******************************************************************************** Trades report produced on 20/12/2024 21:40 from 19/12/2024 21:40 to 20/12/2024 21:40 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15817 AUD caleb_strategy_v3 [20250300] 2024-12-20 15:14:19 [-1] 0.625050 15807 AUD caleb_strategy_v3 [20250300] 2024-12-20 15:00:38 [-1] 0.623750 15798 BTP caleb_strategy_v3 [20250300] 2024-12-20 08:01:00 [-1] 120.400000 15799 BTP caleb_strategy_v3 [20250300] 2024-12-20 08:02:00 [-1] 120.360000 15802 CANOLA caleb_strategy_v3 [20250300] 2024-12-20 14:00:31 [-1] 608.400000 15806 CANOLA caleb_strategy_v3 [20250300] 2024-12-20 14:06:24 [-1] 608.200000 15814 CHF caleb_strategy_v3 [20250300] 2024-12-20 15:13:54 [1] 1.129200 15801 COCOA caleb_strategy_v3 [20250500] 2024-12-20 14:00:30 [-1] 11436.000000 15821 DOW caleb_strategy_v3 [20250300] 2024-12-20 15:14:24 [-1] 42863.000000 15825 DOW caleb_strategy_v3 [20250300] 2024-12-20 15:15:20 [-1] 42860.000000 15828 DOW caleb_strategy_v3 [20250300] 2024-12-20 15:16:20 [-1] 42856.000000 15831 DOW caleb_strategy_v3 [20250300] 2024-12-20 15:17:20 [-1] 42872.000000 15813 DOW caleb_strategy_v3 [20250300] 2024-12-20 15:04:51 [-1] 42772.000000 15834 FEEDCOW caleb_strategy_v3 [20250400] 2024-12-20 15:31:28 [-1] 256.625000 15800 GASOIL caleb_strategy_v3 [20250300] 2024-12-20 09:00:14 [1] 664.750000 15803 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-20 14:00:33 [1] 3.335000 15805 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-20 14:06:10 [-1] 2627.400000 15791 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-20 03:06:16 [1] 142.590000 15820 NASDAQ_micro caleb_strategy_v3 [20250300] 2024-12-20 15:14:23 [-1] 21339.000000 15812 NASDAQ_micro caleb_strategy_v3 [20250300] 2024-12-20 15:04:02 [-1] 21266.500000 15790 NIKKEI caleb_strategy_v3 [20250300] 2024-12-20 03:00:23 [-1] 38930.000000 15797 NIKKEI caleb_strategy_v3 [20250300] 2024-12-20 03:10:22 [-1] 38950.000000 15796 NIKKEI caleb_strategy_v3 [20250300] 2024-12-20 03:09:22 [-1] 38950.000000 15792 NIKKEI caleb_strategy_v3 [20250300] 2024-12-20 03:06:17 [-1] 38960.000000 15793 NIKKEI caleb_strategy_v3 [20250300] 2024-12-20 03:06:21 [-1] 38960.000000 15794 NIKKEI caleb_strategy_v3 [20250300] 2024-12-20 03:07:21 [-1] 38950.000000 15795 NIKKEI caleb_strategy_v3 [20250300] 2024-12-20 03:08:21 [-1] 38955.000000 15810 NZD caleb_strategy_v3 [20250300] 2024-12-20 15:03:41 [-1] 0.564550 15811 RUSSELL caleb_strategy_v3 [20250300] 2024-12-20 15:04:01 [-1] 2255.800000 15819 RUSSELL caleb_strategy_v3 [20250300] 2024-12-20 15:14:22 [-1] 2255.800000 15818 SP500_micro caleb_strategy_v3 [20250300] 2024-12-20 15:14:19 [-1] 5932.000000 15824 SP500_micro caleb_strategy_v3 [20250300] 2024-12-20 15:15:19 [-1] 5932.500000 15830 SP500_micro caleb_strategy_v3 [20250300] 2024-12-20 15:17:20 [-1] 5932.500000 15809 SP500_micro caleb_strategy_v3 [20250300] 2024-12-20 15:03:40 [-1] 5916.250000 15827 SP500_micro caleb_strategy_v3 [20250300] 2024-12-20 15:16:19 [-1] 5933.000000 15804 SUGAR11 caleb_strategy_v3 [20250500] 2024-12-20 14:06:08 [-1] 18.000000 15808 US30 caleb_strategy_v3 [20250300] 2024-12-20 15:03:39 [-1] 120.187500 15815 US5 caleb_strategy_v3 [20250300] 2024-12-20 15:13:59 [1] 106.414063 15822 US5 caleb_strategy_v3 [20250300] 2024-12-20 15:14:24 [1] 106.414063 15833 VIX caleb_strategy_v3 [20250300] 2024-12-20 15:18:20 [1] 20.150000 15816 VIX caleb_strategy_v3 [20250300] 2024-12-20 15:14:00 [1] 20.100000 15823 VIX caleb_strategy_v3 [20250300] 2024-12-20 15:14:25 [1] 20.150000 15826 VIX caleb_strategy_v3 [20250300] 2024-12-20 15:15:20 [1] 20.100000 15829 VIX caleb_strategy_v3 [20250300] 2024-12-20 15:16:20 [1] 20.100000 15832 VIX caleb_strategy_v3 [20250300] 2024-12-20 15:17:21 [1] 20.100000 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15791 JGB-SGX-mini caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:01:16.466000 2024-12-20 03:06:16 97276.466 299.534 15790 NIKKEI caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:00:21.854000 2024-12-20 03:00:23 97221.854 1.146 15792 NIKKEI caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:06:17.084000 2024-12-20 03:06:17 97577.084 NaN 15793 NIKKEI caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:06:21.145000 2024-12-20 03:06:21 97581.145 NaN 15794 NIKKEI caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:07:21.599000 2024-12-20 03:07:21 97641.599 NaN 15795 NIKKEI caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:08:21.533000 2024-12-20 03:08:21 97701.533 NaN 15796 NIKKEI caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:09:21.991000 2024-12-20 03:09:22 97761.991 0.009 15797 NIKKEI caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 03:10:22.492000 2024-12-20 03:10:22 97822.492 NaN 15798 BTP caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 08:00:59.990000 2024-12-20 08:01:00 115259.99 0.01 15799 BTP caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 08:01:59.676000 2024-12-20 08:02:00 115319.676 0.324 15800 GASOIL caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 09:00:12.974000 2024-12-20 09:00:14 118812.974 1.026 15801 COCOA caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 14:00:26.678000 2024-12-20 14:00:30 136826.678 3.322 15803 GAS_US_mini caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 14:00:32.958000 2024-12-20 14:00:33 136832.958 0.042 15804 SUGAR11 caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 14:00:34.206000 2024-12-20 14:06:08 136834.206 333.794 15805 GOLD_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 14:06:10.154000 2024-12-20 14:06:10 137170.154 NaN 15802 CANOLA caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 14:00:31.382000 2024-12-20 14:00:31 136831.382 NaN 15806 CANOLA caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 14:06:24.898000 2024-12-20 14:06:24 137184.898 NaN 15808 US30 caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:00:39.378000 2024-12-20 15:03:39 140439.378 179.622 15810 NZD caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:03:41.618000 2024-12-20 15:03:41 140621.618 NaN 15814 CHF caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:04:52.538000 2024-12-20 15:13:54 140692.538 541.462 15817 AUD caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:14:19.434000 2024-12-20 15:14:19 141259.434 NaN 15807 AUD caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:00:38.178000 2024-12-20 15:00:38 140438.178 NaN 15811 RUSSELL caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:03:42.926000 2024-12-20 15:04:01 140622.926 18.074 15819 RUSSELL caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:14:20.304000 2024-12-20 15:14:22 141260.304 1.696 15820 NASDAQ_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:14:23.482000 2024-12-20 15:14:23 141263.482 NaN 15812 NASDAQ_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:04:02.630000 2024-12-20 15:04:02 140642.63 NaN 15822 US5 caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:14:24.433000 2024-12-20 15:14:24 141264.433 NaN 15815 US5 caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:13:55.270000 2024-12-20 15:13:59 141235.27 3.73 15809 SP500_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:03:40.326000 2024-12-20 15:03:40 140620.326 NaN 15818 SP500_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:14:19.853000 2024-12-20 15:14:19 141259.853 NaN 15824 SP500_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:15:19.658000 2024-12-20 15:15:19 141319.658 NaN 15827 SP500_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:16:19.701000 2024-12-20 15:16:19 141379.701 NaN 15830 SP500_micro caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:17:20.311000 2024-12-20 15:17:20 141440.311 NaN 15813 DOW caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:04:03.930000 2024-12-20 15:04:51 140643.93 47.07 15821 DOW caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:14:23.959000 2024-12-20 15:14:24 141263.959 0.041 15825 DOW caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:15:20.282000 2024-12-20 15:15:20 141320.282 NaN 15828 DOW caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:16:20.162000 2024-12-20 15:16:20 141380.162 NaN 15831 DOW caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:17:20.946000 2024-12-20 15:17:20 141440.946 NaN 15816 VIX caleb_strategy_v3 2024-12-18 00:00:00 2024-12-20 15:14:00.606000 2024-12-20 15:14:00 227640.606 NaN 15823 VIX caleb_strategy_v3 2024-12-18 00:00:00 2024-12-20 15:14:25.052000 2024-12-20 15:14:25 227665.052 NaN 15826 VIX caleb_strategy_v3 2024-12-18 00:00:00 2024-12-20 15:15:20.821000 2024-12-20 15:15:20 227720.821 NaN 15829 VIX caleb_strategy_v3 2024-12-18 00:00:00 2024-12-20 15:16:20.761000 2024-12-20 15:16:20 227780.761 NaN 15832 VIX caleb_strategy_v3 2024-12-18 00:00:00 2024-12-20 15:17:21.446000 2024-12-20 15:17:21 227841.446 NaN 15833 VIX caleb_strategy_v3 2024-12-18 00:00:00 2024-12-20 15:18:20.411000 2024-12-20 15:18:20 227900.411 NaN 15834 FEEDCOW caleb_strategy_v3 2024-12-19 00:00:00 2024-12-20 15:30:23.650000 2024-12-20 15:31:28 142223.65 64.35 ==================================================================================================================================================================================================================================== 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 15791 JGB-SGX-mini caleb_strategy_v3 [1] 142.24 None 142.58 142.59 142.57 142.57 142.59 -0.34 -0.01 0.0 -0.02 NaN -0.01 15790 NIKKEI caleb_strategy_v3 [-1] 39115.0 None 38927.5 38925.0 38930.0 38930.0 38930.0 -187.5 -2.5 5.0 -0.0 NaN 2.5 15792 NIKKEI caleb_strategy_v3 [-1] 39115.0 None 38927.5 38925.0 38930.0 38930.0 38960.0 -187.5 -2.5 35.0 30.0 NaN 32.5 15793 NIKKEI caleb_strategy_v3 [-1] 39115.0 None 38927.5 38925.0 38930.0 38930.0 38960.0 -187.5 -2.5 35.0 30.0 NaN 32.5 15794 NIKKEI caleb_strategy_v3 [-1] 39115.0 None 38927.5 38925.0 38930.0 38930.0 38950.0 -187.5 -2.5 25.0 20.0 NaN 22.5 15795 NIKKEI caleb_strategy_v3 [-1] 39115.0 None 38927.5 38925.0 38930.0 38930.0 38955.0 -187.5 -2.5 30.0 25.0 NaN 27.5 15796 NIKKEI caleb_strategy_v3 [-1] 39115.0 None 38927.5 38925.0 38930.0 38930.0 38950.0 -187.5 -2.5 25.0 20.0 NaN 22.5 15797 NIKKEI caleb_strategy_v3 [-1] 39115.0 None 38927.5 38925.0 38930.0 38930.0 38950.0 -187.5 -2.5 25.0 20.0 NaN 22.5 15798 BTP caleb_strategy_v3 [-1] 120.27 None 120.395 120.39 120.4 120.4 120.4 0.125 -0.005 0.01 -0.0 NaN 0.005 15799 BTP caleb_strategy_v3 [-1] 120.27 None 120.395 120.39 120.4 120.4 120.36 0.125 -0.005 -0.03 -0.04 NaN -0.035 15800 GASOIL caleb_strategy_v3 [1] 671.0 None 665.875 666.0 665.75 665.75 664.75 5.125 -0.125 1.25 1.0 NaN 1.125 15801 COCOA caleb_strategy_v3 [-1] 11075.0 None 11439.5 11433.0 11446.0 11446.0 11436.0 364.5 -6.5 3.0 -10.0 NaN -3.5 15803 GAS_US_mini caleb_strategy_v3 [1] 3.295 None 3.3375 3.34 3.335 3.335 3.335 -0.0425 -0.0025 0.005 0.0 NaN 0.0025 15804 SUGAR11 caleb_strategy_v3 [-1] 18.07 None 18.005 18.0 18.01 18.01 18.0 -0.065 -0.005 -0.0 -0.01 NaN -0.005 15805 GOLD_micro caleb_strategy_v3 [-1] 2612.1 None 2625.95 2625.9 2626.0 2626.0 2627.4 13.85 -0.05 1.5 1.4 NaN 1.45 15802 CANOLA caleb_strategy_v3 [-1] 603.6 None 607.6 607.5 607.7 607.7 608.4 4.0 -0.1 0.9 0.7 NaN 0.8 15806 CANOLA caleb_strategy_v3 [-1] 603.6 None 607.6 607.5 607.7 607.7 608.2 4.0 -0.1 0.7 0.5 NaN 0.6 15808 US30 caleb_strategy_v3 [-1] 119.71875 None 120.359375 120.34375 120.375 120.375 120.1875 0.640625 -0.015625 -0.15625 -0.1875 NaN -0.171875 15810 NZD caleb_strategy_v3 [-1] 0.5641 None 0.5641 0.56405 0.56415 0.56415 0.56455 -0.0 -0.00005 0.0005 0.0004 NaN 0.00045 15814 CHF caleb_strategy_v3 [1] 1.1241 None 1.1283 1.12835 1.12825 1.12825 1.1292 -0.0042 -0.00005 -0.00085 -0.00095 NaN -0.0009 15817 AUD caleb_strategy_v3 [-1] 0.62445 None 0.623475 0.62345 0.6235 0.6235 0.62505 -0.000975 -0.000025 0.0016 0.00155 NaN 0.001575 15807 AUD caleb_strategy_v3 [-1] 0.62445 None 0.623475 0.62345 0.6235 0.6235 0.62375 -0.000975 -0.000025 0.0003 0.00025 NaN 0.000275 15811 RUSSELL caleb_strategy_v3 [-1] 2250.9 None 2255.7 2255.6 2255.8 2255.8 2255.8 4.8 -0.1 0.2 -0.0 NaN 0.1 15819 RUSSELL caleb_strategy_v3 [-1] 2250.9 None 2256.15 2256.1 2256.2 2256.2 2255.8 5.25 -0.05 -0.3 -0.4 NaN -0.35 15820 NASDAQ_micro caleb_strategy_v3 [-1] 21462.25 None 21247.875 21247.75 21248.0 21248.0 21339.0 -214.375 -0.125 91.25 91.0 NaN 91.125 15812 NASDAQ_micro caleb_strategy_v3 [-1] 21462.25 None 21247.875 21247.75 21248.0 21248.0 21266.5 -214.375 -0.125 18.75 18.5 NaN 18.625 15822 US5 caleb_strategy_v3 [1] 106.125 None 106.417969 106.421875 106.414062 106.414062 106.414063 -0.292969 -0.003906 0.007812 -0.0 NaN 0.003906 15815 US5 caleb_strategy_v3 [1] 106.125 None 106.410156 106.414062 106.40625 106.40625 106.414063 -0.285156 -0.003906 -0.0 -0.007813 NaN -0.003907 15809 SP500_micro caleb_strategy_v3 [-1] 5951.75 None 5914.125 5914.0 5914.25 5914.25 5916.25 -37.625 -0.125 2.25 2.0 NaN 2.125 15818 SP500_micro caleb_strategy_v3 [-1] 5951.75 None 5914.125 5914.0 5914.25 5914.25 5932.0 -37.625 -0.125 18.0 17.75 NaN 17.875 15824 SP500_micro caleb_strategy_v3 [-1] 5951.75 None 5914.125 5914.0 5914.25 5914.25 5932.5 -37.625 -0.125 18.5 18.25 NaN 18.375 15827 SP500_micro caleb_strategy_v3 [-1] 5951.75 None 5914.125 5914.0 5914.25 5914.25 5933.0 -37.625 -0.125 19.0 18.75 NaN 18.875 15830 SP500_micro caleb_strategy_v3 [-1] 5951.75 None 5914.125 5914.0 5914.25 5914.25 5932.5 -37.625 -0.125 18.5 18.25 NaN 18.375 15813 DOW caleb_strategy_v3 [-1] 42950.0 None 42799.0 42798.0 42800.0 42800.0 42772.0 -151.0 -1.0 -26.0 -28.0 NaN -27.0 15821 DOW caleb_strategy_v3 [-1] 42950.0 None 42773.0 42772.0 42774.0 42774.0 42863.0 -177.0 -1.0 91.0 89.0 NaN 90.0 15825 DOW caleb_strategy_v3 [-1] 42950.0 None 42773.0 42772.0 42774.0 42774.0 42860.0 -177.0 -1.0 88.0 86.0 NaN 87.0 15828 DOW caleb_strategy_v3 [-1] 42950.0 None 42773.0 42772.0 42774.0 42774.0 42856.0 -177.0 -1.0 84.0 82.0 NaN 83.0 15831 DOW caleb_strategy_v3 [-1] 42950.0 None 42773.0 42772.0 42774.0 42774.0 42872.0 -177.0 -1.0 100.0 98.0 NaN 99.0 15816 VIX caleb_strategy_v3 [1] 20.05 None 20.375 20.4 20.35 20.35 20.1 -0.325 -0.025 0.3 0.25 NaN 0.275 15823 VIX caleb_strategy_v3 [1] 20.05 None 20.375 20.4 20.35 20.35 20.15 -0.325 -0.025 0.25 0.2 NaN 0.225 15826 VIX caleb_strategy_v3 [1] 20.05 None 20.325 20.35 20.3 20.3 20.1 -0.275 -0.025 0.25 0.2 NaN 0.225 15829 VIX caleb_strategy_v3 [1] 20.05 None 20.325 20.35 20.3 20.3 20.1 -0.275 -0.025 0.25 0.2 NaN 0.225 15832 VIX caleb_strategy_v3 [1] 20.05 None 20.175 20.2 20.15 20.15 20.1 -0.125 -0.025 0.1 0.05 NaN 0.075 15833 VIX caleb_strategy_v3 [1] 20.05 None 20.225 20.25 20.2 20.2 20.15 -0.175 -0.025 0.1 0.05 NaN 0.075 15834 FEEDCOW caleb_strategy_v3 [-1] 255.475 None 256.7625 256.7 256.825 256.825 256.625 1.2875 -0.0625 -0.075 -0.2 NaN -0.1375 =============================================================================================================================================================== 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 15791 JGB-SGX-mini caleb_strategy_v3 [1] 3.615488 -940.398545 -27.658781 0.0 -55.317561 NaN -27.658781 15790 NIKKEI caleb_strategy_v3 [-1] 7243.828289 -258.841033 -3.451214 6.902428 -0.0 NaN 3.451214 15792 NIKKEI caleb_strategy_v3 [-1] 7243.828289 -258.841033 -3.451214 48.316993 41.414565 NaN 44.865779 15793 NIKKEI caleb_strategy_v3 [-1] 7243.828289 -258.841033 -3.451214 48.316993 41.414565 NaN 44.865779 15794 NIKKEI caleb_strategy_v3 [-1] 7243.828289 -258.841033 -3.451214 34.512138 27.60971 NaN 31.060924 15795 NIKKEI caleb_strategy_v3 [-1] 7243.828289 -258.841033 -3.451214 41.414565 34.512138 NaN 37.963352 15796 NIKKEI caleb_strategy_v3 [-1] 7243.828289 -258.841033 -3.451214 34.512138 27.60971 NaN 31.060924 15797 NIKKEI caleb_strategy_v3 [-1] 7243.828289 -258.841033 -3.451214 34.512138 27.60971 NaN 31.060924 15798 BTP caleb_strategy_v3 [-1] 7.509536 166.455026 -6.658201 13.316402 -0.0 NaN 6.658201 15799 BTP caleb_strategy_v3 [-1] 7.509536 166.455026 -6.658201 -39.949206 -53.265608 NaN -46.607407 15800 GASOIL caleb_strategy_v3 [1] 177.381319 288.925577 -7.046965 70.469653 56.375722 NaN 63.422688 15801 COCOA caleb_strategy_v3 [-1] 4468.868719 815.642667 -14.545068 6.713108 -22.377028 NaN -7.83196 15803 GAS_US_mini caleb_strategy_v3 [1] 1.642552 -258.743763 -15.220221 30.440443 0.0 NaN 15.220221 15804 SUGAR11 caleb_strategy_v3 [-1] 4.875882 -133.309206 -10.254554 -0.0 -20.509109 NaN -10.254554 15805 GOLD_micro caleb_strategy_v3 [-1] 462.404009 299.521625 -1.081306 32.439165 30.276554 NaN 31.35786 15802 CANOLA caleb_strategy_v3 [-1] 158.835286 251.83321 -6.29583 56.662472 44.070812 NaN 50.366642 15806 CANOLA caleb_strategy_v3 [-1] 158.835286 251.83321 -6.29583 44.070812 31.479151 NaN 37.774982 15808 US30 caleb_strategy_v3 [-1] 18.145438 353.05018 -8.61098 -86.1098 -103.33176 NaN -94.72078 15810 NZD caleb_strategy_v3 [-1] 0.059118 -0.0 -8.457624 84.57624 67.660992 NaN 76.118616 15814 CHF caleb_strategy_v3 [1] 0.089883 -467.272139 -5.562764 -94.56698 -105.692508 NaN -100.129744 15817 AUD caleb_strategy_v3 [-1] 0.066995 -145.533624 -3.731631 238.824408 231.361145 NaN 235.092777 15807 AUD caleb_strategy_v3 [-1] 0.066995 -145.533624 -3.731631 44.779577 37.316314 NaN 41.047945 15811 RUSSELL caleb_strategy_v3 [-1] 516.530231 92.927765 -1.935995 3.87199 -0.0 NaN 1.935995 15819 RUSSELL caleb_strategy_v3 [-1] 516.530231 101.639743 -0.967998 -5.807985 -7.74398 NaN -6.775983 15820 NASDAQ_micro caleb_strategy_v3 [-1] 3989.074509 -537.405354 -0.313356 228.749801 228.123089 NaN 228.436445 15812 NASDAQ_micro caleb_strategy_v3 [-1] 3989.074509 -537.405354 -0.313356 47.003384 46.376672 NaN 46.690028 15822 US5 caleb_strategy_v3 [1] 4.054433 -722.588788 -9.634517 19.267801 -0.001233 NaN 9.633284 15815 US5 caleb_strategy_v3 [1] 4.054433 -703.319754 -9.634517 -0.001233 -19.270268 NaN -9.63575 15809 SP500_micro caleb_strategy_v3 [-1] 806.716711 -466.396685 -1.549491 27.890832 24.79185 NaN 26.341341 15818 SP500_micro caleb_strategy_v3 [-1] 806.716711 -466.396685 -1.549491 223.126653 220.027672 NaN 221.577163 15824 SP500_micro caleb_strategy_v3 [-1] 806.716711 -466.396685 -1.549491 229.324616 226.225635 NaN 227.775125 15827 SP500_micro caleb_strategy_v3 [-1] 806.716711 -466.396685 -1.549491 235.522579 232.423597 NaN 233.973088 15830 SP500_micro caleb_strategy_v3 [-1] 806.716711 -466.396685 -1.549491 229.324616 226.225635 NaN 227.775125 15813 DOW caleb_strategy_v3 [-1] 5630.713439 -268.172056 -1.775974 -46.175321 -49.727269 NaN -47.951295 15821 DOW caleb_strategy_v3 [-1] 5630.713439 -314.347377 -1.775974 161.613623 158.061675 NaN 159.837649 15825 DOW caleb_strategy_v3 [-1] 5630.713439 -314.347377 -1.775974 156.285702 152.733754 NaN 154.509728 15828 DOW caleb_strategy_v3 [-1] 5630.713439 -314.347377 -1.775974 149.181806 145.629858 NaN 147.405832 15831 DOW caleb_strategy_v3 [-1] 5630.713439 -314.347377 -1.775974 177.597388 174.04544 NaN 175.821414 15816 VIX caleb_strategy_v3 [1] 10.477046 -310.201951 -23.861689 286.340262 238.616885 NaN 262.478574 15823 VIX caleb_strategy_v3 [1] 10.477046 -310.201951 -23.861689 238.616885 190.893508 NaN 214.755197 15826 VIX caleb_strategy_v3 [1] 10.477046 -262.478574 -23.861689 238.616885 190.893508 NaN 214.755197 15829 VIX caleb_strategy_v3 [1] 10.477046 -262.478574 -23.861689 238.616885 190.893508 NaN 214.755197 15832 VIX caleb_strategy_v3 [1] 10.477046 -119.308443 -23.861689 95.446754 47.723377 NaN 71.585066 15833 VIX caleb_strategy_v3 [1] 10.477046 -167.03182 -23.861689 95.446754 47.723377 NaN 71.585066 15834 FEEDCOW caleb_strategy_v3 [-1] 30.036126 428.650488 -20.808276 -24.969931 -66.586484 NaN -45.778207 ========================================================================================================================================================================= 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 15791 JGB-SGX-mini caleb_strategy_v3 [1] 637.137469 -216.626739 -6.371375 0.0 -12.742749 NaN -6.371375 15790 NIKKEI caleb_strategy_v3 [-1] 0.637137 -119.463275 -1.592844 3.185687 -0.0 NaN 1.592844 15792 NIKKEI caleb_strategy_v3 [-1] 0.637137 -119.463275 -1.592844 22.299811 19.114124 NaN 20.706968 15793 NIKKEI caleb_strategy_v3 [-1] 0.637137 -119.463275 -1.592844 22.299811 19.114124 NaN 20.706968 15794 NIKKEI caleb_strategy_v3 [-1] 0.637137 -119.463275 -1.592844 15.928437 12.742749 NaN 14.335593 15795 NIKKEI caleb_strategy_v3 [-1] 0.637137 -119.463275 -1.592844 19.114124 15.928437 NaN 17.52128 15796 NIKKEI caleb_strategy_v3 [-1] 0.637137 -119.463275 -1.592844 15.928437 12.742749 NaN 14.335593 15797 NIKKEI caleb_strategy_v3 [-1] 0.637137 -119.463275 -1.592844 15.928437 12.742749 NaN 14.335593 15798 BTP caleb_strategy_v3 [-1] 1037.75 129.71875 -5.18875 10.3775 -0.0 NaN 5.18875 15799 BTP caleb_strategy_v3 [-1] 1037.75 129.71875 -5.18875 -31.1325 -41.51 NaN -36.32125 15800 GASOIL caleb_strategy_v3 [1] 100.0 512.5 -12.5 125.0 100.0 NaN 112.5 15801 COCOA caleb_strategy_v3 [-1] 10.0 3645.0 -65.0 30.0 -100.0 NaN -35.0 15803 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -106.25 -6.25 12.5 0.0 NaN 6.25 15804 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -72.8 -5.6 -0.0 -11.2 NaN -5.6 15805 GOLD_micro caleb_strategy_v3 [-1] 10.0 138.5 -0.5 15.0 14.0 NaN 14.5 15802 CANOLA caleb_strategy_v3 [-1] 13.894678 55.578713 -1.389468 12.505211 9.726275 NaN 11.115743 15806 CANOLA caleb_strategy_v3 [-1] 13.894678 55.578713 -1.389468 9.726275 6.947339 NaN 8.336807 15808 US30 caleb_strategy_v3 [-1] 1000.0 640.625 -15.625 -156.25 -187.5 NaN -171.875 15810 NZD caleb_strategy_v3 [-1] 100000.0 -0.0 -5.0 50.0 40.0 NaN 45.0 15814 CHF caleb_strategy_v3 [1] 125000.0 -525.0 -6.25 -106.25 -118.75 NaN -112.5 15817 AUD caleb_strategy_v3 [-1] 100000.0 -97.5 -2.5 160.0 155.0 NaN 157.5 15807 AUD caleb_strategy_v3 [-1] 100000.0 -97.5 -2.5 30.0 25.0 NaN 27.5 15811 RUSSELL caleb_strategy_v3 [-1] 5.0 24.0 -0.5 1.0 -0.0 NaN 0.5 15819 RUSSELL caleb_strategy_v3 [-1] 5.0 26.25 -0.25 -1.5 -2.0 NaN -1.75 15820 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -428.75 -0.25 182.5 182.0 NaN 182.25 15812 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -428.75 -0.25 37.5 37.0 NaN 37.25 15822 US5 caleb_strategy_v3 [1] 1000.0 -292.96875 -3.90625 7.812 -0.0005 NaN 3.90575 15815 US5 caleb_strategy_v3 [1] 1000.0 -285.15625 -3.90625 -0.0005 -7.813 NaN -3.90675 15809 SP500_micro caleb_strategy_v3 [-1] 5.0 -188.125 -0.625 11.25 10.0 NaN 10.625 15818 SP500_micro caleb_strategy_v3 [-1] 5.0 -188.125 -0.625 90.0 88.75 NaN 89.375 15824 SP500_micro caleb_strategy_v3 [-1] 5.0 -188.125 -0.625 92.5 91.25 NaN 91.875 15827 SP500_micro caleb_strategy_v3 [-1] 5.0 -188.125 -0.625 95.0 93.75 NaN 94.375 15830 SP500_micro caleb_strategy_v3 [-1] 5.0 -188.125 -0.625 92.5 91.25 NaN 91.875 15813 DOW caleb_strategy_v3 [-1] 0.5 -75.5 -0.5 -13.0 -14.0 NaN -13.5 15821 DOW caleb_strategy_v3 [-1] 0.5 -88.5 -0.5 45.5 44.5 NaN 45.0 15825 DOW caleb_strategy_v3 [-1] 0.5 -88.5 -0.5 44.0 43.0 NaN 43.5 15828 DOW caleb_strategy_v3 [-1] 0.5 -88.5 -0.5 42.0 41.0 NaN 41.5 15831 DOW caleb_strategy_v3 [-1] 0.5 -88.5 -0.5 50.0 49.0 NaN 49.5 15816 VIX caleb_strategy_v3 [1] 1000.0 -325.0 -25.0 300.0 250.0 NaN 275.0 15823 VIX caleb_strategy_v3 [1] 1000.0 -325.0 -25.0 250.0 200.0 NaN 225.0 15826 VIX caleb_strategy_v3 [1] 1000.0 -275.0 -25.0 250.0 200.0 NaN 225.0 15829 VIX caleb_strategy_v3 [1] 1000.0 -275.0 -25.0 250.0 200.0 NaN 225.0 15832 VIX caleb_strategy_v3 [1] 1000.0 -125.0 -25.0 100.0 50.0 NaN 75.0 15833 VIX caleb_strategy_v3 [1] 1000.0 -175.0 -25.0 100.0 50.0 NaN 75.0 15834 FEEDCOW caleb_strategy_v3 [-1] 500.0 643.75 -31.25 -37.5 -100.0 NaN -68.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -195.0 BTP 259.4375 CANOLA 111.157427 CHF -525.0 COCOA 3645.0 DOW -429.5 FEEDCOW 643.75 GASOIL 512.5 GAS_US_mini -106.25 GOLD_micro 138.5 JGB-SGX-mini -216.626739 NASDAQ_micro -857.5 NIKKEI -836.242928 NZD -0.0 RUSSELL 50.25 SP500_micro -940.625 SUGAR11 -72.8 US30 640.625 US5 -578.125 VIX -1500.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -256.44974 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 BTP -10.3775 CANOLA -2.778936 CHF -6.25 COCOA -65.0 DOW -2.5 FEEDCOW -31.25 GASOIL -12.5 GAS_US_mini -6.25 GOLD_micro -0.5 JGB-SGX-mini -6.371375 NASDAQ_micro -0.5 NIKKEI -11.149906 NZD -5.0 RUSSELL -0.75 SP500_micro -3.125 SUGAR11 -5.6 US30 -15.625 US5 -7.8125 VIX -150.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -348.340216 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 190.0 BTP -20.755 CANOLA 22.231485 CHF -106.25 COCOA 30.0 DOW 168.5 FEEDCOW -37.5 GASOIL 125.0 GAS_US_mini 12.5 GOLD_micro 15.0 JGB-SGX-mini 0.0 NASDAQ_micro 220.0 NIKKEI 114.684744 NZD 50.0 RUSSELL -0.5 SP500_micro 381.25 SUGAR11 -0.0 US30 -156.25 US5 7.8115 VIX 1250.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 2265.72273 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 180.0 BTP -41.51 CANOLA 16.673614 CHF -118.75 COCOA -100.0 DOW 163.5 FEEDCOW -100.0 GASOIL 100.0 GAS_US_mini 0.0 GOLD_micro 14.0 JGB-SGX-mini -12.742749 NASDAQ_micro 219.0 NIKKEI 92.384933 NZD 40.0 RUSSELL -2.0 SP500_micro 375.0 SUGAR11 -11.2 US30 -187.5 US5 -7.8135 VIX 950.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 1569.042298 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BTP 0 CANOLA 0 CHF 0 COCOA 0 DOW 0 FEEDCOW 0 GASOIL 0 GAS_US_mini 0 GOLD_micro 0 JGB-SGX-mini 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 RUSSELL 0 SP500_micro 0 SUGAR11 0 US30 0 US5 0 VIX 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 185.0 BTP -31.1325 CANOLA 19.45255 CHF -112.5 COCOA -35.0 DOW 166.0 FEEDCOW -68.75 GASOIL 112.5 GAS_US_mini 6.25 GOLD_micro 14.5 JGB-SGX-mini -6.371375 NASDAQ_micro 219.5 NIKKEI 103.534839 NZD 45.0 RUSSELL -1.25 SP500_micro 378.125 SUGAR11 -5.6 US30 -171.875 US5 -0.001 VIX 1100.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 1917.382514 ******************************************************************************** END OF REPORT ********************************************************************************