******************************************************************************** Trades report produced on 05/12/2024 21:41 from 04/12/2024 21:41 to 05/12/2024 21:41 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15551 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:05.025 [0, 0] NaN 15547 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:04.941 [0, 0] NaN 15558 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:05.204 [0, 0] NaN 15560 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:05.293 [0, 0] NaN 15562 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:05.383 [0, 0] NaN 15555 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:05.109 [0, 0] NaN 15566 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:05.568 [0, 0] NaN 15567 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 16:46:49.000 [1, -1] -0.00026 15545 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:04.857 [0, 0] NaN 15564 AUD _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 19:45:05.476 [0, 0] NaN 15543 CAD caleb_strategy_v3 [20250300] 2024-12-05 15:10:26.000 [-1] 0.71555 15556 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 15:53:13.000 [1, -1] -0.01170 15548 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 15:31:39.000 [1, -1] -0.01170 15546 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 15:21:04.000 [1, -1] -0.01170 15565 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 16:35:08.000 [1, -1] -0.01170 15563 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 16:24:44.000 [1, -1] -0.01170 15561 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 16:13:58.000 [1, -1] -0.01175 15552 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 15:42:50.000 [1, -1] -0.01170 15559 CHF _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 16:03:49.000 [1, -1] -0.01170 15536 CRUDE_W caleb_strategy_v3 [20251200] 2024-12-05 14:02:02.000 [1] 66.59000 15532 DAX caleb_strategy_v3 [20250300] 2024-12-05 08:37:34.000 [1] 20498.00000 15528 DAX caleb_strategy_v3 [20250300] 2024-12-05 08:06:45.000 [1] 20445.00000 15529 DAX caleb_strategy_v3 [20250300] 2024-12-05 19:45:04.606 [0] NaN 15530 DAX caleb_strategy_v3 [20250300] 2024-12-05 19:45:04.692 [0] NaN 15531 DAX caleb_strategy_v3 [20250300] 2024-12-05 19:45:04.775 [0] NaN 15533 DAX caleb_strategy_v3 [20250300] 2024-12-05 08:43:43.000 [1] 20507.00000 15541 DOW caleb_strategy_v3 [20250300] 2024-12-05 15:09:12.000 [1] 45584.00000 15540 EUR caleb_strategy_v3 [20250300] 2024-12-05 15:00:20.000 [1] 1.06235 15534 GASOIL _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-05 09:01:04.000 [1, -1] 0.75000 15535 GASOIL _ROLL_PSEUDO_STRATEGY [20250200, 20250300] 2024-12-05 09:02:21.000 [1, -1] 0.50000 15537 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-05 14:02:03.000 [-1] 2671.90000 15539 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-05 14:03:24.000 [-1] 2671.00000 15538 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-05 14:02:07.000 [-1] 2672.00000 15544 MXP _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-05 15:10:30.000 [1, -1] 0.00070 15527 NIKKEI caleb_strategy_v3 [20250300] 2024-12-05 03:02:19.000 [1] 39455.00000 15526 NIKKEI caleb_strategy_v3 [20250300] 2024-12-05 03:01:19.000 [1] 39485.00000 15554 REDWHEAT _ROLL_PSEUDO_STRATEGY [20250300, 20250500] 2024-12-05 15:42:57.000 [1, -1] -7.25000 15550 REDWHEAT _ROLL_PSEUDO_STRATEGY [20250300, 20250500] 2024-12-05 15:32:47.000 [1, -1] -7.25000 15557 REDWHEAT _ROLL_PSEUDO_STRATEGY [20250300, 20250500] 2024-12-05 15:53:24.000 [1, -1] -7.25000 15553 SOYMEAL _ROLL_PSEUDO_STRATEGY [20250300, 20250500] 2024-12-05 15:42:51.000 [1, -1] -4.60000 15549 SOYMEAL _ROLL_PSEUDO_STRATEGY [20250300, 20250500] 2024-12-05 15:31:44.000 [1, -1] -4.70000 15542 US5 caleb_strategy_v3 [20250300] 2024-12-05 15:09:13.000 [-1] 107.50000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15526 NIKKEI caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 03:01:19.022000 2024-12-05 03:01:19 97279.022 NaN 15527 NIKKEI caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 03:02:19.092000 2024-12-05 03:02:19 97339.092 NaN 15534 GASOIL _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 09:00:51.794000 2024-12-05 09:01:04 50451.794 12.206 15535 GASOIL _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 09:01:51.253000 2024-12-05 09:02:21 50511.253 29.747 15536 CRUDE_W caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 14:00:38.094000 2024-12-05 14:02:02 136838.094 83.906 15537 GOLD_micro caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 14:02:03.250000 2024-12-05 14:02:03 136923.25 NaN 15538 GOLD_micro caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 14:02:07.440000 2024-12-05 14:02:07 136927.44 NaN 15539 GOLD_micro caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 14:03:07.874000 2024-12-05 14:03:24 136987.874 16.126 15540 EUR caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 15:00:20.890000 2024-12-05 15:00:20 140420.89 NaN 15541 DOW caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 15:00:21.973000 2024-12-05 15:09:12 140421.973 530.027 15542 US5 caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 15:09:13.910000 2024-12-05 15:09:13 140953.91 NaN 15543 CAD caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 15:09:15.066000 2024-12-05 15:10:26 140955.066 70.934 15544 MXP _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:10:27.778000 2024-12-05 15:10:30 72627.778 2.222 15553 SOYMEAL _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:42:50.697000 2024-12-05 15:42:51 74570.697 0.303 15549 SOYMEAL _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:31:40.946000 2024-12-05 15:31:44 73900.946 3.054 15554 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:42:56.006000 2024-12-05 15:42:57 74576.006 0.994 15557 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:53:17.867000 2024-12-05 15:53:24 75197.867 6.133 15550 REDWHEAT _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:31:50.018000 2024-12-05 15:32:47 73910.018 56.982 15552 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:42:48.915000 2024-12-05 15:42:50 74568.915 1.085 15556 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:52:58.889000 2024-12-05 15:53:13 75178.889 14.111 15559 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:03:25.397000 2024-12-05 16:03:49 75805.397 23.603 15561 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:13:54.413000 2024-12-05 16:13:58 76434.413 3.587 15563 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:24:03.786000 2024-12-05 16:24:44 77043.786 40.214 15565 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:35:06.024000 2024-12-05 16:35:08 77706.024 1.976 15546 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:20:33.866000 2024-12-05 15:21:04 73233.866 30.134 15548 CHF _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:31:25.031000 2024-12-05 15:31:39 73885.031 13.969 15528 DAX caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 08:00:35.246000 2024-12-05 08:06:45 115235.246 369.754 15529 DAX caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 08:06:49.130000 2024-12-05 19:45:04.606000 115609.13 41895.476 15530 DAX caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 08:16:52.937000 2024-12-05 19:45:04.692000 116212.937 41291.755 15531 DAX caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 08:26:56.615000 2024-12-05 19:45:04.775000 116816.615 40688.16 15532 DAX caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 08:37:00.473000 2024-12-05 08:37:34 117420.473 33.527 15533 DAX caleb_strategy_v3 2024-12-04 00:00:00 2024-12-05 08:38:00.565000 2024-12-05 08:43:43 117480.565 342.435 15555 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:42:58.295000 2024-12-05 19:45:05.109000 74578.295 14526.814 15558 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:53:24.818000 2024-12-05 19:45:05.204000 75204.818 13900.386 15560 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:03:53.845000 2024-12-05 19:45:05.293000 75833.845 13271.448 15562 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:14:03.205000 2024-12-05 19:45:05.383000 76443.205 12662.178 15564 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:25:05.314000 2024-12-05 19:45:05.476000 77105.314 12000.162 15566 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:35:13.134000 2024-12-05 19:45:05.568000 77713.134 11392.434 15567 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 16:45:18.004000 2024-12-05 16:46:49 78318.004 90.996 15545 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:10:32.074000 2024-12-05 19:45:04.857000 72632.074 16472.783 15547 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:21:24.481000 2024-12-05 19:45:04.941000 73284.481 15820.46 15551 AUD _ROLL_PSEUDO_STRATEGY 2024-12-04 19:00:00 2024-12-05 15:32:48.406000 2024-12-05 19:45:05.025000 73968.406 15136.619 ========================================================================================================================================================================================================================================== 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 15526 NIKKEI caleb_strategy_v3 [1] 39575.0 None 39517.5 39520.0 39515.0 39515.0 39485.0 57.5 -2.5 35.0 30.0 NaN 32.5 15527 NIKKEI caleb_strategy_v3 [1] 39575.0 None 39517.5 39520.0 39515.0 39515.0 39455.0 57.5 -2.5 65.0 60.0 NaN 62.5 15534 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 0.75 None 0.5 0.75 0.25 0.25 0.75 0.25 -0.25 0.0 -0.5 NaN -0.25 15535 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 0.75 None 0.75 1.0 0.5 0.5 0.5 0.0 -0.25 0.5 0.0 NaN 0.25 15536 CRUDE_W caleb_strategy_v3 [1] 66.37 None 66.53 66.54 66.52 66.52 66.59 -0.16 -0.01 -0.05 -0.07 NaN -0.06 15537 GOLD_micro caleb_strategy_v3 [-1] 2676.5 None 2670.9 2670.8 2671.0 2671.0 2671.9 -5.6 -0.1 1.1 0.9 NaN 1.0 15538 GOLD_micro caleb_strategy_v3 [-1] 2676.5 None 2670.9 2670.8 2671.0 2671.0 2672.0 -5.6 -0.1 1.2 1.0 NaN 1.1 15539 GOLD_micro caleb_strategy_v3 [-1] 2676.5 None 2670.9 2670.8 2671.0 2671.0 2671.0 -5.6 -0.1 0.2 -0.0 NaN 0.1 15540 EUR caleb_strategy_v3 [1] 1.05655 None 1.063125 1.06315 1.0631 1.0631 1.06235 -0.006575 -0.000025 0.0008 0.00075 NaN 0.000775 15541 DOW caleb_strategy_v3 [1] 45525.0 None 45551.0 45553.0 45549.0 45549.0 45584.0 -26.0 -2.0 -31.0 -35.0 NaN -33.0 15542 US5 caleb_strategy_v3 [-1] 107.65625 None 107.472656 107.46875 107.476562 107.476562 107.5 -0.183594 -0.003906 0.03125 0.023438 NaN 0.027344 15543 CAD caleb_strategy_v3 [-1] 0.71375 None 0.715675 0.71565 0.7157 0.7157 0.71555 0.001925 -0.000025 -0.0001 -0.00015 NaN -0.000125 15544 MXP _ROLL_PSEUDO_STRATEGY [1, -1] 0.00069 None 0.000695 0.00071 0.00068 NaN 0.0007 -0.000005 -0.000015 0.00001 NaN NaN -0.000005 15553 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] -4.8 None -4.7 -4.6 -4.8 NaN -4.6 -0.1 -0.1 0.0 NaN NaN -0.1 15549 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] -4.8 None -4.65 -4.5 -4.8 -4.8 -4.7 -0.15 -0.15 0.2 -0.1 NaN 0.05 15554 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] -7.25 None -7.5 -7.25 -7.75 NaN -7.25 0.25 -0.25 0.0 NaN NaN -0.25 15557 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] -7.25 None -7.375 -7.0 -7.75 -7.75 -7.25 0.125 -0.375 0.25 -0.5 NaN -0.125 15550 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] -7.25 None -7.375 -7.0 -7.75 -7.75 -7.25 0.125 -0.375 0.25 -0.5 NaN -0.125 15552 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.011775 -0.01165 -0.0119 NaN -0.0117 0.000025 -0.000125 0.00005 NaN NaN -0.000075 15556 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.01175 -0.01165 -0.01185 -0.01185 -0.0117 -0.0 -0.0001 0.00005 -0.00015 NaN -0.00005 15559 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.01175 -0.01165 -0.01185 -0.01185 -0.0117 -0.0 -0.0001 0.00005 -0.00015 NaN -0.00005 15561 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.011725 -0.01165 -0.0118 -0.0118 -0.01175 -0.000025 -0.000075 0.0001 -0.00005 NaN 0.000025 15563 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.011775 -0.0117 -0.01185 -0.01185 -0.0117 0.000025 -0.000075 -0.0 -0.00015 NaN -0.000075 15565 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.011775 -0.01165 -0.0119 -0.0119 -0.0117 0.000025 -0.000125 0.00005 -0.0002 NaN -0.000075 15546 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.011775 -0.01165 -0.0119 -0.0119 -0.0117 0.000025 -0.000125 0.00005 -0.0002 NaN -0.000075 15548 CHF _ROLL_PSEUDO_STRATEGY [1, -1] -0.01175 None -0.01175 -0.01165 -0.01185 -0.01185 -0.0117 -0.0 -0.0001 0.00005 -0.00015 NaN -0.00005 15528 DAX caleb_strategy_v3 [1] 20445.0 None 20430.5 20446.0 20415.0 20415.0 20445.0 14.5 -15.5 1.0 -30.0 NaN -14.5 15529 DAX caleb_strategy_v3 [1] 20445.0 None 20434.5 20445.0 20424.0 20424.0 NaN 10.5 -10.5 NaN NaN NaN NaN 15530 DAX caleb_strategy_v3 [1] 20445.0 None 20438.5 20457.0 20420.0 20420.0 NaN 6.5 -18.5 NaN NaN NaN NaN 15531 DAX caleb_strategy_v3 [1] 20445.0 None 20467.5 20474.0 20461.0 20461.0 NaN -22.5 -6.5 NaN NaN NaN NaN 15532 DAX caleb_strategy_v3 [1] 20445.0 None 20488.0 20492.0 20484.0 20484.0 20498.0 -43.0 -4.0 -6.0 -14.0 NaN -10.0 15533 DAX caleb_strategy_v3 [1] 20445.0 None 20493.0 20498.0 20488.0 20488.0 20507.0 -48.0 -5.0 -9.0 -19.0 NaN -14.0 15555 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.0003 -0.00025 -0.00035 -0.00035 NaN -0.0 -0.00005 NaN NaN NaN NaN 15558 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.00025 -0.00015 -0.00035 -0.00035 NaN -0.00005 -0.0001 NaN NaN NaN NaN 15560 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.00025 -0.00015 -0.00035 -0.00035 NaN -0.00005 -0.0001 NaN NaN NaN NaN 15562 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.00025 -0.00015 -0.00035 -0.00035 NaN -0.00005 -0.0001 NaN NaN NaN NaN 15564 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.00025 -0.00015 -0.00035 -0.00035 NaN -0.00005 -0.0001 NaN NaN NaN NaN 15566 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.000275 -0.0002 -0.00035 -0.00035 NaN -0.000025 -0.000075 NaN NaN NaN NaN 15567 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.00025 -0.0002 -0.0003 -0.0003 -0.00026 -0.00005 -0.00005 0.00006 -0.00004 NaN 0.00001 15545 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.000275 -0.0002 -0.00035 -0.00035 NaN -0.000025 -0.000075 NaN NaN NaN NaN 15547 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.000275 -0.0002 -0.00035 -0.00035 NaN -0.000025 -0.000075 NaN NaN NaN NaN 15551 AUD _ROLL_PSEUDO_STRATEGY [1, -1] -0.0003 None -0.000275 -0.0002 -0.00035 -0.00035 NaN -0.000025 -0.000075 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 15526 NIKKEI caleb_strategy_v3 [1] 7288.243057 78.894186 -3.430182 48.022548 41.162184 NaN 44.592366 15527 NIKKEI caleb_strategy_v3 [1] 7288.243057 78.894186 -3.430182 89.184731 82.324368 NaN 85.754549 15534 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 172.26726 14.512334 -14.512334 0.0 -29.024668 NaN -14.512334 15535 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 172.26726 0.0 -14.512334 29.024668 0.0 NaN 14.512334 15536 CRUDE_W caleb_strategy_v3 [1] 16.571618 -96.550622 -6.034414 -30.172069 -42.240897 NaN -36.206483 15537 GOLD_micro caleb_strategy_v3 [-1] 435.874187 -128.477441 -2.29424 25.23664 20.64816 NaN 22.9424 15538 GOLD_micro caleb_strategy_v3 [-1] 435.874187 -128.477441 -2.29424 27.53088 22.9424 NaN 25.23664 15539 GOLD_micro caleb_strategy_v3 [-1] 435.874187 -128.477441 -2.29424 4.58848 -0.0 NaN 2.29424 15540 EUR caleb_strategy_v3 [1] 0.082868 -793.428407 -3.016838 96.538818 90.505141 NaN 93.52198 15541 DOW caleb_strategy_v3 [1] 4891.183022 -53.156874 -4.08899 -63.37935 -71.55733 NaN -67.46834 15542 US5 caleb_strategy_v3 [-1] 3.976709 -461.672626 -9.822822 78.582575 58.936931 NaN 68.759753 15543 CAD caleb_strategy_v3 [-1] 0.035657 539.86267 -7.011204 -28.044814 -42.067221 NaN -35.056018 15544 MXP _ROLL_PSEUDO_STRATEGY [1, -1] 0.006213 -8.047202 -24.141606 16.094404 NaN NaN -8.047202 15553 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] 57.970741 -17.250082 -17.250082 0.0 NaN NaN -17.250082 15549 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] 57.970741 -25.875122 -25.875122 34.500163 -17.250082 NaN 8.625041 15554 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 137.983507 18.118107 -18.118107 0.0 NaN NaN -18.118107 15557 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 137.983507 9.059054 -27.177161 18.118107 -36.236215 NaN -9.059054 15550 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 137.983507 9.059054 -27.177161 18.118107 -36.236215 NaN -9.059054 15552 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 2.80847 -14.042352 5.616941 NaN NaN -8.425411 15556 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 -0.0 -11.233882 5.616941 -16.850823 NaN -5.616941 15559 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 -0.0 -11.233882 5.616941 -16.850823 NaN -5.616941 15561 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 -2.80847 -8.425411 11.233882 -5.616941 NaN 2.80847 15563 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 2.80847 -8.425411 -0.0 -16.850823 NaN -8.425411 15565 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 2.80847 -14.042352 5.616941 -22.467764 NaN -8.425411 15546 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 2.80847 -14.042352 5.616941 -22.467764 NaN -8.425411 15548 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 0.089016 -0.0 -11.233882 5.616941 -16.850823 NaN -5.616941 15528 DAX caleb_strategy_v3 [1] 2455.338766 59.054987 -63.127745 4.072758 -122.182733 NaN -59.054987 15529 DAX caleb_strategy_v3 [1] 2455.338766 42.763956 -42.763956 NaN NaN NaN NaN 15530 DAX caleb_strategy_v3 [1] 2455.338766 26.472925 -75.346018 NaN NaN NaN NaN 15531 DAX caleb_strategy_v3 [1] 2455.338766 -91.637049 -26.472925 NaN NaN NaN NaN 15532 DAX caleb_strategy_v3 [1] 2455.338766 -175.128583 -16.291031 -24.436547 -57.018609 NaN -40.727578 15533 DAX caleb_strategy_v3 [1] 2455.338766 -195.492372 -20.363789 -36.65482 -77.382397 NaN -57.018609 15555 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -0.0 -8.312815 NaN NaN NaN NaN 15558 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -8.312815 -16.625629 NaN NaN NaN NaN 15560 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -8.312815 -16.625629 NaN NaN NaN NaN 15562 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -8.312815 -16.625629 NaN NaN NaN NaN 15564 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -8.312815 -16.625629 NaN NaN NaN NaN 15566 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -4.156407 -12.469222 NaN NaN NaN NaN 15567 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -8.312815 -8.312815 9.975378 -6.650252 NaN 1.662563 15545 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -4.156407 -12.469222 NaN NaN NaN NaN 15547 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -4.156407 -12.469222 NaN NaN NaN NaN 15551 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 0.060148 -4.156407 -12.469222 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 15526 NIKKEI caleb_strategy_v3 [1] 0.666373 38.316474 -1.665934 23.323071 19.991204 NaN 21.657138 15527 NIKKEI caleb_strategy_v3 [1] 0.666373 38.316474 -1.665934 43.314275 39.982408 NaN 41.648341 15534 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 100.0 25.0 -25.0 0.0 -50.0 NaN -25.0 15535 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 100.0 0.0 -25.0 50.0 0.0 NaN 25.0 15536 CRUDE_W caleb_strategy_v3 [1] 1000.0 -160.0 -10.0 -50.0 -70.0 NaN -60.0 15537 GOLD_micro caleb_strategy_v3 [-1] 10.0 -56.0 -1.0 11.0 9.0 NaN 10.0 15538 GOLD_micro caleb_strategy_v3 [-1] 10.0 -56.0 -1.0 12.0 10.0 NaN 11.0 15539 GOLD_micro caleb_strategy_v3 [-1] 10.0 -56.0 -1.0 2.0 -0.0 NaN 1.0 15540 EUR caleb_strategy_v3 [1] 125000.0 -821.875 -3.125 100.0 93.75 NaN 96.875 15541 DOW caleb_strategy_v3 [1] 0.5 -13.0 -1.0 -15.5 -17.5 NaN -16.5 15542 US5 caleb_strategy_v3 [-1] 1000.0 -183.59375 -3.90625 31.25 23.4375 NaN 27.34375 15543 CAD caleb_strategy_v3 [-1] 100000.0 192.5 -2.5 -10.0 -15.0 NaN -12.5 15544 MXP _ROLL_PSEUDO_STRATEGY [1, -1] 500000.0 -2.5 -7.5 5.0 NaN NaN -2.5 15553 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] 100.0 -10.0 -10.0 0.0 NaN NaN -10.0 15549 SOYMEAL _ROLL_PSEUDO_STRATEGY [1, -1] 100.0 -15.0 -15.0 20.0 -10.0 NaN 5.0 15554 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 12.5 -12.5 0.0 NaN NaN -12.5 15557 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 6.25 -18.75 12.5 -25.0 NaN -6.25 15550 REDWHEAT _ROLL_PSEUDO_STRATEGY [1, -1] 50.0 6.25 -18.75 12.5 -25.0 NaN -6.25 15552 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 3.125 -15.625 6.25 NaN NaN -9.375 15556 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -0.0 -12.5 6.25 -18.75 NaN -6.25 15559 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -0.0 -12.5 6.25 -18.75 NaN -6.25 15561 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -3.125 -9.375 12.5 -6.25 NaN 3.125 15563 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 3.125 -9.375 -0.0 -18.75 NaN -9.375 15565 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 3.125 -15.625 6.25 -25.0 NaN -9.375 15546 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 3.125 -15.625 6.25 -25.0 NaN -9.375 15548 CHF _ROLL_PSEUDO_STRATEGY [1, -1] 125000.0 -0.0 -12.5 6.25 -18.75 NaN -6.25 15528 DAX caleb_strategy_v3 [1] 1.05275 15.264875 -16.317625 1.05275 -31.5825 NaN -15.264875 15529 DAX caleb_strategy_v3 [1] 1.05275 11.053875 -11.053875 NaN NaN NaN NaN 15530 DAX caleb_strategy_v3 [1] 1.05275 6.842875 -19.475875 NaN NaN NaN NaN 15531 DAX caleb_strategy_v3 [1] 1.05275 -23.686875 -6.842875 NaN NaN NaN NaN 15532 DAX caleb_strategy_v3 [1] 1.05275 -45.26825 -4.211 -6.3165 -14.7385 NaN -10.5275 15533 DAX caleb_strategy_v3 [1] 1.05275 -50.532 -5.26375 -9.47475 -20.00225 NaN -14.7385 15555 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -0.0 -5.0 NaN NaN NaN NaN 15558 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -5.0 -10.0 NaN NaN NaN NaN 15560 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -5.0 -10.0 NaN NaN NaN NaN 15562 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -5.0 -10.0 NaN NaN NaN NaN 15564 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -5.0 -10.0 NaN NaN NaN NaN 15566 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -2.5 -7.5 NaN NaN NaN NaN 15567 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -5.0 -5.0 6.0 -4.0 NaN 1.0 15545 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -2.5 -7.5 NaN NaN NaN NaN 15547 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -2.5 -7.5 NaN NaN NaN NaN 15551 AUD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -2.5 -7.5 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD -35.0 CHF 9.375 GASOIL 25.0 MXP -2.5 REDWHEAT 25.0 SOYMEAL -25.0 caleb_strategy_v3 CAD 192.5 CRUDE_W -160.0 DAX -86.3255 DOW -13.0 EUR -821.875 GOLD_micro -168.0 NIKKEI 76.632948 US5 -183.59375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -3.125 caleb_strategy_v3 -1163.661302 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD -80.0 CHF -103.125 GASOIL -50.0 MXP -7.5 REDWHEAT -50.0 SOYMEAL -25.0 caleb_strategy_v3 CAD -2.5 CRUDE_W -10.0 DAX -63.165 DOW -1.0 EUR -3.125 GOLD_micro -3.0 NIKKEI -3.331867 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -315.625 caleb_strategy_v3 -90.028117 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD 6.0 CHF 50.0 GASOIL 50.0 MXP 5.0 REDWHEAT 25.0 SOYMEAL 20.0 caleb_strategy_v3 CAD -10.0 CRUDE_W -50.0 DAX -14.7385 DOW -15.5 EUR 100.0 GOLD_micro 25.0 NIKKEI 66.637346 US5 31.25 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 156.0 caleb_strategy_v3 132.648846 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD -4.0 CHF -131.25 GASOIL -50.0 MXP 0 REDWHEAT -50.0 SOYMEAL -10.0 caleb_strategy_v3 CAD -15.0 CRUDE_W -70.0 DAX -66.32325 DOW -17.5 EUR 93.75 GOLD_micro 19.0 NIKKEI 59.973612 US5 23.4375 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -245.25 caleb_strategy_v3 27.337862 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY AUD 0 CHF 0 GASOIL 0 MXP 0 REDWHEAT 0 SOYMEAL 0 caleb_strategy_v3 CAD 0 CRUDE_W 0 DAX 0 DOW 0 EUR 0 GOLD_micro 0 NIKKEI 0 US5 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 AUD 1.0 CHF -53.125 GASOIL 0.0 MXP -2.5 REDWHEAT -25.0 SOYMEAL -5.0 caleb_strategy_v3 CAD -12.5 CRUDE_W -60.0 DAX -40.530875 DOW -16.5 EUR 96.875 GOLD_micro 22.0 NIKKEI 63.305479 US5 27.34375 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -84.625 caleb_strategy_v3 79.993354 ******************************************************************************** END OF REPORT ********************************************************************************