******************************************************************************** Trades report produced on 08/07/2024 21:38 from 07/07/2024 21:38 to 08/07/2024 21:38 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13686 BTP caleb_strategy_v3 [20240900] 2024-07-08 07:03:24.000 [-1] 116.240000 13685 BUXL caleb_strategy_v3 [20240900] 2024-07-08 07:03:09.000 [-1] 128.700000 13707 COFFEE caleb_strategy_v3 [20240900] 2024-07-08 13:02:12.000 [1] 232.500000 13704 COPPER caleb_strategy_v3 [20240900] 2024-07-08 13:00:46.000 [1] 4.642500 13697 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:28:49.000 [1] 97.385000 13698 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:34:14.000 [-1] 97.405000 13699 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:34:18.000 [1] 97.385000 13700 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:34:24.000 [-1] 97.405000 13701 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:35:18.000 [1] 97.385000 13695 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:19:30.000 [1] 97.380000 13687 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:02:04.000 [1] 97.380000 13688 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:06:08.000 [-1] 97.410000 13689 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:11:12.000 [1] 97.385000 13690 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:11:19.000 [-1] 97.410000 13691 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:11:38.000 [1] 97.385000 13692 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:13:49.000 [-1] 97.410000 13693 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260600] 2024-07-08 08:14:12.000 [1] 97.385000 13694 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:14:13.000 [-1] 97.410000 13696 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:25:09.000 [-1] 97.410000 13702 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20260900] 2024-07-08 08:35:21.000 [-1] 97.410000 13684 EUROSTX caleb_strategy_v3 [20240900] 2024-07-08 07:02:49.000 [-1] 5002.000000 13719 FEEDCOW caleb_strategy_v3 [20241000] 2024-07-08 14:32:38.000 [1] 262.775000 13708 GAS_US_mini caleb_strategy_v3 [20240900] 2024-07-08 13:02:55.000 [-1] 2.405000 13703 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-08 13:00:45.000 [1] 2379.600000 13706 HEATOIL caleb_strategy_v3 [20241000] 2024-07-08 13:02:11.000 [-1] 2.604100 13712 MXP caleb_strategy_v3 [20240900] 2024-07-08 14:10:14.000 [1] 0.054940 13710 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-08 14:00:11.000 [1] 20626.500000 13714 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-08 14:16:19.000 [1] 20627.250000 13716 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-08 14:20:40.000 [1] 20604.500000 13677 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 02:09:09.000 [1] 40920.000000 13678 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 02:10:04.000 [1] 40920.000000 13683 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 02:41:11.000 [1] 40995.000000 13680 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 02:13:59.000 [1] 40930.000000 13676 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 02:09:00.000 [1] 40925.000000 13681 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 19:45:00.676 [0] NaN 13682 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 19:45:00.770 [0] NaN 13679 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 02:11:05.000 [1] 40925.000000 13675 NIKKEI caleb_strategy_v3 [20240900] 2024-07-08 02:06:30.000 [1] 40915.000000 13705 PLAT caleb_strategy_v3 [20241000] 2024-07-08 13:02:09.000 [-1] 1018.900000 13720 REDWHEAT caleb_strategy_v3 [20241200] 2024-07-08 14:32:40.000 [-1] 594.250000 13718 RUSSELL caleb_strategy_v3 [20240900] 2024-07-08 14:23:15.000 [-1] 2067.400000 13715 RUSSELL caleb_strategy_v3 [20240900] 2024-07-08 14:20:40.000 [-1] 2066.800000 13713 RUSSELL caleb_strategy_v3 [20240900] 2024-07-08 14:10:35.000 [-1] 2066.600000 13709 RUSSELL caleb_strategy_v3 [20240900] 2024-07-08 14:00:09.000 [-1] 2069.100000 13717 RUSSELL caleb_strategy_v3 [20240900] 2024-07-08 14:20:49.000 [-1] 2067.000000 13721 SOYBEAN caleb_strategy_v3 [20241100] 2024-07-08 14:32:41.000 [1] 1099.250000 13711 US5 caleb_strategy_v3 [20240900] 2024-07-08 14:00:19.000 [1] 106.960938 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13684 EUROSTX caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 08:00:41.559 2024-07-08 07:02:49.000 288041.559 NaN 13685 BUXL caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 08:02:50.498 2024-07-08 07:03:09.000 288170.498 NaN 13686 BTP caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 08:03:10.292 2024-07-08 07:03:24.000 288190.292 NaN 13696 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:19:30.647 2024-07-08 08:25:09.000 224370.647 NaN 13697 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:25:13.102 2024-07-08 08:28:49.000 224713.102 NaN 13698 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:28:49.756 2024-07-08 08:34:14.000 224929.756 NaN 13699 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:34:18.364 2024-07-08 08:34:18.000 225258.364 NaN 13700 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:34:19.068 2024-07-08 08:34:24.000 225259.068 NaN 13701 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:35:18.430 2024-07-08 08:35:18.000 225318.43 NaN 13702 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:35:19.140 2024-07-08 08:35:21.000 225319.14 NaN 13687 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:00:36.506 2024-07-08 08:02:04.000 223236.506 NaN 13688 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:02:06.362 2024-07-08 08:06:08.000 223326.362 NaN 13689 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:06:12.344 2024-07-08 08:11:12.000 223572.344 NaN 13690 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:11:12.999 2024-07-08 08:11:19.000 223872.999 NaN 13691 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:11:23.221 2024-07-08 08:11:38.000 223883.221 NaN 13692 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:11:38.805 2024-07-08 08:13:49.000 223898.805 NaN 13693 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:13:53.415 2024-07-08 08:14:12.000 224033.415 NaN 13694 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:14:13.362 2024-07-08 08:14:13.000 224053.362 NaN 13695 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2024-07-05 19:00:00 2024-07-08 09:14:53.274 2024-07-08 08:19:30.000 224093.274 NaN 13703 GOLD_micro caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 14:00:45.226 2024-07-08 13:00:45.000 309645.226 NaN 13704 COPPER caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 14:00:46.191 2024-07-08 13:00:46.000 309646.191 NaN 13705 PLAT caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 14:00:47.230 2024-07-08 13:02:09.000 309647.23 NaN 13706 HEATOIL caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 14:02:10.378 2024-07-08 13:02:11.000 309730.378 NaN 13707 COFFEE caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 14:02:12.323 2024-07-08 13:02:12.000 309732.323 NaN 13708 GAS_US_mini caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 14:02:13.282 2024-07-08 13:02:55.000 309733.282 NaN 13711 US5 caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:00:12.350 2024-07-08 14:00:19.000 313212.35 NaN 13712 MXP caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:00:20.455 2024-07-08 14:10:14.000 313220.455 NaN 13714 NASDAQ_micro caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:10:35.962 2024-07-08 14:16:19.000 313835.962 NaN 13716 NASDAQ_micro caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:20:40.772 2024-07-08 14:20:40.000 314440.772 NaN 13710 NASDAQ_micro caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:00:11.122 2024-07-08 14:00:11.000 313211.122 NaN 13709 RUSSELL caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:00:09.810 2024-07-08 14:00:09.000 313209.81 NaN 13713 RUSSELL caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:10:35.348 2024-07-08 14:10:35.000 313835.348 NaN 13715 RUSSELL caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:16:23.183 2024-07-08 14:20:40.000 314183.183 NaN 13717 RUSSELL caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:20:44.999 2024-07-08 14:20:49.000 314444.999 NaN 13718 RUSSELL caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:21:45.003 2024-07-08 14:23:15.000 314505.003 NaN 13719 FEEDCOW caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:30:21.830 2024-07-08 14:32:38.000 315021.83 NaN 13720 REDWHEAT caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:32:39.134 2024-07-08 14:32:40.000 315159.134 NaN 13721 SOYBEAN caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 15:32:41.319 2024-07-08 14:32:41.000 315161.319 NaN 13675 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:01:17.086 2024-07-08 02:06:30.000 270077.086 NaN 13676 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:06:33.875 2024-07-08 02:09:00.000 270393.875 NaN 13677 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:09:04.458 2024-07-08 02:09:09.000 270544.458 NaN 13678 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:10:04.591 2024-07-08 02:10:04.000 270604.591 NaN 13679 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:11:05.091 2024-07-08 02:11:05.000 270665.091 NaN 13680 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:12:05.576 2024-07-08 02:13:59.000 270725.576 NaN 13681 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:14:03.284 2024-07-08 19:45:00.676 270843.284 59457.392 13682 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:24:07.311 2024-07-08 19:45:00.770 271447.311 58853.459 13683 NIKKEI caleb_strategy_v3 2024-07-05 00:00:00 2024-07-08 03:34:11.352 2024-07-08 02:41:11.000 272051.352 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 13684 EUROSTX caleb_strategy_v3 [-1] 5019.0 None 5004.5 5004.0 5005.0 5005.0 5002.0 -14.5 -0.5 -2.0 -3.0 NaN -2.5 13685 BUXL caleb_strategy_v3 [-1] 129.36 None 128.73 128.72 128.74 128.74 128.7 -0.63 -0.01 -0.02 -0.04 NaN -0.03 13686 BTP caleb_strategy_v3 [-1] 116.32 None 116.255 116.25 116.26 116.26 116.24 -0.065 -0.005 -0.01 -0.02 NaN -0.015 13696 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.4075 97.405 97.41 97.41 97.41 -0.0225 -0.0025 0.005 -0.0 NaN 0.0025 13697 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.3825 97.385 97.38 97.38 97.385 0.0225 -0.0025 0.0 -0.005 NaN -0.0025 13698 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.4125 97.41 97.415 97.415 97.405 -0.0175 -0.0025 -0.005 -0.01 NaN -0.0075 13699 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.3875 97.39 97.385 97.385 97.385 0.0175 -0.0025 0.005 0.0 NaN 0.0025 13700 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.41 97.405 97.415 97.415 97.405 -0.02 -0.005 -0.0 -0.01 NaN -0.005 13701 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.3875 97.39 97.385 97.385 97.385 0.0175 -0.0025 0.005 0.0 NaN 0.0025 13702 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.4075 97.405 97.41 97.41 97.41 -0.0225 -0.0025 0.005 -0.0 NaN 0.0025 13687 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.3825 97.385 97.38 97.38 97.38 0.0225 -0.0025 0.005 0.0 NaN 0.0025 13688 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.4075 97.405 97.41 97.41 97.41 -0.0225 -0.0025 0.005 -0.0 NaN 0.0025 13689 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.3825 97.385 97.38 97.38 97.385 0.0225 -0.0025 0.0 -0.005 NaN -0.0025 13690 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.4075 97.405 97.41 97.41 97.41 -0.0225 -0.0025 0.005 -0.0 NaN 0.0025 13691 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.385 97.39 97.38 97.38 97.385 0.02 -0.005 0.005 -0.005 NaN -0.0 13692 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.4125 97.41 97.415 97.415 97.41 -0.0175 -0.0025 -0.0 -0.005 NaN -0.0025 13693 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.3875 97.39 97.385 97.385 97.385 0.0175 -0.0025 0.005 0.0 NaN 0.0025 13694 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 97.43 None 97.4075 97.405 97.41 97.41 97.41 -0.0225 -0.0025 0.005 -0.0 NaN 0.0025 13695 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 97.405 None 97.3825 97.385 97.38 97.38 97.38 0.0225 -0.0025 0.005 0.0 NaN 0.0025 13703 GOLD_micro caleb_strategy_v3 [1] 2399.5 None 2381.0 2381.1 2380.9 2380.9 2379.6 18.5 -0.1 1.5 1.3 NaN 1.4 13704 COPPER caleb_strategy_v3 [1] 4.669 None 4.65375 4.654 4.6535 4.6535 4.6425 0.01525 -0.00025 0.0115 0.011 NaN 0.01125 13705 PLAT caleb_strategy_v3 [-1] 1044.5 None 1020.05 1019.9 1020.2 1020.2 1018.9 -24.45 -0.15 -1.0 -1.3 NaN -1.15 13706 HEATOIL caleb_strategy_v3 [-1] 2.6316 None 2.6038 2.6035 2.6041 2.6041 2.6041 -0.0278 -0.0003 0.0006 -0.0 NaN 0.0003 13707 COFFEE caleb_strategy_v3 [1] 230.55 None 233.025 233.1 232.95 232.95 232.5 -2.475 -0.075 0.6 0.45 NaN 0.525 13708 GAS_US_mini caleb_strategy_v3 [-1] 2.36 None 2.405 2.4 2.41 2.41 2.405 0.045 -0.005 0.005 -0.005 NaN -0.0 13711 US5 caleb_strategy_v3 [1] 107.015625 None 106.933594 106.9375 106.929688 106.929688 106.960938 0.082031 -0.003906 -0.023438 -0.03125 NaN -0.027344 13712 MXP caleb_strategy_v3 [1] 0.05473 None 0.054865 0.05487 0.05486 0.05486 0.05494 -0.000135 -0.000005 -0.00007 -0.00008 NaN -0.000075 13714 NASDAQ_micro caleb_strategy_v3 [1] 20613.75 None 20629.375 20629.5 20629.25 20629.25 20627.25 -15.625 -0.125 2.25 2.0 NaN 2.125 13716 NASDAQ_micro caleb_strategy_v3 [1] 20613.75 None 20628.125 20628.25 20628.0 20628.0 20604.5 -14.375 -0.125 23.75 23.5 NaN 23.625 13710 NASDAQ_micro caleb_strategy_v3 [1] 20613.75 None 20629.375 20629.5 20629.25 20629.25 20626.5 -15.625 -0.125 3.0 2.75 NaN 2.875 13709 RUSSELL caleb_strategy_v3 [-1] 2041.2 None 2065.45 2065.4 2065.5 2065.5 2069.1 24.25 -0.05 3.7 3.6 NaN 3.65 13713 RUSSELL caleb_strategy_v3 [-1] 2041.2 None 2065.45 2065.4 2065.5 2065.5 2066.6 24.25 -0.05 1.2 1.1 NaN 1.15 13715 RUSSELL caleb_strategy_v3 [-1] 2041.2 None 2070.65 2070.6 2070.7 2070.7 2066.8 29.45 -0.05 -3.8 -3.9 NaN -3.85 13717 RUSSELL caleb_strategy_v3 [-1] 2041.2 None 2066.9 2066.8 2067.0 2067.0 2067.0 25.7 -0.1 0.2 -0.0 NaN 0.1 13718 RUSSELL caleb_strategy_v3 [-1] 2041.2 None 2067.35 2067.3 2067.4 2067.4 2067.4 26.15 -0.05 0.1 -0.0 NaN 0.05 13719 FEEDCOW caleb_strategy_v3 [1] 261.975 None 262.825 262.875 262.775 262.775 262.775 -0.85 -0.05 0.1 0.0 NaN 0.05 13720 REDWHEAT caleb_strategy_v3 [-1] 616.5 None 591.75 591.5 592.0 592.0 594.25 -24.75 -0.25 2.75 2.25 NaN 2.5 13721 SOYBEAN caleb_strategy_v3 [1] 1131.5 None 1101.125 1101.25 1101.0 1101.0 1099.25 30.375 -0.125 2.0 1.75 NaN 1.875 13675 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40897.5 40900.0 40895.0 40895.0 40915.0 102.5 -2.5 -15.0 -20.0 NaN -17.5 13676 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40912.5 40915.0 40910.0 40910.0 40925.0 87.5 -2.5 -10.0 -15.0 NaN -12.5 13677 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40922.5 40925.0 40920.0 40920.0 40920.0 77.5 -2.5 5.0 0.0 NaN 2.5 13678 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40927.5 40930.0 40925.0 40925.0 40920.0 72.5 -2.5 10.0 5.0 NaN 7.5 13679 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40927.5 40930.0 40925.0 40925.0 40925.0 72.5 -2.5 5.0 0.0 NaN 2.5 13680 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40917.5 40920.0 40915.0 40915.0 40930.0 82.5 -2.5 -10.0 -15.0 NaN -12.5 13681 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40932.5 40935.0 40930.0 40930.0 NaN 67.5 -2.5 NaN NaN NaN NaN 13682 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40937.5 40940.0 40935.0 40935.0 NaN 62.5 -2.5 NaN NaN NaN NaN 13683 NIKKEI caleb_strategy_v3 [1] 41000.0 None 40932.5 40935.0 40930.0 40930.0 40995.0 67.5 -2.5 -60.0 -65.0 NaN -62.5 ==================================================================================================================================================================== 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 13684 EUROSTX caleb_strategy_v3 [-1] 648.545603 -223.577184 -7.709558 -30.838232 -46.257349 NaN -38.54779 13685 BUXL caleb_strategy_v3 [-1] 24.107024 -261.334619 -4.148169 -8.296337 -16.592674 NaN -12.444506 13686 BTP caleb_strategy_v3 [-1] 9.230537 -70.418437 -5.416803 -10.833606 -21.667212 NaN -16.250409 13696 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -239.848222 -26.649802 53.299605 -0.0 NaN 26.649802 13697 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 239.848222 -26.649802 0.0 -53.299605 NaN -26.649802 13698 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -186.548617 -26.649802 -53.299605 -106.59921 NaN -79.949407 13699 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 186.548617 -26.649802 53.299605 0.0 NaN 26.649802 13700 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -213.19842 -53.299605 -0.0 -106.59921 NaN -53.299605 13701 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 186.548617 -26.649802 53.299605 0.0 NaN 26.649802 13702 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -239.848222 -26.649802 53.299605 -0.0 NaN 26.649802 13687 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 239.848222 -26.649802 53.299605 0.0 NaN 26.649802 13688 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -239.848222 -26.649802 53.299605 -0.0 NaN 26.649802 13689 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 239.848222 -26.649802 0.0 -53.299605 NaN -26.649802 13690 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -239.848222 -26.649802 53.299605 -0.0 NaN 26.649802 13691 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 213.19842 -53.299605 53.299605 -53.299605 NaN -0.0 13692 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -186.548617 -26.649802 -0.0 -53.299605 NaN -26.649802 13693 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 186.548617 -26.649802 53.299605 0.0 NaN 26.649802 13694 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 0.938093 -239.848222 -26.649802 53.299605 -0.0 NaN 26.649802 13695 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 0.938093 239.848222 -26.649802 53.299605 0.0 NaN 26.649802 13703 GOLD_micro caleb_strategy_v3 [1] 373.694558 495.056714 -2.675982 40.139734 34.787769 NaN 37.463751 13704 COPPER caleb_strategy_v3 [1] 1.152824 132.283831 -2.168587 99.75502 95.417845 NaN 97.586432 13705 PLAT caleb_strategy_v3 [-1] 282.064961 -866.821598 -5.317924 -35.452826 -46.088674 NaN -40.77075 13706 HEATOIL caleb_strategy_v3 [-1] 0.630866 -440.66445 -4.755372 9.510744 -0.0 NaN 4.755372 13707 COFFEE caleb_strategy_v3 [1] 72.885934 -339.571692 -10.290051 82.32041 61.740308 NaN 72.030359 13708 GAS_US_mini caleb_strategy_v3 [-1] 1.613216 278.945991 -30.993999 30.993999 -30.993999 NaN -0.0 13711 US5 caleb_strategy_v3 [1] 4.519362 181.510672 -8.643365 -51.861298 -69.148029 NaN -60.504664 13712 MXP caleb_strategy_v3 [1] 0.008575 -157.436712 -5.830989 -81.63385 -93.295829 NaN -87.46484 13714 NASDAQ_micro caleb_strategy_v3 [1] 2517.842613 -62.057096 -0.496457 8.936222 7.943308 NaN 8.439765 13716 NASDAQ_micro caleb_strategy_v3 [1] 2517.842613 -57.092528 -0.496457 94.326785 93.333872 NaN 93.830329 13710 NASDAQ_micro caleb_strategy_v3 [1] 2517.842613 -62.057096 -0.496457 11.914962 10.922049 NaN 11.418506 13709 RUSSELL caleb_strategy_v3 [-1] 321.700169 753.8075 -1.554242 115.013928 111.905443 NaN 113.459686 13713 RUSSELL caleb_strategy_v3 [-1] 321.700169 753.8075 -1.554242 37.301814 34.19333 NaN 35.747572 13715 RUSSELL caleb_strategy_v3 [-1] 321.700169 915.448696 -1.554242 -118.122412 -121.230897 NaN -119.676655 13717 RUSSELL caleb_strategy_v3 [-1] 321.700169 798.880526 -3.108485 6.216969 -0.0 NaN 3.108485 13718 RUSSELL caleb_strategy_v3 [-1] 321.700169 812.868706 -1.554242 3.108485 -0.0 NaN 1.554242 13719 FEEDCOW caleb_strategy_v3 [1] 31.947971 -266.057582 -15.650446 31.300892 0.0 NaN 15.650446 13720 REDWHEAT caleb_strategy_v3 [-1] 197.833829 -1251.04994 -12.636868 139.005549 113.731813 NaN 126.368681 13721 SOYBEAN caleb_strategy_v3 [1] 201.060047 1510.742711 -6.217048 99.472771 87.038675 NaN 93.255723 13675 NIKKEI caleb_strategy_v3 [1] 5213.769561 196.594803 -4.794995 -28.769971 -38.359962 NaN -33.564966 13676 NIKKEI caleb_strategy_v3 [1] 5213.769561 167.824832 -4.794995 -19.179981 -28.769971 NaN -23.974976 13677 NIKKEI caleb_strategy_v3 [1] 5213.769561 148.644851 -4.794995 9.58999 0.0 NaN 4.794995 13678 NIKKEI caleb_strategy_v3 [1] 5213.769561 139.054861 -4.794995 19.179981 9.58999 NaN 14.384986 13679 NIKKEI caleb_strategy_v3 [1] 5213.769561 139.054861 -4.794995 9.58999 0.0 NaN 4.794995 13680 NIKKEI caleb_strategy_v3 [1] 5213.769561 158.234841 -4.794995 -19.179981 -28.769971 NaN -23.974976 13681 NIKKEI caleb_strategy_v3 [1] 5213.769561 129.46487 -4.794995 NaN NaN NaN NaN 13682 NIKKEI caleb_strategy_v3 [1] 5213.769561 119.87488 -4.794995 NaN NaN NaN NaN 13683 NIKKEI caleb_strategy_v3 [1] 5213.769561 129.46487 -4.794995 -115.079885 -124.669875 NaN -119.87488 ============================================================================================================================================================================ 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 13684 EUROSTX caleb_strategy_v3 [-1] 10.822 -156.919 -5.411 -21.644 -32.466 NaN -27.055 13685 BUXL caleb_strategy_v3 [-1] 1082.2 -681.786 -10.822 -21.644 -43.288 NaN -32.466 13686 BTP caleb_strategy_v3 [-1] 1082.2 -70.343 -5.411 -10.822 -21.644 NaN -16.233 13696 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -60.87375 -6.76375 13.5275 -0.0 NaN 6.76375 13697 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 60.87375 -6.76375 0.0 -13.5275 NaN -6.76375 13698 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -47.34625 -6.76375 -13.5275 -27.055 NaN -20.29125 13699 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 47.34625 -6.76375 13.5275 0.0 NaN 6.76375 13700 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -54.11 -13.5275 -0.0 -27.055 NaN -13.5275 13701 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 47.34625 -6.76375 13.5275 0.0 NaN 6.76375 13702 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -60.87375 -6.76375 13.5275 -0.0 NaN 6.76375 13687 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 60.87375 -6.76375 13.5275 0.0 NaN 6.76375 13688 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -60.87375 -6.76375 13.5275 -0.0 NaN 6.76375 13689 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 60.87375 -6.76375 0.0 -13.5275 NaN -6.76375 13690 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -60.87375 -6.76375 13.5275 -0.0 NaN 6.76375 13691 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 54.11 -13.5275 13.5275 -13.5275 NaN -0.0 13692 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -47.34625 -6.76375 -0.0 -13.5275 NaN -6.76375 13693 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 47.34625 -6.76375 13.5275 0.0 NaN 6.76375 13694 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2705.5 -60.87375 -6.76375 13.5275 -0.0 NaN 6.76375 13695 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2705.5 60.87375 -6.76375 13.5275 0.0 NaN 6.76375 13703 GOLD_micro caleb_strategy_v3 [1] 10.0 185.0 -1.0 15.0 13.0 NaN 14.0 13704 COPPER caleb_strategy_v3 [1] 25000.0 381.25 -6.25 287.5 275.0 NaN 281.25 13705 PLAT caleb_strategy_v3 [-1] 50.0 -1222.5 -7.5 -50.0 -65.0 NaN -57.5 13706 HEATOIL caleb_strategy_v3 [-1] 42000.0 -1167.6 -12.6 25.2 -0.0 NaN 12.6 13707 COFFEE caleb_strategy_v3 [1] 375.0 -928.125 -28.125 225.0 168.75 NaN 196.875 13708 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 112.5 -12.5 12.5 -12.5 NaN -0.0 13711 US5 caleb_strategy_v3 [1] 1000.0 82.03125 -3.90625 -23.438 -31.2505 NaN -27.34425 13712 MXP caleb_strategy_v3 [1] 500000.0 -67.5 -2.5 -35.0 -40.0 NaN -37.5 13714 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -31.25 -0.25 4.5 4.0 NaN 4.25 13716 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -28.75 -0.25 47.5 47.0 NaN 47.25 13710 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -31.25 -0.25 6.0 5.5 NaN 5.75 13709 RUSSELL caleb_strategy_v3 [-1] 5.0 121.25 -0.25 18.5 18.0 NaN 18.25 13713 RUSSELL caleb_strategy_v3 [-1] 5.0 121.25 -0.25 6.0 5.5 NaN 5.75 13715 RUSSELL caleb_strategy_v3 [-1] 5.0 147.25 -0.25 -19.0 -19.5 NaN -19.25 13717 RUSSELL caleb_strategy_v3 [-1] 5.0 128.5 -0.5 1.0 -0.0 NaN 0.5 13718 RUSSELL caleb_strategy_v3 [-1] 5.0 130.75 -0.25 0.5 -0.0 NaN 0.25 13719 FEEDCOW caleb_strategy_v3 [1] 500.0 -425.0 -25.0 50.0 0.0 NaN 25.0 13720 REDWHEAT caleb_strategy_v3 [-1] 50.0 -1237.5 -12.5 137.5 112.5 NaN 125.0 13721 SOYBEAN caleb_strategy_v3 [1] 50.0 1518.75 -6.25 100.0 87.5 NaN 93.75 13675 NIKKEI caleb_strategy_v3 [1] 0.622746 63.83151 -1.556866 -9.341197 -12.454929 NaN -10.898063 13676 NIKKEI caleb_strategy_v3 [1] 0.622746 54.490313 -1.556866 -6.227464 -9.341197 NaN -7.78433 13677 NIKKEI caleb_strategy_v3 [1] 0.622746 48.262849 -1.556866 3.113732 0.0 NaN 1.556866 13678 NIKKEI caleb_strategy_v3 [1] 0.622746 45.149117 -1.556866 6.227464 3.113732 NaN 4.670598 13679 NIKKEI caleb_strategy_v3 [1] 0.622746 45.149117 -1.556866 3.113732 0.0 NaN 1.556866 13680 NIKKEI caleb_strategy_v3 [1] 0.622746 51.376581 -1.556866 -6.227464 -9.341197 NaN -7.78433 13681 NIKKEI caleb_strategy_v3 [1] 0.622746 42.035384 -1.556866 NaN NaN NaN NaN 13682 NIKKEI caleb_strategy_v3 [1] 0.622746 38.921652 -1.556866 NaN NaN NaN NaN 13683 NIKKEI caleb_strategy_v3 [1] 0.622746 42.035384 -1.556866 -37.364786 -40.478518 NaN -38.921652 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -13.5275 caleb_strategy_v3 BTP -70.343 BUXL -681.786 COFFEE -928.125 COPPER 381.25 EUROSTX -156.919 FEEDCOW -425.0 GAS_US_mini 112.5 GOLD_micro 185.0 HEATOIL -1167.6 MXP -67.5 NASDAQ_micro -91.25 NIKKEI 431.251907 PLAT -1222.5 REDWHEAT -1237.5 RUSSELL 649.0 SOYBEAN 1518.75 US5 82.03125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -13.5275 caleb_strategy_v3 -2688.739843 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -121.7475 caleb_strategy_v3 BTP -5.411 BUXL -10.822 COFFEE -28.125 COPPER -6.25 EUROSTX -5.411 FEEDCOW -25.0 GAS_US_mini -12.5 GOLD_micro -1.0 HEATOIL -12.6 MXP -2.5 NASDAQ_micro -0.75 NIKKEI -14.011795 PLAT -7.5 REDWHEAT -12.5 RUSSELL -1.5 SOYBEAN -6.25 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -121.7475 caleb_strategy_v3 -156.037045 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE 135.275 caleb_strategy_v3 BTP -10.822 BUXL -21.644 COFFEE 225.0 COPPER 287.5 EUROSTX -21.644 FEEDCOW 50.0 GAS_US_mini 12.5 GOLD_micro 15.0 HEATOIL 25.2 MXP -35.0 NASDAQ_micro 58.0 NIKKEI -46.705983 PLAT -50.0 REDWHEAT 137.5 RUSSELL 7.0 SOYBEAN 100.0 US5 -23.438 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 135.275 caleb_strategy_v3 708.446017 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -108.22 caleb_strategy_v3 BTP -21.644 BUXL -43.288 COFFEE 168.75 COPPER 275.0 EUROSTX -32.466 FEEDCOW 0.0 GAS_US_mini -12.5 GOLD_micro 13.0 HEATOIL -0.0 MXP -40.0 NASDAQ_micro 56.5 NIKKEI -68.502108 PLAT -65.0 REDWHEAT 112.5 RUSSELL 4.0 SOYBEAN 87.5 US5 -31.2505 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -108.22 caleb_strategy_v3 402.599392 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE 0 caleb_strategy_v3 BTP 0 BUXL 0 COFFEE 0 COPPER 0 EUROSTX 0 FEEDCOW 0 GAS_US_mini 0 GOLD_micro 0 HEATOIL 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 REDWHEAT 0 RUSSELL 0 SOYBEAN 0 US5 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 EURIBOR-ICE 13.5275 caleb_strategy_v3 BTP -16.233 BUXL -32.466 COFFEE 196.875 COPPER 281.25 EUROSTX -27.055 FEEDCOW 25.0 GAS_US_mini -0.0 GOLD_micro 14.0 HEATOIL 12.6 MXP -37.5 NASDAQ_micro 57.25 NIKKEI -57.604045 PLAT -57.5 REDWHEAT 125.0 RUSSELL 5.5 SOYBEAN 93.75 US5 -27.34425 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 13.5275 caleb_strategy_v3 555.522705 ******************************************************************************** END OF REPORT ********************************************************************************