******************************************************************************** Trades report produced on 24/07/2024 21:38 from 23/07/2024 21:38 to 24/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14077 AUD caleb_strategy_v3 [20240900] 2024-07-24 15:04:20.000 [-1] 0.661300 14075 AUD caleb_strategy_v3 [20240900] 2024-07-24 15:03:19.000 [-1] 0.661250 14072 AUD caleb_strategy_v3 [20240900] 2024-07-24 15:02:19.000 [-1] 0.661450 14064 AUD caleb_strategy_v3 [20240900] 2024-07-24 19:45:21.152 [0] NaN 14055 AUD caleb_strategy_v3 [20240900] 2024-07-24 14:03:32.000 [-1] 0.660750 14045 BUND caleb_strategy_v3 [20240900] 2024-07-24 07:08:52.000 [1] 132.430000 14047 BUXL caleb_strategy_v3 [20240900] 2024-07-24 07:08:54.000 [-1] 131.680000 14057 CAD caleb_strategy_v3 [20240900] 2024-07-24 14:03:35.000 [-1] 0.725900 14052 CANOLA caleb_strategy_v3 [20250100] 2024-07-24 13:10:10.000 [-1] 678.200000 14056 CHF caleb_strategy_v3 [20240900] 2024-07-24 14:03:33.000 [1] 1.138300 14068 CORN caleb_strategy_v3 [20241200] 2024-07-24 14:53:10.000 [1] 422.500000 14051 CRUDE_W caleb_strategy_v3 [20241200] 2024-07-24 13:00:49.000 [-1] 75.080000 14049 DAX caleb_strategy_v3 [20240900] 2024-07-24 07:09:18.000 [-1] 18538.000000 14044 DAX caleb_strategy_v3 [20240900] 2024-07-24 07:06:14.000 [-1] 18542.000000 14080 DOW caleb_strategy_v3 [20240900] 2024-07-24 15:15:16.000 [-1] 40241.000000 14079 DOW caleb_strategy_v3 [20240900] 2024-07-24 15:15:00.000 [-1] 40237.000000 14058 DOW caleb_strategy_v3 [20240900] 2024-07-24 19:45:20.974 [0] NaN 14078 DOW caleb_strategy_v3 [20240900] 2024-07-24 15:04:20.000 [-1] 40250.000000 14076 DOW caleb_strategy_v3 [20240900] 2024-07-24 15:03:20.000 [-1] 40258.000000 14073 DOW caleb_strategy_v3 [20240900] 2024-07-24 15:02:19.000 [-1] 40266.000000 14065 DOW caleb_strategy_v3 [20240900] 2024-07-24 14:48:20.000 [-1] 40289.000000 14048 EUROSTX caleb_strategy_v3 [20240900] 2024-07-24 07:09:14.000 [-1] 4902.000000 14050 GASOLINE caleb_strategy_v3 [20241000] 2024-07-24 13:00:48.000 [-1] 2.216700 14054 JPY caleb_strategy_v3 [20240900] 2024-07-24 14:02:09.000 [-1] 0.006572 14069 LIVECOW caleb_strategy_v3 [20241000] 2024-07-24 15:01:43.000 [-1] 185.575000 14074 MXP caleb_strategy_v3 [20240900] 2024-07-24 15:02:20.000 [-1] 0.053860 14061 MXP caleb_strategy_v3 [20240900] 2024-07-24 14:22:10.000 [-1] 0.054000 14070 MXP caleb_strategy_v3 [20240900] 2024-07-24 15:01:45.000 [-1] 0.053860 14060 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-24 14:22:09.000 [-1] 19489.750000 14043 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:09:25.000 [-1] 39485.000000 14042 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:08:25.000 [-1] 39495.000000 14041 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:07:25.000 [-1] 39510.000000 14040 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:06:25.000 [-1] 39510.000000 14039 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:05:27.000 [-1] 39500.000000 14038 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:05:21.000 [-1] 39495.000000 14037 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:02:54.000 [-1] 39505.000000 14036 NIKKEI caleb_strategy_v3 [20240900] 2024-07-24 02:02:49.000 [-1] 39505.000000 14046 OAT caleb_strategy_v3 [20240900] 2024-07-24 07:08:53.000 [1] 124.670000 14071 RUSSELL caleb_strategy_v3 [20240900] 2024-07-24 15:01:45.000 [1] 2256.200000 14062 RUSSELL caleb_strategy_v3 [20240900] 2024-07-24 19:45:21.065 [0] NaN 14063 SOYBEAN caleb_strategy_v3 [20241100] 2024-07-24 14:38:19.000 [1] 1074.500000 14066 SOYOIL caleb_strategy_v3 [20241200] 2024-07-24 14:48:21.000 [1] 44.490000 14053 SP400 caleb_strategy_v3 [20240900] 2024-07-24 14:00:56.000 [1] 3058.000000 14059 SP500_micro caleb_strategy_v3 [20240900] 2024-07-24 14:22:04.000 [-1] 5518.750000 14067 SP500_micro caleb_strategy_v3 [20240900] 2024-07-24 14:49:33.000 [-1] 5513.750000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14036 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:01:17.690 2024-07-24 02:02:49.000 97277.69 NaN 14037 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:02:53.382 2024-07-24 02:02:54.000 97373.382 NaN 14038 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:03:53.939 2024-07-24 02:05:21.000 97433.939 NaN 14039 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:05:25.187 2024-07-24 02:05:27.000 97525.187 NaN 14040 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:06:25.275 2024-07-24 02:06:25.000 97585.275 NaN 14041 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:07:25.295 2024-07-24 02:07:25.000 97645.295 NaN 14042 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:08:25.234 2024-07-24 02:08:25.000 97705.234 NaN 14043 NIKKEI caleb_strategy_v3 2024-07-23 2024-07-24 03:09:25.428 2024-07-24 02:09:25.000 97765.428 NaN 14045 BUND caleb_strategy_v3 2024-07-23 2024-07-24 08:06:15.458 2024-07-24 07:08:52.000 115575.458 NaN 14046 OAT caleb_strategy_v3 2024-07-23 2024-07-24 08:08:53.146 2024-07-24 07:08:53.000 115733.146 NaN 14047 BUXL caleb_strategy_v3 2024-07-23 2024-07-24 08:08:54.386 2024-07-24 07:08:54.000 115734.386 NaN 14048 EUROSTX caleb_strategy_v3 2024-07-23 2024-07-24 08:08:55.670 2024-07-24 07:09:14.000 115735.67 NaN 14049 DAX caleb_strategy_v3 2024-07-23 2024-07-24 08:09:18.263 2024-07-24 07:09:18.000 115758.263 NaN 14044 DAX caleb_strategy_v3 2024-07-23 2024-07-24 08:00:48.090 2024-07-24 07:06:14.000 115248.09 NaN 14050 GASOLINE caleb_strategy_v3 2024-07-23 2024-07-24 14:00:47.138 2024-07-24 13:00:48.000 136847.138 NaN 14051 CRUDE_W caleb_strategy_v3 2024-07-23 2024-07-24 14:00:49.142 2024-07-24 13:00:49.000 136849.142 NaN 14052 CANOLA caleb_strategy_v3 2024-07-23 2024-07-24 14:00:50.126 2024-07-24 13:10:10.000 136850.126 NaN 14053 SP400 caleb_strategy_v3 2024-07-23 2024-07-24 15:00:55.790 2024-07-24 14:00:56.000 140455.79 NaN 14054 JPY caleb_strategy_v3 2024-07-23 2024-07-24 15:00:57.084 2024-07-24 14:02:09.000 140457.084 NaN 14056 CHF caleb_strategy_v3 2024-07-23 2024-07-24 15:03:32.982 2024-07-24 14:03:33.000 140612.982 NaN 14057 CAD caleb_strategy_v3 2024-07-23 2024-07-24 15:03:33.886 2024-07-24 14:03:35.000 140613.886 NaN 14060 NASDAQ_micro caleb_strategy_v3 2024-07-23 2024-07-24 15:22:05.526 2024-07-24 14:22:09.000 141725.526 NaN 14063 SOYBEAN caleb_strategy_v3 2024-07-23 2024-07-24 15:32:28.570 2024-07-24 14:38:19.000 142348.57 NaN 14066 SOYOIL caleb_strategy_v3 2024-07-23 2024-07-24 15:48:21.740 2024-07-24 14:48:21.000 143301.74 NaN 14059 SP500_micro caleb_strategy_v3 2024-07-23 2024-07-24 15:13:37.814 2024-07-24 14:22:04.000 141217.814 NaN 14067 SP500_micro caleb_strategy_v3 2024-07-23 2024-07-24 15:48:22.370 2024-07-24 14:49:33.000 143302.37 NaN 14068 CORN caleb_strategy_v3 2024-07-23 2024-07-24 15:49:34.794 2024-07-24 14:53:10.000 143374.794 NaN 14069 LIVECOW caleb_strategy_v3 2024-07-23 2024-07-24 15:53:11.574 2024-07-24 15:01:43.000 143591.574 NaN 14074 MXP caleb_strategy_v3 2024-07-23 2024-07-24 16:02:20.463 2024-07-24 15:02:20.000 144140.463 NaN 14061 MXP caleb_strategy_v3 2024-07-23 2024-07-24 15:22:10.150 2024-07-24 14:22:10.000 141730.15 NaN 14070 MXP caleb_strategy_v3 2024-07-23 2024-07-24 16:01:44.894 2024-07-24 15:01:45.000 144104.894 NaN 14055 AUD caleb_strategy_v3 2024-07-19 2024-07-24 15:02:09.994 2024-07-24 14:03:32.000 486129.994 NaN 14064 AUD caleb_strategy_v3 2024-07-19 2024-07-24 15:38:19.735 2024-07-24 19:45:21.152 488299.735 14821.417 14072 AUD caleb_strategy_v3 2024-07-19 2024-07-24 16:02:19.311 2024-07-24 15:02:19.000 489739.311 NaN 14075 AUD caleb_strategy_v3 2024-07-19 2024-07-24 16:03:19.460 2024-07-24 15:03:19.000 489799.46 NaN 14077 AUD caleb_strategy_v3 2024-07-19 2024-07-24 16:04:19.937 2024-07-24 15:04:20.000 489859.937 NaN 14080 DOW caleb_strategy_v3 2024-07-23 2024-07-24 16:15:16.696 2024-07-24 15:15:16.000 144916.696 NaN 14058 DOW caleb_strategy_v3 2024-07-23 2024-07-24 15:03:36.842 2024-07-24 19:45:20.974 140616.842 16904.132 14065 DOW caleb_strategy_v3 2024-07-23 2024-07-24 15:48:20.285 2024-07-24 14:48:20.000 143300.285 NaN 14073 DOW caleb_strategy_v3 2024-07-23 2024-07-24 16:02:19.831 2024-07-24 15:02:19.000 144139.831 NaN 14076 DOW caleb_strategy_v3 2024-07-23 2024-07-24 16:03:19.939 2024-07-24 15:03:20.000 144199.939 NaN 14078 DOW caleb_strategy_v3 2024-07-23 2024-07-24 16:04:20.391 2024-07-24 15:04:20.000 144260.391 NaN 14079 DOW caleb_strategy_v3 2024-07-23 2024-07-24 16:05:20.020 2024-07-24 15:15:00.000 144320.02 NaN 14062 RUSSELL caleb_strategy_v3 2024-07-23 2024-07-24 15:22:11.250 2024-07-24 19:45:21.065 141731.25 15789.815 14071 RUSSELL caleb_strategy_v3 2024-07-23 2024-07-24 16:01:45.538 2024-07-24 15:01:45.000 144105.538 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 14036 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39542.5 39540.0 39545.0 39545.0 39505.0 -37.5 -2.5 -35.0 -40.0 NaN -37.5 14037 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39507.5 39505.0 39510.0 39510.0 39505.0 -72.5 -2.5 -0.0 -5.0 NaN -2.5 14038 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39502.5 39500.0 39505.0 39505.0 39495.0 -77.5 -2.5 -5.0 -10.0 NaN -7.5 14039 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39497.5 39495.0 39500.0 39500.0 39500.0 -82.5 -2.5 5.0 -0.0 NaN 2.5 14040 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39497.5 39495.0 39500.0 39500.0 39510.0 -82.5 -2.5 15.0 10.0 NaN 12.5 14041 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39477.5 39475.0 39480.0 39480.0 39510.0 -102.5 -2.5 35.0 30.0 NaN 32.5 14042 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39452.5 39450.0 39455.0 39455.0 39495.0 -127.5 -2.5 45.0 40.0 NaN 42.5 14043 NIKKEI caleb_strategy_v3 [-1] 39580.0 None 39452.5 39450.0 39455.0 39455.0 39485.0 -127.5 -2.5 35.0 30.0 NaN 32.5 14045 BUND caleb_strategy_v3 [1] 132.22 None 132.395 132.4 132.39 132.39 132.43 -0.175 -0.005 -0.03 -0.04 NaN -0.035 14046 OAT caleb_strategy_v3 [1] 124.58 None 124.7 124.71 124.69 124.69 124.67 -0.12 -0.01 0.04 0.02 NaN 0.03 14047 BUXL caleb_strategy_v3 [-1] 131.3 None 131.67 131.66 131.68 131.68 131.68 0.37 -0.01 0.02 -0.0 NaN 0.01 14048 EUROSTX caleb_strategy_v3 [-1] 4937.0 None 4901.5 4901.0 4902.0 4902.0 4902.0 -35.5 -0.5 1.0 -0.0 NaN 0.5 14049 DAX caleb_strategy_v3 [-1] 18679.0 None 18543.0 18542.0 18544.0 18544.0 18538.0 -136.0 -1.0 -4.0 -6.0 NaN -5.0 14044 DAX caleb_strategy_v3 [-1] 18679.0 None 18553.0 18552.0 18554.0 18554.0 18542.0 -126.0 -1.0 -10.0 -12.0 NaN -11.0 14050 GASOLINE caleb_strategy_v3 [-1] 2.1971 None 2.21415 2.2139 2.2144 2.2144 2.2167 0.01705 -0.00025 0.0028 0.0023 NaN 0.00255 14051 CRUDE_W caleb_strategy_v3 [-1] 74.64 None 75.055 75.05 75.06 75.06 75.08 0.415 -0.005 0.03 0.02 NaN 0.025 14052 CANOLA caleb_strategy_v3 [-1] 681.7 None 678.45 678.3 678.6 678.6 678.2 -3.25 -0.15 -0.1 -0.4 NaN -0.25 14053 SP400 caleb_strategy_v3 [1] 3086.2 None 3067.8 3068.2 3067.4 3067.4 3058.0 18.4 -0.4 10.2 9.4 NaN 9.8 14054 JPY caleb_strategy_v3 [-1] 0.006478 None 0.006572 0.006572 0.006573 0.006572 0.006572 0.000094 -0.0 -0.0 -0.0 NaN -0.0 14056 CHF caleb_strategy_v3 [1] 1.1293 None 1.13915 1.1392 1.1391 1.1391 1.1383 -0.00985 -0.00005 0.0009 0.0008 NaN 0.00085 14057 CAD caleb_strategy_v3 [-1] 0.72705 None 0.725875 0.72585 0.7259 0.7259 0.7259 -0.001175 -0.000025 0.00005 -0.0 NaN 0.000025 14060 NASDAQ_micro caleb_strategy_v3 [-1] 19976.25 None 19495.75 19495.5 19496.0 19496.0 19489.75 -480.5 -0.25 -5.75 -6.25 NaN -6.0 14063 SOYBEAN caleb_strategy_v3 [1] 1076.0 None 1073.125 1073.25 1073.0 1073.0 1074.5 2.875 -0.125 -1.25 -1.5 NaN -1.375 14066 SOYOIL caleb_strategy_v3 [1] 45.11 None 44.625 44.63 44.62 44.62 44.49 0.485 -0.005 0.14 0.13 NaN 0.135 14059 SP500_micro caleb_strategy_v3 [-1] 5612.25 None 5526.125 5526.0 5526.25 5526.25 5518.75 -86.125 -0.125 -7.25 -7.5 NaN -7.375 14067 SP500_micro caleb_strategy_v3 [-1] 5612.25 None 5518.875 5518.75 5519.0 5519.0 5513.75 -93.375 -0.125 -5.0 -5.25 NaN -5.125 14068 CORN caleb_strategy_v3 [1] 417.0 None 421.875 422.0 421.75 421.75 422.5 -4.875 -0.125 -0.5 -0.75 NaN -0.625 14069 LIVECOW caleb_strategy_v3 [-1] 186.175 None 186.05 186.025 186.075 186.075 185.575 -0.125 -0.025 -0.45 -0.5 NaN -0.475 14074 MXP caleb_strategy_v3 [-1] 0.05463 None 0.053835 0.05383 0.05384 0.05384 0.05386 -0.000795 -0.000005 0.00003 0.00002 NaN 0.000025 14061 MXP caleb_strategy_v3 [-1] 0.05463 None 0.053945 0.05394 0.05395 0.05395 0.054 -0.000685 -0.000005 0.00006 0.00005 NaN 0.000055 14070 MXP caleb_strategy_v3 [-1] 0.05463 None 0.053835 0.05383 0.05384 0.05384 0.05386 -0.000795 -0.000005 0.00003 0.00002 NaN 0.000025 14055 AUD caleb_strategy_v3 [-1] 0.6693 None 0.661 0.66095 0.66105 0.66105 0.66075 -0.0083 -0.00005 -0.0002 -0.0003 NaN -0.00025 14064 AUD caleb_strategy_v3 [-1] 0.6693 None 0.660775 0.66075 0.6608 0.6608 NaN -0.008525 -0.000025 NaN NaN NaN NaN 14072 AUD caleb_strategy_v3 [-1] 0.6693 None 0.660775 0.66075 0.6608 0.6608 0.66145 -0.008525 -0.000025 0.0007 0.00065 NaN 0.000675 14075 AUD caleb_strategy_v3 [-1] 0.6693 None 0.660775 0.66075 0.6608 0.6608 0.66125 -0.008525 -0.000025 0.0005 0.00045 NaN 0.000475 14077 AUD caleb_strategy_v3 [-1] 0.6693 None 0.660775 0.66075 0.6608 0.6608 0.6613 -0.008525 -0.000025 0.00055 0.0005 NaN 0.000525 14080 DOW caleb_strategy_v3 [-1] 40743.0 None 40238.0 40237.0 40239.0 40239.0 40241.0 -505.0 -1.0 4.0 2.0 NaN 3.0 14058 DOW caleb_strategy_v3 [-1] 40743.0 None 40355.5 40355.0 40356.0 40356.0 NaN -387.5 -0.5 NaN NaN NaN NaN 14065 DOW caleb_strategy_v3 [-1] 40743.0 None 40291.0 40290.0 40292.0 40292.0 40289.0 -452.0 -1.0 -1.0 -3.0 NaN -2.0 14073 DOW caleb_strategy_v3 [-1] 40743.0 None 40245.0 40244.0 40246.0 40246.0 40266.0 -498.0 -1.0 22.0 20.0 NaN 21.0 14076 DOW caleb_strategy_v3 [-1] 40743.0 None 40245.0 40244.0 40246.0 40246.0 40258.0 -498.0 -1.0 14.0 12.0 NaN 13.0 14078 DOW caleb_strategy_v3 [-1] 40743.0 None 40245.0 40244.0 40246.0 40246.0 40250.0 -498.0 -1.0 6.0 4.0 NaN 5.0 14079 DOW caleb_strategy_v3 [-1] 40743.0 None 40245.0 40244.0 40246.0 40246.0 40237.0 -498.0 -1.0 -7.0 -9.0 NaN -8.0 14062 RUSSELL caleb_strategy_v3 [1] 2271.5 None 2241.15 2241.2 2241.1 2241.1 NaN 30.35 -0.05 NaN NaN NaN NaN 14071 RUSSELL caleb_strategy_v3 [1] 2271.5 None 2249.1 2249.2 2249.0 2249.0 2256.2 22.4 -0.1 -7.0 -7.2 NaN -7.1 ================================================================================================================================================================ 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 14036 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -49.257439 -3.283829 -45.97361 -52.541269 NaN -49.257439 14037 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -95.231049 -3.283829 -0.0 -6.567659 NaN -3.283829 14038 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -101.798708 -3.283829 -6.567659 -13.135317 NaN -9.851488 14039 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -108.366366 -3.283829 6.567659 -0.0 NaN 3.283829 14040 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -108.366366 -3.283829 19.702976 13.135317 NaN 16.419146 14041 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -134.637001 -3.283829 45.97361 39.405951 NaN 42.689781 14042 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -167.475293 -3.283829 59.108927 52.541269 NaN 55.825098 14043 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -167.475293 -3.283829 45.97361 39.405951 NaN 42.689781 14045 BUND caleb_strategy_v3 [1] 8.96137 -195.282631 -5.579504 -33.477022 -44.63603 NaN -39.056526 14046 OAT caleb_strategy_v3 [1] 8.666803 -138.459366 -11.538281 46.153122 23.076561 NaN 34.614842 14047 BUXL caleb_strategy_v3 [-1] 21.547577 171.713044 -4.640893 9.281786 -0.0 NaN 4.640893 14048 EUROSTX caleb_strategy_v3 [-1] 746.626631 -475.471923 -6.696788 13.393575 -0.0 NaN 6.696788 14049 DAX caleb_strategy_v3 [-1] 2457.784277 -553.343926 -4.068705 -16.274821 -24.412232 NaN -20.343527 14044 DAX caleb_strategy_v3 [-1] 2457.784277 -512.656872 -4.068705 -40.687053 -48.824464 NaN -44.755759 14050 GASOLINE caleb_strategy_v3 [-1] 0.504526 337.941091 -4.955148 55.497657 45.587361 NaN 50.542509 14051 CRUDE_W caleb_strategy_v3 [-1] 15.392225 269.616633 -3.248393 19.490359 12.993573 NaN 16.241966 14052 CANOLA caleb_strategy_v3 [-1] 165.06611 -196.890809 -9.087268 -6.058179 -24.232715 NaN -15.145447 14053 SP400 caleb_strategy_v3 [1] 522.928668 351.864434 -7.649227 195.055284 179.756831 NaN 187.406057 14054 JPY caleb_strategy_v3 [-1] 0.000676 1387.844465 -3.700919 -0.0 -7.401837 NaN -3.700919 14056 CHF caleb_strategy_v3 [1] 0.078842 -1249.33915 -6.341823 114.152816 101.46917 NaN 107.810993 14057 CAD caleb_strategy_v3 [-1] 0.031878 -368.597199 -7.842494 15.684987 -0.0 NaN 7.842494 14060 NASDAQ_micro caleb_strategy_v3 [-1] 3919.047687 -1226.063162 -0.63791 -14.671932 -15.947752 NaN -15.309842 14063 SOYBEAN caleb_strategy_v3 [1] 218.865576 131.359168 -5.711268 -57.112682 -68.535218 NaN -62.82395 14066 SOYOIL caleb_strategy_v3 [1] 13.959469 347.434429 -3.581798 100.290351 93.126754 NaN 96.708552 14059 SP500_micro caleb_strategy_v3 [-1] 707.033689 -1218.117345 -1.76795 -102.541083 -106.076982 NaN -104.309032 14067 SP500_micro caleb_strategy_v3 [-1] 707.033689 -1320.658428 -1.76795 -70.717988 -74.253887 NaN -72.485938 14068 CORN caleb_strategy_v3 [1] 99.82131 -488.372673 -12.522376 -50.089505 -75.134257 NaN -62.611881 14069 LIVECOW caleb_strategy_v3 [-1] 20.088178 -62.225654 -12.445131 -224.012354 -248.902615 NaN -236.457485 14074 MXP caleb_strategy_v3 [-1] 0.00779 -1020.517097 -6.418347 38.510079 25.673386 NaN 32.091733 14061 MXP caleb_strategy_v3 [-1] 0.00779 -879.313473 -6.418347 77.020158 64.183465 NaN 70.601812 14070 MXP caleb_strategy_v3 [-1] 0.00779 -1020.517097 -6.418347 38.510079 25.673386 NaN 32.091733 14055 AUD caleb_strategy_v3 [-1] 0.049856 -1664.796076 -10.028892 -40.115568 -60.173352 NaN -50.14446 14064 AUD caleb_strategy_v3 [-1] 0.049856 -1709.92609 -5.014446 NaN NaN NaN NaN 14072 AUD caleb_strategy_v3 [-1] 0.049856 -1709.92609 -5.014446 140.404488 130.375596 NaN 135.390042 14075 AUD caleb_strategy_v3 [-1] 0.049856 -1709.92609 -5.014446 100.28892 90.260028 NaN 95.274474 14077 AUD caleb_strategy_v3 [-1] 0.049856 -1709.92609 -5.014446 110.317812 100.28892 NaN 105.303366 14080 DOW caleb_strategy_v3 [-1] 4734.349298 -1066.672457 -2.112223 8.448891 4.224445 NaN 6.336668 14058 DOW caleb_strategy_v3 [-1] 4734.349298 -818.486292 -1.056111 NaN NaN NaN NaN 14065 DOW caleb_strategy_v3 [-1] 4734.349298 -954.724655 -2.112223 -2.112223 -6.336668 NaN -4.224445 14073 DOW caleb_strategy_v3 [-1] 4734.349298 -1051.886899 -2.112223 46.468899 42.244454 NaN 44.356676 14076 DOW caleb_strategy_v3 [-1] 4734.349298 -1051.886899 -2.112223 29.571118 25.346672 NaN 27.458895 14078 DOW caleb_strategy_v3 [-1] 4734.349298 -1051.886899 -2.112223 12.673336 8.448891 NaN 10.561113 14079 DOW caleb_strategy_v3 [-1] 4734.349298 -1051.886899 -2.112223 -14.785559 -19.010004 NaN -16.897782 14062 RUSSELL caleb_strategy_v3 [1] 479.074349 633.513359 -1.043679 NaN NaN NaN NaN 14071 RUSSELL caleb_strategy_v3 [1] 479.074349 467.568344 -2.087359 -146.115108 -150.289825 NaN -148.202466 ======================================================================================================================================================================== 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 14036 NIKKEI caleb_strategy_v3 [-1] 0.646929 -24.259833 -1.617322 -22.64251 -25.877155 NaN -24.259833 14037 NIKKEI caleb_strategy_v3 [-1] 0.646929 -46.902343 -1.617322 -0.0 -3.234644 NaN -1.617322 14038 NIKKEI caleb_strategy_v3 [-1] 0.646929 -50.136987 -1.617322 -3.234644 -6.469289 NaN -4.851967 14039 NIKKEI caleb_strategy_v3 [-1] 0.646929 -53.371632 -1.617322 3.234644 -0.0 NaN 1.617322 14040 NIKKEI caleb_strategy_v3 [-1] 0.646929 -53.371632 -1.617322 9.703933 6.469289 NaN 8.086611 14041 NIKKEI caleb_strategy_v3 [-1] 0.646929 -66.310209 -1.617322 22.64251 19.407866 NaN 21.025188 14042 NIKKEI caleb_strategy_v3 [-1] 0.646929 -82.483431 -1.617322 29.111799 25.877155 NaN 27.494477 14043 NIKKEI caleb_strategy_v3 [-1] 0.646929 -82.483431 -1.617322 22.64251 19.407866 NaN 21.025188 14045 BUND caleb_strategy_v3 [1] 1085.05 -189.88375 -5.42525 -32.5515 -43.402 NaN -37.97675 14046 OAT caleb_strategy_v3 [1] 1085.05 -130.206 -10.8505 43.402 21.701 NaN 32.5515 14047 BUXL caleb_strategy_v3 [-1] 1085.05 401.4685 -10.8505 21.701 -0.0 NaN 10.8505 14048 EUROSTX caleb_strategy_v3 [-1] 10.8505 -385.19275 -5.42525 10.8505 -0.0 NaN 5.42525 14049 DAX caleb_strategy_v3 [-1] 1.08505 -147.5668 -1.08505 -4.3402 -6.5103 NaN -5.42525 14044 DAX caleb_strategy_v3 [-1] 1.08505 -136.7163 -1.08505 -10.8505 -13.0206 NaN -11.93555 14050 GASOLINE caleb_strategy_v3 [-1] 42000.0 716.1 -10.5 117.6 96.6 NaN 107.1 14051 CRUDE_W caleb_strategy_v3 [-1] 1000.0 415.0 -5.0 30.0 20.0 NaN 25.0 14052 CANOLA caleb_strategy_v3 [-1] 14.50116 -47.12877 -2.175174 -1.450116 -5.800464 NaN -3.62529 14053 SP400 caleb_strategy_v3 [1] 100.0 1840.0 -40.0 1020.0 940.0 NaN 980.0 14054 JPY caleb_strategy_v3 [-1] 12500000.0 1171.875 -3.125 -0.0 -6.25 NaN -3.125 14056 CHF caleb_strategy_v3 [1] 125000.0 -1231.25 -6.25 112.5 100.0 NaN 106.25 14057 CAD caleb_strategy_v3 [-1] 100000.0 -117.5 -2.5 5.0 -0.0 NaN 2.5 14060 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -961.0 -0.5 -11.5 -12.5 NaN -12.0 14063 SOYBEAN caleb_strategy_v3 [1] 50.0 143.75 -6.25 -62.5 -75.0 NaN -68.75 14066 SOYOIL caleb_strategy_v3 [1] 600.0 291.0 -3.0 84.0 78.0 NaN 81.0 14059 SP500_micro caleb_strategy_v3 [-1] 5.0 -430.625 -0.625 -36.25 -37.5 NaN -36.875 14067 SP500_micro caleb_strategy_v3 [-1] 5.0 -466.875 -0.625 -25.0 -26.25 NaN -25.625 14068 CORN caleb_strategy_v3 [1] 50.0 -243.75 -6.25 -25.0 -37.5 NaN -31.25 14069 LIVECOW caleb_strategy_v3 [-1] 400.0 -50.0 -10.0 -180.0 -200.0 NaN -190.0 14074 MXP caleb_strategy_v3 [-1] 500000.0 -397.5 -2.5 15.0 10.0 NaN 12.5 14061 MXP caleb_strategy_v3 [-1] 500000.0 -342.5 -2.5 30.0 25.0 NaN 27.5 14070 MXP caleb_strategy_v3 [-1] 500000.0 -397.5 -2.5 15.0 10.0 NaN 12.5 14055 AUD caleb_strategy_v3 [-1] 100000.0 -830.0 -5.0 -20.0 -30.0 NaN -25.0 14064 AUD caleb_strategy_v3 [-1] 100000.0 -852.5 -2.5 NaN NaN NaN NaN 14072 AUD caleb_strategy_v3 [-1] 100000.0 -852.5 -2.5 70.0 65.0 NaN 67.5 14075 AUD caleb_strategy_v3 [-1] 100000.0 -852.5 -2.5 50.0 45.0 NaN 47.5 14077 AUD caleb_strategy_v3 [-1] 100000.0 -852.5 -2.5 55.0 50.0 NaN 52.5 14080 DOW caleb_strategy_v3 [-1] 0.5 -252.5 -0.5 2.0 1.0 NaN 1.5 14058 DOW caleb_strategy_v3 [-1] 0.5 -193.75 -0.25 NaN NaN NaN NaN 14065 DOW caleb_strategy_v3 [-1] 0.5 -226.0 -0.5 -0.5 -1.5 NaN -1.0 14073 DOW caleb_strategy_v3 [-1] 0.5 -249.0 -0.5 11.0 10.0 NaN 10.5 14076 DOW caleb_strategy_v3 [-1] 0.5 -249.0 -0.5 7.0 6.0 NaN 6.5 14078 DOW caleb_strategy_v3 [-1] 0.5 -249.0 -0.5 3.0 2.0 NaN 2.5 14079 DOW caleb_strategy_v3 [-1] 0.5 -249.0 -0.5 -3.5 -4.5 NaN -4.0 14062 RUSSELL caleb_strategy_v3 [1] 5.0 151.75 -0.25 NaN NaN NaN NaN 14071 RUSSELL caleb_strategy_v3 [1] 5.0 112.0 -0.5 -35.0 -36.0 NaN -35.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -4240.0 BUND -189.88375 BUXL 401.4685 CAD -117.5 CANOLA -47.12877 CHF -1231.25 CORN -243.75 CRUDE_W 415.0 DAX -284.2831 DOW -1668.25 EUROSTX -385.19275 GASOLINE 716.1 JPY 1171.875 LIVECOW -50.0 MXP -1137.5 NASDAQ_micro -961.0 NIKKEI -459.319496 OAT -130.206 RUSSELL 263.75 SOYBEAN 143.75 SOYOIL 291.0 SP400 1840.0 SP500_micro -897.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -6799.820366 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -15.0 BUND -5.42525 BUXL -10.8505 CAD -2.5 CANOLA -2.175174 CHF -6.25 CORN -6.25 CRUDE_W -5.0 DAX -2.1701 DOW -3.25 EUROSTX -5.42525 GASOLINE -10.5 JPY -3.125 LIVECOW -10.0 MXP -7.5 NASDAQ_micro -0.5 NIKKEI -12.938577 OAT -10.8505 RUSSELL -0.75 SOYBEAN -6.25 SOYOIL -3.0 SP400 -40.0 SP500_micro -1.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -170.960351 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 155.0 BUND -32.5515 BUXL 21.701 CAD 5.0 CANOLA -1.450116 CHF 112.5 CORN -25.0 CRUDE_W 30.0 DAX -15.1907 DOW 19.0 EUROSTX 10.8505 GASOLINE 117.6 JPY -0.0 LIVECOW -180.0 MXP 60.0 NASDAQ_micro -11.5 NIKKEI 61.458242 OAT 43.402 RUSSELL -35.0 SOYBEAN -62.5 SOYOIL 84.0 SP400 1020.0 SP500_micro -61.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1316.069426 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 130.0 BUND -43.402 BUXL -0.0 CAD -0.0 CANOLA -5.800464 CHF 100.0 CORN -37.5 CRUDE_W 20.0 DAX -19.5309 DOW 13.0 EUROSTX -0.0 GASOLINE 96.6 JPY -6.25 LIVECOW -200.0 MXP 45.0 NASDAQ_micro -12.5 NIKKEI 35.581088 OAT 21.701 RUSSELL -36.0 SOYBEAN -75.0 SOYOIL 78.0 SP400 940.0 SP500_micro -63.75 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 980.148724 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BUND 0 BUXL 0 CAD 0 CANOLA 0 CHF 0 CORN 0 CRUDE_W 0 DAX 0 DOW 0 EUROSTX 0 GASOLINE 0 JPY 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 OAT 0 RUSSELL 0 SOYBEAN 0 SOYOIL 0 SP400 0 SP500_micro 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 AUD 142.5 BUND -37.97675 BUXL 10.8505 CAD 2.5 CANOLA -3.62529 CHF 106.25 CORN -31.25 CRUDE_W 25.0 DAX -17.3608 DOW 16.0 EUROSTX 5.42525 GASOLINE 107.1 JPY -3.125 LIVECOW -190.0 MXP 52.5 NASDAQ_micro -12.0 NIKKEI 48.519665 OAT 32.5515 RUSSELL -35.5 SOYBEAN -68.75 SOYOIL 81.0 SP400 980.0 SP500_micro -62.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 1148.109075 ******************************************************************************** END OF REPORT ********************************************************************************