******************************************************************************** Trades report produced on 06/09/2024 21:37 from 05/09/2024 21:37 to 06/09/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14653 AUD caleb_strategy_v3 [20241200] 2024-09-06 14:22:49.000 [-1] 0.67280 14658 AUD caleb_strategy_v3 [20241200] 2024-09-06 14:36:35.000 [-1] 0.67170 14644 CANOLA caleb_strategy_v3 [20250100] 2024-09-06 13:04:18.000 [1] 591.70000 14642 COCOA caleb_strategy_v3 [20241200] 2024-09-06 13:04:15.000 [-1] 7253.00000 14646 COTTON2 caleb_strategy_v3 [20241200] 2024-09-06 13:05:00.000 [1] 68.89000 14643 CRUDE_W caleb_strategy_v3 [20241200] 2024-09-06 13:04:16.000 [-1] 68.41000 14634 DAX caleb_strategy_v3 [20240900] 2024-09-06 19:45:23.140 [0] NaN 14636 DAX caleb_strategy_v3 [20240900] 2024-09-06 07:29:57.000 [-1] 18474.00000 14635 DAX caleb_strategy_v3 [20240900] 2024-09-06 07:29:54.000 [-1] 18470.00000 14633 DAX caleb_strategy_v3 [20240900] 2024-09-06 19:45:23.038 [0] NaN 14637 DAX caleb_strategy_v3 [20240900] 2024-09-06 07:30:58.000 [-1] 18469.00000 14638 DAX caleb_strategy_v3 [20240900] 2024-09-06 07:31:58.000 [-1] 18464.00000 14632 DAX caleb_strategy_v3 [20240900] 2024-09-06 07:01:34.000 [-1] 18572.00000 14672 DOW caleb_strategy_v3 [20240900] 2024-09-06 15:00:17.000 [-1] 40584.00000 14671 DOW caleb_strategy_v3 [20240900] 2024-09-06 15:00:13.000 [-1] 40570.00000 14669 DOW caleb_strategy_v3 [20240900] 2024-09-06 19:45:23.655 [0] NaN 14665 DOW caleb_strategy_v3 [20240900] 2024-09-06 19:45:23.553 [0] NaN 14656 DOW caleb_strategy_v3 [20240900] 2024-09-06 19:45:23.452 [0] NaN 14652 DOW caleb_strategy_v3 [20240900] 2024-09-06 19:45:23.350 [0] NaN 14651 EUR caleb_strategy_v3 [20241200] 2024-09-06 14:10:22.000 [-1] 1.11300 14639 GASOIL _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-06 08:01:12.000 [1] 665.50000 14640 GASOIL _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-06 08:01:14.000 [-1] 663.25000 14647 GAS_US_mini caleb_strategy_v3 [20241100] 2024-09-06 13:05:32.000 [-1] 2.59000 14645 GAS_US_mini caleb_strategy_v3 [20241100] 2024-09-06 13:04:53.000 [-1] 2.59500 14641 HEATOIL caleb_strategy_v3 [20250100] 2024-09-06 13:04:14.000 [-1] 2.20890 14622 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-06 19:45:22.829 [0] NaN 14624 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-06 02:11:25.000 [-1] 144.95000 14625 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-06 02:11:32.000 [1] 144.44000 14626 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-06 02:11:37.000 [-1] 144.95000 14628 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-06 02:19:42.000 [-1] 144.94000 14629 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-06 02:24:43.000 [1] 144.43000 14630 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-06 19:45:22.934 [0] NaN 14631 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-06 02:39:04.000 [1] 144.44000 14621 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20240900] 2024-09-06 02:00:21.000 [-1] 144.94000 14627 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-06 02:19:39.000 [1] 144.44000 14663 LEANHOG caleb_strategy_v3 [20241200] 2024-09-06 14:36:51.000 [1] 71.85000 14668 LEANHOG caleb_strategy_v3 [20241200] 2024-09-06 14:48:18.000 [1] 71.65000 14657 LIVECOW caleb_strategy_v3 [20241200] 2024-09-06 14:35:50.000 [-1] 176.92500 14666 MXP caleb_strategy_v3 [20241200] 2024-09-06 14:48:17.000 [-1] 0.04921 14648 MXP caleb_strategy_v3 [20241200] 2024-09-06 19:45:23.245 [0] NaN 14670 MXP caleb_strategy_v3 [20241200] 2024-09-06 15:00:04.000 [-1] 0.04918 14660 MXP caleb_strategy_v3 [20241200] 2024-09-06 14:36:40.000 [-1] 0.04925 14654 MXP caleb_strategy_v3 [20241200] 2024-09-06 14:23:09.000 [-1] 0.04934 14623 NIKKEI caleb_strategy_v3 [20241200] 2024-09-06 02:11:24.000 [1] 36480.00000 14659 REDWHEAT caleb_strategy_v3 [20241200] 2024-09-06 14:36:36.000 [1] 587.75000 14655 RUSSELL caleb_strategy_v3 [20240900] 2024-09-06 14:23:10.000 [1] 2123.90000 14662 RUSSELL caleb_strategy_v3 [20240900] 2024-09-06 14:36:50.000 [1] 2105.40000 14667 RUSSELL caleb_strategy_v3 [20240900] 2024-09-06 14:48:18.000 [1] 2105.10000 14649 RUSSELL caleb_strategy_v3 [20240900] 2024-09-06 14:10:14.000 [1] 2129.00000 14664 SOYBEAN caleb_strategy_v3 [20241100] 2024-09-06 14:36:52.000 [1] 1017.00000 14661 SOYMEAL caleb_strategy_v3 [20241200] 2024-09-06 14:36:49.000 [-1] 327.70000 14650 US30 caleb_strategy_v3 [20241200] 2024-09-06 14:10:15.000 [-1] 135.53125 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14623 NIKKEI caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 03:10:37.558 2024-09-06 02:11:24.000 97837.558 NaN 14640 GASOIL _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 09:01:13.798 2024-09-06 08:01:14.000 46873.798 NaN 14639 GASOIL _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 09:00:02.195 2024-09-06 08:01:12.000 46802.195 NaN 14641 HEATOIL caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 14:00:48.106 2024-09-06 13:04:14.000 136848.106 NaN 14642 COCOA caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 14:04:15.643 2024-09-06 13:04:15.000 137055.643 NaN 14643 CRUDE_W caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 14:04:16.890 2024-09-06 13:04:16.000 137056.89 NaN 14644 CANOLA caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 14:04:18.014 2024-09-06 13:04:18.000 137058.014 NaN 14646 COTTON2 caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 14:04:54.683 2024-09-06 13:05:00.000 137094.683 NaN 14645 GAS_US_mini caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 14:04:19.299 2024-09-06 13:04:53.000 137059.299 NaN 14647 GAS_US_mini caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 14:05:03.377 2024-09-06 13:05:32.000 137103.377 NaN 14650 US30 caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:10:15.828 2024-09-06 14:10:15.000 141015.828 NaN 14651 EUR caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:10:17.146 2024-09-06 14:10:22.000 141017.146 NaN 14657 LIVECOW caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:33:11.562 2024-09-06 14:35:50.000 142391.562 NaN 14658 AUD caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:35:50.577 2024-09-06 14:36:35.000 142550.577 NaN 14653 AUD caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:20:24.574 2024-09-06 14:22:49.000 141624.574 NaN 14659 REDWHEAT caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:36:36.581 2024-09-06 14:36:36.000 142596.581 NaN 14661 SOYMEAL caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:36:41.807 2024-09-06 14:36:49.000 142601.807 NaN 14664 SOYBEAN caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:36:52.746 2024-09-06 14:36:52.000 142612.746 NaN 14649 RUSSELL caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:10:14.698 2024-09-06 14:10:14.000 141014.698 NaN 14667 RUSSELL caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:48:18.251 2024-09-06 14:48:18.000 143298.251 NaN 14662 RUSSELL caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:36:50.369 2024-09-06 14:36:50.000 142610.369 NaN 14655 RUSSELL caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:23:09.957 2024-09-06 14:23:10.000 141789.957 NaN 14668 LEANHOG caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:48:18.713 2024-09-06 14:48:18.000 143298.713 NaN 14663 LEANHOG caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:36:51.518 2024-09-06 14:36:51.000 142611.518 NaN 14660 MXP caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:36:40.355 2024-09-06 14:36:40.000 142600.355 NaN 14666 MXP caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:46:57.223 2024-09-06 14:48:17.000 143217.223 NaN 14670 MXP caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:58:23.357 2024-09-06 15:00:04.000 143903.357 NaN 14648 MXP caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:00:13.430 2024-09-06 19:45:23.245 140413.43 17109.815 14654 MXP caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:23:09.289 2024-09-06 14:23:09.000 141789.289 NaN 14656 DOW caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:23:10.414 2024-09-06 19:45:23.452 141790.414 15733.038 14665 DOW caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:36:53.217 2024-09-06 19:45:23.553 142613.217 14910.336 14669 DOW caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:48:19.298 2024-09-06 19:45:23.655 143299.298 14224.357 14671 DOW caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 16:00:04.671 2024-09-06 15:00:13.000 144004.671 NaN 14672 DOW caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 16:00:17.209 2024-09-06 15:00:17.000 144017.209 NaN 14652 DOW caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 15:10:23.450 2024-09-06 19:45:23.350 141023.45 16499.9 14632 DAX caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 08:01:29.638 2024-09-06 07:01:34.000 115289.638 NaN 14633 DAX caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 08:02:29.409 2024-09-06 19:45:23.038 115349.409 42173.629 14634 DAX caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 08:12:39.930 2024-09-06 19:45:23.140 115959.93 41563.21 14635 DAX caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 08:22:43.568 2024-09-06 07:29:54.000 116563.568 NaN 14636 DAX caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 08:29:57.669 2024-09-06 07:29:57.000 116997.669 NaN 14637 DAX caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 08:30:57.914 2024-09-06 07:30:58.000 117057.914 NaN 14638 DAX caleb_strategy_v3 2024-09-05 00:00:00 2024-09-06 08:31:57.889 2024-09-06 07:31:58.000 117117.889 NaN 14624 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:11:25.039 2024-09-06 02:11:25.000 25885.039 NaN 14625 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:11:25.654 2024-09-06 02:11:32.000 25885.654 NaN 14626 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:11:37.669 2024-09-06 02:11:37.000 25897.669 NaN 14627 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:11:38.277 2024-09-06 02:19:39.000 25898.277 NaN 14628 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:19:42.458 2024-09-06 02:19:42.000 26382.458 NaN 14629 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:19:43.246 2024-09-06 02:24:43.000 26383.246 NaN 14630 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:24:46.859 2024-09-06 19:45:22.934 26686.859 58836.075 14631 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:34:50.287 2024-09-06 02:39:04.000 27290.287 NaN 14621 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:00:20.454 2024-09-06 02:00:21.000 25220.454 NaN 14622 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2024-09-05 20:00:00 2024-09-06 03:00:23.862 2024-09-06 19:45:22.829 25223.862 60298.967 ======================================================================================================================================================================================================================================= 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 14623 NIKKEI caleb_strategy_v3 [1] 36680.0 None 36475.0 36480.0 36470.0 36470.0 36480.0 205.0 -5.0 0.0 -10.0 NaN -5.0 14640 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 662.5 None 663.25 663.0 663.5 663.5 663.25 0.75 -0.25 0.25 -0.25 NaN 0.0 14639 GASOIL _ROLL_PSEUDO_STRATEGY [1] 664.75 None 665.125 665.25 665.0 665.0 665.5 -0.375 -0.125 -0.25 -0.5 NaN -0.375 14641 HEATOIL caleb_strategy_v3 [-1] 2.2071 None 2.2115 2.2111 2.2119 2.2119 2.2089 0.0044 -0.0004 -0.0022 -0.003 NaN -0.0026 14642 COCOA caleb_strategy_v3 [-1] 7091.0 None 7230.0 7223.0 7237.0 7237.0 7253.0 139.0 -7.0 30.0 16.0 NaN 23.0 14643 CRUDE_W caleb_strategy_v3 [-1] 68.12 None 68.375 68.37 68.38 NaN 68.41 0.255 -0.005 0.04 NaN NaN 0.035 14644 CANOLA caleb_strategy_v3 [1] 600.3 None 593.65 593.8 593.5 593.5 591.7 6.65 -0.15 2.1 1.8 NaN 1.95 14646 COTTON2 caleb_strategy_v3 [1] 69.47 None 68.895 68.91 68.88 68.88 68.89 0.575 -0.015 0.02 -0.01 NaN 0.005 14645 GAS_US_mini caleb_strategy_v3 [-1] 2.58 None 2.5925 2.59 2.595 2.595 2.595 0.0125 -0.0025 0.005 -0.0 NaN 0.0025 14647 GAS_US_mini caleb_strategy_v3 [-1] 2.58 None 2.595 2.59 2.6 2.6 2.59 0.015 -0.005 -0.0 -0.01 NaN -0.005 14650 US30 caleb_strategy_v3 [-1] 135.6875 None 135.359375 135.34375 135.375 135.375 135.53125 -0.328125 -0.015625 0.1875 0.15625 NaN 0.171875 14651 EUR caleb_strategy_v3 [-1] 1.11515 None 1.11295 1.1129 1.113 1.113 1.113 -0.0022 -0.00005 0.0001 -0.0 NaN 0.00005 14657 LIVECOW caleb_strategy_v3 [-1] 176.675 None 177.2125 177.2 177.225 177.225 176.925 0.5375 -0.0125 -0.275 -0.3 NaN -0.2875 14658 AUD caleb_strategy_v3 [-1] 0.67465 None 0.67285 0.6728 0.6729 0.6729 0.6717 -0.0018 -0.00005 -0.0011 -0.0012 NaN -0.00115 14653 AUD caleb_strategy_v3 [-1] 0.67465 None 0.6729 0.67285 0.67295 0.67295 0.6728 -0.00175 -0.00005 -0.00005 -0.00015 NaN -0.0001 14659 REDWHEAT caleb_strategy_v3 [1] 588.0 None 588.625 588.75 588.5 588.5 587.75 -0.625 -0.125 1.0 0.75 NaN 0.875 14661 SOYMEAL caleb_strategy_v3 [-1] 326.9 None 327.65 327.6 327.7 327.7 327.7 0.75 -0.05 0.1 -0.0 NaN 0.05 14664 SOYBEAN caleb_strategy_v3 [1] 1024.25 None 1017.375 1017.5 1017.25 1017.25 1017.0 6.875 -0.125 0.5 0.25 NaN 0.375 14649 RUSSELL caleb_strategy_v3 [1] 2139.9 None 2133.3 2133.4 2133.2 2133.2 2129.0 6.6 -0.1 4.4 4.2 NaN 4.3 14667 RUSSELL caleb_strategy_v3 [1] 2139.9 None 2133.3 2133.4 2133.2 2133.2 2105.1 6.6 -0.1 28.3 28.1 NaN 28.2 14662 RUSSELL caleb_strategy_v3 [1] 2139.9 None 2133.3 2133.4 2133.2 2133.2 2105.4 6.6 -0.1 28.0 27.8 NaN 27.9 14655 RUSSELL caleb_strategy_v3 [1] 2139.9 None 2133.3 2133.4 2133.2 2133.2 2123.9 6.6 -0.1 9.5 9.3 NaN 9.4 14668 LEANHOG caleb_strategy_v3 [1] 72.025 None 71.8875 71.9 71.875 71.875 71.65 0.1375 -0.0125 0.25 0.225 NaN 0.2375 14663 LEANHOG caleb_strategy_v3 [1] 72.025 None 71.8875 71.9 71.875 71.875 71.85 0.1375 -0.0125 0.05 0.025 NaN 0.0375 14660 MXP caleb_strategy_v3 [-1] 0.04941 None 0.0493 0.04929 0.04931 0.04931 0.04925 -0.00011 -0.00001 -0.00004 -0.00006 NaN -0.00005 14666 MXP caleb_strategy_v3 [-1] 0.04941 None 0.049225 0.04922 0.04923 0.04923 0.04921 -0.000185 -0.000005 -0.00001 -0.00002 NaN -0.000015 14670 MXP caleb_strategy_v3 [-1] 0.04941 None 0.049215 0.04921 0.04922 0.04922 0.04918 -0.000195 -0.000005 -0.00003 -0.00004 NaN -0.000035 14648 MXP caleb_strategy_v3 [-1] 0.04941 None 0.04955 0.04954 0.04956 0.04956 NaN 0.00014 -0.00001 NaN NaN NaN NaN 14654 MXP caleb_strategy_v3 [-1] 0.04941 None 0.049415 0.04941 0.04942 0.04942 0.04934 0.000005 -0.000005 -0.00007 -0.00008 NaN -0.000075 14656 DOW caleb_strategy_v3 [-1] 40790.0 None 40858.0 40857.0 40859.0 40859.0 NaN 68.0 -1.0 NaN NaN NaN NaN 14665 DOW caleb_strategy_v3 [-1] 40790.0 None 40821.0 40820.0 40822.0 40822.0 NaN 31.0 -1.0 NaN NaN NaN NaN 14669 DOW caleb_strategy_v3 [-1] 40790.0 None 40603.5 40603.0 40604.0 40604.0 NaN -186.5 -0.5 NaN NaN NaN NaN 14671 DOW caleb_strategy_v3 [-1] 40790.0 None 40573.0 40572.0 40574.0 40574.0 40570.0 -217.0 -1.0 -2.0 -4.0 NaN -3.0 14672 DOW caleb_strategy_v3 [-1] 40790.0 None 40570.5 40570.0 40571.0 40571.0 40584.0 -219.5 -0.5 14.0 13.0 NaN 13.5 14652 DOW caleb_strategy_v3 [-1] 40790.0 None 40933.0 40932.0 40934.0 40934.0 NaN 143.0 -1.0 NaN NaN NaN NaN 14632 DAX caleb_strategy_v3 [-1] 18602.0 None 18573.5 18572.0 18575.0 18575.0 18572.0 -28.5 -1.5 -0.0 -3.0 NaN -1.5 14633 DAX caleb_strategy_v3 [-1] 18602.0 None 18568.0 18567.0 18569.0 18569.0 NaN -34.0 -1.0 NaN NaN NaN NaN 14634 DAX caleb_strategy_v3 [-1] 18602.0 None 18571.0 18570.0 18572.0 18572.0 NaN -31.0 -1.0 NaN NaN NaN NaN 14635 DAX caleb_strategy_v3 [-1] 18602.0 None 18520.0 18519.0 18521.0 18521.0 18470.0 -82.0 -1.0 -49.0 -51.0 NaN -50.0 14636 DAX caleb_strategy_v3 [-1] 18602.0 None 18471.0 18470.0 18472.0 18472.0 18474.0 -131.0 -1.0 4.0 2.0 NaN 3.0 14637 DAX caleb_strategy_v3 [-1] 18602.0 None 18471.0 18470.0 18472.0 18472.0 18469.0 -131.0 -1.0 -1.0 -3.0 NaN -2.0 14638 DAX caleb_strategy_v3 [-1] 18602.0 None 18440.5 18439.0 18442.0 18442.0 18464.0 -161.5 -1.5 25.0 22.0 NaN 23.5 14624 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 145.07 None 144.935 144.93 144.94 144.94 144.95 -0.135 -0.005 0.02 0.01 NaN 0.015 14625 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 144.47 None 144.405 144.42 144.39 144.39 144.44 0.065 -0.015 -0.02 -0.05 NaN -0.035 14626 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 145.07 None 144.935 144.93 144.94 144.94 144.95 -0.135 -0.005 0.02 0.01 NaN 0.015 14627 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 144.47 None 144.42 144.44 144.4 144.4 144.44 0.05 -0.02 0.0 -0.04 NaN -0.02 14628 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 145.07 None 144.935 144.93 144.94 144.94 144.94 -0.135 -0.005 0.01 -0.0 NaN 0.005 14629 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 144.47 None 144.425 144.45 144.4 144.4 144.43 0.045 -0.025 0.02 -0.03 NaN -0.005 14630 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 144.47 None 144.42 144.44 144.4 144.4 NaN 0.05 -0.02 NaN NaN NaN NaN 14631 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 144.47 None 144.41 144.43 144.39 144.39 144.44 0.06 -0.02 -0.01 -0.05 NaN -0.03 14621 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 145.07 None 144.935 144.93 144.94 144.94 144.94 -0.135 -0.005 0.01 -0.0 NaN 0.005 14622 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 144.47 None 144.39 144.4 144.38 144.38 NaN 0.08 -0.01 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 14623 NIKKEI caleb_strategy_v3 [1] 12990.85067 157.803369 -3.848863 0.0 -7.697725 NaN -3.848863 14640 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 194.411384 38.577988 -12.859329 12.859329 -12.859329 NaN 0.0 14639 GASOIL _ROLL_PSEUDO_STRATEGY [1] 194.411384 -19.288994 -6.429665 -12.859329 -25.718659 NaN -19.288994 14641 HEATOIL caleb_strategy_v3 [-1] 0.67671 65.020432 -5.910948 -32.510216 -44.332112 NaN -38.421164 14642 COCOA caleb_strategy_v3 [-1] 3747.097422 370.953793 -18.681126 80.06197 42.699717 NaN 61.380843 14643 CRUDE_W caleb_strategy_v3 [-1] 19.682465 129.556946 -2.540332 20.322658 NaN NaN 17.782326 14644 CANOLA caleb_strategy_v3 [1] 179.167883 371.160271 -8.372036 117.208507 100.464434 NaN 108.83647 14646 COTTON2 caleb_strategy_v3 [1] 17.245676 333.416906 -8.697832 11.59711 -5.798555 NaN 2.899277 14645 GAS_US_mini caleb_strategy_v3 [-1] 1.227886 101.80101 -20.360202 40.720404 -0.0 NaN 20.360202 14647 GAS_US_mini caleb_strategy_v3 [-1] 1.227886 122.161212 -40.720404 -0.0 -81.440808 NaN -40.720404 14650 US30 caleb_strategy_v3 [-1] 18.031937 -181.968807 -8.665181 103.982175 86.651813 NaN 95.316994 14651 EUR caleb_strategy_v3 [-1] 0.067309 -326.851159 -7.428435 14.856871 -0.0 NaN 7.428435 14657 LIVECOW caleb_strategy_v3 [-1] 23.697378 226.818342 -5.274845 -116.046593 -126.596284 NaN -121.321439 14658 AUD caleb_strategy_v3 [-1] 0.065628 -274.272378 -7.618677 -167.610897 -182.848252 NaN -175.229575 14653 AUD caleb_strategy_v3 [-1] 0.065628 -266.6537 -7.618677 -7.618677 -22.856031 NaN -15.237354 14659 REDWHEAT caleb_strategy_v3 [1] 160.217436 -39.009487 -7.801897 62.415179 46.811385 NaN 54.613282 14661 SOYMEAL caleb_strategy_v3 [-1] 78.935602 95.014161 -6.334277 12.668555 -0.0 NaN 6.334277 14664 SOYBEAN caleb_strategy_v3 [1] 207.796208 330.853005 -6.015509 24.062037 12.031018 NaN 18.046528 14649 RUSSELL caleb_strategy_v3 [1] 482.507336 136.785485 -2.072507 91.190323 87.045309 NaN 89.117816 14667 RUSSELL caleb_strategy_v3 [1] 482.507336 136.785485 -2.072507 586.51958 582.374565 NaN 584.447072 14662 RUSSELL caleb_strategy_v3 [1] 482.507336 136.785485 -2.072507 580.302058 576.157043 NaN 578.22955 14655 RUSSELL caleb_strategy_v3 [1] 482.507336 136.785485 -2.072507 196.888198 192.743183 NaN 194.815691 14668 LEANHOG caleb_strategy_v3 [1] 18.65153 73.720494 -6.701863 134.037262 120.633536 NaN 127.335399 14663 LEANHOG caleb_strategy_v3 [1] 18.65153 73.720494 -6.701863 26.807452 13.403726 NaN 20.105589 14660 MXP caleb_strategy_v3 [-1] 0.007978 -137.881718 -12.534702 -50.138807 -75.20821 NaN -62.673508 14666 MXP caleb_strategy_v3 [-1] 0.007978 -231.891981 -6.267351 -12.534702 -25.069403 NaN -18.802053 14670 MXP caleb_strategy_v3 [-1] 0.007978 -244.426683 -6.267351 -37.604105 -50.138807 NaN -43.871456 14648 MXP caleb_strategy_v3 [-1] 0.007978 175.485824 -12.534702 NaN NaN NaN NaN 14654 MXP caleb_strategy_v3 [-1] 0.007978 6.267351 -6.267351 -87.742912 -100.277613 NaN -94.010263 14656 DOW caleb_strategy_v3 [-1] 4825.301157 140.923847 -2.07241 NaN NaN NaN NaN 14665 DOW caleb_strategy_v3 [-1] 4825.301157 64.244695 -2.07241 NaN NaN NaN NaN 14669 DOW caleb_strategy_v3 [-1] 4825.301157 -386.504373 -1.036205 NaN NaN NaN NaN 14671 DOW caleb_strategy_v3 [-1] 4825.301157 -449.712863 -2.07241 -4.144819 -8.289638 NaN -6.217229 14672 DOW caleb_strategy_v3 [-1] 4825.301157 -454.893887 -1.036205 29.013733 26.941324 NaN 27.977528 14652 DOW caleb_strategy_v3 [-1] 4825.301157 296.35456 -2.07241 NaN NaN NaN NaN 14632 DAX caleb_strategy_v3 [-1] 2467.97652 -115.479219 -6.077854 -0.0 -12.155707 NaN -6.077854 14633 DAX caleb_strategy_v3 [-1] 2467.97652 -137.764682 -4.051902 NaN NaN NaN NaN 14634 DAX caleb_strategy_v3 [-1] 2467.97652 -125.608975 -4.051902 NaN NaN NaN NaN 14635 DAX caleb_strategy_v3 [-1] 2467.97652 -332.255997 -4.051902 -198.543218 -206.647023 NaN -202.59512 14636 DAX caleb_strategy_v3 [-1] 2467.97652 -530.799215 -4.051902 16.20761 8.103805 NaN 12.155707 14637 DAX caleb_strategy_v3 [-1] 2467.97652 -530.799215 -4.051902 -4.051902 -12.155707 NaN -8.103805 14638 DAX caleb_strategy_v3 [-1] 2467.97652 -654.382239 -6.077854 101.29756 89.141853 NaN 95.219707 14624 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 5.316443 -253.929199 -9.404785 37.619141 18.80957 NaN 28.214355 14625 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 5.316443 122.262207 -28.214355 -37.619141 -94.047852 NaN -65.833496 14626 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 5.316443 -253.929199 -9.404785 37.619141 18.80957 NaN 28.214355 14627 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 5.316443 94.047852 -37.619141 0.0 -75.238281 NaN -37.619141 14628 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 5.316443 -253.929199 -9.404785 18.80957 -0.0 NaN 9.404785 14629 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 5.316443 84.643066 -47.023926 37.619141 -56.428711 NaN -9.404785 14630 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 5.316443 94.047852 -37.619141 NaN NaN NaN NaN 14631 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 5.316443 112.857422 -37.619141 -18.80957 -94.047852 NaN -56.428711 14621 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 5.316443 -253.929199 -9.404785 18.80957 -0.0 NaN 9.404785 14622 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 5.316443 150.476562 -18.80957 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 14623 NIKKEI caleb_strategy_v3 [1] 0.701159 143.737598 -3.505795 0.0 -7.01159 NaN -3.505795 14640 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100.0 75.0 -25.0 25.0 -25.0 NaN 0.0 14639 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100.0 -37.5 -12.5 -25.0 -50.0 NaN -37.5 14641 HEATOIL caleb_strategy_v3 [-1] 42000.0 184.8 -16.8 -92.4 -126.0 NaN -109.2 14642 COCOA caleb_strategy_v3 [-1] 10.0 1390.0 -70.0 300.0 160.0 NaN 230.0 14643 CRUDE_W caleb_strategy_v3 [-1] 1000.0 255.0 -5.0 40.0 NaN NaN 35.0 14644 CANOLA caleb_strategy_v3 [1] 14.814815 98.518519 -2.222222 31.111111 26.666667 NaN 28.888889 14646 COTTON2 caleb_strategy_v3 [1] 500.0 287.5 -7.5 10.0 -5.0 NaN 2.5 14645 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 31.25 -6.25 12.5 -0.0 NaN 6.25 14647 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 37.5 -12.5 -0.0 -25.0 NaN -12.5 14650 US30 caleb_strategy_v3 [-1] 1000.0 -328.125 -15.625 187.5 156.25 NaN 171.875 14651 EUR caleb_strategy_v3 [-1] 125000.0 -275.0 -6.25 12.5 -0.0 NaN 6.25 14657 LIVECOW caleb_strategy_v3 [-1] 400.0 215.0 -5.0 -110.0 -120.0 NaN -115.0 14658 AUD caleb_strategy_v3 [-1] 100000.0 -180.0 -5.0 -110.0 -120.0 NaN -115.0 14653 AUD caleb_strategy_v3 [-1] 100000.0 -175.0 -5.0 -5.0 -15.0 NaN -10.0 14659 REDWHEAT caleb_strategy_v3 [1] 50.0 -31.25 -6.25 50.0 37.5 NaN 43.75 14661 SOYMEAL caleb_strategy_v3 [-1] 100.0 75.0 -5.0 10.0 -0.0 NaN 5.0 14664 SOYBEAN caleb_strategy_v3 [1] 50.0 343.75 -6.25 25.0 12.5 NaN 18.75 14649 RUSSELL caleb_strategy_v3 [1] 5.0 33.0 -0.5 22.0 21.0 NaN 21.5 14667 RUSSELL caleb_strategy_v3 [1] 5.0 33.0 -0.5 141.5 140.5 NaN 141.0 14662 RUSSELL caleb_strategy_v3 [1] 5.0 33.0 -0.5 140.0 139.0 NaN 139.5 14655 RUSSELL caleb_strategy_v3 [1] 5.0 33.0 -0.5 47.5 46.5 NaN 47.0 14668 LEANHOG caleb_strategy_v3 [1] 400.0 55.0 -5.0 100.0 90.0 NaN 95.0 14663 LEANHOG caleb_strategy_v3 [1] 400.0 55.0 -5.0 20.0 10.0 NaN 15.0 14660 MXP caleb_strategy_v3 [-1] 500000.0 -55.0 -5.0 -20.0 -30.0 NaN -25.0 14666 MXP caleb_strategy_v3 [-1] 500000.0 -92.5 -2.5 -5.0 -10.0 NaN -7.5 14670 MXP caleb_strategy_v3 [-1] 500000.0 -97.5 -2.5 -15.0 -20.0 NaN -17.5 14648 MXP caleb_strategy_v3 [-1] 500000.0 70.0 -5.0 NaN NaN NaN NaN 14654 MXP caleb_strategy_v3 [-1] 500000.0 2.5 -2.5 -35.0 -40.0 NaN -37.5 14656 DOW caleb_strategy_v3 [-1] 0.5 34.0 -0.5 NaN NaN NaN NaN 14665 DOW caleb_strategy_v3 [-1] 0.5 15.5 -0.5 NaN NaN NaN NaN 14669 DOW caleb_strategy_v3 [-1] 0.5 -93.25 -0.25 NaN NaN NaN NaN 14671 DOW caleb_strategy_v3 [-1] 0.5 -108.5 -0.5 -1.0 -2.0 NaN -1.5 14672 DOW caleb_strategy_v3 [-1] 0.5 -109.75 -0.25 7.0 6.5 NaN 6.75 14652 DOW caleb_strategy_v3 [-1] 0.5 71.5 -0.5 NaN NaN NaN NaN 14632 DAX caleb_strategy_v3 [-1] 1.11145 -31.676325 -1.667175 -0.0 -3.33435 NaN -1.667175 14633 DAX caleb_strategy_v3 [-1] 1.11145 -37.7893 -1.11145 NaN NaN NaN NaN 14634 DAX caleb_strategy_v3 [-1] 1.11145 -34.45495 -1.11145 NaN NaN NaN NaN 14635 DAX caleb_strategy_v3 [-1] 1.11145 -91.1389 -1.11145 -54.46105 -56.68395 NaN -55.5725 14636 DAX caleb_strategy_v3 [-1] 1.11145 -145.59995 -1.11145 4.4458 2.2229 NaN 3.33435 14637 DAX caleb_strategy_v3 [-1] 1.11145 -145.59995 -1.11145 -1.11145 -3.33435 NaN -2.2229 14638 DAX caleb_strategy_v3 [-1] 1.11145 -179.499175 -1.667175 27.78625 24.4519 NaN 26.119075 14624 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 701.159016 -94.656467 -3.505795 14.02318 7.01159 NaN 10.517385 14625 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 701.159016 45.575336 -10.517385 -14.02318 -35.057951 NaN -24.540566 14626 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 701.159016 -94.656467 -3.505795 14.02318 7.01159 NaN 10.517385 14627 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 701.159016 35.057951 -14.02318 0.0 -28.046361 NaN -14.02318 14628 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 701.159016 -94.656467 -3.505795 7.01159 -0.0 NaN 3.505795 14629 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 701.159016 31.552156 -17.528975 14.02318 -21.03477 NaN -3.505795 14630 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 701.159016 35.057951 -14.02318 NaN NaN NaN NaN 14631 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 701.159016 42.069541 -14.02318 -7.01159 -35.057951 NaN -21.03477 14621 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 701.159016 -94.656467 -3.505795 7.01159 -0.0 NaN 3.505795 14622 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 701.159016 56.092721 -7.01159 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 37.5 JGB-SGX-mini -133.220213 caleb_strategy_v3 AUD -355.0 CANOLA 98.518519 COCOA 1390.0 COTTON2 287.5 CRUDE_W 255.0 DAX -665.75855 DOW -190.5 EUR -275.0 GAS_US_mini 68.75 HEATOIL 184.8 LEANHOG 110.0 LIVECOW 215.0 MXP -172.5 NIKKEI 143.737598 REDWHEAT -31.25 RUSSELL 132.0 SOYBEAN 343.75 SOYMEAL 75.0 US30 -328.125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -95.720213 caleb_strategy_v3 1285.922567 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.5 JGB-SGX-mini -91.150672 caleb_strategy_v3 AUD -10.0 CANOLA -2.222222 COCOA -70.0 COTTON2 -7.5 CRUDE_W -5.0 DAX -8.8916 DOW -2.5 EUR -6.25 GAS_US_mini -18.75 HEATOIL -16.8 LEANHOG -10.0 LIVECOW -5.0 MXP -17.5 NIKKEI -3.505795 REDWHEAT -6.25 RUSSELL -2.0 SOYBEAN -6.25 SOYMEAL -5.0 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -128.650672 caleb_strategy_v3 -219.044617 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0.0 JGB-SGX-mini 35.057951 caleb_strategy_v3 AUD -115.0 CANOLA 31.111111 COCOA 300.0 COTTON2 10.0 CRUDE_W 40.0 DAX -23.34045 DOW 6.0 EUR 12.5 GAS_US_mini 12.5 HEATOIL -92.4 LEANHOG 120.0 LIVECOW -110.0 MXP -75.0 NIKKEI 0.0 REDWHEAT 50.0 RUSSELL 351.0 SOYBEAN 25.0 SOYMEAL 10.0 US30 187.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 35.057951 caleb_strategy_v3 739.870661 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -75.0 JGB-SGX-mini -105.173852 caleb_strategy_v3 AUD -135.0 CANOLA 26.666667 COCOA 160.0 COTTON2 -5.0 CRUDE_W 0 DAX -36.67785 DOW 4.5 EUR -0.0 GAS_US_mini -25.0 HEATOIL -126.0 LEANHOG 100.0 LIVECOW -120.0 MXP -100.0 NIKKEI -7.01159 REDWHEAT 37.5 RUSSELL 347.0 SOYBEAN 12.5 SOYMEAL -0.0 US30 156.25 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -180.173852 caleb_strategy_v3 289.727227 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 JGB-SGX-mini 0 caleb_strategy_v3 AUD 0 CANOLA 0 COCOA 0 COTTON2 0 CRUDE_W 0 DAX 0 DOW 0 EUR 0 GAS_US_mini 0 HEATOIL 0 LEANHOG 0 LIVECOW 0 MXP 0 NIKKEI 0 REDWHEAT 0 RUSSELL 0 SOYBEAN 0 SOYMEAL 0 US30 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 GASOIL -37.5 JGB-SGX-mini -35.057951 caleb_strategy_v3 AUD -125.0 CANOLA 28.888889 COCOA 230.0 COTTON2 2.5 CRUDE_W 35.0 DAX -30.00915 DOW 5.25 EUR 6.25 GAS_US_mini -6.25 HEATOIL -109.2 LEANHOG 110.0 LIVECOW -115.0 MXP -87.5 NIKKEI -3.505795 REDWHEAT 43.75 RUSSELL 349.0 SOYBEAN 18.75 SOYMEAL 5.0 US30 171.875 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -72.557951 caleb_strategy_v3 529.798944 ******************************************************************************** END OF REPORT ********************************************************************************