******************************************************************************** Trades report produced on 17/07/2024 21:38 from 16/07/2024 21:38 to 17/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13866 BOBL caleb_strategy_v3 [20240900] 2024-07-17 07:00:54.000 [-1] 116.740000 13867 BUND caleb_strategy_v3 [20240900] 2024-07-17 07:00:56.000 [-1] 132.470000 13871 BUXL caleb_strategy_v3 [20240900] 2024-07-17 07:21:49.000 [1] 132.460000 13870 BUXL caleb_strategy_v3 [20240900] 2024-07-17 19:45:01.341 [0] NaN 13868 BUXL caleb_strategy_v3 [20240900] 2024-07-17 19:45:01.235 [0] NaN 13883 COFFEE caleb_strategy_v3 [20241200] 2024-07-17 13:12:00.000 [-1] 243.400000 13878 COPPER caleb_strategy_v3 [20240900] 2024-07-17 13:00:45.000 [-1] 4.435500 13906 DOW caleb_strategy_v3 [20240900] 2024-07-17 14:27:19.000 [1] 41418.000000 13900 DOW caleb_strategy_v3 [20240900] 2024-07-17 14:24:51.000 [1] 41401.000000 13895 DOW caleb_strategy_v3 [20240900] 2024-07-17 14:24:44.000 [1] 41396.000000 13887 DOW caleb_strategy_v3 [20240900] 2024-07-17 14:01:19.000 [1] 41328.000000 13903 DOW caleb_strategy_v3 [20240900] 2024-07-17 14:25:52.000 [1] 41405.000000 13879 DX caleb_strategy_v3 [20240900] 2024-07-17 13:00:56.000 [-1] 103.425000 13884 DX caleb_strategy_v3 [20240900] 2024-07-17 13:15:26.000 [-1] 103.415000 13876 EURIBOR-ICE caleb_strategy_v3 [20260900] 2024-07-17 08:30:42.000 [1] 97.615000 13875 EURIBOR-ICE caleb_strategy_v3 [20260900] 2024-07-17 08:25:49.000 [1] 97.620000 13874 EURIBOR-ICE caleb_strategy_v3 [20260900] 2024-07-17 08:16:44.000 [1] 97.615000 13873 EURIBOR-ICE caleb_strategy_v3 [20260900] 2024-07-17 08:16:09.000 [1] 97.615000 13872 EURIBOR-ICE caleb_strategy_v3 [20260900] 2024-07-17 19:45:01.449 [0] NaN 13877 EURIBOR-ICE caleb_strategy_v3 [20260900] 2024-07-17 08:33:14.000 [1] 97.615000 13869 EUROSTX caleb_strategy_v3 [20240900] 2024-07-17 07:11:08.000 [1] 4949.000000 13880 GAS_US_mini caleb_strategy_v3 [20240900] 2024-07-17 13:00:58.000 [1] 2.185000 13888 GBP caleb_strategy_v3 [20240900] 2024-07-17 14:01:21.000 [1] 1.303300 13896 GBP caleb_strategy_v3 [20240900] 2024-07-17 14:24:44.000 [1] 1.302700 13882 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-17 19:45:01.558 [0] NaN 13886 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-17 13:15:28.000 [1] 2479.700000 13861 JGB-SGX-mini caleb_strategy_v3 [20240900] 2024-07-17 02:02:03.000 [1] 143.460000 13892 JPY caleb_strategy_v3 [20240900] 2024-07-17 14:11:34.000 [1] 0.006453 13912 LEANHOG caleb_strategy_v3 [20241000] 2024-07-17 14:30:17.000 [1] 73.800000 13916 LEANHOG caleb_strategy_v3 [20241000] 2024-07-17 14:31:14.000 [1] 73.775000 13889 MXP caleb_strategy_v3 [20240900] 2024-07-17 14:01:29.000 [1] 0.055760 13899 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-17 14:24:46.000 [-1] 20137.500000 13893 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-17 14:17:17.000 [-1] 20128.250000 13864 NIKKEI caleb_strategy_v3 [20240900] 2024-07-17 02:11:24.000 [-1] 41350.000000 13865 NIKKEI caleb_strategy_v3 [20240900] 2024-07-17 02:11:37.000 [-1] 41355.000000 13862 NIKKEI caleb_strategy_v3 [20240900] 2024-07-17 02:02:29.000 [-1] 41310.000000 13863 NIKKEI caleb_strategy_v3 [20240900] 2024-07-17 02:07:53.000 [-1] 41325.000000 13894 NZD caleb_strategy_v3 [20240900] 2024-07-17 14:19:09.000 [-1] 0.607600 13914 REDWHEAT caleb_strategy_v3 [20241200] 2024-07-17 14:30:21.000 [1] 576.500000 13913 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:30:18.000 [1] 2274.900000 13891 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:11:32.000 [1] 2272.400000 13910 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:29:14.000 [1] 2274.600000 13902 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:24:52.000 [1] 2276.300000 13898 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:24:46.000 [1] 2276.600000 13908 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:27:20.000 [1] 2278.700000 13909 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:28:14.000 [1] 2273.800000 13917 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:31:15.000 [1] 2274.400000 13905 RUSSELL caleb_strategy_v3 [20240900] 2024-07-17 14:27:09.000 [1] 2278.700000 13911 SOYBEAN caleb_strategy_v3 [20241100] 2024-07-17 14:30:15.000 [-1] 1043.750000 13915 SOYMEAL caleb_strategy_v3 [20241200] 2024-07-17 14:30:23.000 [-1] 309.000000 13890 SP500_micro caleb_strategy_v3 [20240900] 2024-07-17 19:45:01.672 [0] NaN 13897 SP500_micro caleb_strategy_v3 [20240900] 2024-07-17 14:24:45.000 [-1] 5657.000000 13901 SP500_micro caleb_strategy_v3 [20240900] 2024-07-17 14:24:51.000 [-1] 5657.250000 13904 SP500_micro caleb_strategy_v3 [20240900] 2024-07-17 14:27:09.000 [-1] 5655.500000 13907 SP500_micro caleb_strategy_v3 [20240900] 2024-07-17 14:27:19.000 [-1] 5655.750000 13885 SUGAR11 caleb_strategy_v3 [20250300] 2024-07-17 13:15:26.000 [-1] 19.750000 13881 SUGAR11 caleb_strategy_v3 [20250300] 2024-07-17 13:01:00.000 [-1] 19.750000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13861 JGB-SGX-mini caleb_strategy_v3 2024-07-16 2024-07-17 03:00:25.398 2024-07-17 02:02:03.000 97225.398 NaN 13864 NIKKEI caleb_strategy_v3 2024-07-16 2024-07-17 03:07:56.851 2024-07-17 02:11:24.000 97676.851 NaN 13865 NIKKEI caleb_strategy_v3 2024-07-16 2024-07-17 03:11:28.276 2024-07-17 02:11:37.000 97888.276 NaN 13862 NIKKEI caleb_strategy_v3 2024-07-16 2024-07-17 03:02:16.298 2024-07-17 02:02:29.000 97336.298 NaN 13863 NIKKEI caleb_strategy_v3 2024-07-16 2024-07-17 03:03:16.071 2024-07-17 02:07:53.000 97396.071 NaN 13866 BOBL caleb_strategy_v3 2024-07-16 2024-07-17 08:00:54.346 2024-07-17 07:00:54.000 115254.346 NaN 13867 BUND caleb_strategy_v3 2024-07-16 2024-07-17 08:00:56.310 2024-07-17 07:00:56.000 115256.31 NaN 13869 EUROSTX caleb_strategy_v3 2024-07-16 2024-07-17 08:11:07.790 2024-07-17 07:11:08.000 115867.79 NaN 13878 COPPER caleb_strategy_v3 2024-07-16 2024-07-17 14:00:45.190 2024-07-17 13:00:45.000 136845.19 NaN 13880 GAS_US_mini caleb_strategy_v3 2024-07-16 2024-07-17 14:00:58.022 2024-07-17 13:00:58.000 136858.022 NaN 13883 COFFEE caleb_strategy_v3 2024-07-16 2024-07-17 14:11:06.526 2024-07-17 13:12:00.000 137466.526 NaN 13884 DX caleb_strategy_v3 2024-07-16 2024-07-17 14:12:00.735 2024-07-17 13:15:26.000 137520.735 NaN 13879 DX caleb_strategy_v3 2024-07-16 2024-07-17 14:00:48.322 2024-07-17 13:00:56.000 136848.322 NaN 13881 SUGAR11 caleb_strategy_v3 2024-07-16 2024-07-17 14:01:00.114 2024-07-17 13:01:00.000 136860.114 NaN 13885 SUGAR11 caleb_strategy_v3 2024-07-16 2024-07-17 14:15:26.829 2024-07-17 13:15:26.000 137726.829 NaN 13889 MXP caleb_strategy_v3 2024-07-16 2024-07-17 15:01:22.542 2024-07-17 14:01:29.000 140482.542 NaN 13892 JPY caleb_strategy_v3 2024-07-16 2024-07-17 15:11:34.126 2024-07-17 14:11:34.000 141094.126 NaN 13894 NZD caleb_strategy_v3 2024-07-16 2024-07-17 15:17:18.842 2024-07-17 14:19:09.000 141438.842 NaN 13888 GBP caleb_strategy_v3 2024-07-16 2024-07-17 15:01:20.734 2024-07-17 14:01:21.000 140480.734 NaN 13896 GBP caleb_strategy_v3 2024-07-16 2024-07-17 15:24:44.599 2024-07-17 14:24:44.000 141884.599 NaN 13899 NASDAQ_micro caleb_strategy_v3 2024-07-16 2024-07-17 15:24:46.659 2024-07-17 14:24:46.000 141886.659 NaN 13893 NASDAQ_micro caleb_strategy_v3 2024-07-16 2024-07-17 15:11:35.818 2024-07-17 14:17:17.000 141095.818 NaN 13895 DOW caleb_strategy_v3 2024-07-16 2024-07-17 15:19:31.871 2024-07-17 14:24:44.000 141571.871 NaN 13900 DOW caleb_strategy_v3 2024-07-16 2024-07-17 15:24:51.136 2024-07-17 14:24:51.000 141891.136 NaN 13903 DOW caleb_strategy_v3 2024-07-16 2024-07-17 15:25:51.177 2024-07-17 14:25:52.000 141951.177 NaN 13906 DOW caleb_strategy_v3 2024-07-16 2024-07-17 15:27:14.300 2024-07-17 14:27:19.000 142034.3 NaN 13887 DOW caleb_strategy_v3 2024-07-16 2024-07-17 15:00:39.654 2024-07-17 14:01:19.000 140439.654 NaN 13911 SOYBEAN caleb_strategy_v3 2024-07-16 2024-07-17 15:30:15.490 2024-07-17 14:30:15.000 142215.49 NaN 13914 REDWHEAT caleb_strategy_v3 2024-07-16 2024-07-17 15:30:20.006 2024-07-17 14:30:21.000 142220.006 NaN 13915 SOYMEAL caleb_strategy_v3 2024-07-16 2024-07-17 15:30:22.934 2024-07-17 14:30:23.000 142222.934 NaN 13912 LEANHOG caleb_strategy_v3 2024-07-16 2024-07-17 15:30:17.298 2024-07-17 14:30:17.000 142217.298 NaN 13916 LEANHOG caleb_strategy_v3 2024-07-16 2024-07-17 15:31:14.585 2024-07-17 14:31:14.000 142274.585 NaN 13891 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:11:32.410 2024-07-17 14:11:32.000 141092.41 NaN 13898 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:24:45.975 2024-07-17 14:24:46.000 141885.975 NaN 13902 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:24:52.163 2024-07-17 14:24:52.000 141892.163 NaN 13905 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:27:09.787 2024-07-17 14:27:09.000 142029.787 NaN 13908 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:27:20.317 2024-07-17 14:27:20.000 142040.317 NaN 13909 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:28:14.331 2024-07-17 14:28:14.000 142094.331 NaN 13910 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:29:14.453 2024-07-17 14:29:14.000 142154.453 NaN 13913 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:30:18.035 2024-07-17 14:30:18.000 142218.035 NaN 13917 RUSSELL caleb_strategy_v3 2024-07-16 2024-07-17 15:31:15.119 2024-07-17 14:31:15.000 142275.119 NaN 13872 EURIBOR-ICE caleb_strategy_v3 2024-07-16 2024-07-17 09:00:20.230 2024-07-17 19:45:01.449 118820.23 38681.219 13873 EURIBOR-ICE caleb_strategy_v3 2024-07-16 2024-07-17 09:10:24.385 2024-07-17 08:16:09.000 119424.385 NaN 13874 EURIBOR-ICE caleb_strategy_v3 2024-07-16 2024-07-17 09:16:17.452 2024-07-17 08:16:44.000 119777.452 NaN 13875 EURIBOR-ICE caleb_strategy_v3 2024-07-16 2024-07-17 09:17:17.473 2024-07-17 08:25:49.000 119837.473 NaN 13876 EURIBOR-ICE caleb_strategy_v3 2024-07-16 2024-07-17 09:25:53.520 2024-07-17 08:30:42.000 120353.52 NaN 13877 EURIBOR-ICE caleb_strategy_v3 2024-07-16 2024-07-17 09:30:46.879 2024-07-17 08:33:14.000 120646.879 NaN 13868 BUXL caleb_strategy_v3 2024-07-16 2024-07-17 08:00:58.103 2024-07-17 19:45:01.235 115258.103 42243.132 13870 BUXL caleb_strategy_v3 2024-07-16 2024-07-17 08:11:08.601 2024-07-17 19:45:01.341 115868.601 41632.74 13871 BUXL caleb_strategy_v3 2024-07-16 2024-07-17 08:21:12.807 2024-07-17 07:21:49.000 116472.807 NaN 13890 SP500_micro caleb_strategy_v3 2024-07-16 2024-07-17 15:01:30.854 2024-07-17 19:45:01.672 140490.854 17010.818 13897 SP500_micro caleb_strategy_v3 2024-07-16 2024-07-17 15:24:45.279 2024-07-17 14:24:45.000 141885.279 NaN 13901 SP500_micro caleb_strategy_v3 2024-07-16 2024-07-17 15:24:51.658 2024-07-17 14:24:51.000 141891.658 NaN 13904 SP500_micro caleb_strategy_v3 2024-07-16 2024-07-17 15:25:52.685 2024-07-17 14:27:09.000 141952.685 NaN 13907 SP500_micro caleb_strategy_v3 2024-07-16 2024-07-17 15:27:19.659 2024-07-17 14:27:19.000 142039.659 NaN 13882 GOLD_micro caleb_strategy_v3 2024-07-16 2024-07-17 14:01:02.039 2024-07-17 19:45:01.558 136862.039 20639.519 13886 GOLD_micro caleb_strategy_v3 2024-07-16 2024-07-17 14:15:27.494 2024-07-17 13:15:28.000 137727.494 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 13861 JGB-SGX-mini caleb_strategy_v3 [1] 143.43 None 143.46 143.47 143.45 143.45 143.46 -0.03 -0.01 0.01 -0.01 NaN -0.0 13864 NIKKEI caleb_strategy_v3 [-1] 41485.0 None 41357.5 41355.0 41360.0 41360.0 41350.0 -127.5 -2.5 -5.0 -10.0 NaN -7.5 13865 NIKKEI caleb_strategy_v3 [-1] 41485.0 None 41352.5 41350.0 41355.0 41355.0 41355.0 -132.5 -2.5 5.0 -0.0 NaN 2.5 13862 NIKKEI caleb_strategy_v3 [-1] 41485.0 None 41317.5 41315.0 41320.0 41320.0 41310.0 -167.5 -2.5 -5.0 -10.0 NaN -7.5 13863 NIKKEI caleb_strategy_v3 [-1] 41485.0 None 41322.5 41320.0 41325.0 41325.0 41325.0 -162.5 -2.5 5.0 -0.0 NaN 2.5 13866 BOBL caleb_strategy_v3 [-1] 116.78 None 116.715 116.71 116.72 116.72 116.74 -0.065 -0.005 0.03 0.02 NaN 0.025 13867 BUND caleb_strategy_v3 [-1] 132.53 None 132.415 132.41 132.42 132.42 132.47 -0.115 -0.005 0.06 0.05 NaN 0.055 13869 EUROSTX caleb_strategy_v3 [1] 4991.0 None 4958.5 4959.0 4958.0 4958.0 4949.0 32.5 -0.5 10.0 9.0 NaN 9.5 13878 COPPER caleb_strategy_v3 [-1] 4.4545 None 4.43225 4.432 4.4325 4.4325 4.4355 -0.02225 -0.00025 0.0035 0.003 NaN 0.00325 13880 GAS_US_mini caleb_strategy_v3 [1] 2.2 None 2.2125 2.215 2.21 2.21 2.185 -0.0125 -0.0025 0.03 0.025 NaN 0.0275 13883 COFFEE caleb_strategy_v3 [-1] 242.15 None 243.675 243.6 243.75 243.75 243.4 1.525 -0.075 -0.2 -0.35 NaN -0.275 13884 DX caleb_strategy_v3 [-1] 103.965 None 103.4225 103.42 103.425 103.425 103.415 -0.5425 -0.0025 -0.005 -0.01 NaN -0.0075 13879 DX caleb_strategy_v3 [-1] 103.965 None 103.4225 103.42 103.425 103.425 103.425 -0.5425 -0.0025 0.005 -0.0 NaN 0.0025 13881 SUGAR11 caleb_strategy_v3 [-1] 20.02 None 19.625 19.62 19.63 19.63 19.75 -0.395 -0.005 0.13 0.12 NaN 0.125 13885 SUGAR11 caleb_strategy_v3 [-1] 20.02 None 19.625 19.62 19.63 19.63 19.75 -0.395 -0.005 0.13 0.12 NaN 0.125 13889 MXP caleb_strategy_v3 [1] 0.05611 None 0.055755 0.05576 0.05575 0.05575 0.05576 0.000355 -0.000005 0.0 -0.00001 NaN -0.000005 13892 JPY caleb_strategy_v3 [1] 0.006373 None 0.006453 0.006454 0.006453 0.006453 0.006453 -0.00008 -0.0 0.0 -0.0 NaN 0.0 13894 NZD caleb_strategy_v3 [-1] 0.60485 None 0.607775 0.60775 0.6078 0.6078 0.6076 0.002925 -0.000025 -0.00015 -0.0002 NaN -0.000175 13888 GBP caleb_strategy_v3 [1] 1.2974 None 1.30405 1.3041 1.304 1.304 1.3033 -0.00665 -0.00005 0.0008 0.0007 NaN 0.00075 13896 GBP caleb_strategy_v3 [1] 1.2974 None 1.30405 1.3041 1.304 1.304 1.3027 -0.00665 -0.00005 0.0014 0.0013 NaN 0.00135 13899 NASDAQ_micro caleb_strategy_v3 [-1] 20587.5 None 20128.375 20128.25 20128.5 20128.5 20137.5 -459.125 -0.125 9.25 9.0 NaN 9.125 13893 NASDAQ_micro caleb_strategy_v3 [-1] 20587.5 None 20169.75 20169.5 20170.0 20170.0 20128.25 -417.75 -0.25 -41.25 -41.75 NaN -41.5 13895 DOW caleb_strategy_v3 [1] 41251.0 None 41329.5 41330.0 41329.0 41329.0 41396.0 -78.5 -0.5 -66.0 -67.0 NaN -66.5 13900 DOW caleb_strategy_v3 [1] 41251.0 None 41405.0 41406.0 41404.0 41404.0 41401.0 -154.0 -1.0 5.0 3.0 NaN 4.0 13903 DOW caleb_strategy_v3 [1] 41251.0 None 41405.5 41406.0 41405.0 41405.0 41405.0 -154.5 -0.5 1.0 0.0 NaN 0.5 13906 DOW caleb_strategy_v3 [1] 41251.0 None 41382.0 41383.0 41381.0 41381.0 41418.0 -131.0 -1.0 -35.0 -37.0 NaN -36.0 13887 DOW caleb_strategy_v3 [1] 41251.0 None 41303.5 41304.0 41303.0 41303.0 41328.0 -52.5 -0.5 -24.0 -25.0 NaN -24.5 13911 SOYBEAN caleb_strategy_v3 [-1] 1044.5 None 1043.625 1043.5 1043.75 1043.75 1043.75 -0.875 -0.125 0.25 -0.0 NaN 0.125 13914 REDWHEAT caleb_strategy_v3 [1] 565.5 None 577.0 577.25 576.75 576.75 576.5 -11.5 -0.25 0.75 0.25 NaN 0.5 13915 SOYMEAL caleb_strategy_v3 [-1] 311.0 None 308.85 308.8 308.9 308.9 309.0 -2.15 -0.05 0.2 0.1 NaN 0.15 13912 LEANHOG caleb_strategy_v3 [1] 72.225 None 73.8125 73.825 73.8 73.8 73.8 -1.5875 -0.0125 0.025 0.0 NaN 0.0125 13916 LEANHOG caleb_strategy_v3 [1] 72.225 None 73.8125 73.825 73.8 73.8 73.775 -1.5875 -0.0125 0.05 0.025 NaN 0.0375 13891 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2289.7 2289.8 2289.6 2289.6 2272.4 -10.1 -0.1 17.4 17.2 NaN 17.3 13898 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2289.7 2289.8 2289.6 2289.6 2276.6 -10.1 -0.1 13.2 13.0 NaN 13.1 13902 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2289.7 2289.8 2289.6 2289.6 2276.3 -10.1 -0.1 13.5 13.3 NaN 13.4 13905 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2281.5 2281.6 2281.4 2281.4 2278.7 -1.9 -0.1 2.9 2.7 NaN 2.8 13908 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2283.85 2283.9 2283.8 2283.8 2278.7 -4.25 -0.05 5.2 5.1 NaN 5.15 13909 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2283.85 2283.9 2283.8 2283.8 2273.8 -4.25 -0.05 10.1 10.0 NaN 10.05 13910 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2282.5 2282.6 2282.4 2282.4 2274.6 -2.9 -0.1 8.0 7.8 NaN 7.9 13913 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2282.5 2282.6 2282.4 2282.4 2274.9 -2.9 -0.1 7.7 7.5 NaN 7.6 13917 RUSSELL caleb_strategy_v3 [1] 2279.6 None 2282.5 2282.6 2282.4 2282.4 2274.4 -2.9 -0.1 8.2 8.0 NaN 8.1 13872 EURIBOR-ICE caleb_strategy_v3 [1] 97.61 None 97.6025 97.605 97.6 97.6 NaN 0.0075 -0.0025 NaN NaN NaN NaN 13873 EURIBOR-ICE caleb_strategy_v3 [1] 97.61 None 97.6025 97.605 97.6 97.6 97.615 0.0075 -0.0025 -0.01 -0.015 NaN -0.0125 13874 EURIBOR-ICE caleb_strategy_v3 [1] 97.61 None 97.61 97.615 97.605 97.605 97.615 0.0 -0.005 0.0 -0.01 NaN -0.005 13875 EURIBOR-ICE caleb_strategy_v3 [1] 97.61 None 97.6125 97.615 97.61 97.61 97.62 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 13876 EURIBOR-ICE caleb_strategy_v3 [1] 97.61 None 97.6175 97.62 97.615 97.615 97.615 -0.0075 -0.0025 0.005 0.0 NaN 0.0025 13877 EURIBOR-ICE caleb_strategy_v3 [1] 97.61 None 97.6125 97.615 97.61 97.61 97.615 -0.0025 -0.0025 0.0 -0.005 NaN -0.0025 13868 BUXL caleb_strategy_v3 [1] 132.34 None 132.25 132.26 132.24 132.24 NaN 0.09 -0.01 NaN NaN NaN NaN 13870 BUXL caleb_strategy_v3 [1] 132.34 None 132.23 132.24 132.22 132.22 NaN 0.11 -0.01 NaN NaN NaN NaN 13871 BUXL caleb_strategy_v3 [1] 132.34 None 132.43 132.44 132.42 132.42 132.46 -0.09 -0.01 -0.02 -0.04 NaN -0.03 13890 SP500_micro caleb_strategy_v3 [-1] 5713.0 None 5665.125 5665.0 5665.25 5665.25 NaN -47.875 -0.125 NaN NaN NaN NaN 13897 SP500_micro caleb_strategy_v3 [-1] 5713.0 None 5659.0 5658.75 5659.25 5659.25 5657.0 -54.0 -0.25 -1.75 -2.25 NaN -2.0 13901 SP500_micro caleb_strategy_v3 [-1] 5713.0 None 5657.125 5657.0 5657.25 5657.25 5657.25 -55.875 -0.125 0.25 -0.0 NaN 0.125 13904 SP500_micro caleb_strategy_v3 [-1] 5713.0 None 5656.625 5656.5 5656.75 5656.75 5655.5 -56.375 -0.125 -1.0 -1.25 NaN -1.125 13907 SP500_micro caleb_strategy_v3 [-1] 5713.0 None 5655.625 5655.5 5655.75 5655.75 5655.75 -57.375 -0.125 0.25 -0.0 NaN 0.125 13882 GOLD_micro caleb_strategy_v3 [1] 2470.4 None 2478.25 2478.3 2478.2 2478.2 NaN -7.85 -0.05 NaN NaN NaN NaN 13886 GOLD_micro caleb_strategy_v3 [1] 2470.4 None 2479.2 2479.3 2479.1 2479.1 2479.7 -8.8 -0.1 -0.4 -0.6 NaN -0.5 ================================================================================================================================================================ 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 13861 JGB-SGX-mini caleb_strategy_v3 [1] 4.139289 -72.476219 -24.15874 24.15874 -24.15874 NaN -0.0 13864 NIKKEI caleb_strategy_v3 [-1] 7178.500276 -177.613701 -3.482622 -6.965243 -13.930486 NaN -10.447865 13865 NIKKEI caleb_strategy_v3 [-1] 7178.500276 -184.578944 -3.482622 6.965243 -0.0 NaN 3.482622 13862 NIKKEI caleb_strategy_v3 [-1] 7178.500276 -233.335646 -3.482622 -6.965243 -13.930486 NaN -10.447865 13863 NIKKEI caleb_strategy_v3 [-1] 7178.500276 -226.370403 -3.482622 6.965243 -0.0 NaN 3.482622 13866 BOBL caleb_strategy_v3 [-1] 4.703942 -138.181964 -10.629382 63.776291 42.517527 NaN 53.146909 13867 BUND caleb_strategy_v3 [-1] 9.426831 -121.99221 -5.304009 63.648109 53.040091 NaN 58.3441 13869 EUROSTX caleb_strategy_v3 [1] 729.164327 445.715716 -6.857165 137.143297 123.428968 NaN 130.286132 13878 COPPER caleb_strategy_v3 [-1] 1.031954 -215.610429 -2.422589 33.916247 29.071069 NaN 31.493658 13880 GAS_US_mini caleb_strategy_v3 [1] 1.529367 -81.733169 -16.346634 196.159606 163.466338 NaN 179.812972 13883 COFFEE caleb_strategy_v3 [-1] 80.324135 189.855763 -9.337169 -24.899116 -43.573454 NaN -34.236285 13884 DX caleb_strategy_v3 [-1] 5.647794 -960.551996 -4.426507 -8.853014 -17.706028 NaN -13.279521 13879 DX caleb_strategy_v3 [-1] 5.647794 -960.551996 -4.426507 8.853014 -0.0 NaN 4.426507 13881 SUGAR11 caleb_strategy_v3 [-1] 5.064419 -779.951237 -9.8728 256.692812 236.947211 NaN 246.820012 13885 SUGAR11 caleb_strategy_v3 [-1] 5.064419 -779.951237 -9.8728 256.692812 236.947211 NaN 246.820012 13889 MXP caleb_strategy_v3 [1] 0.007682 462.126154 -6.508819 0.0 -13.017638 NaN -6.508819 13892 JPY caleb_strategy_v3 [1] 0.000667 -1203.482773 -3.749168 7.498335 -0.0 NaN 3.749168 13894 NZD caleb_strategy_v3 [-1] 0.050675 577.212676 -4.933442 -29.60065 -39.467533 NaN -34.534092 13888 GBP caleb_strategy_v3 [1] 0.077625 -856.681291 -6.441213 103.059403 90.176978 NaN 96.618191 13896 GBP caleb_strategy_v3 [1] 0.077625 -856.681291 -6.441213 180.353956 167.471531 NaN 173.912743 13899 NASDAQ_micro caleb_strategy_v3 [-1] 3381.358825 -1357.812122 -0.369674 27.355866 26.616519 NaN 26.986192 13893 NASDAQ_micro caleb_strategy_v3 [-1] 3381.358825 -1235.450071 -0.739348 -121.992377 -123.471072 NaN -122.731725 13895 DOW caleb_strategy_v3 [1] 4127.224078 -190.20048 -1.211468 -159.913779 -162.336715 NaN -161.125247 13900 DOW caleb_strategy_v3 [1] 4127.224078 -373.132152 -2.422936 12.11468 7.268808 NaN 9.691744 13903 DOW caleb_strategy_v3 [1] 4127.224078 -374.34362 -1.211468 2.422936 0.0 NaN 1.211468 13906 DOW caleb_strategy_v3 [1] 4127.224078 -317.404622 -2.422936 -84.802762 -89.648634 NaN -87.225698 13887 DOW caleb_strategy_v3 [1] 4127.224078 -127.204143 -1.211468 -58.150465 -60.573401 NaN -59.361933 13911 SOYBEAN caleb_strategy_v3 [-1] 197.529088 -44.297273 -6.328182 12.656364 -0.0 NaN 6.328182 13914 REDWHEAT caleb_strategy_v3 [1] 202.245507 -568.615846 -12.361214 37.083642 12.361214 NaN 24.722428 13915 SOYMEAL caleb_strategy_v3 [-1] 74.168998 -289.87853 -6.741361 26.965445 13.482722 NaN 20.224083 13912 LEANHOG caleb_strategy_v3 [1] 21.981486 -722.198668 -5.686604 11.373207 0.0 NaN 5.686604 13916 LEANHOG caleb_strategy_v3 [1] 21.981486 -722.198668 -5.686604 22.746415 11.373207 NaN 17.059811 13891 RUSSELL caleb_strategy_v3 [1] 458.905193 -220.089033 -2.179099 379.163284 374.805085 NaN 376.984185 13898 RUSSELL caleb_strategy_v3 [1] 458.905193 -220.089033 -2.179099 287.641112 283.282913 NaN 285.462013 13902 RUSSELL caleb_strategy_v3 [1] 458.905193 -220.089033 -2.179099 294.17841 289.820211 NaN 291.999311 13905 RUSSELL caleb_strategy_v3 [1] 458.905193 -41.402887 -2.179099 63.193881 58.835682 NaN 61.014781 13908 RUSSELL caleb_strategy_v3 [1] 458.905193 -92.611722 -1.08955 113.313165 111.134066 NaN 112.223616 13909 RUSSELL caleb_strategy_v3 [1] 458.905193 -92.611722 -1.08955 220.089033 217.909933 NaN 218.999483 13910 RUSSELL caleb_strategy_v3 [1] 458.905193 -63.193881 -2.179099 174.327947 169.969748 NaN 172.148847 13913 RUSSELL caleb_strategy_v3 [1] 458.905193 -63.193881 -2.179099 167.790649 163.43245 NaN 165.611549 13917 RUSSELL caleb_strategy_v3 [1] 458.905193 -63.193881 -2.179099 178.686145 174.327947 NaN 176.507046 13872 EURIBOR-ICE caleb_strategy_v3 [1] 0.927623 80.851829 -26.95061 NaN NaN NaN NaN 13873 EURIBOR-ICE caleb_strategy_v3 [1] 0.927623 80.851829 -26.95061 -107.802438 -161.703657 NaN -134.753048 13874 EURIBOR-ICE caleb_strategy_v3 [1] 0.927623 0.0 -53.901219 0.0 -107.802438 NaN -53.901219 13875 EURIBOR-ICE caleb_strategy_v3 [1] 0.927623 -26.95061 -26.95061 -53.901219 -107.802438 NaN -80.851829 13876 EURIBOR-ICE caleb_strategy_v3 [1] 0.927623 -80.851829 -26.95061 53.901219 0.0 NaN 26.95061 13877 EURIBOR-ICE caleb_strategy_v3 [1] 0.927623 -26.95061 -26.95061 0.0 -53.901219 NaN -26.95061 13868 BUXL caleb_strategy_v3 [1] 22.405651 40.168438 -4.46316 NaN NaN NaN NaN 13870 BUXL caleb_strategy_v3 [1] 22.405651 49.094758 -4.46316 NaN NaN NaN NaN 13871 BUXL caleb_strategy_v3 [1] 22.405651 -40.168438 -4.46316 -8.92632 -17.852639 NaN -13.389479 13890 SP500_micro caleb_strategy_v3 [-1] 568.307169 -842.414149 -2.199515 NaN NaN NaN NaN 13897 SP500_micro caleb_strategy_v3 [-1] 568.307169 -950.190371 -4.399029 -30.793206 -39.591265 NaN -35.192236 13901 SP500_micro caleb_strategy_v3 [-1] 568.307169 -983.183093 -2.199515 4.399029 -0.0 NaN 2.199515 13904 SP500_micro caleb_strategy_v3 [-1] 568.307169 -991.981152 -2.199515 -17.596118 -21.995147 NaN -19.795633 13907 SP500_micro caleb_strategy_v3 [-1] 568.307169 -1009.57727 -2.199515 4.399029 -0.0 NaN 2.199515 13882 GOLD_micro caleb_strategy_v3 [1] 371.303607 -211.417284 -1.346607 NaN NaN NaN NaN 13886 GOLD_micro caleb_strategy_v3 [1] 371.303607 -237.002815 -2.693214 -10.772855 -16.159283 NaN -13.466069 ========================================================================================================================================================================= 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 13861 JGB-SGX-mini caleb_strategy_v3 [1] 633.230011 -18.9969 -6.3323 6.3323 -6.3323 NaN -0.0 13864 NIKKEI caleb_strategy_v3 [-1] 0.63323 -80.736826 -1.583075 -3.16615 -6.3323 NaN -4.749225 13865 NIKKEI caleb_strategy_v3 [-1] 0.63323 -83.902976 -1.583075 3.16615 -0.0 NaN 1.583075 13862 NIKKEI caleb_strategy_v3 [-1] 0.63323 -106.066027 -1.583075 -3.16615 -6.3323 NaN -4.749225 13863 NIKKEI caleb_strategy_v3 [-1] 0.63323 -102.899877 -1.583075 3.16615 -0.0 NaN 1.583075 13866 BOBL caleb_strategy_v3 [-1] 1090.15 -70.85975 -5.45075 32.7045 21.803 NaN 27.25375 13867 BUND caleb_strategy_v3 [-1] 1090.15 -125.36725 -5.45075 65.409 54.5075 NaN 59.95825 13869 EUROSTX caleb_strategy_v3 [1] 10.9015 354.29875 -5.45075 109.015 98.1135 NaN 103.56425 13878 COPPER caleb_strategy_v3 [-1] 25000.0 -556.25 -6.25 87.5 75.0 NaN 81.25 13880 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -31.25 -6.25 75.0 62.5 NaN 68.75 13883 COFFEE caleb_strategy_v3 [-1] 375.0 571.875 -28.125 -75.0 -131.25 NaN -103.125 13884 DX caleb_strategy_v3 [-1] 1000.0 -542.5 -2.5 -5.0 -10.0 NaN -7.5 13879 DX caleb_strategy_v3 [-1] 1000.0 -542.5 -2.5 5.0 -0.0 NaN 2.5 13881 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -442.4 -5.6 145.6 134.4 NaN 140.0 13885 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -442.4 -5.6 145.6 134.4 NaN 140.0 13889 MXP caleb_strategy_v3 [1] 500000.0 177.5 -2.5 0.0 -5.0 NaN -2.5 13892 JPY caleb_strategy_v3 [1] 12500000.0 -1003.125 -3.125 6.25 -0.0 NaN 3.125 13894 NZD caleb_strategy_v3 [-1] 100000.0 292.5 -2.5 -15.0 -20.0 NaN -17.5 13888 GBP caleb_strategy_v3 [1] 62500.0 -415.625 -3.125 50.0 43.75 NaN 46.875 13896 GBP caleb_strategy_v3 [1] 62500.0 -415.625 -3.125 87.5 81.25 NaN 84.375 13899 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -918.25 -0.25 18.5 18.0 NaN 18.25 13893 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -835.5 -0.5 -82.5 -83.5 NaN -83.0 13895 DOW caleb_strategy_v3 [1] 0.5 -39.25 -0.25 -33.0 -33.5 NaN -33.25 13900 DOW caleb_strategy_v3 [1] 0.5 -77.0 -0.5 2.5 1.5 NaN 2.0 13903 DOW caleb_strategy_v3 [1] 0.5 -77.25 -0.25 0.5 0.0 NaN 0.25 13906 DOW caleb_strategy_v3 [1] 0.5 -65.5 -0.5 -17.5 -18.5 NaN -18.0 13887 DOW caleb_strategy_v3 [1] 0.5 -26.25 -0.25 -12.0 -12.5 NaN -12.25 13911 SOYBEAN caleb_strategy_v3 [-1] 50.0 -43.75 -6.25 12.5 -0.0 NaN 6.25 13914 REDWHEAT caleb_strategy_v3 [1] 50.0 -575.0 -12.5 37.5 12.5 NaN 25.0 13915 SOYMEAL caleb_strategy_v3 [-1] 100.0 -215.0 -5.0 20.0 10.0 NaN 15.0 13912 LEANHOG caleb_strategy_v3 [1] 400.0 -635.0 -5.0 10.0 0.0 NaN 5.0 13916 LEANHOG caleb_strategy_v3 [1] 400.0 -635.0 -5.0 20.0 10.0 NaN 15.0 13891 RUSSELL caleb_strategy_v3 [1] 5.0 -50.5 -0.5 87.0 86.0 NaN 86.5 13898 RUSSELL caleb_strategy_v3 [1] 5.0 -50.5 -0.5 66.0 65.0 NaN 65.5 13902 RUSSELL caleb_strategy_v3 [1] 5.0 -50.5 -0.5 67.5 66.5 NaN 67.0 13905 RUSSELL caleb_strategy_v3 [1] 5.0 -9.5 -0.5 14.5 13.5 NaN 14.0 13908 RUSSELL caleb_strategy_v3 [1] 5.0 -21.25 -0.25 26.0 25.5 NaN 25.75 13909 RUSSELL caleb_strategy_v3 [1] 5.0 -21.25 -0.25 50.5 50.0 NaN 50.25 13910 RUSSELL caleb_strategy_v3 [1] 5.0 -14.5 -0.5 40.0 39.0 NaN 39.5 13913 RUSSELL caleb_strategy_v3 [1] 5.0 -14.5 -0.5 38.5 37.5 NaN 38.0 13917 RUSSELL caleb_strategy_v3 [1] 5.0 -14.5 -0.5 41.0 40.0 NaN 40.5 13872 EURIBOR-ICE caleb_strategy_v3 [1] 2725.375 20.440313 -6.813438 NaN NaN NaN NaN 13873 EURIBOR-ICE caleb_strategy_v3 [1] 2725.375 20.440313 -6.813438 -27.25375 -40.880625 NaN -34.067188 13874 EURIBOR-ICE caleb_strategy_v3 [1] 2725.375 0.0 -13.626875 0.0 -27.25375 NaN -13.626875 13875 EURIBOR-ICE caleb_strategy_v3 [1] 2725.375 -6.813437 -6.813437 -13.626875 -27.25375 NaN -20.440313 13876 EURIBOR-ICE caleb_strategy_v3 [1] 2725.375 -20.440313 -6.813437 13.626875 0.0 NaN 6.813438 13877 EURIBOR-ICE caleb_strategy_v3 [1] 2725.375 -6.813437 -6.813437 0.0 -13.626875 NaN -6.813437 13868 BUXL caleb_strategy_v3 [1] 1090.15 98.1135 -10.9015 NaN NaN NaN NaN 13870 BUXL caleb_strategy_v3 [1] 1090.15 119.9165 -10.9015 NaN NaN NaN NaN 13871 BUXL caleb_strategy_v3 [1] 1090.15 -98.1135 -10.9015 -21.803 -43.606 NaN -32.7045 13890 SP500_micro caleb_strategy_v3 [-1] 5.0 -239.375 -0.625 NaN NaN NaN NaN 13897 SP500_micro caleb_strategy_v3 [-1] 5.0 -270.0 -1.25 -8.75 -11.25 NaN -10.0 13901 SP500_micro caleb_strategy_v3 [-1] 5.0 -279.375 -0.625 1.25 -0.0 NaN 0.625 13904 SP500_micro caleb_strategy_v3 [-1] 5.0 -281.875 -0.625 -5.0 -6.25 NaN -5.625 13907 SP500_micro caleb_strategy_v3 [-1] 5.0 -286.875 -0.625 1.25 -0.0 NaN 0.625 13882 GOLD_micro caleb_strategy_v3 [1] 10.0 -78.5 -0.5 NaN NaN NaN NaN 13886 GOLD_micro caleb_strategy_v3 [1] 10.0 -88.0 -1.0 -4.0 -6.0 NaN -5.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -70.85975 BUND -125.36725 BUXL 119.9165 COFFEE 571.875 COPPER -556.25 DOW -285.25 DX -1085.0 EURIBOR-ICE 6.813438 EUROSTX 354.29875 GAS_US_mini -31.25 GBP -831.25 GOLD_micro -166.5 JGB-SGX-mini -18.9969 JPY -1003.125 LEANHOG -1270.0 MXP 177.5 NASDAQ_micro -1753.75 NIKKEI -373.605707 NZD 292.5 REDWHEAT -575.0 RUSSELL -247.0 SOYBEAN -43.75 SOYMEAL -215.0 SP500_micro -1357.5 SUGAR11 -884.8 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -9371.35092 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.45075 BUND -5.45075 BUXL -32.7045 COFFEE -28.125 COPPER -6.25 DOW -1.75 DX -5.0 EURIBOR-ICE -47.694063 EUROSTX -5.45075 GAS_US_mini -6.25 GBP -6.25 GOLD_micro -1.5 JGB-SGX-mini -6.3323 JPY -3.125 LEANHOG -10.0 MXP -2.5 NASDAQ_micro -0.75 NIKKEI -6.3323 NZD -2.5 REDWHEAT -12.5 RUSSELL -4.0 SOYBEAN -6.25 SOYMEAL -5.0 SP500_micro -3.75 SUGAR11 -11.2 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -226.115413 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 32.7045 BUND 65.409 BUXL -21.803 COFFEE -75.0 COPPER 87.5 DOW -59.5 DX 0.0 EURIBOR-ICE -27.25375 EUROSTX 109.015 GAS_US_mini 75.0 GBP 137.5 GOLD_micro -4.0 JGB-SGX-mini 6.3323 JPY 6.25 LEANHOG 30.0 MXP 0.0 NASDAQ_micro -64.0 NIKKEI 0.0 NZD -15.0 REDWHEAT 37.5 RUSSELL 431.0 SOYBEAN 12.5 SOYMEAL 20.0 SP500_micro -11.25 SUGAR11 291.2 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1064.10405 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 21.803 BUND 54.5075 BUXL -43.606 COFFEE -131.25 COPPER 75.0 DOW -63.0 DX -10.0 EURIBOR-ICE -109.015 EUROSTX 98.1135 GAS_US_mini 62.5 GBP 125.0 GOLD_micro -6.0 JGB-SGX-mini -6.3323 JPY -0.0 LEANHOG 10.0 MXP -5.0 NASDAQ_micro -65.5 NIKKEI -12.6646 NZD -20.0 REDWHEAT 12.5 RUSSELL 423.0 SOYBEAN -0.0 SOYMEAL 10.0 SP500_micro -17.5 SUGAR11 268.8 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 671.3561 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 BUND 0 BUXL 0 COFFEE 0 COPPER 0 DOW 0 DX 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 GBP 0 GOLD_micro 0 JGB-SGX-mini 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 REDWHEAT 0 RUSSELL 0 SOYBEAN 0 SOYMEAL 0 SP500_micro 0 SUGAR11 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 BOBL 27.25375 BUND 59.95825 BUXL -32.7045 COFFEE -103.125 COPPER 81.25 DOW -61.25 DX -5.0 EURIBOR-ICE -68.134375 EUROSTX 103.56425 GAS_US_mini 68.75 GBP 131.25 GOLD_micro -5.0 JGB-SGX-mini -0.0 JPY 3.125 LEANHOG 20.0 MXP -2.5 NASDAQ_micro -64.75 NIKKEI -6.3323 NZD -17.5 REDWHEAT 25.0 RUSSELL 427.0 SOYBEAN 6.25 SOYMEAL 15.0 SP500_micro -14.375 SUGAR11 280.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 867.730075 ******************************************************************************** END OF REPORT ********************************************************************************