0 MXP 40.0 NIKKEI -28.877067 PLAT -110.0 REDWHEAT 50.0 ROBUSTA -210.0 RUSSELL 16.0 SOYMEAL 110.0 SP500_micro -5.0 SUGAR11 0.0 US10U -31.25 US30 -93.75 VIX -100.0 WHEAT -37.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.0 caleb_strategy_v3 13.992729 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 SOYOIL 0 caleb_strategy_v3 AUD 0 CANOLA 0 CHF 0 COTTON2 0 DAX 0 DOW 0 EUROSTX 0 GAS_US_mini 0 GOLD_micro 0 JGB-SGX-mini 0 LIVECOW 0 MXP 0 NIKKEI 0 PLAT 0 REDWHEAT 0 ROBUSTA 0 RUSSELL 0 SOYMEAL 0 SP500_micro 0 SUGAR11 0 US10U 0 US30 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 LEANHOG 170.0 SOYOIL 57.0 caleb_strategy_v3 AUD 22.5 CANOLA 117.698662 CHF 0.0 COTTON2 65.0 DAX 227.988375 DOW 19.0 EUROSTX 92.50125 GAS_US_mini 18.75 GOLD_micro 12.0 JGB-SGX-mini -12.834252 LIVECOW -80.0 MXP 65.0 NIKKEI -22.459941 PLAT -100.0 REDWHEAT 56.25 ROBUSTA -190.0 RUSSELL 17.0 SOYMEAL 115.0 SP500_micro -3.125 SUGAR11 11.2 US10U -15.625 US30 -78.125 VIX -75.0 WHEAT -31.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 227.0 caleb_strategy_v3 231.469094 ******************************************************************************** END OF REPORT 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