******************************************************************************** Trades report produced on 19/07/2024 21:38 from 18/07/2024 21:38 to 19/07/2024 21:38 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13987 AUD caleb_strategy_v3 [20240900] 2024-07-19 14:08:19.000 [-1] 0.670350 13958 DAX caleb_strategy_v3 [20240900] 2024-07-19 19:45:17.337 [0] NaN 13963 DAX caleb_strategy_v3 [20240900] 2024-07-19 07:27:43.000 [-1] 18368.000000 13962 DAX caleb_strategy_v3 [20240900] 2024-07-19 07:26:43.000 [-1] 18368.000000 13961 DAX caleb_strategy_v3 [20240900] 2024-07-19 07:25:43.000 [-1] 18378.000000 13956 DAX caleb_strategy_v3 [20240900] 2024-07-19 07:01:16.000 [-1] 18405.000000 13957 DAX caleb_strategy_v3 [20240900] 2024-07-19 19:45:17.253 [0] NaN 13960 DAX caleb_strategy_v3 [20240900] 2024-07-19 07:24:42.000 [-1] 18385.000000 13959 DAX caleb_strategy_v3 [20240900] 2024-07-19 07:24:38.000 [-1] 18383.000000 13971 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:12:57.000 [-1] 2.230000 13972 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 19:45:17.509 [0] NaN 13973 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:23:30.000 [-1] 2.260000 13974 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:29:49.000 [1] 2.130000 13975 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:29:49.000 [-1] 2.255000 13964 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:00:10.000 [1] 2.115000 13976 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:30:08.000 [1] 2.130000 13977 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:30:29.000 [-1] 2.250000 13978 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:30:54.000 [1] 2.130000 13979 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:32:31.000 [-1] 2.260000 13980 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:32:59.000 [1] 2.140000 13981 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:33:04.000 [-1] 2.260000 13982 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:33:36.000 [1] 2.135000 13983 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:33:37.000 [-1] 2.260000 13970 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:12:49.000 [1] 2.110000 13969 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:11:38.000 [-1] 2.235000 13985 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:35:27.000 [-1] 2.260000 13967 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 13:11:09.000 [-1] 2.225000 13966 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:10:28.000 [1] 2.110000 13965 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-19 19:45:17.422 [0] NaN 13984 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:34:36.000 [1] 2.135000 13968 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 13:11:28.000 [1] 2.115000 13990 JPY caleb_strategy_v3 [20240900] 2024-07-19 14:25:54.000 [1] 0.006407 13989 JPY caleb_strategy_v3 [20240900] 2024-07-19 19:45:17.598 [0] NaN 13991 LEANHOG caleb_strategy_v3 [20241000] 2024-07-19 14:31:04.000 [1] 74.775000 13995 LUMBER-new _ROLL_PSEUDO_STRATEGY [20241100] 2024-07-19 15:10:08.000 [-1] 508.000000 13994 LUMBER-new _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 15:05:08.000 [1] 497.000000 13993 LUMBER-new _ROLL_PSEUDO_STRATEGY [20241100] 2024-07-19 15:04:02.000 [-1] 508.000000 13992 LUMBER-new _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-19 15:00:02.000 [1] 497.500000 13986 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-19 14:08:17.000 [-1] 19911.500000 13955 NIKKEI caleb_strategy_v3 [20240900] 2024-07-19 02:06:35.000 [-1] 40040.000000 13954 NIKKEI caleb_strategy_v3 [20240900] 2024-07-19 02:05:49.000 [-1] 40035.000000 13988 RUSSELL caleb_strategy_v3 [20240900] 2024-07-19 14:08:20.000 [1] 2217.600000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13954 NIKKEI caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 03:01:16.646 2024-07-19 02:05:49.000 97276.646 NaN 13955 NIKKEI caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 03:05:53.366 2024-07-19 02:06:35.000 97553.366 NaN 13986 NASDAQ_micro caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 15:00:40.978 2024-07-19 14:08:17.000 140440.978 NaN 13987 AUD caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 15:08:19.066 2024-07-19 14:08:19.000 140899.066 NaN 13988 RUSSELL caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 15:08:20.219 2024-07-19 14:08:20.000 140900.219 NaN 13991 LEANHOG caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 15:30:59.214 2024-07-19 14:31:04.000 142259.214 NaN 13992 LUMBER-new _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 16:00:02.604 2024-07-19 15:00:02.000 75602.604 NaN 13993 LUMBER-new _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 16:00:03.954 2024-07-19 15:04:02.000 75603.954 NaN 13994 LUMBER-new _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 16:04:06.395 2024-07-19 15:05:08.000 75846.395 NaN 13995 LUMBER-new _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 16:05:08.682 2024-07-19 15:10:08.000 75908.682 NaN 13956 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:01:16.002 2024-07-19 07:01:16.000 115276.002 NaN 13957 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:02:15.994 2024-07-19 19:45:17.253 115335.994 42181.259 13958 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:12:19.868 2024-07-19 19:45:17.337 115939.868 41577.469 13959 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:22:23.844 2024-07-19 07:24:38.000 116543.844 NaN 13960 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:24:42.319 2024-07-19 07:24:42.000 116682.319 NaN 13961 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:25:42.929 2024-07-19 07:25:43.000 116742.929 NaN 13962 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:26:43.058 2024-07-19 07:26:43.000 116803.058 NaN 13963 DAX caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 08:27:43.031 2024-07-19 07:27:43.000 116863.031 NaN 13989 JPY caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 15:08:21.542 2024-07-19 19:45:17.598 140901.542 16616.056 13990 JPY caleb_strategy_v3 2024-07-18 00:00:00 2024-07-19 15:18:43.051 2024-07-19 14:25:54.000 141523.051 NaN 13964 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:00:10.602 2024-07-19 13:00:10.000 68410.602 NaN 13965 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:00:11.910 2024-07-19 19:45:17.422 68411.91 20705.512 13966 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:10:28.751 2024-07-19 13:10:28.000 69028.751 NaN 13967 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:10:29.317 2024-07-19 13:11:09.000 69029.317 NaN 13968 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:11:28.808 2024-07-19 13:11:28.000 69088.808 NaN 13969 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:11:29.408 2024-07-19 13:11:38.000 69089.408 NaN 13970 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:12:29.271 2024-07-19 13:12:49.000 69149.271 NaN 13971 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:12:49.675 2024-07-19 13:12:57.000 69169.675 NaN 13972 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:13:29.343 2024-07-19 19:45:17.509 69209.343 19908.166 13973 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:23:29.683 2024-07-19 13:23:30.000 69809.683 NaN 13974 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:23:34.137 2024-07-19 13:29:49.000 69814.137 NaN 13975 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:29:49.715 2024-07-19 13:29:49.000 70189.715 NaN 13976 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:29:53.848 2024-07-19 13:30:08.000 70193.848 NaN 13977 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:30:08.649 2024-07-19 13:30:29.000 70208.649 NaN 13978 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:30:53.749 2024-07-19 13:30:54.000 70253.749 NaN 13979 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:30:54.735 2024-07-19 13:32:31.000 70254.735 NaN 13980 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:32:35.600 2024-07-19 13:32:59.000 70355.6 NaN 13981 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:32:59.682 2024-07-19 13:33:04.000 70379.682 NaN 13982 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:33:36.086 2024-07-19 13:33:36.000 70416.086 NaN 13983 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:33:36.563 2024-07-19 13:33:37.000 70416.563 NaN 13984 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:34:36.166 2024-07-19 13:34:36.000 70476.166 NaN 13985 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-07-18 19:00:00 2024-07-19 14:34:36.768 2024-07-19 13:35:27.000 70476.768 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 13954 NIKKEI caleb_strategy_v3 [-1] 39965.0 None 40072.5 40070.0 40075.0 40075.0 40035.0 107.5 -2.5 -35.0 -40.0 NaN -37.5 13955 NIKKEI caleb_strategy_v3 [-1] 39965.0 None 40037.5 40035.0 40040.0 40040.0 40040.0 72.5 -2.5 5.0 -0.0 NaN 2.5 13986 NASDAQ_micro caleb_strategy_v3 [-1] 19843.25 None 19908.75 19908.5 19909.0 19909.0 19911.5 65.5 -0.25 3.0 2.5 NaN 2.75 13987 AUD caleb_strategy_v3 [-1] 0.6714 None 0.670175 0.67015 0.6702 0.6702 0.67035 -0.001225 -0.000025 0.0002 0.00015 NaN 0.000175 13988 RUSSELL caleb_strategy_v3 [1] 2218.4 None 2219.5 2219.6 2219.4 2219.4 2217.6 -1.1 -0.1 2.0 1.8 NaN 1.9 13991 LEANHOG caleb_strategy_v3 [1] 74.025 None 74.725 74.75 74.7 74.7 74.775 -0.7 -0.025 -0.025 -0.075 NaN -0.05 13992 LUMBER-new _ROLL_PSEUDO_STRATEGY [1] 492.0 None 497.0 497.5 496.5 NaN 497.5 -5.0 -0.5 0.0 NaN NaN -0.5 13993 LUMBER-new _ROLL_PSEUDO_STRATEGY [-1] 503.0 None 508.5 508.0 509.0 509.0 508.0 5.5 -0.5 -0.0 -1.0 NaN -0.5 13994 LUMBER-new _ROLL_PSEUDO_STRATEGY [1] 492.0 None 496.75 497.0 496.5 496.5 497.0 -4.75 -0.25 0.0 -0.5 NaN -0.25 13995 LUMBER-new _ROLL_PSEUDO_STRATEGY [-1] 503.0 None 508.25 508.0 508.5 508.5 508.0 5.25 -0.25 -0.0 -0.5 NaN -0.25 13956 DAX caleb_strategy_v3 [-1] 18436.0 None 18453.0 18452.0 18454.0 NaN 18405.0 17.0 -1.0 -47.0 NaN NaN -48.0 13957 DAX caleb_strategy_v3 [-1] 18436.0 None 18451.0 18450.0 18452.0 18452.0 NaN 15.0 -1.0 NaN NaN NaN NaN 13958 DAX caleb_strategy_v3 [-1] 18436.0 None 18413.5 18412.0 18415.0 18415.0 NaN -22.5 -1.5 NaN NaN NaN NaN 13959 DAX caleb_strategy_v3 [-1] 18436.0 None 18410.0 18409.0 18411.0 18411.0 18383.0 -26.0 -1.0 -26.0 -28.0 NaN -27.0 13960 DAX caleb_strategy_v3 [-1] 18436.0 None 18384.0 18383.0 18385.0 18385.0 18385.0 -52.0 -1.0 2.0 -0.0 NaN 1.0 13961 DAX caleb_strategy_v3 [-1] 18436.0 None 18371.0 18370.0 18372.0 18372.0 18378.0 -65.0 -1.0 8.0 6.0 NaN 7.0 13962 DAX caleb_strategy_v3 [-1] 18436.0 None 18365.5 18364.0 18367.0 18367.0 18368.0 -70.5 -1.5 4.0 1.0 NaN 2.5 13963 DAX caleb_strategy_v3 [-1] 18436.0 None 18366.0 18365.0 18367.0 18367.0 18368.0 -70.0 -1.0 3.0 1.0 NaN 2.0 13989 JPY caleb_strategy_v3 [1] 0.006413 None 0.006404 0.006404 0.006404 0.006403 NaN 0.000009 -0.0 NaN NaN NaN NaN 13990 JPY caleb_strategy_v3 [1] 0.006413 None 0.006406 0.006406 0.006406 0.006406 0.006407 0.000007 -0.0 -0.000001 -0.000001 NaN -0.000001 13964 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1175 2.12 2.115 2.115 2.115 0.0425 -0.0025 0.005 0.0 NaN 0.0025 13965 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.2425 2.24 2.245 2.245 NaN -0.0425 -0.0025 NaN NaN NaN NaN 13966 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1175 2.12 2.115 2.115 2.11 0.0425 -0.0025 0.01 0.005 NaN 0.0075 13967 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.2375 2.235 2.24 2.24 2.225 -0.0475 -0.0025 -0.01 -0.015 NaN -0.0125 13968 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1175 2.12 2.115 2.115 2.115 0.0425 -0.0025 0.005 0.0 NaN 0.0025 13969 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.23 2.225 2.235 2.235 2.235 -0.055 -0.005 0.01 -0.0 NaN 0.005 13970 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1075 2.11 2.105 2.105 2.11 0.0525 -0.0025 0.0 -0.005 NaN -0.0025 13971 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.2325 2.23 2.235 2.235 2.23 -0.0525 -0.0025 -0.0 -0.005 NaN -0.0025 13972 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.105 2.11 2.1 2.1 NaN 0.055 -0.005 NaN NaN NaN NaN 13973 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.2325 2.23 2.235 NaN 2.26 -0.0525 -0.0025 0.03 NaN NaN 0.0275 13974 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1125 2.115 2.11 2.11 2.13 0.0475 -0.0025 -0.015 -0.02 NaN -0.0175 13975 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.25 2.245 2.255 2.255 2.255 -0.035 -0.005 0.01 -0.0 NaN 0.005 13976 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1275 2.13 2.125 2.125 2.13 0.0325 -0.0025 0.0 -0.005 NaN -0.0025 13977 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.255 2.25 2.26 2.26 2.25 -0.03 -0.005 -0.0 -0.01 NaN -0.005 13978 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1275 2.13 2.125 NaN 2.13 0.0325 -0.0025 0.0 NaN NaN -0.0025 13979 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.255 2.25 2.26 2.26 2.26 -0.03 -0.005 0.01 -0.0 NaN 0.005 13980 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1325 2.135 2.13 2.13 2.14 0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 13981 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.2625 2.26 2.265 2.265 2.26 -0.0225 -0.0025 -0.0 -0.005 NaN -0.0025 13982 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.14 2.145 2.135 2.135 2.135 0.02 -0.005 0.01 0.0 NaN 0.005 13983 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.265 2.26 2.27 2.27 2.26 -0.02 -0.005 -0.0 -0.01 NaN -0.005 13984 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.16 None 2.1375 2.14 2.135 2.135 2.135 0.0225 -0.0025 0.005 0.0 NaN 0.0025 13985 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.285 None 2.265 2.26 2.27 2.27 2.26 -0.02 -0.005 -0.0 -0.01 NaN -0.005 =================================================================================================================================================================== 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 13954 NIKKEI caleb_strategy_v3 [-1] 6911.911222 155.528618 -3.616945 -50.637224 -57.871114 NaN -54.254169 13955 NIKKEI caleb_strategy_v3 [-1] 6911.911222 104.891394 -3.616945 7.233889 -0.0 NaN 3.616945 13986 NASDAQ_micro caleb_strategy_v3 [-1] 3315.664836 197.547108 -0.753997 9.047959 7.539966 NaN 8.293963 13987 AUD caleb_strategy_v3 [-1] 0.049856 -245.707855 -5.014446 40.115568 30.086676 NaN 35.101122 13988 RUSSELL caleb_strategy_v3 [1] 477.371452 -23.042853 -2.094805 41.896096 37.706486 NaN 39.801291 13991 LEANHOG caleb_strategy_v3 [1] 21.172837 -330.612278 -11.807581 -11.807581 -35.422744 NaN -23.615163 13992 LUMBER-new _ROLL_PSEUDO_STRATEGY [1] 154.442909 -323.744226 -32.374423 0.0 NaN NaN -32.374423 13993 LUMBER-new _ROLL_PSEUDO_STRATEGY [-1] 154.442909 356.118648 -32.374423 -0.0 -64.748845 NaN -32.374423 13994 LUMBER-new _ROLL_PSEUDO_STRATEGY [1] 154.442909 -307.557014 -16.187211 0.0 -32.374423 NaN -16.187211 13995 LUMBER-new _ROLL_PSEUDO_STRATEGY [-1] 154.442909 339.931437 -16.187211 -0.0 -32.374423 NaN -16.187211 13956 DAX caleb_strategy_v3 [-1] 2324.483019 73.134542 -4.302032 -202.195497 NaN NaN -206.497529 13957 DAX caleb_strategy_v3 [-1] 2324.483019 64.530478 -4.302032 NaN NaN NaN NaN 13958 DAX caleb_strategy_v3 [-1] 2324.483019 -96.795717 -6.453048 NaN NaN NaN NaN 13959 DAX caleb_strategy_v3 [-1] 2324.483019 -111.852828 -4.302032 -111.852828 -120.456892 NaN -116.15486 13960 DAX caleb_strategy_v3 [-1] 2324.483019 -223.705657 -4.302032 8.604064 -0.0 NaN 4.302032 13961 DAX caleb_strategy_v3 [-1] 2324.483019 -279.632071 -4.302032 34.416255 25.812191 NaN 30.114223 13962 DAX caleb_strategy_v3 [-1] 2324.483019 -303.293246 -6.453048 17.208127 4.302032 NaN 10.75508 13963 DAX caleb_strategy_v3 [-1] 2324.483019 -301.14223 -4.302032 12.906096 4.302032 NaN 8.604064 13989 JPY caleb_strategy_v3 [1] 0.00066 140.178893 -3.788619 NaN NaN NaN NaN 13990 JPY caleb_strategy_v3 [1] 0.00066 102.292706 -3.788619 -7.577237 -15.154475 NaN -11.365856 13964 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 286.09006 -16.828827 33.657654 0.0 NaN 16.828827 13965 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -286.09006 -16.828827 NaN NaN NaN NaN 13966 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 286.09006 -16.828827 67.315308 33.657654 NaN 50.486481 13967 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -319.747714 -16.828827 -67.315308 -100.972962 NaN -84.144135 13968 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 286.09006 -16.828827 33.657654 0.0 NaN 16.828827 13969 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -370.234196 -33.657654 67.315308 -0.0 NaN 33.657654 13970 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 353.405368 -16.828827 0.0 -33.657654 NaN -16.828827 13971 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -353.405368 -16.828827 -0.0 -33.657654 NaN -16.828827 13972 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 370.234196 -33.657654 NaN NaN NaN NaN 13973 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -353.405368 -16.828827 201.945925 NaN NaN 185.117098 13974 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 319.747714 -16.828827 -100.972962 -134.630617 NaN -117.801789 13975 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -235.603579 -33.657654 67.315308 -0.0 NaN 33.657654 13976 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 218.774752 -16.828827 0.0 -33.657654 NaN -16.828827 13977 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -201.945925 -33.657654 -0.0 -67.315308 NaN -33.657654 13978 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 218.774752 -16.828827 0.0 NaN NaN -16.828827 13979 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -201.945925 -33.657654 67.315308 -0.0 NaN 33.657654 13980 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 185.117098 -16.828827 -33.657654 -67.315308 NaN -50.486481 13981 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -151.459444 -16.828827 -0.0 -33.657654 NaN -16.828827 13982 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 134.630617 -33.657654 67.315308 0.0 NaN 33.657654 13983 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -134.630617 -33.657654 -0.0 -67.315308 NaN -33.657654 13984 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.485546 151.459444 -16.828827 33.657654 0.0 NaN 16.828827 13985 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.485546 -134.630617 -33.657654 -0.0 -67.315308 NaN -33.657654 ============================================================================================================================================================================ 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 13954 NIKKEI caleb_strategy_v3 [-1] 0.6339 68.144288 -1.584751 -22.186513 -25.356014 NaN -23.771263 13955 NIKKEI caleb_strategy_v3 [-1] 0.6339 45.957776 -1.584751 3.169502 -0.0 NaN 1.584751 13986 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 131.0 -0.5 6.0 5.0 NaN 5.5 13987 AUD caleb_strategy_v3 [-1] 100000.0 -122.5 -2.5 20.0 15.0 NaN 17.5 13988 RUSSELL caleb_strategy_v3 [1] 5.0 -5.5 -0.5 10.0 9.0 NaN 9.5 13991 LEANHOG caleb_strategy_v3 [1] 400.0 -280.0 -10.0 -10.0 -30.0 NaN -20.0 13992 LUMBER-new _ROLL_PSEUDO_STRATEGY [1] 27.5 -137.5 -13.75 0.0 NaN NaN -13.75 13993 LUMBER-new _ROLL_PSEUDO_STRATEGY [-1] 27.5 151.25 -13.75 -0.0 -27.5 NaN -13.75 13994 LUMBER-new _ROLL_PSEUDO_STRATEGY [1] 27.5 -130.625 -6.875 0.0 -13.75 NaN -6.875 13995 LUMBER-new _ROLL_PSEUDO_STRATEGY [-1] 27.5 144.375 -6.875 -0.0 -13.75 NaN -6.875 13956 DAX caleb_strategy_v3 [-1] 1.0888 18.5096 -1.0888 -51.1736 NaN NaN -52.2624 13957 DAX caleb_strategy_v3 [-1] 1.0888 16.332 -1.0888 NaN NaN NaN NaN 13958 DAX caleb_strategy_v3 [-1] 1.0888 -24.498 -1.6332 NaN NaN NaN NaN 13959 DAX caleb_strategy_v3 [-1] 1.0888 -28.3088 -1.0888 -28.3088 -30.4864 NaN -29.3976 13960 DAX caleb_strategy_v3 [-1] 1.0888 -56.6176 -1.0888 2.1776 -0.0 NaN 1.0888 13961 DAX caleb_strategy_v3 [-1] 1.0888 -70.772 -1.0888 8.7104 6.5328 NaN 7.6216 13962 DAX caleb_strategy_v3 [-1] 1.0888 -76.7604 -1.6332 4.3552 1.0888 NaN 2.722 13963 DAX caleb_strategy_v3 [-1] 1.0888 -76.216 -1.0888 3.2664 1.0888 NaN 2.1776 13989 JPY caleb_strategy_v3 [1] 12500000.0 115.625 -3.125 NaN NaN NaN NaN 13990 JPY caleb_strategy_v3 [1] 12500000.0 84.375 -3.125 -6.25 -12.5 NaN -9.375 13964 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 106.25 -6.25 12.5 0.0 NaN 6.25 13965 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -106.25 -6.25 NaN NaN NaN NaN 13966 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 106.25 -6.25 25.0 12.5 NaN 18.75 13967 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -118.75 -6.25 -25.0 -37.5 NaN -31.25 13968 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 106.25 -6.25 12.5 0.0 NaN 6.25 13969 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -137.5 -12.5 25.0 -0.0 NaN 12.5 13970 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 131.25 -6.25 0.0 -12.5 NaN -6.25 13971 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -131.25 -6.25 -0.0 -12.5 NaN -6.25 13972 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 137.5 -12.5 NaN NaN NaN NaN 13973 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -131.25 -6.25 75.0 NaN NaN 68.75 13974 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 118.75 -6.25 -37.5 -50.0 NaN -43.75 13975 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -87.5 -12.5 25.0 -0.0 NaN 12.5 13976 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 81.25 -6.25 0.0 -12.5 NaN -6.25 13977 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -75.0 -12.5 -0.0 -25.0 NaN -12.5 13978 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 81.25 -6.25 0.0 NaN NaN -6.25 13979 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -75.0 -12.5 25.0 -0.0 NaN 12.5 13980 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 68.75 -6.25 -12.5 -25.0 NaN -18.75 13981 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -56.25 -6.25 -0.0 -12.5 NaN -6.25 13982 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 50.0 -12.5 25.0 0.0 NaN 12.5 13983 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -50.0 -12.5 -0.0 -25.0 NaN -12.5 13984 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500.0 56.25 -6.25 12.5 0.0 NaN 6.25 13985 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500.0 -50.0 -12.5 -0.0 -25.0 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 25.0 LUMBER-new 27.5 caleb_strategy_v3 AUD -122.5 DAX -298.3312 JPY 200.0 LEANHOG -280.0 NASDAQ_micro 131.0 NIKKEI 114.102064 RUSSELL -5.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 52.5 caleb_strategy_v3 -261.229136 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -187.5 LUMBER-new -41.25 caleb_strategy_v3 AUD -2.5 DAX -9.7992 JPY -6.25 LEANHOG -10.0 NASDAQ_micro -0.5 NIKKEI -3.169502 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -228.75 caleb_strategy_v3 -32.718702 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 162.5 LUMBER-new 0.0 caleb_strategy_v3 AUD 20.0 DAX -60.9728 JPY -6.25 LEANHOG -10.0 NASDAQ_micro 6.0 NIKKEI -19.017011 RUSSELL 10.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 162.5 caleb_strategy_v3 -60.239811 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -225.0 LUMBER-new -55.0 caleb_strategy_v3 AUD 15.0 DAX -21.776 JPY -12.5 LEANHOG -30.0 NASDAQ_micro 5.0 NIKKEI -25.356014 RUSSELL 9.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -280.0 caleb_strategy_v3 -60.632014 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 0 LUMBER-new 0 caleb_strategy_v3 AUD 0 DAX 0 JPY 0 LEANHOG 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 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 GAS_US_mini -6.25 LUMBER-new -41.25 caleb_strategy_v3 AUD 17.5 DAX -68.05 JPY -9.375 LEANHOG -20.0 NASDAQ_micro 5.5 NIKKEI -22.186513 RUSSELL 9.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -47.5 caleb_strategy_v3 -87.111513 ******************************************************************************** END OF REPORT ********************************************************************************