******************************************************************************** Trades report produced on 18/11/2024 21:39 from 17/11/2024 21:39 to 18/11/2024 21:39 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15347 AUD caleb_strategy_v3 [20241200] 2024-11-18 15:13:14.000 [1] 0.64770 15323 BUND caleb_strategy_v3 [20241200] 2024-11-18 19:45:07.492 [0] NaN 15325 BUND caleb_strategy_v3 [20241200] 2024-11-18 08:20:10.000 [-1] 132.00000 15349 CAD caleb_strategy_v3 [20241200] 2024-11-18 15:23:17.000 [1] 0.71150 15343 CAD caleb_strategy_v3 [20241200] 2024-11-18 15:10:50.000 [1] 0.71160 15334 CANOLA caleb_strategy_v3 [20250300] 2024-11-18 19:45:07.644 [0] NaN 15327 CANOLA caleb_strategy_v3 [20250300] 2024-11-18 14:00:15.000 [-1] 658.10000 15340 CANOLA caleb_strategy_v3 [20250300] 2024-11-18 14:12:31.000 [-1] 658.30000 15337 CANOLA caleb_strategy_v3 [20250300] 2024-11-18 14:12:13.000 [-1] 658.10000 15333 COPPER caleb_strategy_v3 [20241200] 2024-11-18 14:00:28.000 [-1] 4.08450 15332 COTTON2 caleb_strategy_v3 [20250300] 2024-11-18 14:00:26.000 [-1] 69.12000 15331 CRUDE_W caleb_strategy_v3 [20251200] 2024-11-18 14:00:25.000 [-1] 65.77000 15346 EUR caleb_strategy_v3 [20241200] 2024-11-18 15:11:41.000 [-1] 1.05805 15324 EUROSTX caleb_strategy_v3 [20241200] 2024-11-18 08:20:09.000 [-1] 4802.00000 15322 EUROSTX caleb_strategy_v3 [20241200] 2024-11-18 08:00:35.000 [-1] 4804.00000 15330 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-18 14:00:21.000 [1] 3.11500 15339 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-18 14:12:14.000 [1] 3.10500 15341 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-18 14:16:24.000 [1] 3.10500 15336 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-18 14:11:28.000 [1] 3.10000 15338 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-18 14:12:13.000 [-1] 2609.60000 15335 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-18 14:11:14.000 [-1] 2609.50000 15328 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-18 14:00:19.000 [-1] 2608.60000 15360 LEANHOG caleb_strategy_v3 [20250200] 2024-11-18 16:33:37.000 [-1] 83.25000 15354 LEANHOG caleb_strategy_v3 [20250200] 2024-11-18 19:45:08.471 [0] NaN 15359 LEANHOG caleb_strategy_v3 [20250200] 2024-11-18 16:33:33.000 [-1] 83.22500 15358 LEANHOG caleb_strategy_v3 [20250200] 2024-11-18 16:25:04.000 [-1] 83.17500 15356 LIVECOW caleb_strategy_v3 [20250200] 2024-11-18 16:25:00.000 [-1] 185.30000 15351 LIVECOW caleb_strategy_v3 [20250200] 2024-11-18 19:45:08.182 [0] NaN 15344 MXP caleb_strategy_v3 [20241200] 2024-11-18 15:10:59.000 [1] 0.04890 15342 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-18 19:45:07.779 [0] NaN 15348 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-18 19:45:07.912 [0] NaN 15355 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-18 16:15:17.000 [1] 20695.00000 15350 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-18 19:45:08.045 [0] NaN 15321 NIKKEI caleb_strategy_v3 [20241200] 2024-11-18 03:01:19.000 [-1] 38345.00000 15326 ROBUSTA caleb_strategy_v3 [20250100] 2024-11-18 10:04:49.000 [1] 4855.00000 15352 SOYOIL caleb_strategy_v3 [20250300] 2024-11-18 15:46:52.000 [1] 45.36000 15329 SUGAR11 caleb_strategy_v3 [20250500] 2024-11-18 14:00:20.000 [-1] 20.43000 15345 VIX caleb_strategy_v3 [20250200] 2024-11-18 15:11:40.000 [-1] 17.20000 15353 WHEAT caleb_strategy_v3 [20251200] 2024-11-18 19:45:08.323 [0] NaN 15357 WHEAT caleb_strategy_v3 [20251200] 2024-11-18 16:25:01.000 [1] 612.25000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15321 NIKKEI caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 03:01:18.038000 2024-11-18 03:01:19 270078.038 0.962 15322 EUROSTX caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 08:00:35.463000 2024-11-18 08:00:35 288035.463 NaN 15324 EUROSTX caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 08:10:40.274000 2024-11-18 08:20:09 288640.274 568.726 15326 ROBUSTA caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 10:00:29.426000 2024-11-18 10:04:49 295229.426 259.574 15329 SUGAR11 caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:00:20.157000 2024-11-18 14:00:20 309620.157 NaN 15331 CRUDE_W caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:00:22.674000 2024-11-18 14:00:25 309622.674 2.326 15332 COTTON2 caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:00:26.775000 2024-11-18 14:00:26 309626.775 NaN 15333 COPPER caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:00:28.083000 2024-11-18 14:00:28 309628.083 NaN 15328 GOLD_micro caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:00:16.642000 2024-11-18 14:00:19 309616.642 2.358 15338 GOLD_micro caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:12:13.485000 2024-11-18 14:12:13 310333.485 NaN 15335 GOLD_micro caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:11:14.267000 2024-11-18 14:11:14 310274.267 NaN 15336 GAS_US_mini caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:11:14.681000 2024-11-18 14:11:28 310274.681 13.319 15330 GAS_US_mini caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:00:21.366000 2024-11-18 14:00:21 309621.366 NaN 15339 GAS_US_mini caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:12:13.892000 2024-11-18 14:12:14 310333.892 0.108 15341 GAS_US_mini caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:12:32.450000 2024-11-18 14:16:24 310352.45 231.55 15344 MXP caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:10:51.094000 2024-11-18 15:10:59 313851.094 7.906 15345 VIX caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:11:00.346000 2024-11-18 15:11:40 313860.346 39.654 15346 EUR caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:11:41.710000 2024-11-18 15:11:41 313901.71 NaN 15347 AUD caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:11:42.614000 2024-11-18 15:13:14 313902.614 91.386 15349 CAD caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:23:17.741000 2024-11-18 15:23:17 314597.741 NaN 15343 CAD caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:10:50.198000 2024-11-18 15:10:50 313850.198 NaN 15352 SOYOIL caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:43:23.371000 2024-11-18 15:46:52 315803.371 208.629 15355 NASDAQ_micro caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 16:07:14.287000 2024-11-18 16:15:17 317234.287 482.713 15348 NASDAQ_micro caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:13:17.343000 2024-11-18 19:45:07.912000 313997.343 16310.569 15350 NASDAQ_micro caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:23:21.066000 2024-11-18 19:45:08.045000 314601.066 15706.979 15342 NASDAQ_micro caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:00:49.426000 2024-11-18 19:45:07.779000 313249.426 17058.353 15337 CANOLA caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:11:31.685000 2024-11-18 14:12:13 310291.685 41.315 15340 CANOLA caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:12:31.847000 2024-11-18 14:12:31 310351.847 NaN 15334 CANOLA caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:01:13.922000 2024-11-18 19:45:07.644000 309673.922 20633.722 15327 CANOLA caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 14:00:14.843000 2024-11-18 14:00:15 309614.843 0.157 15356 LIVECOW caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 16:15:17.910000 2024-11-18 16:25:00 317717.91 582.09 15351 LIVECOW caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:33:22.138000 2024-11-18 19:45:08.182000 315202.138 15106.044 15323 BUND caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 08:00:36.948000 2024-11-18 19:45:07.492000 288036.948 42270.544 15325 BUND caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 08:20:10.017000 2024-11-18 08:20:10 289210.017 NaN 15353 WHEAT caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:46:53.602000 2024-11-18 19:45:08.323000 316013.602 14294.721 15357 WHEAT caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 16:25:00.729000 2024-11-18 16:25:01 318300.729 0.271 15360 LEANHOG caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 16:33:37.510000 2024-11-18 16:33:37 318817.51 NaN 15354 LEANHOG caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 15:56:54.741000 2024-11-18 19:45:08.471000 316614.741 13693.73 15358 LEANHOG caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 16:25:01.966000 2024-11-18 16:25:04 318301.966 2.034 15359 LEANHOG caleb_strategy_v3 2024-11-15 00:00:00 2024-11-18 16:25:08.279000 2024-11-18 16:33:33 318308.279 504.721 ================================================================================================================================================================================================================================= 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 15321 NIKKEI caleb_strategy_v3 [-1] 37975.0 None 38352.5 38350.0 38355.0 38355.0 38345.0 377.5 -2.5 -5.0 -10.0 NaN -7.5 15322 EUROSTX caleb_strategy_v3 [-1] 4792.0 None 4801.5 4801.0 4802.0 4802.0 4804.0 9.5 -0.5 3.0 2.0 NaN 2.5 15324 EUROSTX caleb_strategy_v3 [-1] 4792.0 None 4801.5 4801.0 4802.0 4802.0 4802.0 9.5 -0.5 1.0 -0.0 NaN 0.5 15326 ROBUSTA caleb_strategy_v3 [1] 4771.0 None 4837.5 4841.0 4834.0 4834.0 4855.0 -66.5 -3.5 -14.0 -21.0 NaN -17.5 15329 SUGAR11 caleb_strategy_v3 [-1] 20.12 None 20.405 20.4 20.41 NaN 20.43 0.285 -0.005 0.03 NaN NaN 0.025 15331 CRUDE_W caleb_strategy_v3 [-1] 65.31 None 65.785 65.77 65.8 65.8 65.77 0.475 -0.015 -0.0 -0.03 NaN -0.015 15332 COTTON2 caleb_strategy_v3 [-1] 68.93 None 69.035 69.02 69.05 69.05 69.12 0.105 -0.015 0.1 0.07 NaN 0.085 15333 COPPER caleb_strategy_v3 [-1] 4.0665 None 4.08425 4.084 4.0845 4.0845 4.0845 0.01775 -0.00025 0.0005 -0.0 NaN 0.00025 15328 GOLD_micro caleb_strategy_v3 [-1] 2567.9 None 2609.0 2608.9 2609.1 2609.1 2608.6 41.1 -0.1 -0.3 -0.5 NaN -0.4 15338 GOLD_micro caleb_strategy_v3 [-1] 2567.9 None 2608.65 2608.6 2608.7 2608.7 2609.6 40.75 -0.05 1.0 0.9 NaN 0.95 15335 GOLD_micro caleb_strategy_v3 [-1] 2567.9 None 2608.65 2608.6 2608.7 2608.7 2609.5 40.75 -0.05 0.9 0.8 NaN 0.85 15336 GAS_US_mini caleb_strategy_v3 [1] 3.1 None 3.1025 3.105 3.1 3.1 3.1 -0.0025 -0.0025 0.005 0.0 NaN 0.0025 15330 GAS_US_mini caleb_strategy_v3 [1] 3.1 None 3.1375 3.14 3.135 NaN 3.115 -0.0375 -0.0025 0.025 NaN NaN 0.0225 15339 GAS_US_mini caleb_strategy_v3 [1] 3.1 None 3.0975 3.1 3.095 NaN 3.105 0.0025 -0.0025 -0.005 NaN NaN -0.0075 15341 GAS_US_mini caleb_strategy_v3 [1] 3.1 None 3.095 3.1 3.09 3.09 3.105 0.005 -0.005 -0.005 -0.015 NaN -0.01 15344 MXP caleb_strategy_v3 [1] 0.04884 None 0.0489 0.04891 0.04889 0.04889 0.0489 -0.00006 -0.00001 0.00001 -0.00001 NaN 0.0 15345 VIX caleb_strategy_v3 [-1] 17.65 None 17.275 17.25 17.3 17.3 17.2 -0.375 -0.025 -0.05 -0.1 NaN -0.075 15346 EUR caleb_strategy_v3 [-1] 1.05505 None 1.058025 1.058 1.05805 1.05805 1.05805 0.002975 -0.000025 0.00005 -0.0 NaN 0.000025 15347 AUD caleb_strategy_v3 [1] 0.646 None 0.64745 0.6475 0.6474 0.6474 0.6477 -0.00145 -0.00005 -0.0002 -0.0003 NaN -0.00025 15349 CAD caleb_strategy_v3 [1] 0.71035 None 0.71155 0.7116 0.7115 0.7115 0.7115 -0.0012 -0.00005 0.0001 0.0 NaN 0.00005 15343 CAD caleb_strategy_v3 [1] 0.71035 None 0.711125 0.71115 0.7111 NaN 0.7116 -0.000775 -0.000025 -0.00045 NaN NaN -0.000475 15352 SOYOIL caleb_strategy_v3 [1] 45.78 None 45.33 45.34 45.32 45.32 45.36 0.45 -0.01 -0.02 -0.04 NaN -0.03 15355 NASDAQ_micro caleb_strategy_v3 [1] 20460.5 None 20611.0 20611.25 20610.75 20610.75 20695.0 -150.5 -0.25 -83.75 -84.25 NaN -84.0 15348 NASDAQ_micro caleb_strategy_v3 [1] 20460.5 None 20535.5 20535.75 20535.25 20535.25 NaN -75.0 -0.25 NaN NaN NaN NaN 15350 NASDAQ_micro caleb_strategy_v3 [1] 20460.5 None 20585.25 20585.5 20585.0 20585.0 NaN -124.75 -0.25 NaN NaN NaN NaN 15342 NASDAQ_micro caleb_strategy_v3 [1] 20460.5 None 20508.5 20508.75 20508.25 20508.25 NaN -48.0 -0.25 NaN NaN NaN NaN 15337 CANOLA caleb_strategy_v3 [-1] 661.1 None 658.95 658.8 659.1 659.1 658.1 -2.15 -0.15 -0.7 -1.0 NaN -0.85 15340 CANOLA caleb_strategy_v3 [-1] 661.1 None 658.2 658.1 658.3 658.3 658.3 -2.9 -0.1 0.2 -0.0 NaN 0.1 15334 CANOLA caleb_strategy_v3 [-1] 661.1 None 659.6 659.5 659.7 659.7 NaN -1.5 -0.1 NaN NaN NaN NaN 15327 CANOLA caleb_strategy_v3 [-1] 661.1 None 659.55 659.4 659.7 NaN 658.1 -1.55 -0.15 -1.3 NaN NaN -1.45 15356 LIVECOW caleb_strategy_v3 [-1] 185.225 None 185.6125 185.6 185.625 185.625 185.3 0.3875 -0.0125 -0.3 -0.325 NaN -0.3125 15351 LIVECOW caleb_strategy_v3 [-1] 185.225 None 185.7375 185.725 185.75 185.75 NaN 0.5125 -0.0125 NaN NaN NaN NaN 15323 BUND caleb_strategy_v3 [-1] 132.31 None 132.155 132.15 132.16 132.16 NaN -0.155 -0.005 NaN NaN NaN NaN 15325 BUND caleb_strategy_v3 [-1] 132.31 None 132.075 132.07 132.08 132.08 132.0 -0.235 -0.005 -0.07 -0.08 NaN -0.075 15353 WHEAT caleb_strategy_v3 [1] 599.75 None 608.875 609.0 608.75 608.75 NaN -9.125 -0.125 NaN NaN NaN NaN 15357 WHEAT caleb_strategy_v3 [1] 599.75 None 610.125 610.25 610.0 610.0 612.25 -10.375 -0.125 -2.0 -2.25 NaN -2.125 15360 LEANHOG caleb_strategy_v3 [-1] 82.85 None 83.225 83.2 83.25 83.25 83.25 0.375 -0.025 0.05 -0.0 NaN 0.025 15354 LEANHOG caleb_strategy_v3 [-1] 82.85 None 83.45 83.425 83.475 83.475 NaN 0.6 -0.025 NaN NaN NaN NaN 15358 LEANHOG caleb_strategy_v3 [-1] 82.85 None 83.2875 83.275 83.3 83.3 83.175 0.4375 -0.0125 -0.1 -0.125 NaN -0.1125 15359 LEANHOG caleb_strategy_v3 [-1] 82.85 None 83.2 83.175 83.225 83.225 83.225 0.35 -0.025 0.05 -0.0 NaN 0.025 =============================================================================================================================================================== 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 15321 NIKKEI caleb_strategy_v3 [-1] 8326.448559 453.374566 -3.002481 -6.004961 -12.009922 NaN -9.007442 15322 EUROSTX caleb_strategy_v3 [-1] 773.859546 122.761295 -6.461121 38.766725 25.844483 NaN 32.305604 15324 EUROSTX caleb_strategy_v3 [-1] 773.859546 122.761295 -6.461121 12.922242 -0.0 NaN 6.461121 15326 ROBUSTA caleb_strategy_v3 [1] 1427.501022 -465.849054 -24.518371 -98.073485 -147.110227 NaN -122.591856 15329 SUGAR11 caleb_strategy_v3 [-1] 5.262239 541.594567 -9.501659 57.009954 NaN NaN 47.508295 15331 CRUDE_W caleb_strategy_v3 [-1] 18.372985 258.531757 -8.164161 -0.0 -16.328322 NaN -8.164161 15332 COTTON2 caleb_strategy_v3 [-1] 14.4644 72.592021 -10.370289 69.135258 48.394681 NaN 58.764969 15333 COPPER caleb_strategy_v3 [-1] 1.179621 150.472006 -2.119324 4.238648 -0.0 NaN 2.119324 15328 GOLD_micro caleb_strategy_v3 [-1] 443.101877 927.551928 -2.256817 -6.770452 -11.284087 NaN -9.027269 15338 GOLD_micro caleb_strategy_v3 [-1] 443.101877 919.653067 -1.128409 22.568173 20.311356 NaN 21.439765 15335 GOLD_micro caleb_strategy_v3 [-1] 443.101877 919.653067 -1.128409 20.311356 18.054539 NaN 19.182947 15336 GAS_US_mini caleb_strategy_v3 [1] 1.49744 -16.695156 -16.695156 33.390312 0.0 NaN 16.695156 15330 GAS_US_mini caleb_strategy_v3 [1] 1.49744 -250.427343 -16.695156 166.951562 NaN NaN 150.256406 15339 GAS_US_mini caleb_strategy_v3 [1] 1.49744 16.695156 -16.695156 -33.390312 NaN NaN -50.085469 15341 GAS_US_mini caleb_strategy_v3 [1] 1.49744 33.390312 -33.390312 -33.390312 -100.170937 NaN -66.780625 15344 MXP caleb_strategy_v3 [1] 0.006593 -91.006434 -15.167739 15.167739 -15.167739 NaN 0.0 15345 VIX caleb_strategy_v3 [-1] 8.275105 -453.166452 -30.211097 -60.422194 -120.844387 NaN -90.63329 15346 EUR caleb_strategy_v3 [-1] 0.08379 355.05353 -2.983643 5.967286 -0.0 NaN 2.983643 15347 AUD caleb_strategy_v3 [1] 0.068459 -211.804882 -7.303617 -29.214466 -43.8217 NaN -36.518083 15349 CAD caleb_strategy_v3 [1] 0.039673 -302.471914 -12.602996 25.205993 0.0 NaN 12.602996 15343 CAD caleb_strategy_v3 [1] 0.039673 -195.346444 -6.301498 -113.426968 NaN NaN -119.728466 15352 SOYOIL caleb_strategy_v3 [1] 14.852968 302.969741 -6.732661 -13.465322 -26.930644 NaN -20.197983 15355 NASDAQ_micro caleb_strategy_v3 [1] 3510.52794 -428.710446 -0.712144 -238.568106 -239.992393 NaN -239.280249 15348 NASDAQ_micro caleb_strategy_v3 [1] 3510.52794 -213.64308 -0.712144 NaN NaN NaN NaN 15350 NASDAQ_micro caleb_strategy_v3 [1] 3510.52794 -355.359656 -0.712144 NaN NaN NaN NaN 15342 NASDAQ_micro caleb_strategy_v3 [1] 3510.52794 -136.731571 -0.712144 NaN NaN NaN NaN 15337 CANOLA caleb_strategy_v3 [-1] 168.524232 -127.578092 -8.900797 -41.537053 -59.338647 NaN -50.43785 15340 CANOLA caleb_strategy_v3 [-1] 168.524232 -172.082077 -5.933865 11.867729 -0.0 NaN 5.933865 15334 CANOLA caleb_strategy_v3 [-1] 168.524232 -89.007971 -5.933865 NaN NaN NaN NaN 15327 CANOLA caleb_strategy_v3 [-1] 168.524232 -91.974903 -8.900797 -77.140242 NaN NaN -86.041039 15356 LIVECOW caleb_strategy_v3 [-1] 16.975301 228.272826 -7.36364 -176.727349 -191.454628 NaN -184.090989 15351 LIVECOW caleb_strategy_v3 [-1] 16.975301 301.909222 -7.36364 NaN NaN NaN NaN 15323 BUND caleb_strategy_v3 [-1] 7.676426 -201.916876 -6.513448 NaN NaN NaN NaN 15325 BUND caleb_strategy_v3 [-1] 7.676426 -306.132038 -6.513448 -91.188267 -104.215162 NaN -97.701714 15353 WHEAT caleb_strategy_v3 [1] 130.629279 -698.54171 -9.569065 NaN NaN NaN NaN 15357 WHEAT caleb_strategy_v3 [1] 130.629279 -794.232355 -9.569065 -153.105032 -172.243161 NaN -162.674097 15360 LEANHOG caleb_strategy_v3 [-1] 15.941139 235.2404 -15.682693 31.365387 -0.0 NaN 15.682693 15354 LEANHOG caleb_strategy_v3 [-1] 15.941139 376.38464 -15.682693 NaN NaN NaN NaN 15358 LEANHOG caleb_strategy_v3 [-1] 15.941139 274.447134 -7.841347 -62.730773 -78.413467 NaN -70.57212 15359 LEANHOG caleb_strategy_v3 [-1] 15.941139 219.557707 -15.682693 31.365387 -0.0 NaN 15.682693 ========================================================================================================================================================================= 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 15321 NIKKEI caleb_strategy_v3 [-1] 0.646628 244.101947 -1.616569 -3.233138 -6.466277 NaN -4.849708 15322 EUROSTX caleb_strategy_v3 [-1] 10.541 100.1395 -5.2705 31.623 21.082 NaN 26.3525 15324 EUROSTX caleb_strategy_v3 [-1] 10.541 100.1395 -5.2705 10.541 -0.0 NaN 5.2705 15326 ROBUSTA caleb_strategy_v3 [1] 10.0 -665.0 -35.0 -140.0 -210.0 NaN -175.0 15329 SUGAR11 caleb_strategy_v3 [-1] 1120.0 319.2 -5.6 33.6 NaN NaN 28.0 15331 CRUDE_W caleb_strategy_v3 [-1] 1000.0 475.0 -15.0 -0.0 -30.0 NaN -15.0 15332 COTTON2 caleb_strategy_v3 [-1] 500.0 52.5 -7.5 50.0 35.0 NaN 42.5 15333 COPPER caleb_strategy_v3 [-1] 25000.0 443.75 -6.25 12.5 -0.0 NaN 6.25 15328 GOLD_micro caleb_strategy_v3 [-1] 10.0 411.0 -1.0 -3.0 -5.0 NaN -4.0 15338 GOLD_micro caleb_strategy_v3 [-1] 10.0 407.5 -0.5 10.0 9.0 NaN 9.5 15335 GOLD_micro caleb_strategy_v3 [-1] 10.0 407.5 -0.5 9.0 8.0 NaN 8.5 15336 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -6.25 -6.25 12.5 0.0 NaN 6.25 15330 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -93.75 -6.25 62.5 NaN NaN 56.25 15339 GAS_US_mini caleb_strategy_v3 [1] 2500.0 6.25 -6.25 -12.5 NaN NaN -18.75 15341 GAS_US_mini caleb_strategy_v3 [1] 2500.0 12.5 -12.5 -12.5 -37.5 NaN -25.0 15344 MXP caleb_strategy_v3 [1] 500000.0 -30.0 -5.0 5.0 -5.0 NaN 0.0 15345 VIX caleb_strategy_v3 [-1] 1000.0 -375.0 -25.0 -50.0 -100.0 NaN -75.0 15346 EUR caleb_strategy_v3 [-1] 125000.0 371.875 -3.125 6.25 -0.0 NaN 3.125 15347 AUD caleb_strategy_v3 [1] 100000.0 -145.0 -5.0 -20.0 -30.0 NaN -25.0 15349 CAD caleb_strategy_v3 [1] 100000.0 -120.0 -5.0 10.0 0.0 NaN 5.0 15343 CAD caleb_strategy_v3 [1] 100000.0 -77.5 -2.5 -45.0 NaN NaN -47.5 15352 SOYOIL caleb_strategy_v3 [1] 600.0 270.0 -6.0 -12.0 -24.0 NaN -18.0 15355 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -301.0 -0.5 -167.5 -168.5 NaN -168.0 15348 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -150.0 -0.5 NaN NaN NaN NaN 15350 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -249.5 -0.5 NaN NaN NaN NaN 15342 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -96.0 -0.5 NaN NaN NaN NaN 15337 CANOLA caleb_strategy_v3 [-1] 14.195472 -30.520264 -2.129321 -9.93683 -14.195472 NaN -12.066151 15340 CANOLA caleb_strategy_v3 [-1] 14.195472 -41.166868 -1.419547 2.839094 -0.0 NaN 1.419547 15334 CANOLA caleb_strategy_v3 [-1] 14.195472 -21.293207 -1.419547 NaN NaN NaN NaN 15327 CANOLA caleb_strategy_v3 [-1] 14.195472 -22.002981 -2.129321 -18.454113 NaN NaN -20.583434 15356 LIVECOW caleb_strategy_v3 [-1] 400.0 155.0 -5.0 -120.0 -130.0 NaN -125.0 15351 LIVECOW caleb_strategy_v3 [-1] 400.0 205.0 -5.0 NaN NaN NaN NaN 15323 BUND caleb_strategy_v3 [-1] 1054.1 -163.3855 -5.2705 NaN NaN NaN NaN 15325 BUND caleb_strategy_v3 [-1] 1054.1 -247.7135 -5.2705 -73.787 -84.328 NaN -79.0575 15353 WHEAT caleb_strategy_v3 [1] 50.0 -456.25 -6.25 NaN NaN NaN NaN 15357 WHEAT caleb_strategy_v3 [1] 50.0 -518.75 -6.25 -100.0 -112.5 NaN -106.25 15360 LEANHOG caleb_strategy_v3 [-1] 400.0 150.0 -10.0 20.0 -0.0 NaN 10.0 15354 LEANHOG caleb_strategy_v3 [-1] 400.0 240.0 -10.0 NaN NaN NaN NaN 15358 LEANHOG caleb_strategy_v3 [-1] 400.0 175.0 -5.0 -40.0 -50.0 NaN -45.0 15359 LEANHOG caleb_strategy_v3 [-1] 400.0 140.0 -10.0 20.0 -0.0 NaN 10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -145.0 BUND -411.099 CAD -197.5 CANOLA -114.98332 COPPER 443.75 COTTON2 52.5 CRUDE_W 475.0 EUR 371.875 EUROSTX 200.279 GAS_US_mini -81.25 GOLD_micro 1226.0 LEANHOG 705.0 LIVECOW 360.0 MXP -30.0 NASDAQ_micro -796.5 NIKKEI 244.101947 ROBUSTA -665.0 SOYOIL 270.0 SUGAR11 319.2 VIX -375.0 WHEAT -975.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 876.373627 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 BUND -10.541 CAD -7.5 CANOLA -7.097736 COPPER -6.25 COTTON2 -7.5 CRUDE_W -15.0 EUR -3.125 EUROSTX -10.541 GAS_US_mini -31.25 GOLD_micro -2.0 LEANHOG -35.0 LIVECOW -10.0 MXP -5.0 NASDAQ_micro -2.0 NIKKEI -1.616569 ROBUSTA -35.0 SOYOIL -6.0 SUGAR11 -5.6 VIX -25.0 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -243.521305 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -20.0 BUND -73.787 CAD -35.0 CANOLA -25.551849 COPPER 12.5 COTTON2 50.0 CRUDE_W -0.0 EUR 6.25 EUROSTX 42.164 GAS_US_mini 50.0 GOLD_micro 16.0 LEANHOG -0.0 LIVECOW -120.0 MXP 5.0 NASDAQ_micro -167.5 NIKKEI -3.233138 ROBUSTA -140.0 SOYOIL -12.0 SUGAR11 33.6 VIX -50.0 WHEAT -100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -531.557987 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -30.0 BUND -84.328 CAD 0.0 CANOLA -14.195472 COPPER -0.0 COTTON2 35.0 CRUDE_W -30.0 EUR -0.0 EUROSTX 21.082 GAS_US_mini -37.5 GOLD_micro 12.0 LEANHOG -50.0 LIVECOW -130.0 MXP -5.0 NASDAQ_micro -168.5 NIKKEI -6.466277 ROBUSTA -210.0 SOYOIL -24.0 SUGAR11 0 VIX -100.0 WHEAT -112.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -934.407748 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BUND 0 CAD 0 CANOLA 0 COPPER 0 COTTON2 0 CRUDE_W 0 EUR 0 EUROSTX 0 GAS_US_mini 0 GOLD_micro 0 LEANHOG 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 ROBUSTA 0 SOYOIL 0 SUGAR11 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 -25.0 BUND -79.0575 CAD -42.5 CANOLA -31.230038 COPPER 6.25 COTTON2 42.5 CRUDE_W -15.0 EUR 3.125 EUROSTX 31.623 GAS_US_mini 18.75 GOLD_micro 14.0 LEANHOG -25.0 LIVECOW -125.0 MXP 0.0 NASDAQ_micro -168.0 NIKKEI -4.849708 ROBUSTA -175.0 SOYOIL -18.0 SUGAR11 28.0 VIX -75.0 WHEAT -106.25 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -745.639245 ******************************************************************************** END OF REPORT ********************************************************************************