******************************************************************************** Trades report produced on 25/07/2024 21:38 from 24/07/2024 21:38 to 25/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14104 AUD caleb_strategy_v3 [20240900] 2024-07-25 14:18:33.000 [-1] 0.65515 14090 BOBL caleb_strategy_v3 [20240900] 2024-07-25 07:00:31.000 [1] 116.86000 14089 BTP caleb_strategy_v3 [20240900] 2024-07-25 07:00:31.000 [1] 117.71000 14110 CAD caleb_strategy_v3 [20240900] 2024-07-25 14:21:09.000 [-1] 0.72465 14102 CAD caleb_strategy_v3 [20240900] 2024-07-25 14:18:31.000 [-1] 0.72455 14107 CHF caleb_strategy_v3 [20240900] 2024-07-25 14:21:04.000 [1] 1.14340 14094 COPPER caleb_strategy_v3 [20240900] 2024-07-25 13:22:59.000 [-1] 4.11400 14132 CORN caleb_strategy_v3 [20241200] 2024-07-25 14:40:14.000 [1] 422.50000 14129 CORN caleb_strategy_v3 [20241200] 2024-07-25 14:35:44.000 [1] 422.25000 14092 CRUDE_W caleb_strategy_v3 [20241200] 2024-07-25 13:10:41.000 [-1] 74.11000 14115 DOW caleb_strategy_v3 [20240900] 2024-07-25 14:22:09.000 [-1] 40289.00000 14103 DOW caleb_strategy_v3 [20240900] 2024-07-25 14:18:32.000 [-1] 40291.00000 14111 DOW caleb_strategy_v3 [20240900] 2024-07-25 14:21:10.000 [-1] 40305.00000 14095 GASOLINE caleb_strategy_v3 [20241000] 2024-07-25 13:23:00.000 [-1] 2.20410 14091 GAS_US_mini caleb_strategy_v3 [20241000] 2024-07-25 19:45:23.935 [0] NaN 14099 GAS_US_mini caleb_strategy_v3 [20241000] 2024-07-25 13:28:33.000 [-1] 2.22500 14097 GAS_US_mini caleb_strategy_v3 [20241000] 2024-07-25 13:27:33.000 [-1] 2.22500 14100 GAS_US_mini caleb_strategy_v3 [20241000] 2024-07-25 13:29:33.000 [-1] 2.22500 14098 GOLD_micro caleb_strategy_v3 [20241000] 2024-07-25 13:27:34.000 [1] 2392.80000 14093 GOLD_micro caleb_strategy_v3 [20241000] 2024-07-25 13:20:14.000 [1] 2395.70000 14096 HEATOIL caleb_strategy_v3 [20241000] 2024-07-25 13:27:29.000 [1] 2.45610 14128 LEANHOG caleb_strategy_v3 [20241000] 2024-07-25 14:30:10.000 [1] 77.05000 14108 MXP caleb_strategy_v3 [20240900] 2024-07-25 14:21:05.000 [-1] 0.05396 14117 MXP caleb_strategy_v3 [20240900] 2024-07-25 14:22:10.000 [-1] 0.05397 14113 MXP caleb_strategy_v3 [20240900] 2024-07-25 14:21:11.000 [-1] 0.05396 14120 MXP caleb_strategy_v3 [20240900] 2024-07-25 14:23:10.000 [-1] 0.05393 14105 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-25 14:18:34.000 [-1] 18973.25000 14082 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:02:17.000 [-1] 38020.00000 14083 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:03:18.000 [-1] 38005.00000 14084 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:04:19.000 [-1] 38000.00000 14085 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:05:18.000 [-1] 38005.00000 14086 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:06:29.000 [-1] 37985.00000 14081 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:01:17.000 [-1] 38030.00000 14088 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:08:43.000 [-1] 37995.00000 14087 NIKKEI caleb_strategy_v3 [20240900] 2024-07-25 02:07:19.000 [-1] 37990.00000 14130 SOYOIL caleb_strategy_v3 [20241200] 2024-07-25 14:37:00.000 [1] 43.86000 14118 SP500_micro caleb_strategy_v3 [20240900] 2024-07-25 14:23:08.000 [-1] 5450.25000 14109 SP500_micro caleb_strategy_v3 [20240900] 2024-07-25 14:21:09.000 [-1] 5451.25000 14101 SP500_micro caleb_strategy_v3 [20240900] 2024-07-25 19:45:24.039 [0] NaN 14125 SP500_micro caleb_strategy_v3 [20240900] 2024-07-25 14:26:09.000 [-1] 5457.50000 14123 SP500_micro caleb_strategy_v3 [20240900] 2024-07-25 14:25:09.000 [-1] 5459.25000 14114 SP500_micro caleb_strategy_v3 [20240900] 2024-07-25 14:22:09.000 [-1] 5452.00000 14121 SP500_micro caleb_strategy_v3 [20240900] 2024-07-25 14:24:08.000 [-1] 5454.00000 14126 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:26:09.000 [1] 19.20000 14112 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:21:10.000 [1] 19.30000 14116 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:22:10.000 [1] 19.30000 14119 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:23:09.000 [1] 19.30000 14122 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:24:09.000 [1] 19.25000 14106 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:18:35.000 [1] 19.35000 14127 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:27:09.000 [1] 19.20000 14124 VIX caleb_strategy_v3 [20241000] 2024-07-25 14:25:09.000 [1] 19.20000 14131 WHEAT caleb_strategy_v3 [20241200] 2024-07-25 14:37:01.000 [-1] 564.25000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14081 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:01:17.182 2024-07-25 02:01:17.000 97277.182 NaN 14082 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:02:17.579 2024-07-25 02:02:17.000 97337.579 NaN 14083 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:03:17.931 2024-07-25 02:03:18.000 97397.931 NaN 14084 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:04:18.152 2024-07-25 02:04:19.000 97458.152 NaN 14085 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:05:18.277 2024-07-25 02:05:18.000 97518.277 NaN 14086 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:06:18.740 2024-07-25 02:06:29.000 97578.74 NaN 14087 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:07:19.241 2024-07-25 02:07:19.000 97639.241 NaN 14088 NIKKEI caleb_strategy_v3 2024-07-24 2024-07-25 03:08:19.253 2024-07-25 02:08:43.000 97699.253 NaN 14089 BTP caleb_strategy_v3 2024-07-24 2024-07-25 08:00:30.706 2024-07-25 07:00:31.000 115230.706 NaN 14090 BOBL caleb_strategy_v3 2024-07-24 2024-07-25 08:00:31.774 2024-07-25 07:00:31.000 115231.774 NaN 14092 CRUDE_W caleb_strategy_v3 2024-07-24 2024-07-25 14:10:41.334 2024-07-25 13:10:41.000 137441.334 NaN 14094 COPPER caleb_strategy_v3 2024-07-24 2024-07-25 14:20:15.010 2024-07-25 13:22:59.000 138015.01 NaN 14095 GASOLINE caleb_strategy_v3 2024-07-24 2024-07-25 14:22:59.878 2024-07-25 13:23:00.000 138179.878 NaN 14096 HEATOIL caleb_strategy_v3 2024-07-24 2024-07-25 14:23:01.646 2024-07-25 13:27:29.000 138181.646 NaN 14098 GOLD_micro caleb_strategy_v3 2024-07-24 2024-07-25 14:27:34.342 2024-07-25 13:27:34.000 138454.342 NaN 14093 GOLD_micro caleb_strategy_v3 2024-07-24 2024-07-25 14:10:42.342 2024-07-25 13:20:14.000 137442.342 NaN 14104 AUD caleb_strategy_v3 2024-07-19 2024-07-25 15:18:33.086 2024-07-25 14:18:33.000 573513.086 NaN 14105 NASDAQ_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:18:33.986 2024-07-25 14:18:34.000 141513.986 NaN 14107 CHF caleb_strategy_v3 2024-07-24 2024-07-25 15:18:36.090 2024-07-25 14:21:04.000 141516.09 NaN 14102 CAD caleb_strategy_v3 2024-07-24 2024-07-25 15:10:46.966 2024-07-25 14:18:31.000 141046.966 NaN 14110 CAD caleb_strategy_v3 2024-07-24 2024-07-25 15:21:09.765 2024-07-25 14:21:09.000 141669.765 NaN 14115 DOW caleb_strategy_v3 2024-07-24 2024-07-25 15:22:09.638 2024-07-25 14:22:09.000 141729.638 NaN 14111 DOW caleb_strategy_v3 2024-07-24 2024-07-25 15:21:10.361 2024-07-25 14:21:10.000 141670.361 NaN 14103 DOW caleb_strategy_v3 2024-07-24 2024-07-25 15:18:32.086 2024-07-25 14:18:32.000 141512.086 NaN 14120 MXP caleb_strategy_v3 2024-07-24 2024-07-25 15:23:10.159 2024-07-25 14:23:10.000 141790.159 NaN 14113 MXP caleb_strategy_v3 2024-07-24 2024-07-25 15:21:11.529 2024-07-25 14:21:11.000 141671.529 NaN 14108 MXP caleb_strategy_v3 2024-07-24 2024-07-25 15:21:04.958 2024-07-25 14:21:05.000 141664.958 NaN 14117 MXP caleb_strategy_v3 2024-07-24 2024-07-25 15:22:10.661 2024-07-25 14:22:10.000 141730.661 NaN 14112 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:21:10.928 2024-07-25 14:21:10.000 141670.928 NaN 14116 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:22:10.261 2024-07-25 14:22:10.000 141730.261 NaN 14119 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:23:09.531 2024-07-25 14:23:09.000 141789.531 NaN 14122 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:24:09.509 2024-07-25 14:24:09.000 141849.509 NaN 14124 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:25:09.791 2024-07-25 14:25:09.000 141909.791 NaN 14126 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:26:09.846 2024-07-25 14:26:09.000 141969.846 NaN 14127 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:27:09.215 2024-07-25 14:27:09.000 142029.215 NaN 14106 VIX caleb_strategy_v3 2024-07-24 2024-07-25 15:18:35.182 2024-07-25 14:18:35.000 141515.182 NaN 14128 LEANHOG caleb_strategy_v3 2024-07-24 2024-07-25 15:30:10.646 2024-07-25 14:30:10.000 142210.646 NaN 14130 SOYOIL caleb_strategy_v3 2024-07-24 2024-07-25 15:35:45.276 2024-07-25 14:37:00.000 142545.276 NaN 14131 WHEAT caleb_strategy_v3 2024-07-24 2024-07-25 15:37:01.449 2024-07-25 14:37:01.000 142621.449 NaN 14129 CORN caleb_strategy_v3 2024-07-24 2024-07-25 15:30:11.970 2024-07-25 14:35:44.000 142211.97 NaN 14132 CORN caleb_strategy_v3 2024-07-24 2024-07-25 15:37:05.593 2024-07-25 14:40:14.000 142625.593 NaN 14114 SP500_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:22:09.023 2024-07-25 14:22:09.000 141729.023 NaN 14118 SP500_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:23:08.915 2024-07-25 14:23:08.000 141788.915 NaN 14121 SP500_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:24:08.944 2024-07-25 14:24:08.000 141848.944 NaN 14123 SP500_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:25:09.208 2024-07-25 14:25:09.000 141909.208 NaN 14125 SP500_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:26:09.229 2024-07-25 14:26:09.000 141969.229 NaN 14101 SP500_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:00:46.182 2024-07-25 19:45:24.039 140446.182 17077.857 14109 SP500_micro caleb_strategy_v3 2024-07-24 2024-07-25 15:21:08.953 2024-07-25 14:21:09.000 141668.953 NaN 14099 GAS_US_mini caleb_strategy_v3 2024-07-24 2024-07-25 14:28:32.949 2024-07-25 13:28:33.000 138512.949 NaN 14097 GAS_US_mini caleb_strategy_v3 2024-07-24 2024-07-25 14:27:33.050 2024-07-25 13:27:33.000 138453.05 NaN 14091 GAS_US_mini caleb_strategy_v3 2024-07-24 2024-07-25 14:00:40.506 2024-07-25 19:45:23.935 136840.506 20683.429 14100 GAS_US_mini caleb_strategy_v3 2024-07-24 2024-07-25 14:29:33.456 2024-07-25 13:29:33.000 138573.456 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 14081 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 37997.5 37995.0 38000.0 38000.0 38030.0 -162.5 -2.5 35.0 30.0 NaN 32.5 14082 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 37997.5 37995.0 38000.0 38000.0 38020.0 -162.5 -2.5 25.0 20.0 NaN 22.5 14083 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 38002.5 38000.0 38005.0 38005.0 38005.0 -157.5 -2.5 5.0 -0.0 NaN 2.5 14084 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 38002.5 38000.0 38005.0 38005.0 38000.0 -157.5 -2.5 -0.0 -5.0 NaN -2.5 14085 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 37997.5 37995.0 38000.0 38000.0 38005.0 -162.5 -2.5 10.0 5.0 NaN 7.5 14086 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 38002.5 38000.0 38005.0 38005.0 37985.0 -157.5 -2.5 -15.0 -20.0 NaN -17.5 14087 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 37987.5 37985.0 37990.0 37990.0 37990.0 -172.5 -2.5 5.0 -0.0 NaN 2.5 14088 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 37992.5 37990.0 37995.0 37995.0 37995.0 -167.5 -2.5 5.0 -0.0 NaN 2.5 14089 BTP caleb_strategy_v3 [1] 117.71 None 117.715 117.72 117.71 117.71 117.71 -0.005 -0.005 0.01 0.0 NaN 0.005 14090 BOBL caleb_strategy_v3 [1] 116.69 None 116.865 116.87 116.86 116.86 116.86 -0.175 -0.005 0.01 0.0 NaN 0.005 14092 CRUDE_W caleb_strategy_v3 [-1] 75.08 None 74.09 74.08 74.1 74.1 74.11 -0.99 -0.01 0.03 0.01 NaN 0.02 14094 COPPER caleb_strategy_v3 [-1] 4.084 None 4.115 4.1145 4.1155 4.1155 4.114 0.031 -0.0005 -0.0005 -0.0015 NaN -0.001 14095 GASOLINE caleb_strategy_v3 [-1] 2.2218 None 2.2021 2.2019 2.2023 2.2023 2.2041 -0.0197 -0.0002 0.0022 0.0018 NaN 0.002 14096 HEATOIL caleb_strategy_v3 [1] 2.4789 None 2.45415 2.4543 2.454 2.454 2.4561 0.02475 -0.00015 -0.0018 -0.0021 NaN -0.00195 14098 GOLD_micro caleb_strategy_v3 [1] 2433.1 None 2395.7 2395.9 2395.5 2395.5 2392.8 37.4 -0.2 3.1 2.7 NaN 2.9 14093 GOLD_micro caleb_strategy_v3 [1] 2433.1 None 2393.35 2393.5 2393.2 2393.2 2395.7 39.75 -0.15 -2.2 -2.5 NaN -2.35 14104 AUD caleb_strategy_v3 [-1] 0.6693 None 0.654675 0.65465 0.6547 0.6547 0.65515 -0.014625 -0.000025 0.0005 0.00045 NaN 0.000475 14105 NASDAQ_micro caleb_strategy_v3 [-1] 19233.0 None 18973.0 18972.75 18973.25 18973.25 18973.25 -260.0 -0.25 0.5 -0.0 NaN 0.25 14107 CHF caleb_strategy_v3 [1] 1.13615 None 1.1432 1.14325 1.14315 1.14315 1.1434 -0.00705 -0.00005 -0.00015 -0.00025 NaN -0.0002 14102 CAD caleb_strategy_v3 [-1] 0.72525 None 0.7249 0.72485 0.72495 0.72495 0.72455 -0.00035 -0.00005 -0.0003 -0.0004 NaN -0.00035 14110 CAD caleb_strategy_v3 [-1] 0.72525 None 0.724575 0.72455 0.7246 0.7246 0.72465 -0.000675 -0.000025 0.0001 0.00005 NaN 0.000075 14115 DOW caleb_strategy_v3 [-1] 40212.0 None 40262.0 40261.0 40263.0 40263.0 40289.0 50.0 -1.0 28.0 26.0 NaN 27.0 14111 DOW caleb_strategy_v3 [-1] 40212.0 None 40262.0 40261.0 40263.0 40263.0 40305.0 50.0 -1.0 44.0 42.0 NaN 43.0 14103 DOW caleb_strategy_v3 [-1] 40212.0 None 40262.0 40261.0 40263.0 40263.0 40291.0 50.0 -1.0 30.0 28.0 NaN 29.0 14120 MXP caleb_strategy_v3 [-1] 0.05395 None 0.053845 0.05384 0.05385 0.05385 0.05393 -0.000105 -0.000005 0.00009 0.00008 NaN 0.000085 14113 MXP caleb_strategy_v3 [-1] 0.05395 None 0.05383 0.05382 0.05384 0.05384 0.05396 -0.00012 -0.00001 0.00014 0.00012 NaN 0.00013 14108 MXP caleb_strategy_v3 [-1] 0.05395 None 0.05383 0.05382 0.05384 0.05384 0.05396 -0.00012 -0.00001 0.00014 0.00012 NaN 0.00013 14117 MXP caleb_strategy_v3 [-1] 0.05395 None 0.053835 0.05383 0.05384 NaN 0.05397 -0.000115 -0.000005 0.00014 NaN NaN 0.000135 14112 VIX caleb_strategy_v3 [1] 18.8 None 19.375 19.4 19.35 19.35 19.3 -0.575 -0.025 0.1 0.05 NaN 0.075 14116 VIX caleb_strategy_v3 [1] 18.8 None 19.375 19.4 19.35 19.35 19.3 -0.575 -0.025 0.1 0.05 NaN 0.075 14119 VIX caleb_strategy_v3 [1] 18.8 None 19.475 19.5 19.45 19.45 19.3 -0.675 -0.025 0.2 0.15 NaN 0.175 14122 VIX caleb_strategy_v3 [1] 18.8 None 19.525 19.55 19.5 19.5 19.25 -0.725 -0.025 0.3 0.25 NaN 0.275 14124 VIX caleb_strategy_v3 [1] 18.8 None 19.525 19.55 19.5 19.5 19.2 -0.725 -0.025 0.35 0.3 NaN 0.325 14126 VIX caleb_strategy_v3 [1] 18.8 None 19.475 19.5 19.45 19.45 19.2 -0.675 -0.025 0.3 0.25 NaN 0.275 14127 VIX caleb_strategy_v3 [1] 18.8 None 19.425 19.45 19.4 19.4 19.2 -0.625 -0.025 0.25 0.2 NaN 0.225 14106 VIX caleb_strategy_v3 [1] 18.8 None 19.375 19.4 19.35 19.35 19.35 -0.575 -0.025 0.05 0.0 NaN 0.025 14128 LEANHOG caleb_strategy_v3 [1] 78.05 None 77.4875 77.5 77.475 NaN 77.05 0.5625 -0.0125 0.45 NaN NaN 0.4375 14130 SOYOIL caleb_strategy_v3 [1] 43.98 None 43.805 43.81 43.8 43.8 43.86 0.175 -0.005 -0.05 -0.06 NaN -0.055 14131 WHEAT caleb_strategy_v3 [-1] 571.5 None 563.875 563.75 564.0 564.0 564.25 -7.625 -0.125 0.5 0.25 NaN 0.375 14129 CORN caleb_strategy_v3 [1] 417.75 None 421.875 422.0 421.75 421.75 422.25 -4.125 -0.125 -0.25 -0.5 NaN -0.375 14132 CORN caleb_strategy_v3 [1] 417.75 None 422.125 422.25 422.0 422.0 422.5 -4.375 -0.125 -0.25 -0.5 NaN -0.375 14114 SP500_micro caleb_strategy_v3 [-1] 5481.0 None 5436.625 5436.5 5436.75 5436.75 5452.0 -44.375 -0.125 15.5 15.25 NaN 15.375 14118 SP500_micro caleb_strategy_v3 [-1] 5481.0 None 5436.875 5436.75 5437.0 5437.0 5450.25 -44.125 -0.125 13.5 13.25 NaN 13.375 14121 SP500_micro caleb_strategy_v3 [-1] 5481.0 None 5436.875 5436.75 5437.0 5437.0 5454.0 -44.125 -0.125 17.25 17.0 NaN 17.125 14123 SP500_micro caleb_strategy_v3 [-1] 5481.0 None 5436.875 5436.75 5437.0 5437.0 5459.25 -44.125 -0.125 22.5 22.25 NaN 22.375 14125 SP500_micro caleb_strategy_v3 [-1] 5481.0 None 5436.875 5436.75 5437.0 5437.0 5457.5 -44.125 -0.125 20.75 20.5 NaN 20.625 14101 SP500_micro caleb_strategy_v3 [-1] 5481.0 None 5467.375 5467.25 5467.5 5467.5 NaN -13.625 -0.125 NaN NaN NaN NaN 14109 SP500_micro caleb_strategy_v3 [-1] 5481.0 None 5451.375 5451.25 5451.5 5451.5 5451.25 -29.625 -0.125 -0.0 -0.25 NaN -0.125 14099 GAS_US_mini caleb_strategy_v3 [-1] 2.27 None 2.2275 2.225 2.23 NaN 2.225 -0.0425 -0.0025 -0.0 NaN NaN -0.0025 14097 GAS_US_mini caleb_strategy_v3 [-1] 2.27 None 2.24 2.235 2.245 2.245 2.225 -0.03 -0.005 -0.01 -0.02 NaN -0.015 14091 GAS_US_mini caleb_strategy_v3 [-1] 2.27 None 2.2525 2.25 2.255 2.255 NaN -0.0175 -0.0025 NaN NaN NaN NaN 14100 GAS_US_mini caleb_strategy_v3 [-1] 2.27 None 2.2275 2.225 2.23 NaN 2.225 -0.0425 -0.0025 -0.0 NaN NaN -0.0025 ================================================================================================================================================================ 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 14081 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -213.448903 -3.283829 45.97361 39.405951 NaN 42.689781 14082 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -213.448903 -3.283829 32.838293 26.270634 NaN 29.554464 14083 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -206.881245 -3.283829 6.567659 -0.0 NaN 3.283829 14084 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -206.881245 -3.283829 -0.0 -6.567659 NaN -3.283829 14085 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -213.448903 -3.283829 13.135317 6.567659 NaN 9.851488 14086 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -206.881245 -3.283829 -19.702976 -26.270634 NaN -22.986805 14087 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -226.584221 -3.283829 6.567659 -0.0 NaN 3.283829 14088 NIKKEI caleb_strategy_v3 [-1] 7613.063241 -220.016562 -3.283829 6.567659 -0.0 NaN 3.283829 14089 BTP caleb_strategy_v3 [1] 8.659063 -5.774297 -5.774297 11.548594 0.0 NaN 5.774297 14090 BOBL caleb_strategy_v3 [1] 4.516177 -387.495907 -11.071312 22.142623 0.0 NaN 11.071312 14092 CRUDE_W caleb_strategy_v3 [-1] 15.392225 -643.181847 -6.496786 19.490359 6.496786 NaN 12.993573 14094 COPPER caleb_strategy_v3 [-1] 1.011995 306.325702 -4.940737 -4.940737 -14.822211 NaN -9.881474 14095 GASOLINE caleb_strategy_v3 [-1] 0.504526 -390.465659 -3.964118 43.605302 35.677065 NaN 39.641184 14096 HEATOIL caleb_strategy_v3 [1] 0.587241 421.462141 -2.554316 -30.651792 -35.760424 NaN -33.206108 14098 GOLD_micro caleb_strategy_v3 [1] 363.411718 1029.135774 -5.5034 85.302698 74.295898 NaN 79.799298 14093 GOLD_micro caleb_strategy_v3 [1] 363.411718 1093.800722 -4.12755 -60.537398 -68.792498 NaN -64.664948 14104 AUD caleb_strategy_v3 [-1] 0.049856 -2933.450916 -5.014446 100.28892 90.260028 NaN 95.274474 14105 NASDAQ_micro caleb_strategy_v3 [-1] 3919.047687 -663.426477 -0.63791 1.27582 -0.0 NaN 0.63791 14107 CHF caleb_strategy_v3 [1] 0.078842 -894.197057 -6.341823 -19.025469 -31.709115 NaN -25.367292 14102 CAD caleb_strategy_v3 [-1] 0.031878 -109.79491 -15.684987 -94.109923 -125.479897 NaN -109.79491 14110 CAD caleb_strategy_v3 [-1] 0.031878 -211.747327 -7.842494 31.369974 15.684987 NaN 23.527481 14115 DOW caleb_strategy_v3 [-1] 4734.349298 105.611134 -2.112223 59.142235 54.91779 NaN 57.030013 14111 DOW caleb_strategy_v3 [-1] 4734.349298 105.611134 -2.112223 92.937798 88.713353 NaN 90.825576 14103 DOW caleb_strategy_v3 [-1] 4734.349298 105.611134 -2.112223 63.366681 59.142235 NaN 61.254458 14120 MXP caleb_strategy_v3 [-1] 0.00779 -134.785277 -6.418347 115.530237 102.693544 NaN 109.111891 14113 MXP caleb_strategy_v3 [-1] 0.00779 -154.040317 -12.836693 179.713703 154.040317 NaN 166.87701 14108 MXP caleb_strategy_v3 [-1] 0.00779 -154.040317 -12.836693 179.713703 154.040317 NaN 166.87701 14117 MXP caleb_strategy_v3 [-1] 0.00779 -147.62197 -6.418347 179.713703 NaN NaN 173.295356 14112 VIX caleb_strategy_v3 [1] 6.24585 -920.611354 -40.026581 160.106322 80.053161 NaN 120.079742 14116 VIX caleb_strategy_v3 [1] 6.24585 -920.611354 -40.026581 160.106322 80.053161 NaN 120.079742 14119 VIX caleb_strategy_v3 [1] 6.24585 -1080.717677 -40.026581 320.212645 240.159484 NaN 280.186064 14122 VIX caleb_strategy_v3 [1] 6.24585 -1160.770838 -40.026581 480.318967 400.265806 NaN 440.292387 14124 VIX caleb_strategy_v3 [1] 6.24585 -1160.770838 -40.026581 560.372129 480.318967 NaN 520.345548 14126 VIX caleb_strategy_v3 [1] 6.24585 -1080.717677 -40.026581 480.318967 400.265806 NaN 440.292387 14127 VIX caleb_strategy_v3 [1] 6.24585 -1000.664516 -40.026581 400.265806 320.212645 NaN 360.239226 14106 VIX caleb_strategy_v3 [1] 6.24585 -920.611354 -40.026581 80.053161 0.0 NaN 40.026581 14128 LEANHOG caleb_strategy_v3 [1] 20.795861 270.486521 -6.010812 216.389216 NaN NaN 210.378405 14130 SOYOIL caleb_strategy_v3 [1] 13.959469 125.362938 -3.581798 -35.817982 -42.981579 NaN -39.399781 14131 WHEAT caleb_strategy_v3 [-1] 183.183869 -416.248441 -6.823745 27.29498 13.64749 NaN 20.471235 14129 CORN caleb_strategy_v3 [1] 99.82131 -413.238416 -12.522376 -25.044752 -50.089505 NaN -37.567129 14132 CORN caleb_strategy_v3 [1] 99.82131 -438.283168 -12.522376 -25.044752 -50.089505 NaN -37.567129 14114 SP500_micro caleb_strategy_v3 [-1] 707.033689 -627.622144 -1.76795 219.225763 215.689864 NaN 217.457813 14118 SP500_micro caleb_strategy_v3 [-1] 707.033689 -624.086245 -1.76795 190.938568 187.402668 NaN 189.170618 14121 SP500_micro caleb_strategy_v3 [-1] 707.033689 -624.086245 -1.76795 243.977059 240.44116 NaN 242.209109 14123 SP500_micro caleb_strategy_v3 [-1] 707.033689 -624.086245 -1.76795 318.230946 314.695047 NaN 316.462997 14125 SP500_micro caleb_strategy_v3 [-1] 707.033689 -624.086245 -1.76795 293.479651 289.943751 NaN 291.711701 14101 SP500_micro caleb_strategy_v3 [-1] 707.033689 -192.706518 -1.76795 NaN NaN NaN NaN 14109 SP500_micro caleb_strategy_v3 [-1] 707.033689 -419.004079 -1.76795 -0.0 -3.535899 NaN -1.76795 14099 GAS_US_mini caleb_strategy_v3 [-1] 1.478961 -287.363959 -16.903762 -0.0 NaN NaN -16.903762 14097 GAS_US_mini caleb_strategy_v3 [-1] 1.478961 -202.845148 -33.807525 -67.615049 -135.230098 NaN -101.422574 14091 GAS_US_mini caleb_strategy_v3 [-1] 1.478961 -118.326336 -16.903762 NaN NaN NaN NaN 14100 GAS_US_mini caleb_strategy_v3 [-1] 1.478961 -287.363959 -16.903762 -0.0 NaN NaN -16.903762 ========================================================================================================================================================================= 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 14081 NIKKEI caleb_strategy_v3 [-1] 0.646929 -105.125941 -1.617322 22.64251 19.407866 NaN 21.025188 14082 NIKKEI caleb_strategy_v3 [-1] 0.646929 -105.125941 -1.617322 16.173222 12.938577 NaN 14.5559 14083 NIKKEI caleb_strategy_v3 [-1] 0.646929 -101.891297 -1.617322 3.234644 -0.0 NaN 1.617322 14084 NIKKEI caleb_strategy_v3 [-1] 0.646929 -101.891297 -1.617322 -0.0 -3.234644 NaN -1.617322 14085 NIKKEI caleb_strategy_v3 [-1] 0.646929 -105.125941 -1.617322 6.469289 3.234644 NaN 4.851967 14086 NIKKEI caleb_strategy_v3 [-1] 0.646929 -101.891297 -1.617322 -9.703933 -12.938577 NaN -11.321255 14087 NIKKEI caleb_strategy_v3 [-1] 0.646929 -111.59523 -1.617322 3.234644 -0.0 NaN 1.617322 14088 NIKKEI caleb_strategy_v3 [-1] 0.646929 -108.360585 -1.617322 3.234644 -0.0 NaN 1.617322 14089 BTP caleb_strategy_v3 [1] 1085.05 -5.42525 -5.42525 10.8505 0.0 NaN 5.42525 14090 BOBL caleb_strategy_v3 [1] 1085.05 -189.88375 -5.42525 10.8505 0.0 NaN 5.42525 14092 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -990.0 -10.0 30.0 10.0 NaN 20.0 14094 COPPER caleb_strategy_v3 [-1] 25000.0 775.0 -12.5 -12.5 -37.5 NaN -25.0 14095 GASOLINE caleb_strategy_v3 [-1] 42000.0 -827.4 -8.4 92.4 75.6 NaN 84.0 14096 HEATOIL caleb_strategy_v3 [1] 42000.0 1039.5 -6.3 -75.6 -88.2 NaN -81.9 14098 GOLD_micro caleb_strategy_v3 [1] 10.0 374.0 -2.0 31.0 27.0 NaN 29.0 14093 GOLD_micro caleb_strategy_v3 [1] 10.0 397.5 -1.5 -22.0 -25.0 NaN -23.5 14104 AUD caleb_strategy_v3 [-1] 100000.0 -1462.5 -2.5 50.0 45.0 NaN 47.5 14105 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -520.0 -0.5 1.0 -0.0 NaN 0.5 14107 CHF caleb_strategy_v3 [1] 125000.0 -881.25 -6.25 -18.75 -31.25 NaN -25.0 14102 CAD caleb_strategy_v3 [-1] 100000.0 -35.0 -5.0 -30.0 -40.0 NaN -35.0 14110 CAD caleb_strategy_v3 [-1] 100000.0 -67.5 -2.5 10.0 5.0 NaN 7.5 14115 DOW caleb_strategy_v3 [-1] 0.5 25.0 -0.5 14.0 13.0 NaN 13.5 14111 DOW caleb_strategy_v3 [-1] 0.5 25.0 -0.5 22.0 21.0 NaN 21.5 14103 DOW caleb_strategy_v3 [-1] 0.5 25.0 -0.5 15.0 14.0 NaN 14.5 14120 MXP caleb_strategy_v3 [-1] 500000.0 -52.5 -2.5 45.0 40.0 NaN 42.5 14113 MXP caleb_strategy_v3 [-1] 500000.0 -60.0 -5.0 70.0 60.0 NaN 65.0 14108 MXP caleb_strategy_v3 [-1] 500000.0 -60.0 -5.0 70.0 60.0 NaN 65.0 14117 MXP caleb_strategy_v3 [-1] 500000.0 -57.5 -2.5 70.0 NaN NaN 67.5 14112 VIX caleb_strategy_v3 [1] 1000.0 -575.0 -25.0 100.0 50.0 NaN 75.0 14116 VIX caleb_strategy_v3 [1] 1000.0 -575.0 -25.0 100.0 50.0 NaN 75.0 14119 VIX caleb_strategy_v3 [1] 1000.0 -675.0 -25.0 200.0 150.0 NaN 175.0 14122 VIX caleb_strategy_v3 [1] 1000.0 -725.0 -25.0 300.0 250.0 NaN 275.0 14124 VIX caleb_strategy_v3 [1] 1000.0 -725.0 -25.0 350.0 300.0 NaN 325.0 14126 VIX caleb_strategy_v3 [1] 1000.0 -675.0 -25.0 300.0 250.0 NaN 275.0 14127 VIX caleb_strategy_v3 [1] 1000.0 -625.0 -25.0 250.0 200.0 NaN 225.0 14106 VIX caleb_strategy_v3 [1] 1000.0 -575.0 -25.0 50.0 0.0 NaN 25.0 14128 LEANHOG caleb_strategy_v3 [1] 400.0 225.0 -5.0 180.0 NaN NaN 175.0 14130 SOYOIL caleb_strategy_v3 [1] 600.0 105.0 -3.0 -30.0 -36.0 NaN -33.0 14131 WHEAT caleb_strategy_v3 [-1] 50.0 -381.25 -6.25 25.0 12.5 NaN 18.75 14129 CORN caleb_strategy_v3 [1] 50.0 -206.25 -6.25 -12.5 -25.0 NaN -18.75 14132 CORN caleb_strategy_v3 [1] 50.0 -218.75 -6.25 -12.5 -25.0 NaN -18.75 14114 SP500_micro caleb_strategy_v3 [-1] 5.0 -221.875 -0.625 77.5 76.25 NaN 76.875 14118 SP500_micro caleb_strategy_v3 [-1] 5.0 -220.625 -0.625 67.5 66.25 NaN 66.875 14121 SP500_micro caleb_strategy_v3 [-1] 5.0 -220.625 -0.625 86.25 85.0 NaN 85.625 14123 SP500_micro caleb_strategy_v3 [-1] 5.0 -220.625 -0.625 112.5 111.25 NaN 111.875 14125 SP500_micro caleb_strategy_v3 [-1] 5.0 -220.625 -0.625 103.75 102.5 NaN 103.125 14101 SP500_micro caleb_strategy_v3 [-1] 5.0 -68.125 -0.625 NaN NaN NaN NaN 14109 SP500_micro caleb_strategy_v3 [-1] 5.0 -148.125 -0.625 -0.0 -1.25 NaN -0.625 14099 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -106.25 -6.25 -0.0 NaN NaN -6.25 14097 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -75.0 -12.5 -25.0 -50.0 NaN -37.5 14091 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -43.75 -6.25 NaN NaN NaN NaN 14100 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -106.25 -6.25 -0.0 NaN NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -1462.5 BOBL -189.88375 BTP -5.42525 CAD -102.5 CHF -881.25 COPPER 775.0 CORN -425.0 CRUDE_W -990.0 DOW 75.0 GASOLINE -827.4 GAS_US_mini -331.25 GOLD_micro 771.5 HEATOIL 1039.5 LEANHOG 225.0 MXP -230.0 NASDAQ_micro -520.0 NIKKEI -841.007527 SOYOIL 105.0 SP500_micro -1320.625 VIX -5150.0 WHEAT -381.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -10667.091527 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 BOBL -5.42525 BTP -5.42525 CAD -7.5 CHF -6.25 COPPER -12.5 CORN -12.5 CRUDE_W -10.0 DOW -1.5 GASOLINE -8.4 GAS_US_mini -31.25 GOLD_micro -3.5 HEATOIL -6.3 LEANHOG -5.0 MXP -15.0 NASDAQ_micro -0.5 NIKKEI -12.938577 SOYOIL -3.0 SP500_micro -4.375 VIX -200.0 WHEAT -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -360.114077 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 50.0 BOBL 10.8505 BTP 10.8505 CAD -20.0 CHF -18.75 COPPER -12.5 CORN -25.0 CRUDE_W 30.0 DOW 51.0 GASOLINE 92.4 GAS_US_mini -25.0 GOLD_micro 9.0 HEATOIL -75.6 LEANHOG 180.0 MXP 255.0 NASDAQ_micro 1.0 NIKKEI 45.285021 SOYOIL -30.0 SP500_micro 447.5 VIX 1650.0 WHEAT 25.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 2651.036021 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 45.0 BOBL 0.0 BTP 0.0 CAD -35.0 CHF -31.25 COPPER -37.5 CORN -50.0 CRUDE_W 10.0 DOW 48.0 GASOLINE 75.6 GAS_US_mini -50.0 GOLD_micro 2.0 HEATOIL -88.2 LEANHOG 0 MXP 160.0 NASDAQ_micro -0.0 NIKKEI 19.407866 SOYOIL -36.0 SP500_micro 440.0 VIX 1250.0 WHEAT 12.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 1734.557866 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BOBL 0 BTP 0 CAD 0 CHF 0 COPPER 0 CORN 0 CRUDE_W 0 DOW 0 GASOLINE 0 GAS_US_mini 0 GOLD_micro 0 HEATOIL 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 SOYOIL 0 SP500_micro 0 VIX 0 WHEAT 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 47.5 BOBL 5.42525 BTP 5.42525 CAD -27.5 CHF -25.0 COPPER -25.0 CORN -37.5 CRUDE_W 20.0 DOW 49.5 GASOLINE 84.0 GAS_US_mini -50.0 GOLD_micro 5.5 HEATOIL -81.9 LEANHOG 175.0 MXP 240.0 NASDAQ_micro 0.5 NIKKEI 32.346443 SOYOIL -33.0 SP500_micro 443.75 VIX 1450.0 WHEAT 18.75 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 2297.796943 ******************************************************************************** END OF REPORT 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