******************************************************************************** Trades report produced on 09/09/2025 21:38 from 08/09/2025 21:38 to 09/09/2025 21:38 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 18664 CAD caleb_strategy_v3 [20251200] 2025-09-09 14:02:20.000 [-1] 0.727200 18660 DOW caleb_strategy_v3 [20251200] 2025-09-09 14:00:28.000 [-1] 45924.000000 18667 DOW caleb_strategy_v3 [20251200] 2025-09-09 14:02:57.000 [-1] 45899.000000 18671 DOW caleb_strategy_v3 [20251200] 2025-09-09 14:23:52.000 [-1] 45873.000000 18681 DOW caleb_strategy_v3 [20251200] 2025-09-09 14:45:51.000 [-1] 45944.000000 18678 DOW caleb_strategy_v3 [20251200] 2025-09-09 14:44:51.000 [-1] 45870.000000 18675 DOW caleb_strategy_v3 [20251200] 2025-09-09 19:45:12.294 [0] NaN 18654 EUROSTX caleb_strategy_v3 [20250900] 2025-09-09 07:00:43.000 [-1] 5375.000000 18655 EUROSTX caleb_strategy_v3 [20250900] 2025-09-09 07:01:43.000 [-1] 5375.000000 18662 GBP caleb_strategy_v3 [20251200] 2025-09-09 14:01:21.000 [1] 1.356800 18656 GOLD_micro caleb_strategy_v3 [20251000] 2025-09-09 13:00:49.000 [1] 3657.100000 18670 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:23:00.000 [-1, 1] 0.000520 18687 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:50:53.000 [-1, 1] 0.000520 18686 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:49:59.000 [-1, 1] 0.000520 18685 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:48:53.000 [-1, 1] 0.000520 18684 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:47:53.000 [-1, 1] 0.000520 18683 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:46:53.000 [-1, 1] 0.000520 18682 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:46:17.000 [-1, 1] 0.000520 18680 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:44:53.000 [-1, 1] 0.000520 18674 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:23:55.000 [-1, 1] 0.000520 18666 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:02:39.000 [-1, 1] 0.000520 18677 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:44:48.000 [-1, 1] 0.000520 18699 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 15:07:01.000 [-1, 1] 0.000520 18698 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 15:06:00.000 [-1, 1] 0.000520 18697 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 15:05:00.000 [-1, 1] 0.000520 18696 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 15:04:39.000 [-1, 1] 0.000520 18695 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:58:54.000 [-1, 1] 0.000520 18694 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:58:44.000 [-1, 1] 0.000520 18693 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:56:54.000 [-1, 1] 0.000520 18692 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:55:54.000 [-1, 1] 0.000520 18691 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:54:54.000 [-1, 1] 0.000520 18690 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:54:33.000 [-1, 1] 0.000520 18689 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:52:54.000 [-1, 1] 0.000520 18688 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 14:52:34.000 [-1, 1] 0.000520 18700 MXP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-09 15:09:03.000 [-1, 1] 0.000520 18665 NASDAQ_micro caleb_strategy_v3 [20250900] 2025-09-09 14:02:22.000 [1] 23801.250000 18651 NIKKEI caleb_strategy_v3 [20251200] 2025-09-09 02:02:22.000 [1] 43545.000000 18650 NIKKEI caleb_strategy_v3 [20251200] 2025-09-09 02:01:16.000 [1] 43535.000000 18653 NIKKEI caleb_strategy_v3 [20251200] 2025-09-09 02:13:21.000 [1] 43560.000000 18652 NIKKEI caleb_strategy_v3 [20251200] 2025-09-09 19:45:12.023 [0] NaN 18657 PLAT caleb_strategy_v3 [20260100] 2025-09-09 13:00:51.000 [1] 1398.300000 18659 RUSSELL caleb_strategy_v3 [20250900] 2025-09-09 14:00:27.000 [-1] 2394.500000 18661 SP500_micro caleb_strategy_v3 [20250900] 2025-09-09 14:00:53.000 [1] 6507.500000 18668 SP500_micro caleb_strategy_v3 [20250900] 2025-09-09 19:45:12.115 [0] NaN 18672 SP500_micro caleb_strategy_v3 [20250900] 2025-09-09 14:23:52.000 [1] 6507.750000 18676 SP500_micro caleb_strategy_v3 [20250900] 2025-09-09 19:45:12.384 [0] NaN 18679 SP500_micro caleb_strategy_v3 [20250900] 2025-09-09 14:44:52.000 [1] 6492.750000 18673 US30 caleb_strategy_v3 [20251200] 2025-09-09 14:23:53.000 [1] 120.375000 18669 US30 caleb_strategy_v3 [20251200] 2025-09-09 19:45:12.204 [0] NaN 18663 US30 caleb_strategy_v3 [20251200] 2025-09-09 14:02:19.000 [1] 120.500000 18658 US5 caleb_strategy_v3 [20251200] 2025-09-09 14:00:26.000 [-1] 110.046875 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18654 EUROSTX caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 08:00:43.659000 2025-09-09 07:00:43 115243.659 NaN 18655 EUROSTX caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 08:01:43.302000 2025-09-09 07:01:43 115303.302 NaN 18656 GOLD_micro caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 14:00:16.574000 2025-09-09 13:00:49 136816.574 NaN 18657 PLAT caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 14:00:50.942000 2025-09-09 13:00:51 136850.942 NaN 18658 US5 caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:00:26.134000 2025-09-09 14:00:26 140426.134 NaN 18659 RUSSELL caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:00:27.374000 2025-09-09 14:00:27 140427.374 NaN 18662 GBP caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:00:54.762000 2025-09-09 14:01:21 140454.762 NaN 18664 CAD caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:02:20.734000 2025-09-09 14:02:20 140540.734 NaN 18665 NASDAQ_micro caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:02:22.034000 2025-09-09 14:02:22 140542.034 NaN 18688 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:51:52.623000 2025-09-09 14:52:34 75112.623 NaN 18689 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:52:53.106000 2025-09-09 14:52:54 75173.106 NaN 18690 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:53:53.185000 2025-09-09 14:54:33 75233.185 NaN 18691 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:54:53.089000 2025-09-09 14:54:54 75293.089 NaN 18692 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:55:53.089000 2025-09-09 14:55:54 75353.089 NaN 18693 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:56:53.342000 2025-09-09 14:56:54 75413.342 NaN 18694 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:57:53.229000 2025-09-09 14:58:44 75473.229 NaN 18695 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:58:53.550000 2025-09-09 14:58:54 75533.55 NaN 18696 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:59:53.683000 2025-09-09 15:04:39 75593.683 NaN 18697 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 16:04:59.602000 2025-09-09 15:05:00 75899.602 NaN 18698 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 16:05:59.629000 2025-09-09 15:06:00 75959.629 NaN 18699 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 16:07:00.061000 2025-09-09 15:07:01 76020.061 NaN 18700 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 16:08:00.142000 2025-09-09 15:09:03 76080.142 NaN 18666 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:02:24.106000 2025-09-09 14:02:39 72144.106 NaN 18670 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:22:59.258000 2025-09-09 14:23:00 73379.258 NaN 18674 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:23:54.260000 2025-09-09 14:23:55 73434.26 NaN 18677 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:44:04.854000 2025-09-09 14:44:48 74644.854 NaN 18680 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:44:52.796000 2025-09-09 14:44:53 74692.796 NaN 18682 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:45:52.425000 2025-09-09 14:46:17 74752.425 NaN 18683 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:46:52.333000 2025-09-09 14:46:53 74812.333 NaN 18684 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:47:52.219000 2025-09-09 14:47:53 74872.219 NaN 18685 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:48:52.285000 2025-09-09 14:48:53 74932.285 NaN 18686 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:49:52.320000 2025-09-09 14:49:59 74992.32 NaN 18687 MXP _ROLL_PSEUDO_STRATEGY 2025-09-08 19:00:00 2025-09-09 15:50:52.407000 2025-09-09 14:50:53 75052.407 NaN 18660 DOW caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:00:28.678000 2025-09-09 14:00:28 140428.678 NaN 18667 DOW caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:02:57.490000 2025-09-09 14:02:57 140577.49 NaN 18671 DOW caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:23:03.618000 2025-09-09 14:23:52 141783.618 NaN 18675 DOW caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:24:03.670000 2025-09-09 19:45:12.294000 141843.67 15668.624 18678 DOW caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:44:51.421000 2025-09-09 14:44:51 143091.421 NaN 18681 DOW caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:45:51.606000 2025-09-09 14:45:51 143151.606 NaN 18661 SP500_micro caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:00:29.938000 2025-09-09 14:00:53 140429.938 NaN 18668 SP500_micro caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:02:58.061000 2025-09-09 19:45:12.115000 140578.061 16934.054 18672 SP500_micro caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:23:52.786000 2025-09-09 14:23:52 141832.786 NaN 18676 SP500_micro caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:34:04.138000 2025-09-09 19:45:12.384000 142444.138 15068.246 18679 SP500_micro caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:44:51.994000 2025-09-09 14:44:52 143091.994 NaN 18673 US30 caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:23:53.449000 2025-09-09 14:23:53 141833.449 NaN 18669 US30 caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:12:58.567000 2025-09-09 19:45:12.204000 141178.567 16333.637 18663 US30 caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 15:01:22.882000 2025-09-09 14:02:19 140482.882 NaN 18650 NIKKEI caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 03:01:16.530000 2025-09-09 02:01:16 97276.53 NaN 18651 NIKKEI caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 03:02:16.421000 2025-09-09 02:02:22 97336.421 NaN 18652 NIKKEI caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 03:03:16.553000 2025-09-09 19:45:12.023000 97396.553 60115.47 18653 NIKKEI caleb_strategy_v3 2025-09-08 00:00:00 2025-09-09 03:13:19.761000 2025-09-09 02:13:21 97999.761 NaN ========================================================================================================================================================================================================================================== 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 18654 EUROSTX caleb_strategy_v3 [-1] 5365.0 None 5360.5 5360.0 5361.0 5361.0 5375.0 -4.5 -0.5 15.0 14.0 NaN 14.5 18655 EUROSTX caleb_strategy_v3 [-1] 5365.0 None 5360.5 5360.0 5361.0 5361.0 5375.0 -4.5 -0.5 15.0 14.0 NaN 14.5 18656 GOLD_micro caleb_strategy_v3 [1] 3648.7 None 3655.95 3656.1 3655.8 3655.8 3657.1 -7.25 -0.15 -1.0 -1.3 NaN -1.15 18657 PLAT caleb_strategy_v3 [1] 1405.0 None 1401.45 1401.7 1401.2 1401.2 1398.3 3.55 -0.25 3.4 2.9 NaN 3.15 18658 US5 caleb_strategy_v3 [-1] 109.976562 None 109.972656 109.96875 109.976562 109.976562 110.046875 -0.003906 -0.003906 0.078125 0.070312 NaN 0.074219 18659 RUSSELL caleb_strategy_v3 [-1] 2398.1 None 2390.8 2390.7 2390.9 2390.9 2394.5 -7.3 -0.1 3.8 3.6 NaN 3.7 18662 GBP caleb_strategy_v3 [1] 1.3555 None 1.35665 1.3567 1.3566 1.3566 1.3568 -0.00115 -0.00005 -0.0001 -0.0002 NaN -0.00015 18664 CAD caleb_strategy_v3 [-1] 0.72725 None 0.727125 0.7271 0.72715 0.72715 0.7272 -0.000125 -0.000025 0.0001 0.00005 NaN 0.000075 18665 NASDAQ_micro caleb_strategy_v3 [1] 23793.5 None 23814.75 23815.0 23814.5 23814.5 23801.25 -21.25 -0.25 13.75 13.25 NaN 13.5 18688 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000525 0.00051 0.00054 0.00054 0.00052 -0.000005 -0.000015 0.00001 -0.00002 NaN -0.000005 18689 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18690 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00053 0.00052 0.00054 0.00054 0.00052 -0.0 -0.00001 -0.0 -0.00002 NaN -0.00001 18691 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18692 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000525 0.00051 0.00054 0.00054 0.00052 -0.000005 -0.000015 0.00001 -0.00002 NaN -0.000005 18693 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18694 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00053 0.00052 0.00054 0.00054 0.00052 -0.0 -0.00001 -0.0 -0.00002 NaN -0.00001 18695 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18696 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00052 0.00051 0.00053 0.00053 0.00052 -0.00001 -0.00001 0.00001 -0.00001 NaN -0.0 18697 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00026 0.00052 0.0 0.0 0.00052 -0.00027 0.00026 -0.0 0.00052 NaN 0.00026 18698 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000525 0.00051 0.00054 0.00054 0.00052 -0.000005 -0.000015 0.00001 -0.00002 NaN -0.000005 18699 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18700 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00053 0.00052 0.00054 0.00054 0.00052 -0.0 -0.00001 -0.0 -0.00002 NaN -0.00001 18666 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00053 0.00052 0.00054 0.00054 0.00052 -0.0 -0.00001 -0.0 -0.00002 NaN -0.00001 18670 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18674 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00026 0.00052 0.0 0.0 0.00052 -0.00027 0.00026 -0.0 0.00052 NaN 0.00026 18677 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00053 0.00052 0.00054 0.00054 0.00052 -0.0 -0.00001 -0.0 -0.00002 NaN -0.00001 18680 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18682 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00052 0.00051 0.00053 0.00053 0.00052 -0.00001 -0.00001 0.00001 -0.00001 NaN -0.0 18683 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00026 0.00052 0.0 0.0 0.00052 -0.00027 0.00026 -0.0 0.00052 NaN 0.00026 18684 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000525 0.00051 0.00054 0.00054 0.00052 -0.000005 -0.000015 0.00001 -0.00002 NaN -0.000005 18685 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18686 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.00053 0.00052 0.00054 0.00054 0.00052 -0.0 -0.00001 -0.0 -0.00002 NaN -0.00001 18687 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.00053 None 0.000255 0.00051 0.0 0.0 0.00052 -0.000275 0.000255 0.00001 0.00052 NaN 0.000265 18660 DOW caleb_strategy_v3 [-1] 45841.0 None 45872.0 45871.0 45873.0 45873.0 45924.0 31.0 -1.0 53.0 51.0 NaN 52.0 18667 DOW caleb_strategy_v3 [-1] 45841.0 None 45872.0 45871.0 45873.0 45873.0 45899.0 31.0 -1.0 28.0 26.0 NaN 27.0 18671 DOW caleb_strategy_v3 [-1] 45841.0 None 45872.0 45871.0 45873.0 45873.0 45873.0 31.0 -1.0 2.0 -0.0 NaN 1.0 18675 DOW caleb_strategy_v3 [-1] 45841.0 None 22963.0 45926.0 0.0 0.0 NaN -22878.0 22963.0 NaN NaN NaN NaN 18678 DOW caleb_strategy_v3 [-1] 45841.0 None 45866.5 45865.0 45868.0 45868.0 45870.0 25.5 -1.5 5.0 2.0 NaN 3.5 18681 DOW caleb_strategy_v3 [-1] 45841.0 None 45866.5 45865.0 45868.0 45868.0 45944.0 25.5 -1.5 79.0 76.0 NaN 77.5 18661 SP500_micro caleb_strategy_v3 [1] 6499.0 None 6507.125 6507.25 6507.0 6507.0 6507.5 -8.125 -0.125 -0.25 -0.5 NaN -0.375 18668 SP500_micro caleb_strategy_v3 [1] 6499.0 None 3253.75 6507.5 0.0 0.0 NaN 3245.25 -3253.75 NaN NaN NaN NaN 18672 SP500_micro caleb_strategy_v3 [1] 6499.0 None 6504.375 6504.5 6504.25 6504.25 6507.75 -5.375 -0.125 -3.25 -3.5 NaN -3.375 18676 SP500_micro caleb_strategy_v3 [1] 6499.0 None 3255.625 6511.25 0.0 0.0 NaN 3243.375 -3255.625 NaN NaN NaN NaN 18679 SP500_micro caleb_strategy_v3 [1] 6499.0 None 6496.625 6496.75 6496.5 6496.5 6492.75 2.375 -0.125 4.0 3.75 NaN 3.875 18673 US30 caleb_strategy_v3 [1] 120.96875 None 120.390625 120.40625 120.375 120.375 120.375 0.578125 -0.015625 0.03125 0.0 NaN 0.015625 18669 US30 caleb_strategy_v3 [1] 120.96875 None 60.25 120.5 0.0 0.0 NaN 60.71875 -60.25 NaN NaN NaN NaN 18663 US30 caleb_strategy_v3 [1] 120.96875 None 120.515625 120.53125 120.5 120.5 120.5 0.453125 -0.015625 0.03125 0.0 NaN 0.015625 18650 NIKKEI caleb_strategy_v3 [1] 43760.0 None 43547.5 43550.0 43545.0 43545.0 43535.0 212.5 -2.5 15.0 10.0 NaN 12.5 18651 NIKKEI caleb_strategy_v3 [1] 43760.0 None 43547.5 43550.0 43545.0 43545.0 43545.0 212.5 -2.5 5.0 0.0 NaN 2.5 18652 NIKKEI caleb_strategy_v3 [1] 43760.0 None 21775.0 43550.0 0.0 0.0 NaN 21985.0 -21775.0 NaN NaN NaN NaN 18653 NIKKEI caleb_strategy_v3 [1] 43760.0 None 43562.5 43565.0 43560.0 43560.0 43560.0 197.5 -2.5 5.0 0.0 NaN 2.5 ========================================================================================================================================================================== 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 18654 EUROSTX caleb_strategy_v3 [-1] 708.618631 -63.503834 -7.055982 211.679447 197.567484 NaN 204.623466 18655 EUROSTX caleb_strategy_v3 [-1] 708.618631 -63.503834 -7.055982 211.679447 197.567484 NaN 204.623466 18656 GOLD_micro caleb_strategy_v3 [1] 450.611929 -160.892323 -3.328807 -22.192045 -28.849658 NaN -25.520851 18657 PLAT caleb_strategy_v3 [1] 393.998504 90.101865 -6.345202 86.294744 73.60434 NaN 79.949542 18658 US5 caleb_strategy_v3 [-1] 3.621952 -10.784929 -10.784929 215.698585 194.128726 NaN 204.913656 18659 RUSSELL caleb_strategy_v3 [-1] 422.079442 -172.953223 -2.369222 90.030445 85.292001 NaN 87.661223 18662 GBP caleb_strategy_v3 [1] 0.085021 -135.26103 -5.880914 -11.761829 -23.523657 NaN -17.642743 18664 CAD caleb_strategy_v3 [-1] 0.034407 -36.329795 -7.265959 29.063836 14.531918 NaN 21.797877 18665 NASDAQ_micro caleb_strategy_v3 [1] 3314.063102 -64.120686 -0.754361 41.489856 39.981134 NaN 40.735495 18688 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -11.931498 -35.794493 23.862995 -47.725991 NaN -11.931498 18689 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18690 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -0.0 -23.862995 -0.0 -47.725991 NaN -23.862995 18691 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18692 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -11.931498 -35.794493 23.862995 -47.725991 NaN -11.931498 18693 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18694 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -0.0 -23.862995 -0.0 -47.725991 NaN -23.862995 18695 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18696 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -23.862995 -23.862995 23.862995 -23.862995 NaN -0.0 18697 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -644.300873 620.437878 -0.0 1240.875756 NaN 620.437878 18698 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -11.931498 -35.794493 23.862995 -47.725991 NaN -11.931498 18699 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18700 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -0.0 -23.862995 -0.0 -47.725991 NaN -23.862995 18666 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -0.0 -23.862995 -0.0 -47.725991 NaN -23.862995 18670 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18674 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -644.300873 620.437878 -0.0 1240.875756 NaN 620.437878 18677 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -0.0 -23.862995 -0.0 -47.725991 NaN -23.862995 18680 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18682 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -23.862995 -23.862995 23.862995 -23.862995 NaN -0.0 18683 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -644.300873 620.437878 -0.0 1240.875756 NaN 620.437878 18684 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -11.931498 -35.794493 23.862995 -47.725991 NaN -11.931498 18685 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18686 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -0.0 -23.862995 -0.0 -47.725991 NaN -23.862995 18687 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.004191 -656.232371 608.50638 23.862995 1240.875756 NaN 632.369376 18660 DOW caleb_strategy_v3 [-1] 4916.983142 63.046789 -2.033767 107.789672 103.722137 NaN 105.755905 18667 DOW caleb_strategy_v3 [-1] 4916.983142 63.046789 -2.033767 56.945487 52.877952 NaN 54.91172 18671 DOW caleb_strategy_v3 [-1] 4916.983142 63.046789 -2.033767 4.067535 -0.0 NaN 2.033767 18675 DOW caleb_strategy_v3 [-1] 4916.983142 -46528.530482 46701.400711 NaN NaN NaN NaN 18678 DOW caleb_strategy_v3 [-1] 4916.983142 51.861069 -3.050651 10.168837 4.067535 NaN 7.118186 18681 DOW caleb_strategy_v3 [-1] 4916.983142 51.861069 -3.050651 160.667624 154.566322 NaN 157.616973 18661 SP500_micro caleb_strategy_v3 [1] 681.512439 -119.220128 -1.834156 -3.668312 -7.336623 NaN -5.502467 18668 SP500_micro caleb_strategy_v3 [1] 681.512439 47618.353145 -47743.07574 NaN NaN NaN NaN 18672 SP500_micro caleb_strategy_v3 [1] 681.512439 -78.8687 -1.834156 -47.688051 -51.356363 NaN -49.522207 18676 SP500_micro caleb_strategy_v3 [1] 681.512439 47590.840808 -47770.588078 NaN NaN NaN NaN 18679 SP500_micro caleb_strategy_v3 [1] 681.512439 34.84896 -1.834156 58.692986 55.024674 NaN 56.85883 18673 US30 caleb_strategy_v3 [1] 14.982672 385.862411 -10.428714 20.857428 0.0 NaN 10.428714 18669 US30 caleb_strategy_v3 [1] 14.982672 40525.98182 -40213.120406 NaN NaN NaN NaN 18663 US30 caleb_strategy_v3 [1] 14.982672 302.4327 -10.428714 20.857428 0.0 NaN 10.428714 18650 NIKKEI caleb_strategy_v3 [1] 7478.289979 284.155871 -3.34301 20.058061 13.372041 NaN 16.715051 18651 NIKKEI caleb_strategy_v3 [1] 7478.289979 284.155871 -3.34301 6.68602 0.0 NaN 3.34301 18652 NIKKEI caleb_strategy_v3 [1] 7478.289979 29398.432079 -29117.619219 NaN NaN NaN NaN 18653 NIKKEI caleb_strategy_v3 [1] 7478.289979 264.097809 -3.34301 6.68602 0.0 NaN 3.34301 =================================================================================================================================================================================== 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 18654 EUROSTX caleb_strategy_v3 [-1] 11.7743 -52.98435 -5.88715 176.6145 164.8402 NaN 170.72735 18655 EUROSTX caleb_strategy_v3 [-1] 11.7743 -52.98435 -5.88715 176.6145 164.8402 NaN 170.72735 18656 GOLD_micro caleb_strategy_v3 [1] 10.0 -72.5 -1.5 -10.0 -13.0 NaN -11.5 18657 PLAT caleb_strategy_v3 [1] 50.0 177.5 -12.5 170.0 145.0 NaN 157.5 18658 US5 caleb_strategy_v3 [-1] 1000.0 -3.90625 -3.90625 78.125 70.3125 NaN 74.21875 18659 RUSSELL caleb_strategy_v3 [-1] 5.0 -36.5 -0.5 19.0 18.0 NaN 18.5 18662 GBP caleb_strategy_v3 [1] 62500.0 -71.875 -3.125 -6.25 -12.5 NaN -9.375 18664 CAD caleb_strategy_v3 [-1] 100000.0 -12.5 -2.5 10.0 5.0 NaN 7.5 18665 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -42.5 -0.5 27.5 26.5 NaN 27.0 18688 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -2.5 -7.5 5.0 -10.0 NaN -2.5 18689 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18690 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -0.0 -5.0 -0.0 -10.0 NaN -5.0 18691 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18692 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -2.5 -7.5 5.0 -10.0 NaN -2.5 18693 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18694 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -0.0 -5.0 -0.0 -10.0 NaN -5.0 18695 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18696 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -5.0 -5.0 5.0 -5.0 NaN -0.0 18697 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -135.0 130.0 -0.0 260.0 NaN 130.0 18698 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -2.5 -7.5 5.0 -10.0 NaN -2.5 18699 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18700 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -0.0 -5.0 -0.0 -10.0 NaN -5.0 18666 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -0.0 -5.0 -0.0 -10.0 NaN -5.0 18670 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18674 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -135.0 130.0 -0.0 260.0 NaN 130.0 18677 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -0.0 -5.0 -0.0 -10.0 NaN -5.0 18680 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18682 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -5.0 -5.0 5.0 -5.0 NaN -0.0 18683 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -135.0 130.0 -0.0 260.0 NaN 130.0 18684 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -2.5 -7.5 5.0 -10.0 NaN -2.5 18685 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18686 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -0.0 -5.0 -0.0 -10.0 NaN -5.0 18687 MXP _ROLL_PSEUDO_STRATEGY [-1, 1] 500000.0 -137.5 127.5 5.0 260.0 NaN 132.5 18660 DOW caleb_strategy_v3 [-1] 0.5 15.5 -0.5 26.5 25.5 NaN 26.0 18667 DOW caleb_strategy_v3 [-1] 0.5 15.5 -0.5 14.0 13.0 NaN 13.5 18671 DOW caleb_strategy_v3 [-1] 0.5 15.5 -0.5 1.0 -0.0 NaN 0.5 18675 DOW caleb_strategy_v3 [-1] 0.5 -11439.0 11481.5 NaN NaN NaN NaN 18678 DOW caleb_strategy_v3 [-1] 0.5 12.75 -0.75 2.5 1.0 NaN 1.75 18681 DOW caleb_strategy_v3 [-1] 0.5 12.75 -0.75 39.5 38.0 NaN 38.75 18661 SP500_micro caleb_strategy_v3 [1] 5.0 -40.625 -0.625 -1.25 -2.5 NaN -1.875 18668 SP500_micro caleb_strategy_v3 [1] 5.0 16226.25 -16268.75 NaN NaN NaN NaN 18672 SP500_micro caleb_strategy_v3 [1] 5.0 -26.875 -0.625 -16.25 -17.5 NaN -16.875 18676 SP500_micro caleb_strategy_v3 [1] 5.0 16216.875 -16278.125 NaN NaN NaN NaN 18679 SP500_micro caleb_strategy_v3 [1] 5.0 11.875 -0.625 20.0 18.75 NaN 19.375 18673 US30 caleb_strategy_v3 [1] 1000.0 578.125 -15.625 31.25 0.0 NaN 15.625 18669 US30 caleb_strategy_v3 [1] 1000.0 60718.75 -60250.0 NaN NaN NaN NaN 18663 US30 caleb_strategy_v3 [1] 1000.0 453.125 -15.625 31.25 0.0 NaN 15.625 18650 NIKKEI caleb_strategy_v3 [1] 0.680548 144.616358 -1.701369 10.208214 6.805476 NaN 8.506845 18651 NIKKEI caleb_strategy_v3 [1] 0.680548 144.616358 -1.701369 3.402738 0.0 NaN 1.701369 18652 NIKKEI caleb_strategy_v3 [1] 0.680548 14961.838295 -14818.923306 NaN NaN NaN NaN 18653 NIKKEI caleb_strategy_v3 [1] 0.680548 134.408145 -1.701369 3.402738 0.0 NaN 1.701369 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MXP -1662.5 caleb_strategy_v3 CAD -12.5 DOW -11367.0 EUROSTX -105.9687 GBP -71.875 GOLD_micro -72.5 NASDAQ_micro -42.5 NIKKEI 15385.479157 PLAT 177.5 RUSSELL -36.5 SP500_micro 32387.5 US30 61750.0 US5 -3.90625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1662.5 caleb_strategy_v3 97987.729207 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MXP 1467.5 caleb_strategy_v3 CAD -2.5 DOW 11478.5 EUROSTX -11.7743 GBP -3.125 GOLD_micro -1.5 NASDAQ_micro -0.5 NIKKEI -14824.027412 PLAT -12.5 RUSSELL -0.5 SP500_micro -32548.75 US30 -60281.25 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 1467.5 caleb_strategy_v3 -96211.832962 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MXP 75.0 caleb_strategy_v3 CAD 10.0 DOW 83.5 EUROSTX 353.229 GBP -6.25 GOLD_micro -10.0 NASDAQ_micro 27.5 NIKKEI 17.013689 PLAT 170.0 RUSSELL 19.0 SP500_micro 2.5 US30 62.5 US5 78.125 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 75.0 caleb_strategy_v3 807.117689 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MXP 3010.0 caleb_strategy_v3 CAD 5.0 DOW 77.5 EUROSTX 329.6804 GBP -12.5 GOLD_micro -13.0 NASDAQ_micro 26.5 NIKKEI 6.805476 PLAT 145.0 RUSSELL 18.0 SP500_micro -1.25 US30 0.0 US5 70.3125 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 3010.0 caleb_strategy_v3 652.048376 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MXP 0 caleb_strategy_v3 CAD 0 DOW 0 EUROSTX 0 GBP 0 GOLD_micro 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 RUSSELL 0 SP500_micro 0 US30 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 MXP 1542.5 caleb_strategy_v3 CAD 7.5 DOW 80.5 EUROSTX 341.4547 GBP -9.375 GOLD_micro -11.5 NASDAQ_micro 27.0 NIKKEI 11.909582 PLAT 157.5 RUSSELL 18.5 SP500_micro 0.625 US30 31.25 US5 74.21875 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1542.5 caleb_strategy_v3 729.583032 ******************************************************************************** END OF REPORT ********************************************************************************