******************************************************************************** Trades report produced on 03/12/2024 21:41 from 02/12/2024 21:41 to 03/12/2024 21:41 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15474 BTP caleb_strategy_v3 [20250300] 2024-12-03 08:00:19.000 [1] 122.500000 15473 BUND caleb_strategy_v3 [20250300] 2024-12-03 08:00:17.000 [1] 137.010000 15493 CAD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 15:32:06.000 [1, -1] -0.002480 15491 CAD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 15:21:44.000 [1, -1] -0.002480 15482 COPPER caleb_strategy_v3 [20250300] 2024-12-03 14:00:58.000 [-1] 4.243000 15475 DAX caleb_strategy_v3 [20241200] 2024-12-03 19:45:07.771 [0] NaN 15477 DAX caleb_strategy_v3 [20241200] 2024-12-03 08:23:47.000 [1] 20026.000000 15478 DAX caleb_strategy_v3 [20241200] 2024-12-03 08:25:02.000 [1] 20029.000000 15476 DAX caleb_strategy_v3 [20241200] 2024-12-03 19:45:07.886 [0] NaN 15479 DAX caleb_strategy_v3 [20241200] 2024-12-03 08:25:05.000 [1] 20029.000000 15480 DAX caleb_strategy_v3 [20241200] 2024-12-03 08:26:06.000 [1] 20026.000000 15490 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:07.993 [0, 0] NaN 15506 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.359 [0, 0] NaN 15505 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.246 [0, 0] NaN 15504 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.133 [0, 0] NaN 15503 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.016 [0, 0] NaN 15508 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.596 [0, 0] NaN 15507 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.472 [0, 0] NaN 15510 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.842 [0, 0] NaN 15502 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:08.889 [0, 0] NaN 15511 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.957 [0, 0] NaN 15512 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:10.074 [0, 0] NaN 15513 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:10.188 [0, 0] NaN 15514 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:10.302 [0, 0] NaN 15515 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:10.432 [0, 0] NaN 15516 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:10.551 [0, 0] NaN 15517 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:10.668 [0, 0] NaN 15518 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:10.784 [0, 0] NaN 15519 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:25:00.000 [1, -1] -0.004560 15509 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:09.727 [0, 0] NaN 15501 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:08.775 [0, 0] NaN 15521 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:26:58.000 [1, -1] -0.004560 15499 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:08.547 [0, 0] NaN 15498 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:08.434 [0, 0] NaN 15496 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:08.322 [0, 0] NaN 15492 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:08.105 [0, 0] NaN 15520 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:25:58.000 [1, -1] -0.004560 15522 EUR caleb_strategy_v3 [20250300] 2024-12-03 19:27:59.000 [-1] 1.056300 15500 EUR _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-03 19:45:08.663 [0, 0] NaN 15495 FEEDCOW caleb_strategy_v3 [20250300] 2024-12-03 19:45:08.217 [0] NaN 15497 FEEDCOW caleb_strategy_v3 [20250300] 2024-12-03 15:52:17.000 [1] 257.400000 15481 GASOIL caleb_strategy_v3 [20250200] 2024-12-03 09:00:17.000 [-1] 666.000000 15484 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-03 14:05:05.000 [1] 2.995000 15483 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-03 14:05:04.000 [1] 2674.600000 15489 JPY caleb_strategy_v3 [20241200] 2024-12-03 15:11:15.000 [1] 0.006718 15485 MXP caleb_strategy_v3 [20241200] 2024-12-03 15:00:47.000 [1] 0.048950 15487 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-12-03 15:10:14.000 [1] 21203.500000 15471 NIKKEI caleb_strategy_v3 [20250300] 2024-12-03 03:02:29.000 [-1] 39130.000000 15472 NIKKEI caleb_strategy_v3 [20250300] 2024-12-03 03:02:38.000 [-1] 39135.000000 15494 REDWHEAT caleb_strategy_v3 [20250500] 2024-12-03 15:32:11.000 [-1] 554.000000 15486 US30 caleb_strategy_v3 [20250300] 2024-12-03 15:00:48.000 [1] 127.562500 15488 VIX caleb_strategy_v3 [20250200] 2024-12-03 15:11:14.000 [-1] 16.700000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15472 NIKKEI caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 03:02:32.972000 2024-12-03 03:02:38 97352.972 5.028 15471 NIKKEI caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 03:01:16.146000 2024-12-03 03:02:29 97276.146 72.854 15473 BUND caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:00:16.821000 2024-12-03 08:00:17 115216.821 0.179 15474 BTP caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:00:18.862000 2024-12-03 08:00:19 115218.862 0.138 15481 GASOIL caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 09:00:16.102000 2024-12-03 09:00:17 118816.102 0.898 15482 COPPER caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 14:00:58.311000 2024-12-03 14:00:58 136858.311 NaN 15483 GOLD_micro caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 14:00:59.254000 2024-12-03 14:05:04 136859.254 244.746 15484 GAS_US_mini caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 14:05:05.374000 2024-12-03 14:05:05 137105.374 NaN 15485 MXP caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:00:21.442000 2024-12-03 15:00:47 140421.442 25.558 15486 US30 caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:00:48.252000 2024-12-03 15:00:48 140448.252 NaN 15487 NASDAQ_micro caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:00:49.523000 2024-12-03 15:10:14 140449.523 564.477 15488 VIX caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:10:16.186000 2024-12-03 15:11:14 141016.186 57.814 15489 JPY caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:11:15.362000 2024-12-03 15:11:15 141075.362 NaN 15491 CAD _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 15:21:19.446000 2024-12-03 15:21:44 73279.446 24.554 15493 CAD _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 15:32:05.098000 2024-12-03 15:32:06 73925.098 0.902 15494 REDWHEAT caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:32:10.792000 2024-12-03 15:32:11 142330.792 0.208 15522 EUR caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 19:27:59.761000 2024-12-03 19:27:59 156479.761 NaN 15475 DAX caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:01:15.226000 2024-12-03 19:45:07.771000 115275.226 42232.545 15476 DAX caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:11:18.989000 2024-12-03 19:45:07.886000 115878.989 41628.897 15477 DAX caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:21:22.664000 2024-12-03 08:23:47 116482.664 144.336 15478 DAX caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:23:51.277000 2024-12-03 08:25:02 116631.277 70.723 15479 DAX caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:25:05.701000 2024-12-03 08:25:05 116705.701 NaN 15480 DAX caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 08:26:06.137000 2024-12-03 08:26:06 116766.137 NaN 15497 FEEDCOW caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:52:17.536000 2024-12-03 15:52:17 143537.536 NaN 15495 FEEDCOW caleb_strategy_v3 2024-12-02 00:00:00 2024-12-03 15:32:12.960000 2024-12-03 19:45:08.217000 142332.96 15175.257 15490 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 15:11:17.414000 2024-12-03 19:45:07.993000 72677.414 16430.579 15492 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 15:22:04.590000 2024-12-03 19:45:08.105000 73324.59 15783.515 15496 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 15:42:13.568000 2024-12-03 19:45:08.322000 74533.568 14574.754 15498 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 15:52:18.602000 2024-12-03 19:45:08.434000 75138.602 13969.832 15499 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 16:02:23.155000 2024-12-03 19:45:08.547000 75743.155 13365.392 15500 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 16:12:27.477000 2024-12-03 19:45:08.663000 76347.477 12761.186 15501 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 16:22:48.358000 2024-12-03 19:45:08.775000 76968.358 12140.417 15502 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 16:32:53.210000 2024-12-03 19:45:08.889000 77573.21 11535.679 15503 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 16:42:57.910000 2024-12-03 19:45:09.016000 78177.91 10931.106 15504 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 16:53:02.962000 2024-12-03 19:45:09.133000 78782.962 10326.171 15505 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 17:03:07.977000 2024-12-03 19:45:09.246000 79387.977 9721.269 15506 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 17:13:12.901000 2024-12-03 19:45:09.359000 79992.901 9116.458 15507 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 17:23:30.812000 2024-12-03 19:45:09.472000 80610.812 8498.66 15508 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 17:33:36.398000 2024-12-03 19:45:09.596000 81216.398 7893.198 15509 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 17:43:41.472000 2024-12-03 19:45:09.727000 81821.472 7288.255 15510 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 17:53:47.142000 2024-12-03 19:45:09.842000 82427.142 6682.7 15511 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 18:03:52.839000 2024-12-03 19:45:09.957000 83032.839 6077.118 15512 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 18:13:58.440000 2024-12-03 19:45:10.074000 83638.44 5471.634 15513 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 18:24:12.906000 2024-12-03 19:45:10.188000 84252.906 4857.282 15514 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 18:34:19.007000 2024-12-03 19:45:10.302000 84859.007 4251.295 15515 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 18:44:25.053000 2024-12-03 19:45:10.432000 85465.053 3645.379 15516 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 18:54:31.058000 2024-12-03 19:45:10.551000 86071.058 3039.493 15517 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 19:04:37.333000 2024-12-03 19:45:10.668000 86677.333 2433.335 15518 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 19:14:43.822000 2024-12-03 19:45:10.784000 87283.822 1826.962 15519 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 19:24:56.949000 2024-12-03 19:25:00 87896.949 3.051 15520 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 19:25:57.274000 2024-12-03 19:25:58 87957.274 0.726 15521 EUR _ROLL_PSEUDO_STRATEGY 2024-12-02 19:00:00 2024-12-03 19:26:57.725000 2024-12-03 19:26:58 88017.725 0.275 ========================================================================================================================================================================================================================================== 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 15472 NIKKEI caleb_strategy_v3 [-1] 38645.0 None 39132.5 39130.0 39135.0 39135.0 39135.0 487.5 -2.5 5.0 -0.0 NaN 2.5 15471 NIKKEI caleb_strategy_v3 [-1] 38645.0 None 39142.5 39140.0 39145.0 39145.0 39130.0 497.5 -2.5 -10.0 -15.0 NaN -12.5 15473 BUND caleb_strategy_v3 [1] 137.12 None 137.025 137.03 137.02 137.02 137.01 0.095 -0.005 0.02 0.01 NaN 0.015 15474 BTP caleb_strategy_v3 [1] 122.52 None 122.515 122.52 122.51 122.51 122.5 0.005 -0.005 0.02 0.01 NaN 0.015 15481 GASOIL caleb_strategy_v3 [-1] 658.5 None 663.75 663.5 664.0 664.0 666.0 5.25 -0.25 2.5 2.0 NaN 2.25 15482 COPPER caleb_strategy_v3 [-1] 4.141 None 4.2395 4.239 4.24 4.24 4.243 0.0985 -0.0005 0.004 0.003 NaN 0.0035 15483 GOLD_micro caleb_strategy_v3 [1] 2660.8 None 2671.85 2671.9 2671.8 2671.8 2674.6 -11.05 -0.05 -2.7 -2.8 NaN -2.75 15484 GAS_US_mini caleb_strategy_v3 [1] 3.065 None 3.0175 3.02 3.015 NaN 2.995 0.0475 -0.0025 0.025 NaN NaN 0.0225 15485 MXP caleb_strategy_v3 [1] 0.04892 None 0.04893 0.04894 0.04892 0.04892 0.04895 -0.00001 -0.00001 -0.00001 -0.00003 NaN -0.00002 15486 US30 caleb_strategy_v3 [1] 127.53125 None 127.671875 127.6875 127.65625 127.65625 127.5625 -0.140625 -0.015625 0.125 0.09375 NaN 0.109375 15487 NASDAQ_micro caleb_strategy_v3 [1] 21219.75 None 21193.625 21193.75 21193.5 21193.5 21203.5 26.125 -0.125 -9.75 -10.0 NaN -9.875 15488 VIX caleb_strategy_v3 [-1] 16.5 None 16.725 16.7 16.75 16.75 16.7 0.225 -0.025 -0.0 -0.05 NaN -0.025 15489 JPY caleb_strategy_v3 [1] 0.006699 None 0.006726 0.006727 0.006726 0.006726 0.006718 -0.000027 -0.000001 0.000009 0.000008 NaN 0.000008 15491 CAD _ROLL_PSEUDO_STRATEGY [1, -1] -0.00245 None -0.00245 -0.0024 -0.0025 -0.0025 -0.00248 0.0 -0.00005 0.00008 -0.00002 NaN 0.00003 15493 CAD _ROLL_PSEUDO_STRATEGY [1, -1] -0.00245 None -0.002475 -0.0024 -0.00255 NaN -0.00248 0.000025 -0.000075 0.00008 NaN NaN 0.000005 15494 REDWHEAT caleb_strategy_v3 [-1] 548.0 None 553.875 553.75 554.0 554.0 554.0 5.875 -0.125 0.25 -0.0 NaN 0.125 15522 EUR caleb_strategy_v3 [-1] 1.05435 None 1.0567 1.05665 1.05675 NaN 1.0563 0.00235 -0.00005 -0.00035 NaN NaN -0.0004 15475 DAX caleb_strategy_v3 [1] 19975.0 None 19950.0 19951.0 19949.0 19949.0 NaN 25.0 -1.0 NaN NaN NaN NaN 15476 DAX caleb_strategy_v3 [1] 19975.0 None 19955.0 19956.0 19954.0 19954.0 NaN 20.0 -1.0 NaN NaN NaN NaN 15477 DAX caleb_strategy_v3 [1] 19975.0 None 20008.0 20009.0 20007.0 20007.0 20026.0 -33.0 -1.0 -17.0 -19.0 NaN -18.0 15478 DAX caleb_strategy_v3 [1] 19975.0 None 20024.5 20025.0 20024.0 20024.0 20029.0 -49.5 -0.5 -4.0 -5.0 NaN -4.5 15479 DAX caleb_strategy_v3 [1] 19975.0 None 20030.5 20031.0 20030.0 20030.0 20029.0 -55.5 -0.5 2.0 1.0 NaN 1.5 15480 DAX caleb_strategy_v3 [1] 19975.0 None 20026.5 20027.0 20026.0 20026.0 20026.0 -51.5 -0.5 1.0 0.0 NaN 0.5 15497 FEEDCOW caleb_strategy_v3 [1] 255.65 None 257.225 257.275 257.175 NaN 257.4 -1.575 -0.05 -0.125 NaN NaN -0.175 15495 FEEDCOW caleb_strategy_v3 [1] 255.65 None 257.175 257.225 257.125 257.125 NaN -1.525 -0.05 NaN NaN NaN NaN 15490 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15492 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15496 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15498 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15499 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15500 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15501 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15502 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15503 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15504 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15505 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15506 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15507 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15508 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15509 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15510 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15511 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15512 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15513 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15514 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15515 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15516 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15517 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15518 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 -0.00465 NaN -0.000075 -0.000075 NaN NaN NaN NaN 15519 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 NaN -0.00456 -0.000075 -0.000075 0.00006 NaN NaN -0.000015 15520 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 NaN -0.00456 -0.000075 -0.000075 0.00006 NaN NaN -0.000015 15521 EUR _ROLL_PSEUDO_STRATEGY [1, -1] -0.00465 None -0.004575 -0.0045 -0.00465 NaN -0.00456 -0.000075 -0.000075 0.00006 NaN NaN -0.000015 ======================================================================================================================================================================= 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 15472 NIKKEI caleb_strategy_v3 [-1] 7455.629698 653.868311 -3.353171 6.706342 -0.0 NaN 3.353171 15471 NIKKEI caleb_strategy_v3 [-1] 7455.629698 667.280995 -3.353171 -13.412683 -20.119025 NaN -16.765854 15473 BUND caleb_strategy_v3 [1] 7.616449 124.730042 -6.564739 26.258956 13.129478 NaN 19.694217 15474 BTP caleb_strategy_v3 [1] 7.36822 6.785899 -6.785899 27.143597 13.571798 NaN 20.357698 15481 GASOIL caleb_strategy_v3 [-1] 174.344447 301.128031 -14.33943 143.3943 114.71544 NaN 129.05487 15482 COPPER caleb_strategy_v3 [-1] 0.973079 1012.251151 -5.138331 41.106646 30.829984 NaN 35.968315 15483 GOLD_micro caleb_strategy_v3 [1] 450.271973 -245.407235 -1.11044 -59.963759 -62.184639 NaN -61.074199 15484 GAS_US_mini caleb_strategy_v3 [1] 1.878048 252.922139 -13.311692 133.116915 NaN NaN 119.805224 15485 MXP caleb_strategy_v3 [1] 0.006376 -15.685008 -15.685008 -15.685008 -47.055024 NaN -31.370016 15486 US30 caleb_strategy_v3 [1] 19.827679 -70.92358 -7.880398 63.043182 47.282387 NaN 55.162784 15487 NASDAQ_micro caleb_strategy_v3 [1] 3069.634917 85.107841 -0.407215 -31.762735 -32.577164 NaN -32.169949 15488 VIX caleb_strategy_v3 [-1] 7.145263 314.89393 -34.988214 -0.0 -69.976429 NaN -34.988214 15489 JPY caleb_strategy_v3 [1] 0.000754 -364.489218 -6.627077 119.287381 106.033227 NaN 112.660304 15491 CAD _ROLL_PSEUDO_STRATEGY [1, -1] 0.035898 0.0 -13.928508 22.285613 -5.571403 NaN 8.357105 15493 CAD _ROLL_PSEUDO_STRATEGY [1, -1] 0.035898 6.964254 -20.892762 22.285613 NaN NaN 1.392851 15494 REDWHEAT caleb_strategy_v3 [-1] 135.85265 432.453839 -9.201146 18.402291 -0.0 NaN 9.201146 15522 EUR caleb_strategy_v3 [-1] 0.082053 286.399339 -6.093603 -42.655221 NaN NaN -48.748824 15475 DAX caleb_strategy_v3 [1] 2507.930264 99.683792 -3.987352 NaN NaN NaN NaN 15476 DAX caleb_strategy_v3 [1] 2507.930264 79.747034 -3.987352 NaN NaN NaN NaN 15477 DAX caleb_strategy_v3 [1] 2507.930264 -131.582606 -3.987352 -67.784979 -75.759682 NaN -71.772331 15478 DAX caleb_strategy_v3 [1] 2507.930264 -197.373909 -1.993676 -15.949407 -19.936758 NaN -17.943083 15479 DAX caleb_strategy_v3 [1] 2507.930264 -221.298019 -1.993676 7.974703 3.987352 NaN 5.981028 15480 DAX caleb_strategy_v3 [1] 2507.930264 -205.348613 -1.993676 3.987352 0.0 NaN 1.993676 15497 FEEDCOW caleb_strategy_v3 [1] 29.523962 -533.464992 -16.935397 -42.338491 NaN NaN -59.273888 15495 FEEDCOW caleb_strategy_v3 [1] 29.523962 -516.529596 -16.935397 NaN NaN NaN NaN 15490 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15492 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15496 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15498 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15499 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15500 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15501 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15502 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15503 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15504 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15505 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15506 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15507 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15508 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15509 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15510 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15511 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15512 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15513 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15514 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15515 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15516 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15517 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15518 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 NaN NaN NaN NaN 15519 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 7.312324 NaN NaN -1.828081 15520 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 7.312324 NaN NaN -1.828081 15521 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 0.082053 -9.140404 -9.140404 7.312324 NaN NaN -1.828081 ================================================================================================================================================================================ 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 15472 NIKKEI caleb_strategy_v3 [-1] 0.666556 324.945842 -1.666389 3.332778 -0.0 NaN 1.666389 15471 NIKKEI caleb_strategy_v3 [-1] 0.666556 331.611398 -1.666389 -6.665556 -9.998334 NaN -8.331945 15473 BUND caleb_strategy_v3 [1] 1048.8 99.636 -5.244 20.976 10.488 NaN 15.732 15474 BTP caleb_strategy_v3 [1] 1048.8 5.244 -5.244 20.976 10.488 NaN 15.732 15481 GASOIL caleb_strategy_v3 [-1] 100.0 525.0 -25.0 250.0 200.0 NaN 225.0 15482 COPPER caleb_strategy_v3 [-1] 25000.0 2462.5 -12.5 100.0 75.0 NaN 87.5 15483 GOLD_micro caleb_strategy_v3 [1] 10.0 -110.5 -0.5 -27.0 -28.0 NaN -27.5 15484 GAS_US_mini caleb_strategy_v3 [1] 2500.0 118.75 -6.25 62.5 NaN NaN 56.25 15485 MXP caleb_strategy_v3 [1] 500000.0 -5.0 -5.0 -5.0 -15.0 NaN -10.0 15486 US30 caleb_strategy_v3 [1] 1000.0 -140.625 -15.625 125.0 93.75 NaN 109.375 15487 NASDAQ_micro caleb_strategy_v3 [1] 2.0 52.25 -0.25 -19.5 -20.0 NaN -19.75 15488 VIX caleb_strategy_v3 [-1] 1000.0 225.0 -25.0 -0.0 -50.0 NaN -25.0 15489 JPY caleb_strategy_v3 [1] 12500000.0 -343.75 -6.25 112.5 100.0 NaN 106.25 15491 CAD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 0.0 -5.0 8.0 -2.0 NaN 3.0 15493 CAD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 2.5 -7.5 8.0 NaN NaN 0.5 15494 REDWHEAT caleb_strategy_v3 [-1] 50.0 293.75 -6.25 12.5 -0.0 NaN 6.25 15522 EUR caleb_strategy_v3 [-1] 125000.0 293.75 -6.25 -43.75 NaN NaN -50.0 15475 DAX caleb_strategy_v3 [1] 1.0488 26.22 -1.0488 NaN NaN NaN NaN 15476 DAX caleb_strategy_v3 [1] 1.0488 20.976 -1.0488 NaN NaN NaN NaN 15477 DAX caleb_strategy_v3 [1] 1.0488 -34.6104 -1.0488 -17.8296 -19.9272 NaN -18.8784 15478 DAX caleb_strategy_v3 [1] 1.0488 -51.9156 -0.5244 -4.1952 -5.244 NaN -4.7196 15479 DAX caleb_strategy_v3 [1] 1.0488 -58.2084 -0.5244 2.0976 1.0488 NaN 1.5732 15480 DAX caleb_strategy_v3 [1] 1.0488 -54.0132 -0.5244 1.0488 0.0 NaN 0.5244 15497 FEEDCOW caleb_strategy_v3 [1] 500.0 -787.5 -25.0 -62.5 NaN NaN -87.5 15495 FEEDCOW caleb_strategy_v3 [1] 500.0 -762.5 -25.0 NaN NaN NaN NaN 15490 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15492 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15496 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15498 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15499 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15500 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15501 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15502 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15503 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15504 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15505 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15506 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15507 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15508 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15509 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15510 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15511 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15512 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15513 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15514 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15515 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15516 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15517 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15518 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 NaN NaN NaN NaN 15519 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 7.5 NaN NaN -1.875 15520 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 7.5 NaN NaN -1.875 15521 EUR _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -9.375 -9.375 7.5 NaN NaN -1.875 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAD 2.5 EUR -253.125 caleb_strategy_v3 BTP 5.244 BUND 99.636 COPPER 2462.5 DAX -151.5516 EUR 293.75 FEEDCOW -1550.0 GASOIL 525.0 GAS_US_mini 118.75 GOLD_micro -110.5 JPY -343.75 MXP -5.0 NASDAQ_micro 52.25 NIKKEI 656.55724 REDWHEAT 293.75 US30 -140.625 VIX 225.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -250.625 caleb_strategy_v3 2431.01064 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAD -12.5 EUR -253.125 caleb_strategy_v3 BTP -5.244 BUND -5.244 COPPER -12.5 DAX -4.7196 EUR -6.25 FEEDCOW -50.0 GASOIL -25.0 GAS_US_mini -6.25 GOLD_micro -0.5 JPY -6.25 MXP -5.0 NASDAQ_micro -0.25 NIKKEI -3.332778 REDWHEAT -6.25 US30 -15.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -265.625 caleb_strategy_v3 -177.415378 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAD 16.0 EUR 22.5 caleb_strategy_v3 BTP 20.976 BUND 20.976 COPPER 100.0 DAX -18.8784 EUR -43.75 FEEDCOW -62.5 GASOIL 250.0 GAS_US_mini 62.5 GOLD_micro -27.0 JPY 112.5 MXP -5.0 NASDAQ_micro -19.5 NIKKEI -3.332778 REDWHEAT 12.5 US30 125.0 VIX -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 38.5 caleb_strategy_v3 524.490822 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAD -2.0 EUR 0 caleb_strategy_v3 BTP 10.488 BUND 10.488 COPPER 75.0 DAX -24.1224 EUR 0 FEEDCOW 0 GASOIL 200.0 GAS_US_mini 0 GOLD_micro -28.0 JPY 100.0 MXP -15.0 NASDAQ_micro -20.0 NIKKEI -9.998334 REDWHEAT -0.0 US30 93.75 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.0 caleb_strategy_v3 342.605266 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAD 0 EUR 0 caleb_strategy_v3 BTP 0 BUND 0 COPPER 0 DAX 0 EUR 0 FEEDCOW 0 GASOIL 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 REDWHEAT 0 US30 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 CAD 3.5 EUR -5.625 caleb_strategy_v3 BTP 15.732 BUND 15.732 COPPER 87.5 DAX -21.5004 EUR -50.0 FEEDCOW -87.5 GASOIL 225.0 GAS_US_mini 56.25 GOLD_micro -27.5 JPY 106.25 MXP -10.0 NASDAQ_micro -19.75 NIKKEI -6.665556 REDWHEAT 6.25 US30 109.375 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.125 caleb_strategy_v3 374.173044 ******************************************************************************** END OF REPORT ********************************************************************************