******************************************************************************** Trades report produced on 23/12/2024 21:40 from 22/12/2024 21:40 to 23/12/2024 21:40 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15855 AUD caleb_strategy_v3 [20250300] 2024-12-23 15:01:21.000 [1] 0.622700 15850 CAD caleb_strategy_v3 [20250300] 2024-12-23 15:01:00.000 [1] 0.695700 15846 CANOLA caleb_strategy_v3 [20250300] 2024-12-23 14:17:12.000 [-1] 618.200000 15848 CANOLA caleb_strategy_v3 [20250300] 2024-12-23 14:18:02.000 [-1] 618.400000 15841 CANOLA caleb_strategy_v3 [20250300] 2024-12-23 19:45:00.905 [0] NaN 15842 COPPER caleb_strategy_v3 [20250300] 2024-12-23 14:14:04.000 [-1] 4.095000 15854 DOW caleb_strategy_v3 [20250300] 2024-12-23 15:01:20.000 [1] 43020.000000 15852 EUR caleb_strategy_v3 [20250300] 2024-12-23 15:01:13.000 [1] 1.043000 15876 FEEDCOW caleb_strategy_v3 [20250400] 2024-12-23 15:31:20.000 [-1] 257.450000 15843 GASOLINE caleb_strategy_v3 [20250400] 2024-12-23 14:14:06.000 [-1] 2.165900 15845 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-23 14:14:35.000 [1] 2632.900000 15840 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-23 14:00:36.000 [1] 2631.600000 15844 HEATOIL _ROLL_PSEUDO_STRATEGY [20250300, 20250400] 2024-12-23 14:14:32.000 [1, -1] 0.025300 15847 HEATOIL _ROLL_PSEUDO_STRATEGY [20250300, 20250400] 2024-12-23 14:17:59.000 [1, -1] 0.025400 15858 JPY caleb_strategy_v3 [20250300] 2024-12-23 15:04:34.000 [-1] 0.006427 15874 LEANHOG caleb_strategy_v3 [20250400] 2024-12-23 15:31:04.000 [-1] 88.925000 15859 MXP caleb_strategy_v3 [20250300] 2024-12-23 15:05:05.000 [1] 0.048900 15849 MXP caleb_strategy_v3 [20250300] 2024-12-23 15:00:59.000 [1] 0.048990 15835 NIKKEI caleb_strategy_v3 [20250300] 2024-12-23 03:04:19.000 [1] 39105.000000 15836 NIKKEI caleb_strategy_v3 [20250300] 2024-12-23 03:04:23.000 [1] 39105.000000 15839 NIKKEI caleb_strategy_v3 [20250300] 2024-12-23 03:07:24.000 [1] 39090.000000 15837 NIKKEI caleb_strategy_v3 [20250300] 2024-12-23 03:05:23.000 [1] 39105.000000 15838 NIKKEI caleb_strategy_v3 [20250300] 2024-12-23 03:06:24.000 [1] 39095.000000 15868 RUSSELL caleb_strategy_v3 [20250300] 2024-12-23 15:19:39.000 [-1] 2243.000000 15866 RUSSELL caleb_strategy_v3 [20250300] 2024-12-23 15:19:23.000 [-1] 2243.200000 15863 RUSSELL caleb_strategy_v3 [20250300] 2024-12-23 19:45:00.986 [0] NaN 15860 RUSSELL caleb_strategy_v3 [20250300] 2024-12-23 15:05:17.000 [-1] 2250.300000 15851 RUSSELL caleb_strategy_v3 [20250300] 2024-12-23 15:01:12.000 [-1] 2252.700000 15875 SOYMEAL caleb_strategy_v3 [20250500] 2024-12-23 15:31:17.000 [1] 306.900000 15856 SP500_micro caleb_strategy_v3 [20250300] 2024-12-23 15:01:42.000 [1] 5987.000000 15862 SP500_micro caleb_strategy_v3 [20250300] 2024-12-23 15:05:18.000 [1] 5985.500000 15865 SP500_micro caleb_strategy_v3 [20250300] 2024-12-23 15:16:06.000 [1] 5983.000000 15857 US30 caleb_strategy_v3 [20250300] 2024-12-23 15:01:55.000 [1] 119.656250 15870 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:21:49.000 [1] 18.900000 15869 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:20:30.000 [1] 18.900000 15867 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:19:23.000 [1] 18.950000 15864 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:16:05.000 [1] 18.850000 15861 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:05:17.000 [1] 18.850000 15853 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:01:19.000 [1] 18.850000 15873 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:24:09.000 [1] 18.900000 15872 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:23:07.000 [1] 18.900000 15871 VIX caleb_strategy_v3 [20250300] 2024-12-23 15:22:11.000 [1] 18.900000 15877 WHEAT caleb_strategy_v3 [20251200] 2024-12-23 15:32:04.000 [1] 584.500000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15835 NIKKEI caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 03:01:16.066000 2024-12-23 03:04:19 270076.066 182.934 15836 NIKKEI caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 03:04:23.333000 2024-12-23 03:04:23 270263.333 NaN 15837 NIKKEI caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 03:05:23.463000 2024-12-23 03:05:23 270323.463 NaN 15838 NIKKEI caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 03:06:23.877000 2024-12-23 03:06:24 270383.877 0.123 15839 NIKKEI caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 03:07:24.373000 2024-12-23 03:07:24 270444.373 NaN 15842 COPPER caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 14:10:38.034000 2024-12-23 14:14:04 310238.034 205.966 15843 GASOLINE caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 14:14:05.094000 2024-12-23 14:14:06 310445.094 0.906 15840 GOLD_micro caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 14:00:36.030000 2024-12-23 14:00:36 309636.03 NaN 15845 GOLD_micro caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 14:14:35.888000 2024-12-23 14:14:35 310475.888 NaN 15844 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-12-20 19:00:00 2024-12-23 14:14:19.482000 2024-12-23 14:14:32 242059.482 12.518 15847 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-12-20 19:00:00 2024-12-23 14:17:24.459000 2024-12-23 14:17:59 242244.459 34.541 15850 CAD caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:00.157000 2024-12-23 15:01:00 313260.157 NaN 15852 EUR caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:13.517000 2024-12-23 15:01:13 313273.517 NaN 15854 DOW caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:20.184000 2024-12-23 15:01:20 313280.184 NaN 15855 AUD caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:21.502000 2024-12-23 15:01:21 313281.502 NaN 15857 US30 caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:43.419000 2024-12-23 15:01:55 313303.419 11.581 15858 JPY caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:56.802000 2024-12-23 15:04:34 313316.802 157.198 15849 MXP caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:00:13.750000 2024-12-23 15:00:59 313213.75 45.25 15859 MXP caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:05:04.958000 2024-12-23 15:05:05 313504.958 0.042 15856 SP500_micro caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:22.684000 2024-12-23 15:01:42 313282.684 19.316 15865 SP500_micro caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:16:06.308000 2024-12-23 15:16:06 314166.308 NaN 15862 SP500_micro caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:05:18.171000 2024-12-23 15:05:18 313518.171 NaN 15872 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:23:04.797000 2024-12-23 15:23:07 314584.797 2.203 15873 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:24:04.806000 2024-12-23 15:24:09 314644.806 4.194 15853 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:14.918000 2024-12-23 15:01:19 313274.918 4.082 15861 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:05:17.580000 2024-12-23 15:05:17 313517.58 NaN 15864 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:16:05.707000 2024-12-23 15:16:05 314165.707 NaN 15867 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:19:23.561000 2024-12-23 15:19:23 314363.561 NaN 15869 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:19:40.046000 2024-12-23 15:20:30 314380.046 49.954 15870 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:20:45.960000 2024-12-23 15:21:49 314445.96 63.04 15871 VIX caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:22:04.647000 2024-12-23 15:22:11 314524.647 6.353 15874 LEANHOG caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:30:07.138000 2024-12-23 15:31:04 315007.138 56.862 15875 SOYMEAL caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:31:05.262000 2024-12-23 15:31:17 315065.262 11.738 15876 FEEDCOW caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:31:19.114000 2024-12-23 15:31:20 315079.114 0.886 15877 WHEAT caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:31:21.154000 2024-12-23 15:32:04 315081.154 42.846 15851 RUSSELL caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:01:01.343000 2024-12-23 15:01:12 313261.343 10.657 15860 RUSSELL caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:05:05.466000 2024-12-23 15:05:17 313505.466 11.534 15863 RUSSELL caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:06:05.132000 2024-12-23 19:45:00.986000 313565.132 16735.854 15866 RUSSELL caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:16:21.632000 2024-12-23 15:19:23 314181.632 181.368 15868 RUSSELL caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 15:19:39.245000 2024-12-23 15:19:39 314379.245 NaN 15848 CANOLA caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 14:18:02.904000 2024-12-23 14:18:02 310682.904 NaN 15841 CANOLA caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 14:00:37.002000 2024-12-23 19:45:00.905000 309637.002 20663.903 15846 CANOLA caleb_strategy_v3 2024-12-20 00:00:00 2024-12-23 14:14:36.500000 2024-12-23 14:17:12 310476.5 155.5 ========================================================================================================================================================================================================================================== 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 15835 NIKKEI caleb_strategy_v3 [1] 39095.0 None 39087.5 39090.0 39085.0 39085.0 39105.0 7.5 -2.5 -15.0 -20.0 NaN -17.5 15836 NIKKEI caleb_strategy_v3 [1] 39095.0 None 39107.5 39110.0 39105.0 39105.0 39105.0 -12.5 -2.5 5.0 0.0 NaN 2.5 15837 NIKKEI caleb_strategy_v3 [1] 39095.0 None 39127.5 39130.0 39125.0 39125.0 39105.0 -32.5 -2.5 25.0 20.0 NaN 22.5 15838 NIKKEI caleb_strategy_v3 [1] 39095.0 None 39122.5 39125.0 39120.0 39120.0 39095.0 -27.5 -2.5 30.0 25.0 NaN 27.5 15839 NIKKEI caleb_strategy_v3 [1] 39095.0 None 39107.5 39110.0 39105.0 39105.0 39090.0 -12.5 -2.5 20.0 15.0 NaN 17.5 15842 COPPER caleb_strategy_v3 [-1] 4.1075 None 4.09875 4.0985 4.099 4.099 4.095 -0.00875 -0.00025 -0.0035 -0.004 NaN -0.00375 15843 GASOLINE caleb_strategy_v3 [-1] 2.1642 None 2.1619 2.1616 2.1622 2.1622 2.1659 -0.0023 -0.0003 0.0043 0.0037 NaN 0.004 15840 GOLD_micro caleb_strategy_v3 [1] 2648.1 None 2633.15 2633.2 2633.1 2633.1 2631.6 14.95 -0.05 1.6 1.5 NaN 1.55 15845 GOLD_micro caleb_strategy_v3 [1] 2648.1 None 2633.15 2633.2 2633.1 2633.1 2632.9 14.95 -0.05 0.3 0.2 NaN 0.25 15844 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 0.0243 None 0.025 0.0256 0.0244 0.0244 0.0253 -0.0007 -0.0006 0.0003 -0.0009 NaN -0.0003 15847 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 0.0243 None 0.0251 0.0256 0.0246 0.0246 0.0254 -0.0008 -0.0005 0.0002 -0.0008 NaN -0.0003 15850 CAD caleb_strategy_v3 [1] 0.69905 None 0.696075 0.6961 0.69605 0.69605 0.6957 0.002975 -0.000025 0.0004 0.00035 NaN 0.000375 15852 EUR caleb_strategy_v3 [1] 1.04855 None 1.043825 1.04385 1.0438 1.0438 1.043 0.004725 -0.000025 0.00085 0.0008 NaN 0.000825 15854 DOW caleb_strategy_v3 [1] 43408.0 None 43047.0 43048.0 43046.0 43046.0 43020.0 361.0 -1.0 28.0 26.0 NaN 27.0 15855 AUD caleb_strategy_v3 [1] 0.62695 None 0.6232 0.62325 0.62315 0.62315 0.6227 0.00375 -0.00005 0.00055 0.00045 NaN 0.0005 15857 US30 caleb_strategy_v3 [1] 120.25 None 119.671875 119.6875 119.65625 119.65625 119.65625 0.578125 -0.015625 0.03125 0.0 NaN 0.015625 15858 JPY caleb_strategy_v3 [-1] 0.006476 None 0.00643 0.00643 0.00643 0.00643 0.006427 -0.000047 -0.0 -0.000002 -0.000003 NaN -0.000003 15849 MXP caleb_strategy_v3 [1] 0.04915 None 0.048975 0.04898 0.04897 0.04897 0.04899 0.000175 -0.000005 -0.00001 -0.00002 NaN -0.000015 15859 MXP caleb_strategy_v3 [1] 0.04915 None 0.048985 0.04899 0.04898 0.04898 0.0489 0.000165 -0.000005 0.00009 0.00008 NaN 0.000085 15856 SP500_micro caleb_strategy_v3 [1] 6018.25 None 5986.125 5986.25 5986.0 5986.0 5987.0 32.125 -0.125 -0.75 -1.0 NaN -0.875 15865 SP500_micro caleb_strategy_v3 [1] 6018.25 None 5986.875 5987.0 5986.75 5986.75 5983.0 31.375 -0.125 4.0 3.75 NaN 3.875 15862 SP500_micro caleb_strategy_v3 [1] 6018.25 None 5986.875 5987.0 5986.75 5986.75 5985.5 31.375 -0.125 1.5 1.25 NaN 1.375 15872 VIX caleb_strategy_v3 [1] 19.0 None 18.925 18.95 18.9 18.9 18.9 0.075 -0.025 0.05 0.0 NaN 0.025 15873 VIX caleb_strategy_v3 [1] 19.0 None 18.875 18.9 18.85 18.85 18.9 0.125 -0.025 0.0 -0.05 NaN -0.025 15853 VIX caleb_strategy_v3 [1] 19.0 None 18.85 18.9 18.8 18.8 18.85 0.15 -0.05 0.05 -0.05 NaN 0.0 15861 VIX caleb_strategy_v3 [1] 19.0 None 18.875 18.9 18.85 18.85 18.85 0.125 -0.025 0.05 0.0 NaN 0.025 15864 VIX caleb_strategy_v3 [1] 19.0 None 18.875 18.9 18.85 18.85 18.85 0.125 -0.025 0.05 0.0 NaN 0.025 15867 VIX caleb_strategy_v3 [1] 19.0 None 18.875 18.9 18.85 18.85 18.95 0.125 -0.025 -0.05 -0.1 NaN -0.075 15869 VIX caleb_strategy_v3 [1] 19.0 None 18.925 18.95 18.9 18.9 18.9 0.075 -0.025 0.05 0.0 NaN 0.025 15870 VIX caleb_strategy_v3 [1] 19.0 None 18.925 18.95 18.9 18.9 18.9 0.075 -0.025 0.05 0.0 NaN 0.025 15871 VIX caleb_strategy_v3 [1] 19.0 None 18.925 18.95 18.9 18.9 18.9 0.075 -0.025 0.05 0.0 NaN 0.025 15874 LEANHOG caleb_strategy_v3 [-1] 90.45 None 89.075 89.05 89.1 89.1 88.925 -1.375 -0.025 -0.125 -0.175 NaN -0.15 15875 SOYMEAL caleb_strategy_v3 [1] 306.7 None 306.75 306.8 306.7 306.7 306.9 -0.05 -0.05 -0.1 -0.2 NaN -0.15 15876 FEEDCOW caleb_strategy_v3 [-1] 256.95 None 256.875 256.825 256.925 256.925 257.45 -0.075 -0.05 0.625 0.525 NaN 0.575 15877 WHEAT caleb_strategy_v3 [1] 580.75 None 584.0 584.25 583.75 583.75 584.5 -3.25 -0.25 -0.25 -0.75 NaN -0.5 15851 RUSSELL caleb_strategy_v3 [-1] 2277.1 None 2253.3 2253.2 2253.4 2253.4 2252.7 -23.8 -0.1 -0.5 -0.7 NaN -0.6 15860 RUSSELL caleb_strategy_v3 [-1] 2277.1 None 2252.8 2252.7 2252.9 2252.9 2250.3 -24.3 -0.1 -2.4 -2.6 NaN -2.5 15863 RUSSELL caleb_strategy_v3 [-1] 2277.1 None 2250.4 2250.3 2250.5 2250.5 NaN -26.7 -0.1 NaN NaN NaN NaN 15866 RUSSELL caleb_strategy_v3 [-1] 2277.1 None 2249.95 2249.9 2250.0 2250.0 2243.2 -27.15 -0.05 -6.7 -6.8 NaN -6.75 15868 RUSSELL caleb_strategy_v3 [-1] 2277.1 None 2243.3 2243.2 2243.4 2243.4 2243.0 -33.8 -0.1 -0.2 -0.4 NaN -0.3 15848 CANOLA caleb_strategy_v3 [-1] 613.7 None 618.3 618.2 618.4 618.4 618.4 4.6 -0.1 0.2 -0.0 NaN 0.1 15841 CANOLA caleb_strategy_v3 [-1] 613.7 None 619.05 619.0 619.1 619.1 NaN 5.35 -0.05 NaN NaN NaN NaN 15846 CANOLA caleb_strategy_v3 [-1] 613.7 None 619.85 619.7 620.0 620.0 618.2 6.15 -0.15 -1.5 -1.8 NaN -1.65 ====================================================================================================================================================================== 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 15835 NIKKEI caleb_strategy_v3 [1] 7110.286254 10.548099 -3.516033 -21.096197 -28.128263 NaN -24.61223 15836 NIKKEI caleb_strategy_v3 [1] 7110.286254 -17.580164 -3.516033 7.032066 0.0 NaN 3.516033 15837 NIKKEI caleb_strategy_v3 [1] 7110.286254 -45.708427 -3.516033 35.160328 28.128263 NaN 31.644296 15838 NIKKEI caleb_strategy_v3 [1] 7110.286254 -38.676361 -3.516033 42.192394 35.160328 NaN 38.676361 15839 NIKKEI caleb_strategy_v3 [1] 7110.286254 -17.580164 -3.516033 28.128263 21.096197 NaN 24.61223 15842 COPPER caleb_strategy_v3 [-1] 0.799477 -109.44652 -3.127043 -43.778608 -50.032695 NaN -46.905651 15843 GASOLINE caleb_strategy_v3 [-1] 0.490079 -46.931188 -6.121459 87.740916 75.497998 NaN 81.619457 15840 GOLD_micro caleb_strategy_v3 [1] 448.072621 333.651272 -1.115891 35.708497 33.476716 NaN 34.592607 15845 GOLD_micro caleb_strategy_v3 [1] 448.072621 333.651272 -1.115891 6.695343 4.463562 NaN 5.579453 15844 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 0.542095 -12.912857 -11.068163 5.534081 -16.602244 NaN -5.534081 15847 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 0.542095 -14.757551 -9.223469 3.689388 -14.757551 NaN -5.534081 15850 CAD caleb_strategy_v3 [1] 0.040127 741.402186 -6.23027 99.684328 87.223787 NaN 93.454057 15852 EUR caleb_strategy_v3 [1] 0.0808 584.77969 -3.094072 105.198463 99.010318 NaN 102.10439 15854 DOW caleb_strategy_v3 [1] 5379.478466 671.06877 -1.858916 52.049655 48.331823 NaN 50.190739 15855 AUD caleb_strategy_v3 [1] 0.064779 578.893678 -7.718582 84.904406 69.467241 NaN 77.185824 15857 US30 caleb_strategy_v3 [1] 17.903239 322.916435 -8.727471 17.454942 0.0 NaN 8.727471 15858 JPY caleb_strategy_v3 [-1] 0.000732 -639.093021 -3.41761 -34.176097 -41.011317 NaN -37.593707 15849 MXP caleb_strategy_v3 [1] 0.005941 294.542012 -8.415486 -16.830972 -33.661944 NaN -25.246458 15859 MXP caleb_strategy_v3 [1] 0.005941 277.71104 -8.415486 151.478749 134.647777 NaN 143.063263 15856 SP500_micro caleb_strategy_v3 [1] 774.415994 414.828726 -1.61412 -9.684717 -12.912956 NaN -11.298837 15865 SP500_micro caleb_strategy_v3 [1] 774.415994 405.144009 -1.61412 51.651826 48.423587 NaN 50.037706 15862 SP500_micro caleb_strategy_v3 [1] 774.415994 405.144009 -1.61412 19.369435 16.141196 NaN 17.755315 15872 VIX caleb_strategy_v3 [1] 10.792798 69.490782 -23.163594 46.327188 0.0 NaN 23.163594 15873 VIX caleb_strategy_v3 [1] 10.792798 115.817969 -23.163594 0.0 -46.327188 NaN -23.163594 15853 VIX caleb_strategy_v3 [1] 10.792798 138.981563 -46.327188 46.327188 -46.327188 NaN 0.0 15861 VIX caleb_strategy_v3 [1] 10.792798 115.817969 -23.163594 46.327188 0.0 NaN 23.163594 15864 VIX caleb_strategy_v3 [1] 10.792798 115.817969 -23.163594 46.327188 0.0 NaN 23.163594 15867 VIX caleb_strategy_v3 [1] 10.792798 115.817969 -23.163594 -46.327188 -92.654376 NaN -69.490782 15869 VIX caleb_strategy_v3 [1] 10.792798 69.490782 -23.163594 46.327188 0.0 NaN 23.163594 15870 VIX caleb_strategy_v3 [1] 10.792798 69.490782 -23.163594 46.327188 0.0 NaN 23.163594 15871 VIX caleb_strategy_v3 [1] 10.792798 69.490782 -23.163594 46.327188 0.0 NaN 23.163594 15874 LEANHOG caleb_strategy_v3 [-1] 18.511436 -742.784084 -13.505165 -67.525826 -94.536156 NaN -81.030991 15875 SOYMEAL caleb_strategy_v3 [1] 68.51962 -7.29718 -7.29718 -14.59436 -29.18872 NaN -21.89154 15876 FEEDCOW caleb_strategy_v3 [-1] 29.453496 -25.46387 -16.975913 212.198918 178.247091 NaN 195.223004 15877 WHEAT caleb_strategy_v3 [1] 111.982145 -290.22484 -22.324988 -22.324988 -66.974963 NaN -44.649975 15851 RUSSELL caleb_strategy_v3 [-1] 499.389017 -476.582367 -2.002447 -10.012235 -14.017128 NaN -12.014682 15860 RUSSELL caleb_strategy_v3 [-1] 499.389017 -486.594602 -2.002447 -48.058726 -52.06362 NaN -50.061173 15863 RUSSELL caleb_strategy_v3 [-1] 499.389017 -534.653328 -2.002447 NaN NaN NaN NaN 15866 RUSSELL caleb_strategy_v3 [-1] 499.389017 -543.664339 -1.001223 -134.163944 -136.166391 NaN -135.165167 15868 RUSSELL caleb_strategy_v3 [-1] 499.389017 -676.827059 -2.002447 -4.004894 -8.009788 NaN -6.007341 15848 CANOLA caleb_strategy_v3 [-1] 155.73332 295.376738 -6.421233 12.842467 -0.0 NaN 6.421233 15841 CANOLA caleb_strategy_v3 [-1] 155.73332 343.535989 -3.210617 NaN NaN NaN NaN 15846 CANOLA caleb_strategy_v3 [-1] 155.73332 394.905856 -9.63185 -96.318501 -115.582202 NaN -105.950352 =============================================================================================================================================================================== 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 15835 NIKKEI caleb_strategy_v3 [1] 0.638388 4.787911 -1.59597 -9.575823 -12.767764 NaN -11.171793 15836 NIKKEI caleb_strategy_v3 [1] 0.638388 -7.979852 -1.59597 3.191941 0.0 NaN 1.59597 15837 NIKKEI caleb_strategy_v3 [1] 0.638388 -20.747616 -1.59597 15.959705 12.767764 NaN 14.363734 15838 NIKKEI caleb_strategy_v3 [1] 0.638388 -17.555675 -1.59597 19.151646 15.959705 NaN 17.555675 15839 NIKKEI caleb_strategy_v3 [1] 0.638388 -7.979852 -1.59597 12.767764 9.575823 NaN 11.171793 15842 COPPER caleb_strategy_v3 [-1] 25000.0 -218.75 -6.25 -87.5 -100.0 NaN -93.75 15843 GASOLINE caleb_strategy_v3 [-1] 42000.0 -96.6 -12.6 180.6 155.4 NaN 168.0 15840 GOLD_micro caleb_strategy_v3 [1] 10.0 149.5 -0.5 16.0 15.0 NaN 15.5 15845 GOLD_micro caleb_strategy_v3 [1] 10.0 149.5 -0.5 3.0 2.0 NaN 2.5 15844 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 42000.0 -29.4 -25.2 12.6 -37.8 NaN -12.6 15847 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 42000.0 -33.6 -21.0 8.4 -33.6 NaN -12.6 15850 CAD caleb_strategy_v3 [1] 100000.0 297.5 -2.5 40.0 35.0 NaN 37.5 15852 EUR caleb_strategy_v3 [1] 125000.0 590.625 -3.125 106.25 100.0 NaN 103.125 15854 DOW caleb_strategy_v3 [1] 0.5 180.5 -0.5 14.0 13.0 NaN 13.5 15855 AUD caleb_strategy_v3 [1] 100000.0 375.0 -5.0 55.0 45.0 NaN 50.0 15857 US30 caleb_strategy_v3 [1] 1000.0 578.125 -15.625 31.25 0.0 NaN 15.625 15858 JPY caleb_strategy_v3 [-1] 12500000.0 -584.375 -3.125 -31.25 -37.5 NaN -34.375 15849 MXP caleb_strategy_v3 [1] 500000.0 87.5 -2.5 -5.0 -10.0 NaN -7.5 15859 MXP caleb_strategy_v3 [1] 500000.0 82.5 -2.5 45.0 40.0 NaN 42.5 15856 SP500_micro caleb_strategy_v3 [1] 5.0 160.625 -0.625 -3.75 -5.0 NaN -4.375 15865 SP500_micro caleb_strategy_v3 [1] 5.0 156.875 -0.625 20.0 18.75 NaN 19.375 15862 SP500_micro caleb_strategy_v3 [1] 5.0 156.875 -0.625 7.5 6.25 NaN 6.875 15872 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 50.0 0.0 NaN 25.0 15873 VIX caleb_strategy_v3 [1] 1000.0 125.0 -25.0 0.0 -50.0 NaN -25.0 15853 VIX caleb_strategy_v3 [1] 1000.0 150.0 -50.0 50.0 -50.0 NaN 0.0 15861 VIX caleb_strategy_v3 [1] 1000.0 125.0 -25.0 50.0 0.0 NaN 25.0 15864 VIX caleb_strategy_v3 [1] 1000.0 125.0 -25.0 50.0 0.0 NaN 25.0 15867 VIX caleb_strategy_v3 [1] 1000.0 125.0 -25.0 -50.0 -100.0 NaN -75.0 15869 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 50.0 0.0 NaN 25.0 15870 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 50.0 0.0 NaN 25.0 15871 VIX caleb_strategy_v3 [1] 1000.0 75.0 -25.0 50.0 0.0 NaN 25.0 15874 LEANHOG caleb_strategy_v3 [-1] 400.0 -550.0 -10.0 -50.0 -70.0 NaN -60.0 15875 SOYMEAL caleb_strategy_v3 [1] 100.0 -5.0 -5.0 -10.0 -20.0 NaN -15.0 15876 FEEDCOW caleb_strategy_v3 [-1] 500.0 -37.5 -25.0 312.5 262.5 NaN 287.5 15877 WHEAT caleb_strategy_v3 [1] 50.0 -162.5 -12.5 -12.5 -37.5 NaN -25.0 15851 RUSSELL caleb_strategy_v3 [-1] 5.0 -119.0 -0.5 -2.5 -3.5 NaN -3.0 15860 RUSSELL caleb_strategy_v3 [-1] 5.0 -121.5 -0.5 -12.0 -13.0 NaN -12.5 15863 RUSSELL caleb_strategy_v3 [-1] 5.0 -133.5 -0.5 NaN NaN NaN NaN 15866 RUSSELL caleb_strategy_v3 [-1] 5.0 -135.75 -0.25 -33.5 -34.0 NaN -33.75 15868 RUSSELL caleb_strategy_v3 [-1] 5.0 -169.0 -0.5 -1.0 -2.0 NaN -1.5 15848 CANOLA caleb_strategy_v3 [-1] 13.919337 64.028952 -1.391934 2.783867 -0.0 NaN 1.391934 15841 CANOLA caleb_strategy_v3 [-1] 13.919337 74.468455 -0.695967 NaN NaN NaN NaN 15846 CANOLA caleb_strategy_v3 [-1] 13.919337 85.603925 -2.087901 -20.879006 -25.054807 NaN -22.966907 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -63.0 caleb_strategy_v3 AUD 375.0 CAD 297.5 CANOLA 224.101333 COPPER -218.75 DOW 180.5 EUR 590.625 FEEDCOW -37.5 GASOLINE -96.6 GOLD_micro 299.0 JPY -584.375 LEANHOG -550.0 MXP 170.0 NIKKEI -49.475085 RUSSELL -678.75 SOYMEAL -5.0 SP500_micro 474.375 US30 578.125 VIX 950.0 WHEAT -162.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -63.0 caleb_strategy_v3 1756.276247 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -46.2 caleb_strategy_v3 AUD -5.0 CAD -2.5 CANOLA -4.175801 COPPER -6.25 DOW -0.5 EUR -3.125 FEEDCOW -25.0 GASOLINE -12.6 GOLD_micro -1.0 JPY -3.125 LEANHOG -10.0 MXP -5.0 NIKKEI -7.979852 RUSSELL -2.25 SOYMEAL -5.0 SP500_micro -1.875 US30 -15.625 VIX -250.0 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -46.2 caleb_strategy_v3 -373.505654 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 21.0 caleb_strategy_v3 AUD 55.0 CAD 40.0 CANOLA -18.095139 COPPER -87.5 DOW 14.0 EUR 106.25 FEEDCOW 312.5 GASOLINE 180.6 GOLD_micro 19.0 JPY -31.25 LEANHOG -50.0 MXP 40.0 NIKKEI 41.495233 RUSSELL -49.0 SOYMEAL -10.0 SP500_micro 23.75 US30 31.25 VIX 300.0 WHEAT -12.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 21.0 caleb_strategy_v3 905.500094 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -71.4 caleb_strategy_v3 AUD 45.0 CAD 35.0 CANOLA -25.054807 COPPER -100.0 DOW 13.0 EUR 100.0 FEEDCOW 262.5 GASOLINE 155.4 GOLD_micro 17.0 JPY -37.5 LEANHOG -70.0 MXP 30.0 NIKKEI 25.535528 RUSSELL -52.5 SOYMEAL -20.0 SP500_micro 20.0 US30 0.0 VIX -200.0 WHEAT -37.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -71.4 caleb_strategy_v3 160.880721 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0 caleb_strategy_v3 AUD 0 CAD 0 CANOLA 0 COPPER 0 DOW 0 EUR 0 FEEDCOW 0 GASOLINE 0 GOLD_micro 0 JPY 0 LEANHOG 0 MXP 0 NIKKEI 0 RUSSELL 0 SOYMEAL 0 SP500_micro 0 US30 0 VIX 0 WHEAT 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 HEATOIL -25.2 caleb_strategy_v3 AUD 50.0 CAD 37.5 CANOLA -21.574973 COPPER -93.75 DOW 13.5 EUR 103.125 FEEDCOW 287.5 GASOLINE 168.0 GOLD_micro 18.0 JPY -34.375 LEANHOG -60.0 MXP 35.0 NIKKEI 33.51538 RUSSELL -50.75 SOYMEAL -15.0 SP500_micro 21.875 US30 15.625 VIX 50.0 WHEAT -25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -25.2 caleb_strategy_v3 533.190407 ******************************************************************************** END OF REPORT 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