******************************************************************************** Trades report produced on 29/07/2024 21:38 from 28/07/2024 21:38 to 29/07/2024 21:38 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14156 AUD caleb_strategy_v3 [20240900] 2024-07-29 14:00:50.000 [-1] 0.654450 14162 AUD caleb_strategy_v3 [20240900] 2024-07-29 14:07:39.000 [-1] 0.654500 14143 BTP caleb_strategy_v3 [20240900] 2024-07-29 19:45:11.146 [0] NaN 14144 BTP caleb_strategy_v3 [20240900] 2024-07-29 07:15:54.000 [1] 118.310000 14145 BTP caleb_strategy_v3 [20240900] 2024-07-29 07:15:59.000 [1] 118.310000 14147 CANOLA caleb_strategy_v3 [20250100] 2024-07-29 19:45:11.231 [0] NaN 14153 CANOLA caleb_strategy_v3 [20250100] 2024-07-29 13:21:39.000 [1] 648.100000 14142 DAX caleb_strategy_v3 [20240900] 2024-07-29 07:00:32.000 [-1] 18630.000000 14155 DOW caleb_strategy_v3 [20240900] 2024-07-29 14:00:49.000 [-1] 40832.000000 14150 GASOLINE caleb_strategy_v3 [20241100] 2024-07-29 13:13:55.000 [-1] 2.157100 14148 GAS_US_mini caleb_strategy_v3 [20241000] 2024-07-29 13:12:44.000 [-1] 2.205000 14163 GBP caleb_strategy_v3 [20240900] 2024-07-29 14:07:40.000 [-1] 1.284600 14158 GBP caleb_strategy_v3 [20240900] 2024-07-29 14:07:14.000 [-1] 1.284600 14149 GOLD_micro caleb_strategy_v3 [20241000] 2024-07-29 13:12:45.000 [-1] 2417.300000 14157 JPY caleb_strategy_v3 [20240900] 2024-07-29 14:00:51.000 [1] 0.006534 14179 LEANHOG caleb_strategy_v3 [20241000] 2024-07-29 14:37:01.000 [1] 74.775000 14180 LEANHOG caleb_strategy_v3 [20241000] 2024-07-29 14:37:05.000 [1] 74.775000 14159 MXP caleb_strategy_v3 [20240900] 2024-07-29 14:07:34.000 [-1] 0.053400 14164 MXP caleb_strategy_v3 [20240900] 2024-07-29 14:07:40.000 [-1] 0.053400 14166 MXP caleb_strategy_v3 [20240900] 2024-07-29 14:08:39.000 [-1] 0.053410 14168 MXP caleb_strategy_v3 [20240900] 2024-07-29 14:09:49.000 [-1] 0.053440 14137 NIKKEI caleb_strategy_v3 [20240900] 2024-07-29 02:01:18.000 [-1] 38555.000000 14138 NIKKEI caleb_strategy_v3 [20240900] 2024-07-29 02:02:17.000 [-1] 38560.000000 14139 NIKKEI caleb_strategy_v3 [20240900] 2024-07-29 02:03:17.000 [-1] 38570.000000 14140 NIKKEI caleb_strategy_v3 [20240900] 2024-07-29 02:04:17.000 [-1] 38575.000000 14141 NIKKEI caleb_strategy_v3 [20240900] 2024-07-29 02:05:17.000 [-1] 38570.000000 14151 OJ _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-29 13:15:56.000 [-1] 431.200000 14152 OJ _ROLL_PSEUDO_STRATEGY [20241100] 2024-07-29 13:16:40.000 [1] 428.200000 14146 PALLAD caleb_strategy_v3 [20240900] 2024-07-29 13:00:39.000 [-1] 898.500000 14178 SOYBEAN caleb_strategy_v3 [20241100] 2024-07-29 14:36:00.000 [1] 1021.000000 14160 SP500_micro caleb_strategy_v3 [20240900] 2024-07-29 14:07:35.000 [-1] 5517.000000 14169 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:10:39.000 [1] 18.500000 14172 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:15:04.000 [1] 18.500000 14173 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:20:08.000 [1] 18.500000 14174 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:24:44.000 [1] 18.500000 14175 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:24:47.000 [1] 18.500000 14167 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:09:39.000 [1] 18.500000 14165 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:08:39.000 [1] 18.500000 14161 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:07:38.000 [1] 18.500000 14154 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:00:48.000 [1] 18.500000 14177 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:35:59.000 [1] 18.550000 14176 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:25:47.000 [1] 18.500000 14170 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:11:40.000 [1] 18.500000 14171 VIX caleb_strategy_v3 [20241000] 2024-07-29 14:12:59.000 [1] 18.500000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14137 NIKKEI caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 03:01:17.134 2024-07-29 02:01:18.000 270077.134 NaN 14138 NIKKEI caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 03:02:17.065 2024-07-29 02:02:17.000 270137.065 NaN 14139 NIKKEI caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 03:03:17.147 2024-07-29 02:03:17.000 270197.147 NaN 14140 NIKKEI caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 03:04:17.630 2024-07-29 02:04:17.000 270257.63 NaN 14141 NIKKEI caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 03:05:17.719 2024-07-29 02:05:17.000 270317.719 NaN 14142 DAX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 08:00:32.102 2024-07-29 07:00:32.000 288032.102 NaN 14146 PALLAD caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 14:00:39.022 2024-07-29 13:00:39.000 309639.022 NaN 14148 GAS_US_mini caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 14:10:40.958 2024-07-29 13:12:44.000 310240.958 NaN 14149 GOLD_micro caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 14:12:45.054 2024-07-29 13:12:45.000 310365.054 NaN 14150 GASOLINE caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 14:12:46.042 2024-07-29 13:13:55.000 310366.042 NaN 14152 OJ _ROLL_PSEUDO_STRATEGY 2024-07-26 18:00:00 2024-07-29 14:15:57.402 2024-07-29 13:16:40.000 245757.402 NaN 14151 OJ _ROLL_PSEUDO_STRATEGY 2024-07-26 18:00:00 2024-07-29 14:13:56.306 2024-07-29 13:15:56.000 245636.306 NaN 14155 DOW caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:00:49.162 2024-07-29 14:00:49.000 313249.162 NaN 14157 JPY caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:00:51.074 2024-07-29 14:00:51.000 313251.074 NaN 14160 SP500_micro caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:07:35.146 2024-07-29 14:07:35.000 313655.146 NaN 14162 AUD caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:07:39.511 2024-07-29 14:07:39.000 313659.511 NaN 14156 AUD caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:00:50.070 2024-07-29 14:00:50.000 313250.07 NaN 14163 GBP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:07:40.136 2024-07-29 14:07:40.000 313660.136 NaN 14158 GBP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:00:52.066 2024-07-29 14:07:14.000 313252.066 NaN 14168 MXP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:09:40.111 2024-07-29 14:09:49.000 313780.111 NaN 14164 MXP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:07:40.745 2024-07-29 14:07:40.000 313660.745 NaN 14166 MXP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:08:39.924 2024-07-29 14:08:39.000 313719.924 NaN 14159 MXP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:07:14.998 2024-07-29 14:07:34.000 313634.998 NaN 14176 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:25:47.936 2024-07-29 14:25:47.000 314747.936 NaN 14177 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:26:47.949 2024-07-29 14:35:59.000 314807.949 NaN 14154 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:00:47.590 2024-07-29 14:00:48.000 313247.59 NaN 14161 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:07:38.833 2024-07-29 14:07:38.000 313658.833 NaN 14165 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:08:39.449 2024-07-29 14:08:39.000 313719.449 NaN 14167 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:09:39.476 2024-07-29 14:09:39.000 313779.476 NaN 14169 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:10:39.659 2024-07-29 14:10:39.000 313839.659 NaN 14170 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:11:40.041 2024-07-29 14:11:40.000 313900.041 NaN 14171 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:12:40.133 2024-07-29 14:12:59.000 313960.133 NaN 14172 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:13:40.142 2024-07-29 14:15:04.000 314020.142 NaN 14173 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:15:08.440 2024-07-29 14:20:08.000 314108.44 NaN 14174 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:20:12.090 2024-07-29 14:24:44.000 314412.09 NaN 14175 VIX caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:24:47.912 2024-07-29 14:24:47.000 314687.912 NaN 14178 SOYBEAN caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:36:00.686 2024-07-29 14:36:00.000 315360.686 NaN 14179 LEANHOG caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:36:01.929 2024-07-29 14:37:01.000 315361.929 NaN 14180 LEANHOG caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 15:37:05.843 2024-07-29 14:37:05.000 315425.843 NaN 14153 CANOLA caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 14:16:44.295 2024-07-29 13:21:39.000 310604.295 NaN 14147 CANOLA caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 14:00:39.986 2024-07-29 19:45:11.231 309639.986 20671.245 14144 BTP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 08:10:37.479 2024-07-29 07:15:54.000 288637.479 NaN 14145 BTP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 08:15:57.940 2024-07-29 07:15:59.000 288957.94 NaN 14143 BTP caleb_strategy_v3 2024-07-26 00:00:00 2024-07-29 08:00:33.590 2024-07-29 19:45:11.146 288033.59 42277.556 ===================================================================================================================================================================================================================================== 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 14137 NIKKEI caleb_strategy_v3 [-1] 38190.0 None 38512.5 38510.0 38515.0 38515.0 38555.0 322.5 -2.5 45.0 40.0 NaN 42.5 14138 NIKKEI caleb_strategy_v3 [-1] 38190.0 None 38512.5 38510.0 38515.0 38515.0 38560.0 322.5 -2.5 50.0 45.0 NaN 47.5 14139 NIKKEI caleb_strategy_v3 [-1] 38190.0 None 38492.5 38490.0 38495.0 38495.0 38570.0 302.5 -2.5 80.0 75.0 NaN 77.5 14140 NIKKEI caleb_strategy_v3 [-1] 38190.0 None 38482.5 38480.0 38485.0 38485.0 38575.0 292.5 -2.5 95.0 90.0 NaN 92.5 14141 NIKKEI caleb_strategy_v3 [-1] 38190.0 None 38490.0 38485.0 38495.0 38495.0 38570.0 300.0 -5.0 85.0 75.0 NaN 80.0 14142 DAX caleb_strategy_v3 [-1] 18555.0 None 18620.0 18619.0 18621.0 18621.0 18630.0 65.0 -1.0 11.0 9.0 NaN 10.0 14146 PALLAD caleb_strategy_v3 [-1] 883.5 None 893.5 893.0 894.0 894.0 898.5 10.0 -0.5 5.5 4.5 NaN 5.0 14148 GAS_US_mini caleb_strategy_v3 [-1] 2.175 None 2.2175 2.215 2.22 2.22 2.205 0.0425 -0.0025 -0.01 -0.015 NaN -0.0125 14149 GOLD_micro caleb_strategy_v3 [-1] 2405.4 None 2415.95 2415.8 2416.1 2416.1 2417.3 10.55 -0.15 1.5 1.2 NaN 1.35 14150 GASOLINE caleb_strategy_v3 [-1] 2.1527 None 2.1566 2.1563 2.1569 2.1569 2.1571 0.0039 -0.0003 0.0008 0.0002 NaN 0.0005 14152 OJ _ROLL_PSEUDO_STRATEGY [1] 430.35 None 426.6 428.35 424.85 424.85 428.2 3.75 -1.75 0.15 -3.35 NaN -1.6 14151 OJ _ROLL_PSEUDO_STRATEGY [-1] 435.15 None 432.1 430.8 433.4 433.4 431.2 -3.05 -1.3 0.4 -2.2 NaN -0.9 14155 DOW caleb_strategy_v3 [-1] 40813.0 None 40672.5 40672.0 40673.0 40673.0 40832.0 -140.5 -0.5 160.0 159.0 NaN 159.5 14157 JPY caleb_strategy_v3 [1] 0.006554 None 0.006539 0.006539 0.006539 0.006539 0.006534 0.000015 -0.0 0.000005 0.000005 NaN 0.000005 14160 SP500_micro caleb_strategy_v3 [-1] 5489.0 None 5515.875 5515.75 5516.0 5516.0 5517.0 26.875 -0.125 1.25 1.0 NaN 1.125 14162 AUD caleb_strategy_v3 [-1] 0.65605 None 0.654175 0.65415 0.6542 0.6542 0.6545 -0.001875 -0.000025 0.00035 0.0003 NaN 0.000325 14156 AUD caleb_strategy_v3 [-1] 0.65605 None 0.654175 0.65415 0.6542 0.6542 0.65445 -0.001875 -0.000025 0.0003 0.00025 NaN 0.000275 14163 GBP caleb_strategy_v3 [-1] 1.2877 None 1.28455 1.2845 1.2846 1.2846 1.2846 -0.00315 -0.00005 0.0001 -0.0 NaN 0.00005 14158 GBP caleb_strategy_v3 [-1] 1.2877 None 1.28485 1.2848 1.2849 1.2849 1.2846 -0.00285 -0.00005 -0.0002 -0.0003 NaN -0.00025 14168 MXP caleb_strategy_v3 [-1] 0.0537 None 0.05343 0.05342 0.05344 0.05344 0.05344 -0.00027 -0.00001 0.00002 -0.0 NaN 0.00001 14164 MXP caleb_strategy_v3 [-1] 0.0537 None 0.05341 0.0534 0.05342 0.05342 0.0534 -0.00029 -0.00001 -0.0 -0.00002 NaN -0.00001 14166 MXP caleb_strategy_v3 [-1] 0.0537 None 0.053405 0.0534 0.05341 0.05341 0.05341 -0.000295 -0.000005 0.00001 -0.0 NaN 0.000005 14159 MXP caleb_strategy_v3 [-1] 0.0537 None 0.05343 0.05342 0.05344 0.05344 0.0534 -0.00027 -0.00001 -0.00002 -0.00004 NaN -0.00003 14176 VIX caleb_strategy_v3 [1] 18.75 None 18.525 18.55 18.5 18.5 18.5 0.225 -0.025 0.05 0.0 NaN 0.025 14177 VIX caleb_strategy_v3 [1] 18.75 None 18.525 18.55 18.5 18.5 18.55 0.225 -0.025 0.0 -0.05 NaN -0.025 14154 VIX caleb_strategy_v3 [1] 18.75 None 18.675 18.7 18.65 18.65 18.5 0.075 -0.025 0.2 0.15 NaN 0.175 14161 VIX caleb_strategy_v3 [1] 18.75 None 18.675 18.7 18.65 18.65 18.5 0.075 -0.025 0.2 0.15 NaN 0.175 14165 VIX caleb_strategy_v3 [1] 18.75 None 18.675 18.7 18.65 18.65 18.5 0.075 -0.025 0.2 0.15 NaN 0.175 14167 VIX caleb_strategy_v3 [1] 18.75 None 18.525 18.55 18.5 18.5 18.5 0.225 -0.025 0.05 0.0 NaN 0.025 14169 VIX caleb_strategy_v3 [1] 18.75 None 18.525 18.55 18.5 18.5 18.5 0.225 -0.025 0.05 0.0 NaN 0.025 14170 VIX caleb_strategy_v3 [1] 18.75 None 18.525 18.55 18.5 18.5 18.5 0.225 -0.025 0.05 0.0 NaN 0.025 14171 VIX caleb_strategy_v3 [1] 18.75 None 18.475 18.5 18.45 18.45 18.5 0.275 -0.025 0.0 -0.05 NaN -0.025 14172 VIX caleb_strategy_v3 [1] 18.75 None 18.475 18.5 18.45 18.45 18.5 0.275 -0.025 0.0 -0.05 NaN -0.025 14173 VIX caleb_strategy_v3 [1] 18.75 None 18.475 18.5 18.45 18.45 18.5 0.275 -0.025 0.0 -0.05 NaN -0.025 14174 VIX caleb_strategy_v3 [1] 18.75 None 18.475 18.5 18.45 18.45 18.5 0.275 -0.025 0.0 -0.05 NaN -0.025 14175 VIX caleb_strategy_v3 [1] 18.75 None 18.525 18.55 18.5 18.5 18.5 0.225 -0.025 0.05 0.0 NaN 0.025 14178 SOYBEAN caleb_strategy_v3 [1] 1046.5 None 1022.125 1022.25 1022.0 1022.0 1021.0 24.375 -0.125 1.25 1.0 NaN 1.125 14179 LEANHOG caleb_strategy_v3 [1] 78.15 None 74.8125 74.825 74.8 74.8 74.775 3.3375 -0.0125 0.05 0.025 NaN 0.0375 14180 LEANHOG caleb_strategy_v3 [1] 78.15 None 74.7875 74.8 74.775 74.775 74.775 3.3625 -0.0125 0.025 0.0 NaN 0.0125 14153 CANOLA caleb_strategy_v3 [1] 655.2 None 646.15 646.3 646.0 646.0 648.1 9.05 -0.15 -1.8 -2.1 NaN -1.95 14147 CANOLA caleb_strategy_v3 [1] 655.2 None 645.75 645.9 645.6 645.6 NaN 9.45 -0.15 NaN NaN NaN NaN 14144 BTP caleb_strategy_v3 [1] 118.02 None 118.195 118.2 118.19 118.19 118.31 -0.175 -0.005 -0.11 -0.12 NaN -0.115 14145 BTP caleb_strategy_v3 [1] 118.02 None 118.305 118.31 118.3 118.3 118.31 -0.285 -0.005 0.0 -0.01 NaN -0.005 14143 BTP caleb_strategy_v3 [1] 118.02 None 118.155 118.16 118.15 118.15 NaN -0.135 -0.005 NaN NaN NaN NaN ==================================================================================================================================================================== 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 14137 NIKKEI caleb_strategy_v3 [-1] 7610.136369 423.7769 -3.285092 59.13166 52.561476 NaN 55.846568 14138 NIKKEI caleb_strategy_v3 [-1] 7610.136369 423.7769 -3.285092 65.701845 59.13166 NaN 62.416753 14139 NIKKEI caleb_strategy_v3 [-1] 7610.136369 397.496162 -3.285092 105.122952 98.552767 NaN 101.83786 14140 NIKKEI caleb_strategy_v3 [-1] 7610.136369 384.355793 -3.285092 124.833505 118.263321 NaN 121.548413 14141 NIKKEI caleb_strategy_v3 [-1] 7610.136369 394.21107 -6.570184 111.693136 98.552767 NaN 105.122952 14142 DAX caleb_strategy_v3 [-1] 2331.83527 278.750394 -4.288468 47.173144 38.596208 NaN 42.884676 14146 PALLAD caleb_strategy_v3 [-1] 378.123275 264.464017 -13.223201 145.455209 119.008807 NaN 132.232008 14148 GAS_US_mini caleb_strategy_v3 [-1] 1.406992 302.062797 -17.7684 -71.073599 -106.610399 NaN -88.841999 14149 GOLD_micro caleb_strategy_v3 [-1] 364.196732 289.678601 -4.118653 41.186531 32.949225 NaN 37.067878 14150 GASOLINE caleb_strategy_v3 [-1] 0.502606 77.595619 -5.968894 15.91705 3.979263 NaN 9.948156 14152 OJ _ROLL_PSEUDO_STRATEGY [1] 150.082753 249.862155 -116.602339 9.994486 -223.210192 NaN -106.607853 14151 OJ _ROLL_PSEUDO_STRATEGY [-1] 150.082753 -203.221219 -86.61888 26.651963 -146.585798 NaN -59.966917 14155 DOW caleb_strategy_v3 [-1] 4835.391697 -290.565912 -1.034042 330.893566 328.825481 NaN 329.859523 14157 JPY caleb_strategy_v3 [1] 0.000647 235.760727 -3.86493 77.298599 69.568739 NaN 73.433669 14160 SP500_micro caleb_strategy_v3 [-1] 692.223433 388.241697 -1.805775 18.057753 14.446203 NaN 16.251978 14162 AUD caleb_strategy_v3 [-1] 0.050506 -371.244058 -4.949921 69.298891 59.399049 NaN 64.34897 14156 AUD caleb_strategy_v3 [-1] 0.050506 -371.244058 -4.949921 59.399049 49.499208 NaN 54.449128 14163 GBP caleb_strategy_v3 [-1] 0.076722 -410.571518 -6.517008 13.034016 -0.0 NaN 6.517008 14158 GBP caleb_strategy_v3 [-1] 0.076722 -371.469469 -6.517008 -26.068033 -39.102049 NaN -32.585041 14168 MXP caleb_strategy_v3 [-1] 0.007395 -365.121585 -13.523022 27.046043 -0.0 NaN 13.523022 14164 MXP caleb_strategy_v3 [-1] 0.007395 -392.167628 -13.523022 -0.0 -27.046043 NaN -13.523022 14166 MXP caleb_strategy_v3 [-1] 0.007395 -398.929139 -6.761511 13.523022 -0.0 NaN 6.761511 14159 MXP caleb_strategy_v3 [-1] 0.007395 -365.121585 -13.523022 -27.046043 -54.092087 NaN -40.569065 14176 VIX caleb_strategy_v3 [1] 6.775139 332.096523 -36.899614 73.799227 0.0 NaN 36.899614 14177 VIX caleb_strategy_v3 [1] 6.775139 332.096523 -36.899614 0.0 -73.799227 NaN -36.899614 14154 VIX caleb_strategy_v3 [1] 6.775139 110.698841 -36.899614 295.196909 221.397682 NaN 258.297295 14161 VIX caleb_strategy_v3 [1] 6.775139 110.698841 -36.899614 295.196909 221.397682 NaN 258.297295 14165 VIX caleb_strategy_v3 [1] 6.775139 110.698841 -36.899614 295.196909 221.397682 NaN 258.297295 14167 VIX caleb_strategy_v3 [1] 6.775139 332.096523 -36.899614 73.799227 0.0 NaN 36.899614 14169 VIX caleb_strategy_v3 [1] 6.775139 332.096523 -36.899614 73.799227 0.0 NaN 36.899614 14170 VIX caleb_strategy_v3 [1] 6.775139 332.096523 -36.899614 73.799227 0.0 NaN 36.899614 14171 VIX caleb_strategy_v3 [1] 6.775139 405.89575 -36.899614 0.0 -73.799227 NaN -36.899614 14172 VIX caleb_strategy_v3 [1] 6.775139 405.89575 -36.899614 0.0 -73.799227 NaN -36.899614 14173 VIX caleb_strategy_v3 [1] 6.775139 405.89575 -36.899614 0.0 -73.799227 NaN -36.899614 14174 VIX caleb_strategy_v3 [1] 6.775139 405.89575 -36.899614 0.0 -73.799227 NaN -36.899614 14175 VIX caleb_strategy_v3 [1] 6.775139 332.096523 -36.899614 73.799227 0.0 NaN 36.899614 14178 SOYBEAN caleb_strategy_v3 [1] 232.702943 1047.472786 -5.371655 53.716553 42.973242 NaN 48.344898 14179 LEANHOG caleb_strategy_v3 [1] 22.39391 1490.360582 -5.581875 22.327499 11.16375 NaN 16.745625 14180 LEANHOG caleb_strategy_v3 [1] 22.39391 1501.524332 -5.581875 11.16375 0.0 NaN 5.581875 14153 CANOLA caleb_strategy_v3 [1] 172.711086 523.996473 -8.685024 -104.220293 -121.590342 NaN -112.905317 14147 CANOLA caleb_strategy_v3 [1] 172.711086 547.156539 -8.685024 NaN NaN NaN NaN 14144 BTP caleb_strategy_v3 [1] 8.398828 -208.362397 -5.953211 -130.970649 -142.877072 NaN -136.923861 14145 BTP caleb_strategy_v3 [1] 8.398828 -339.333046 -5.953211 0.0 -11.906423 NaN -5.953211 14143 BTP caleb_strategy_v3 [1] 8.398828 -160.736706 -5.953211 NaN NaN NaN NaN ============================================================================================================================================================================= 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 14137 NIKKEI caleb_strategy_v3 [-1] 0.652084 210.297057 -1.63021 29.343775 26.083356 NaN 27.713566 14138 NIKKEI caleb_strategy_v3 [-1] 0.652084 210.297057 -1.63021 32.604195 29.343775 NaN 30.973985 14139 NIKKEI caleb_strategy_v3 [-1] 0.652084 197.255379 -1.63021 52.166712 48.906292 NaN 50.536502 14140 NIKKEI caleb_strategy_v3 [-1] 0.652084 190.73454 -1.63021 61.94797 58.687551 NaN 60.31776 14141 NIKKEI caleb_strategy_v3 [-1] 0.652084 195.625169 -3.260419 55.427131 48.906292 NaN 52.166712 14142 DAX caleb_strategy_v3 [-1] 1.08585 70.58025 -1.08585 11.94435 9.77265 NaN 10.8585 14146 PALLAD caleb_strategy_v3 [-1] 100.0 1000.0 -50.0 550.0 450.0 NaN 500.0 14148 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 106.25 -6.25 -25.0 -37.5 NaN -31.25 14149 GOLD_micro caleb_strategy_v3 [-1] 10.0 105.5 -1.5 15.0 12.0 NaN 13.5 14150 GASOLINE caleb_strategy_v3 [-1] 42000.0 163.8 -12.6 33.6 8.4 NaN 21.0 14152 OJ _ROLL_PSEUDO_STRATEGY [1] 150.0 562.5 -262.5 22.5 -502.5 NaN -240.0 14151 OJ _ROLL_PSEUDO_STRATEGY [-1] 150.0 -457.5 -195.0 60.0 -330.0 NaN -135.0 14155 DOW caleb_strategy_v3 [-1] 0.5 -70.25 -0.25 80.0 79.5 NaN 79.75 14157 JPY caleb_strategy_v3 [1] 12500000.0 190.625 -3.125 62.5 56.25 NaN 59.375 14160 SP500_micro caleb_strategy_v3 [-1] 5.0 134.375 -0.625 6.25 5.0 NaN 5.625 14162 AUD caleb_strategy_v3 [-1] 100000.0 -187.5 -2.5 35.0 30.0 NaN 32.5 14156 AUD caleb_strategy_v3 [-1] 100000.0 -187.5 -2.5 30.0 25.0 NaN 27.5 14163 GBP caleb_strategy_v3 [-1] 62500.0 -196.875 -3.125 6.25 -0.0 NaN 3.125 14158 GBP caleb_strategy_v3 [-1] 62500.0 -178.125 -3.125 -12.5 -18.75 NaN -15.625 14168 MXP caleb_strategy_v3 [-1] 500000.0 -135.0 -5.0 10.0 -0.0 NaN 5.0 14164 MXP caleb_strategy_v3 [-1] 500000.0 -145.0 -5.0 -0.0 -10.0 NaN -5.0 14166 MXP caleb_strategy_v3 [-1] 500000.0 -147.5 -2.5 5.0 -0.0 NaN 2.5 14159 MXP caleb_strategy_v3 [-1] 500000.0 -135.0 -5.0 -10.0 -20.0 NaN -15.0 14176 VIX caleb_strategy_v3 [1] 1000.0 225.0 -25.0 50.0 0.0 NaN 25.0 14177 VIX caleb_strategy_v3 [1] 1000.0 225.0 -25.0 0.0 -50.0 NaN -25.0 14154 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 200.0 150.0 NaN 175.0 14161 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 200.0 150.0 NaN 175.0 14165 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 200.0 150.0 NaN 175.0 14167 VIX caleb_strategy_v3 [1] 1000.0 225.0 -25.0 50.0 0.0 NaN 25.0 14169 VIX caleb_strategy_v3 [1] 1000.0 225.0 -25.0 50.0 0.0 NaN 25.0 14170 VIX caleb_strategy_v3 [1] 1000.0 225.0 -25.0 50.0 0.0 NaN 25.0 14171 VIX caleb_strategy_v3 [1] 1000.0 275.0 -25.0 0.0 -50.0 NaN -25.0 14172 VIX caleb_strategy_v3 [1] 1000.0 275.0 -25.0 0.0 -50.0 NaN -25.0 14173 VIX caleb_strategy_v3 [1] 1000.0 275.0 -25.0 0.0 -50.0 NaN -25.0 14174 VIX caleb_strategy_v3 [1] 1000.0 275.0 -25.0 0.0 -50.0 NaN -25.0 14175 VIX caleb_strategy_v3 [1] 1000.0 225.0 -25.0 50.0 0.0 NaN 25.0 14178 SOYBEAN caleb_strategy_v3 [1] 50.0 1218.75 -6.25 62.5 50.0 NaN 56.25 14179 LEANHOG caleb_strategy_v3 [1] 400.0 1335.0 -5.0 20.0 10.0 NaN 15.0 14180 LEANHOG caleb_strategy_v3 [1] 400.0 1345.0 -5.0 10.0 0.0 NaN 5.0 14153 CANOLA caleb_strategy_v3 [1] 14.466546 130.922242 -2.169982 -26.039783 -30.379747 NaN -28.209765 14147 CANOLA caleb_strategy_v3 [1] 14.466546 136.708861 -2.169982 NaN NaN NaN NaN 14144 BTP caleb_strategy_v3 [1] 1085.85 -190.02375 -5.42925 -119.4435 -130.302 NaN -124.87275 14145 BTP caleb_strategy_v3 [1] 1085.85 -309.46725 -5.42925 0.0 -10.8585 NaN -5.42925 14143 BTP caleb_strategy_v3 [1] 1085.85 -146.58975 -5.42925 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ 105.0 caleb_strategy_v3 AUD -375.0 BTP -646.08075 CANOLA 267.631103 DAX 70.58025 DOW -70.25 GASOLINE 163.8 GAS_US_mini 106.25 GBP -375.0 GOLD_micro 105.5 JPY 190.625 LEANHOG 2680.0 MXP -562.5 NIKKEI 1004.209202 PALLAD 1000.0 SOYBEAN 1218.75 SP500_micro 134.375 VIX 2675.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 105.0 caleb_strategy_v3 7587.889805 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -457.5 caleb_strategy_v3 AUD -5.0 BTP -16.28775 CANOLA -4.339964 DAX -1.08585 DOW -0.25 GASOLINE -12.6 GAS_US_mini -6.25 GBP -6.25 GOLD_micro -1.5 JPY -3.125 LEANHOG -10.0 MXP -17.5 NIKKEI -9.781258 PALLAD -50.0 SOYBEAN -6.25 SP500_micro -0.625 VIX -325.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -457.5 caleb_strategy_v3 -475.844822 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ 82.5 caleb_strategy_v3 AUD 65.0 BTP -119.4435 CANOLA -26.039783 DAX 11.94435 DOW 80.0 GASOLINE 33.6 GAS_US_mini -25.0 GBP -6.25 GOLD_micro 15.0 JPY 62.5 LEANHOG 30.0 MXP 5.0 NIKKEI 231.489783 PALLAD 550.0 SOYBEAN 62.5 SP500_micro 6.25 VIX 850.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 82.5 caleb_strategy_v3 1826.55085 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -832.5 caleb_strategy_v3 AUD 55.0 BTP -141.1605 CANOLA -30.379747 DAX 9.77265 DOW 79.5 GASOLINE 8.4 GAS_US_mini -37.5 GBP -18.75 GOLD_micro 12.0 JPY 56.25 LEANHOG 10.0 MXP -30.0 NIKKEI 211.927267 PALLAD 450.0 SOYBEAN 50.0 SP500_micro 5.0 VIX 200.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -832.5 caleb_strategy_v3 890.05967 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ 0 caleb_strategy_v3 AUD 0 BTP 0 CANOLA 0 DAX 0 DOW 0 GASOLINE 0 GAS_US_mini 0 GBP 0 GOLD_micro 0 JPY 0 LEANHOG 0 MXP 0 NIKKEI 0 PALLAD 0 SOYBEAN 0 SP500_micro 0 VIX 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 OJ -375.0 caleb_strategy_v3 AUD 60.0 BTP -130.302 CANOLA -28.209765 DAX 10.8585 DOW 79.75 GASOLINE 21.0 GAS_US_mini -31.25 GBP -12.5 GOLD_micro 13.5 JPY 59.375 LEANHOG 20.0 MXP -12.5 NIKKEI 221.708525 PALLAD 500.0 SOYBEAN 56.25 SP500_micro 5.625 VIX 525.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -375.0 caleb_strategy_v3 1358.30526 ******************************************************************************** END OF REPORT ********************************************************************************