******************************************************************************** Trades report produced on 17/09/2025 21:39 from 16/09/2025 21:39 to 17/09/2025 21:39 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 18844 AUD caleb_strategy_v3 [20251200] 2025-09-17 15:22:43.000 [1] 0.66780 18841 AUD caleb_strategy_v3 [20251200] 2025-09-17 15:12:38.000 [1] 0.66795 18837 AUD caleb_strategy_v3 [20251200] 2025-09-17 14:52:17.000 [1] 0.66815 18831 AUD caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.014 [0] NaN 18825 AUD caleb_strategy_v3 [20251200] 2025-09-17 14:28:59.000 [1] 0.66890 18819 AUD caleb_strategy_v3 [20251200] 2025-09-17 14:02:59.000 [1] 0.66865 18810 CRUDE_W caleb_strategy_v3 [20251200] 2025-09-17 13:03:01.000 [1] 63.54000 18843 DOW caleb_strategy_v3 [20251200] 2025-09-17 15:22:43.000 [1] 46412.00000 18858 DOW caleb_strategy_v3 [20251200] 2025-09-17 16:24:42.000 [1] 46376.00000 18856 DOW caleb_strategy_v3 [20251200] 2025-09-17 16:23:42.000 [1] 46376.00000 18854 DOW caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.808 [0] NaN 18822 DOW caleb_strategy_v3 [20251200] 2025-09-17 19:45:08.725 [0] NaN 18852 DOW caleb_strategy_v3 [20251200] 2025-09-17 16:03:21.000 [1] 46432.00000 18846 DOW caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.512 [0] NaN 18850 DOW caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.610 [0] NaN 18834 DOW caleb_strategy_v3 [20251200] 2025-09-17 14:52:16.000 [1] 46395.00000 18814 DOW caleb_strategy_v3 [20251200] 2025-09-17 14:02:54.000 [1] 46401.00000 18839 DOW caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.214 [0] NaN 18827 DOW caleb_strategy_v3 [20251200] 2025-09-17 14:39:03.000 [1] 46376.00000 18848 DOW caleb_strategy_v3 [20251200] 2025-09-17 15:46:14.000 [1] 46428.00000 18809 EUROSTX caleb_strategy_v3 [20251200] 2025-09-17 07:01:18.000 [1] 5400.00000 18832 FEEDCOW caleb_strategy_v3 [20260100] 2025-09-17 14:49:07.000 [-1] 336.87500 18811 GOLD_micro caleb_strategy_v3 [20251200] 2025-09-17 13:11:02.000 [-1] 3712.50000 18829 LEANHOG caleb_strategy_v3 [20251200] 2025-09-17 14:39:04.000 [1] 87.67500 18835 MXP caleb_strategy_v3 [20251200] 2025-09-17 14:52:16.000 [1] 0.05402 18815 MXP caleb_strategy_v3 [20251200] 2025-09-17 14:02:54.000 [1] 0.05408 18840 MXP caleb_strategy_v3 [20251200] 2025-09-17 15:12:38.000 [1] 0.05403 18828 MXP caleb_strategy_v3 [20251200] 2025-09-17 14:39:03.000 [1] 0.05404 18823 MXP caleb_strategy_v3 [20251200] 2025-09-17 19:45:08.822 [0] NaN 18830 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-09-17 14:39:05.000 [1] 24433.50000 18836 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-09-17 14:52:17.000 [1] 24419.25000 18818 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-09-17 14:02:58.000 [1] 24460.50000 18824 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-09-17 14:24:35.000 [1] 24456.00000 18807 NIKKEI caleb_strategy_v3 [20251200] 2025-09-17 19:45:08.630 [0] NaN 18806 NIKKEI caleb_strategy_v3 [20251200] 2025-09-17 02:17:46.000 [1] 44755.00000 18805 NIKKEI caleb_strategy_v3 [20251200] 2025-09-17 19:45:08.534 [0] NaN 18804 NIKKEI caleb_strategy_v3 [20251200] 2025-09-17 02:05:03.000 [1] 44740.00000 18808 NIKKEI caleb_strategy_v3 [20251200] 2025-09-17 02:28:48.000 [1] 44755.00000 18812 PLAT caleb_strategy_v3 [20260100] 2025-09-17 13:11:04.000 [-1] 1394.90000 18853 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.708 [0] NaN 18842 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.314 [0] NaN 18838 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.112 [0] NaN 18833 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 14:52:09.000 [1] 2442.30000 18859 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 16:24:43.000 [1] 2443.10000 18826 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 19:45:08.916 [0] NaN 18857 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 16:23:43.000 [1] 2443.20000 18855 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 16:23:38.000 [1] 2442.90000 18847 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 15:42:48.000 [1] 2445.60000 18851 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 16:00:36.000 [1] 2446.70000 18849 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 15:46:14.000 [1] 2446.30000 18845 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 19:45:09.413 [0] NaN 18821 RUSSELL caleb_strategy_v3 [20251200] 2025-09-17 14:04:31.000 [1] 2439.70000 18816 SP400 caleb_strategy_v3 [20251200] 2025-09-17 14:02:56.000 [-1] 3317.80000 18817 SP500_micro caleb_strategy_v3 [20251200] 2025-09-17 14:02:57.000 [1] 6664.75000 18813 SUGAR11 caleb_strategy_v3 [20260500] 2025-09-17 13:12:44.000 [-1] 16.06000 18820 VIX caleb_strategy_v3 [20251200] 2025-09-17 14:03:00.000 [-1] 20.00000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18809 EUROSTX caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 08:01:18.518000 2025-09-17 07:01:18 115278.518 NaN 18810 CRUDE_W caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 14:00:39.914000 2025-09-17 13:03:01 136839.914 NaN 18811 GOLD_micro caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 14:03:02.526000 2025-09-17 13:11:02 136982.526 NaN 18812 PLAT caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 14:11:04.022000 2025-09-17 13:11:04 137464.022 NaN 18813 SUGAR11 caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 14:11:05.578000 2025-09-17 13:12:44 137465.578 NaN 18816 SP400 caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:02:56.199000 2025-09-17 14:02:56 140576.199 NaN 18817 SP500_micro caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:02:57.430000 2025-09-17 14:02:57 140577.43 NaN 18820 VIX caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:03:00.194000 2025-09-17 14:03:00 140580.194 NaN 18829 LEANHOG caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:39:04.842000 2025-09-17 14:39:04 142744.842 NaN 18832 FEEDCOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:49:07.110000 2025-09-17 14:49:07 143347.11 NaN 18824 NASDAQ_micro caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:24:35.844000 2025-09-17 14:24:35 141875.844 NaN 18818 NASDAQ_micro caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:02:58.322000 2025-09-17 14:02:58 140578.322 NaN 18836 NASDAQ_micro caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:52:17.255000 2025-09-17 14:52:17 143537.255 NaN 18830 NASDAQ_micro caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:39:05.444000 2025-09-17 14:39:05 142745.444 NaN 18848 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:42:52.769000 2025-09-17 15:46:14 146572.769 NaN 18850 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:46:18.722000 2025-09-17 19:45:09.610000 146778.722 10730.888 18846 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:32:48.126000 2025-09-17 19:45:09.512000 145968.126 11541.386 18852 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:00:41.141000 2025-09-17 16:03:21 147641.141 NaN 18822 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:04:34.906000 2025-09-17 19:45:08.725000 140674.906 16833.819 18854 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:13:37.714000 2025-09-17 19:45:09.808000 148417.714 9092.094 18856 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:23:42.744000 2025-09-17 16:23:42 149022.744 NaN 18858 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:24:42.884000 2025-09-17 16:24:42 149082.884 NaN 18827 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:39:03.068000 2025-09-17 14:39:03 142743.068 NaN 18834 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:52:12.859000 2025-09-17 14:52:16 143532.859 NaN 18839 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:02:37.626000 2025-09-17 19:45:09.214000 144157.626 13351.588 18843 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:22:42.977000 2025-09-17 15:22:43 145362.977 NaN 18814 DOW caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:00:53.874000 2025-09-17 14:02:54 140453.874 NaN 18823 MXP caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:14:35.376000 2025-09-17 19:45:08.822000 141275.376 16233.446 18828 MXP caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:39:03.652000 2025-09-17 14:39:03 142743.652 NaN 18835 MXP caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:52:16.666000 2025-09-17 14:52:16 143536.666 NaN 18840 MXP caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:12:38.090000 2025-09-17 15:12:38 144758.09 NaN 18815 MXP caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:02:54.914000 2025-09-17 14:02:54 140574.914 NaN 18819 AUD caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:02:59.207000 2025-09-17 14:02:59 140579.207 NaN 18825 AUD caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:24:36.470000 2025-09-17 14:28:59 141876.47 NaN 18831 AUD caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:39:05.901000 2025-09-17 19:45:09.014000 142745.901 14763.113 18837 AUD caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:52:17.675000 2025-09-17 14:52:17 143537.675 NaN 18841 AUD caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:12:38.710000 2025-09-17 15:12:38 144758.71 NaN 18844 AUD caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:22:43.758000 2025-09-17 15:22:43 145363.758 NaN 18804 NIKKEI caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 03:01:20.230000 2025-09-17 02:05:03 97280.23 NaN 18805 NIKKEI caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 03:05:06.969000 2025-09-17 19:45:08.534000 97506.969 60001.565 18806 NIKKEI caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 03:15:10.183000 2025-09-17 02:17:46 98110.183 NaN 18807 NIKKEI caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 03:17:49.424000 2025-09-17 19:45:08.630000 98269.424 59239.206 18808 NIKKEI caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 03:27:52.564000 2025-09-17 02:28:48 98872.564 NaN 18849 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:46:14.483000 2025-09-17 15:46:14 146774.483 NaN 18851 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:56:19.194000 2025-09-17 16:00:36 147379.194 NaN 18821 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:03:01.126000 2025-09-17 14:04:31 140581.126 NaN 18853 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:03:21.695000 2025-09-17 19:45:09.708000 147801.695 9708.013 18855 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:23:38.182000 2025-09-17 16:23:38 149018.182 NaN 18857 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:23:43.332000 2025-09-17 16:23:43 149023.332 NaN 18826 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:28:59.525000 2025-09-17 19:45:08.916000 142139.525 15369.391 18859 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 17:24:43.469000 2025-09-17 16:24:43 149083.469 NaN 18833 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:49:07.708000 2025-09-17 14:52:09 143347.708 NaN 18838 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 15:52:18.261000 2025-09-17 19:45:09.112000 143538.261 13970.851 18842 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:12:39.295000 2025-09-17 19:45:09.314000 144759.295 12750.019 18845 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:22:44.201000 2025-09-17 19:45:09.413000 145364.201 12145.212 18847 RUSSELL caleb_strategy_v3 2025-09-16 00:00:00 2025-09-17 16:42:48.638000 2025-09-17 15:42:48 146568.638 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 18809 EUROSTX caleb_strategy_v3 [1] 5398.0 None 5402.5 5403.0 5402.0 5402.0 5400.0 -4.5 -0.5 3.0 2.0 NaN 2.5 18810 CRUDE_W caleb_strategy_v3 [1] 63.8 None 63.525 63.53 63.52 63.52 63.54 0.275 -0.005 -0.01 -0.02 NaN -0.015 18811 GOLD_micro caleb_strategy_v3 [-1] 3726.8 None 3712.25 3712.2 3712.3 3712.3 3712.5 -14.55 -0.05 0.3 0.2 NaN 0.25 18812 PLAT caleb_strategy_v3 [-1] 1421.0 None 1392.6 1392.4 1392.8 1392.8 1394.9 -28.4 -0.2 2.5 2.1 NaN 2.3 18813 SUGAR11 caleb_strategy_v3 [-1] 16.2 None 16.06 16.05 16.07 16.07 16.06 -0.14 -0.01 0.01 -0.01 NaN -0.0 18816 SP400 caleb_strategy_v3 [-1] 3296.7 None 3316.8 3316.5 3317.1 3317.1 3317.8 20.1 -0.3 1.3 0.7 NaN 1.0 18817 SP500_micro caleb_strategy_v3 [1] 6674.75 None 6674.125 6674.25 6674.0 6674.0 6664.75 0.625 -0.125 9.5 9.25 NaN 9.375 18820 VIX caleb_strategy_v3 [-1] 20.0 None 19.975 19.95 20.0 20.0 20.0 -0.025 -0.025 0.05 -0.0 NaN 0.025 18829 LEANHOG caleb_strategy_v3 [1] 88.175 None 87.725 87.75 87.7 87.7 87.675 0.45 -0.025 0.075 0.025 NaN 0.05 18832 FEEDCOW caleb_strategy_v3 [-1] 342.775 None 336.7375 336.65 336.825 336.825 336.875 -6.0375 -0.0875 0.225 0.05 NaN 0.1375 18824 NASDAQ_micro caleb_strategy_v3 [1] 24546.75 None 24514.5 24514.75 24514.25 24514.25 24456.0 32.25 -0.25 58.75 58.25 NaN 58.5 18818 NASDAQ_micro caleb_strategy_v3 [1] 24546.75 None 24514.5 24514.75 24514.25 24514.25 24460.5 32.25 -0.25 54.25 53.75 NaN 54.0 18836 NASDAQ_micro caleb_strategy_v3 [1] 24546.75 None 24438.625 24438.75 24438.5 24438.5 24419.25 108.125 -0.125 19.5 19.25 NaN 19.375 18830 NASDAQ_micro caleb_strategy_v3 [1] 24546.75 None 24514.5 24514.75 24514.25 24514.25 24433.5 32.25 -0.25 81.25 80.75 NaN 81.0 18848 DOW caleb_strategy_v3 [1] 46161.0 None 46406.5 46407.0 46406.0 46406.0 46428.0 -245.5 -0.5 -21.0 -22.0 NaN -21.5 18850 DOW caleb_strategy_v3 [1] 46161.0 None 23215.0 46430.0 0.0 0.0 NaN 22946.0 -23215.0 NaN NaN NaN NaN 18846 DOW caleb_strategy_v3 [1] 46161.0 None 23208.5 46417.0 0.0 0.0 NaN 22952.5 -23208.5 NaN NaN NaN NaN 18852 DOW caleb_strategy_v3 [1] 46161.0 None 46425.5 46426.0 46425.0 46425.0 46432.0 -264.5 -0.5 -6.0 -7.0 NaN -6.5 18822 DOW caleb_strategy_v3 [1] 46161.0 None 23203.5 46407.0 0.0 0.0 NaN 22957.5 -23203.5 NaN NaN NaN NaN 18854 DOW caleb_strategy_v3 [1] 46161.0 None 23216.0 46432.0 0.0 0.0 NaN 22945.0 -23216.0 NaN NaN NaN NaN 18856 DOW caleb_strategy_v3 [1] 46161.0 None 46418.0 46419.0 46417.0 46417.0 46376.0 -257.0 -1.0 43.0 41.0 NaN 42.0 18858 DOW caleb_strategy_v3 [1] 46161.0 None 46419.0 46420.0 46418.0 46418.0 46376.0 -258.0 -1.0 44.0 42.0 NaN 43.0 18827 DOW caleb_strategy_v3 [1] 46161.0 None 46383.0 46384.0 46382.0 46382.0 46376.0 -222.0 -1.0 8.0 6.0 NaN 7.0 18834 DOW caleb_strategy_v3 [1] 46161.0 None 46383.0 46384.0 46382.0 46382.0 46395.0 -222.0 -1.0 -11.0 -13.0 NaN -12.0 18839 DOW caleb_strategy_v3 [1] 46161.0 None 23197.5 46395.0 0.0 0.0 NaN 22963.5 -23197.5 NaN NaN NaN NaN 18843 DOW caleb_strategy_v3 [1] 46161.0 None 46404.5 46405.0 46404.0 46404.0 46412.0 -243.5 -0.5 -7.0 -8.0 NaN -7.5 18814 DOW caleb_strategy_v3 [1] 46161.0 None 46369.5 46370.0 46369.0 46369.0 46401.0 -208.5 -0.5 -31.0 -32.0 NaN -31.5 18823 MXP caleb_strategy_v3 [1] 0.05414 None 0.027055 0.05411 0.0 0.0 NaN 0.027085 -0.027055 NaN NaN NaN NaN 18828 MXP caleb_strategy_v3 [1] 0.05414 None 0.054095 0.0541 0.05409 0.05409 0.05404 0.000045 -0.000005 0.00006 0.00005 NaN 0.000055 18835 MXP caleb_strategy_v3 [1] 0.05414 None 0.054075 0.05408 0.05407 0.05407 0.05402 0.000065 -0.000005 0.00006 0.00005 NaN 0.000055 18840 MXP caleb_strategy_v3 [1] 0.05414 None 0.054035 0.05404 0.05403 0.05403 0.05403 0.000105 -0.000005 0.00001 0.0 NaN 0.000005 18815 MXP caleb_strategy_v3 [1] 0.05414 None 0.0541 0.05411 0.05409 0.05409 0.05408 0.00004 -0.00001 0.00003 0.00001 NaN 0.00002 18819 AUD caleb_strategy_v3 [1] 0.6691 None 0.6688 0.66885 0.66875 0.66875 0.66865 0.0003 -0.00005 0.0002 0.0001 NaN 0.00015 18825 AUD caleb_strategy_v3 [1] 0.6691 None 0.6688 0.66885 0.66875 0.66875 0.6689 0.0003 -0.00005 -0.00005 -0.00015 NaN -0.0001 18831 AUD caleb_strategy_v3 [1] 0.6691 None 0.33445 0.6689 0.0 0.0 NaN 0.33465 -0.33445 NaN NaN NaN NaN 18837 AUD caleb_strategy_v3 [1] 0.6691 None 0.668375 0.6684 0.66835 0.66835 0.66815 0.000725 -0.000025 0.00025 0.0002 NaN 0.000225 18841 AUD caleb_strategy_v3 [1] 0.6691 None 0.668375 0.6684 0.66835 0.66835 0.66795 0.000725 -0.000025 0.00045 0.0004 NaN 0.000425 18844 AUD caleb_strategy_v3 [1] 0.6691 None 0.667825 0.66785 0.6678 0.6678 0.6678 0.001275 -0.000025 0.00005 0.0 NaN 0.000025 18804 NIKKEI caleb_strategy_v3 [1] 44485.0 None 44742.5 44745.0 44740.0 44740.0 44740.0 -257.5 -2.5 5.0 0.0 NaN 2.5 18805 NIKKEI caleb_strategy_v3 [1] 44485.0 None 22370.0 44740.0 0.0 0.0 NaN 22115.0 -22370.0 NaN NaN NaN NaN 18806 NIKKEI caleb_strategy_v3 [1] 44485.0 None 44762.5 44765.0 44760.0 44760.0 44755.0 -277.5 -2.5 10.0 5.0 NaN 7.5 18807 NIKKEI caleb_strategy_v3 [1] 44485.0 None 22377.5 44755.0 0.0 0.0 NaN 22107.5 -22377.5 NaN NaN NaN NaN 18808 NIKKEI caleb_strategy_v3 [1] 44485.0 None 44737.5 44740.0 44735.0 44735.0 44755.0 -252.5 -2.5 -15.0 -20.0 NaN -17.5 18849 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2446.75 2446.8 2446.7 2446.7 2446.3 -26.35 -0.05 0.5 0.4 NaN 0.45 18851 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2446.75 2446.8 2446.7 2446.7 2446.7 -26.35 -0.05 0.1 0.0 NaN 0.05 18821 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2439.35 2439.4 2439.3 2439.3 2439.7 -18.95 -0.05 -0.3 -0.4 NaN -0.35 18853 RUSSELL caleb_strategy_v3 [1] 2420.4 None 1223.35 2446.7 0.0 0.0 NaN 1197.05 -1223.35 NaN NaN NaN NaN 18855 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2445.6 2445.7 2445.5 2445.5 2442.9 -25.2 -0.1 2.8 2.6 NaN 2.7 18857 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2445.6 2445.7 2445.5 2445.5 2443.2 -25.2 -0.1 2.5 2.3 NaN 2.4 18826 RUSSELL caleb_strategy_v3 [1] 2420.4 None 1219.85 2439.7 0.0 0.0 NaN 1200.55 -1219.85 NaN NaN NaN NaN 18859 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2446.0 2446.1 2445.9 2445.9 2443.1 -25.6 -0.1 3.0 2.8 NaN 2.9 18833 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2440.7 2440.8 2440.6 2440.6 2442.3 -20.3 -0.1 -1.5 -1.7 NaN -1.6 18838 RUSSELL caleb_strategy_v3 [1] 2420.4 None 1221.15 2442.3 0.0 0.0 NaN 1199.25 -1221.15 NaN NaN NaN NaN 18842 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2442.3 2442.4 2442.2 2442.2 NaN -21.9 -0.1 NaN NaN NaN NaN 18845 RUSSELL caleb_strategy_v3 [1] 2420.4 None 1223.25 2446.5 0.0 0.0 NaN 1197.15 -1223.25 NaN NaN NaN NaN 18847 RUSSELL caleb_strategy_v3 [1] 2420.4 None 2446.75 2446.8 2446.7 2446.7 2445.6 -26.35 -0.05 1.2 1.1 NaN 1.15 =================================================================================================================================================================== 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 18809 EUROSTX caleb_strategy_v3 [1] 695.201731 -64.729413 -7.192157 43.152942 28.768628 NaN 35.960785 18810 CRUDE_W caleb_strategy_v3 [1] 15.288151 179.877867 -3.270507 -6.541013 -13.082027 NaN -9.81152 18811 GOLD_micro caleb_strategy_v3 [-1] 448.28869 -324.567635 -1.115353 6.692116 4.461411 NaN 5.576763 18812 PLAT caleb_strategy_v3 [-1] 378.658862 -750.015459 -5.281799 66.022488 55.45889 NaN 60.740689 18813 SUGAR11 caleb_strategy_v3 [-1] 3.623829 -386.33172 -27.595123 27.595123 -27.595123 NaN -0.0 18816 SP400 caleb_strategy_v3 [-1] 492.470745 408.146071 -6.091732 26.397507 14.214042 NaN 20.305775 18817 SP500_micro caleb_strategy_v3 [1] 636.006041 9.826951 -1.96539 149.369651 145.43887 NaN 147.40426 18820 VIX caleb_strategy_v3 [-1] 6.212139 -40.243788 -40.243788 80.487577 -0.0 NaN 40.243788 18829 LEANHOG caleb_strategy_v3 [1] 14.705465 306.008678 -17.000482 51.001446 17.000482 NaN 34.000964 18832 FEEDCOW caleb_strategy_v3 [-1] 61.640591 -979.468214 -14.195192 36.501921 8.111538 NaN 22.30673 18824 NASDAQ_micro caleb_strategy_v3 [1] 3082.66742 104.617189 -0.810986 190.581701 188.959729 NaN 189.770715 18818 NASDAQ_micro caleb_strategy_v3 [1] 3082.66742 104.617189 -0.810986 175.983954 174.361982 NaN 175.172968 18836 NASDAQ_micro caleb_strategy_v3 [1] 3082.66742 350.751428 -0.405493 63.256905 62.445919 NaN 62.851412 18830 NASDAQ_micro caleb_strategy_v3 [1] 3082.66742 104.617189 -0.810986 263.570437 261.948465 NaN 262.759451 18848 DOW caleb_strategy_v3 [1] 4904.994803 -500.510214 -1.019369 -42.813501 -44.852239 NaN -43.83287 18850 DOW caleb_strategy_v3 [1] 4904.994803 46780.885446 -47329.306007 NaN NaN NaN NaN 18846 DOW caleb_strategy_v3 [1] 4904.994803 46794.137244 -47316.054209 NaN NaN NaN NaN 18852 DOW caleb_strategy_v3 [1] 4904.994803 -539.246239 -1.019369 -12.232429 -14.271167 NaN -13.251798 18822 DOW caleb_strategy_v3 [1] 4904.994803 46804.330935 -47305.860518 NaN NaN NaN NaN 18854 DOW caleb_strategy_v3 [1] 4904.994803 46778.846708 -47331.344745 NaN NaN NaN NaN 18856 DOW caleb_strategy_v3 [1] 4904.994803 -523.955703 -2.038738 87.66574 83.588264 NaN 85.627002 18858 DOW caleb_strategy_v3 [1] 4904.994803 -525.994441 -2.038738 89.704478 85.627002 NaN 87.66574 18827 DOW caleb_strategy_v3 [1] 4904.994803 -452.599868 -2.038738 16.309905 12.232429 NaN 14.271167 18834 DOW caleb_strategy_v3 [1] 4904.994803 -452.599868 -2.038738 -22.42612 -26.503596 NaN -24.464858 18839 DOW caleb_strategy_v3 [1] 4904.994803 46816.563364 -47293.628089 NaN NaN NaN NaN 18843 DOW caleb_strategy_v3 [1] 4904.994803 -496.432738 -1.019369 -14.271167 -16.309905 NaN -15.290536 18814 DOW caleb_strategy_v3 [1] 4904.994803 -425.076903 -1.019369 -63.200882 -65.239621 NaN -64.220252 18823 MXP caleb_strategy_v3 [1] 0.004116 65800.502872 -65727.620646 NaN NaN NaN NaN 18828 MXP caleb_strategy_v3 [1] 0.004116 109.323339 -12.147038 145.764452 121.470376 NaN 133.617414 18835 MXP caleb_strategy_v3 [1] 0.004116 157.911489 -12.147038 145.764452 121.470376 NaN 133.617414 18840 MXP caleb_strategy_v3 [1] 0.004116 255.08779 -12.147038 24.294075 0.0 NaN 12.147038 18815 MXP caleb_strategy_v3 [1] 0.004116 97.176301 -24.294075 72.882226 24.294075 NaN 48.588151 18819 AUD caleb_strategy_v3 [1] 0.051571 58.172548 -9.695425 38.781699 19.390849 NaN 29.086274 18825 AUD caleb_strategy_v3 [1] 0.051571 58.172548 -9.695425 -9.695425 -29.086274 NaN -19.390849 18831 AUD caleb_strategy_v3 [1] 0.051571 64891.477396 -64852.695697 NaN NaN NaN NaN 18837 AUD caleb_strategy_v3 [1] 0.051571 140.583658 -4.847712 48.477123 38.781699 NaN 43.629411 18841 AUD caleb_strategy_v3 [1] 0.051571 140.583658 -4.847712 87.258822 77.563397 NaN 82.41111 18844 AUD caleb_strategy_v3 [1] 0.051571 247.233329 -4.847712 9.695425 0.0 NaN 4.847712 18804 NIKKEI caleb_strategy_v3 [1] 7169.891912 -359.1407 -3.486803 6.973606 0.0 NaN 3.486803 18805 NIKKEI caleb_strategy_v3 [1] 7169.891912 30844.258564 -31199.912461 NaN NaN NaN NaN 18806 NIKKEI caleb_strategy_v3 [1] 7169.891912 -387.035123 -3.486803 13.947212 6.973606 NaN 10.460409 18807 NIKKEI caleb_strategy_v3 [1] 7169.891912 30833.798155 -31210.37287 NaN NaN NaN NaN 18808 NIKKEI caleb_strategy_v3 [1] 7169.891912 -352.167094 -3.486803 -20.920817 -27.894423 NaN -24.40762 18849 RUSSELL caleb_strategy_v3 [1] 402.298817 -654.985769 -1.242857 12.428572 9.942858 NaN 11.185715 18851 RUSSELL caleb_strategy_v3 [1] 402.298817 -654.985769 -1.242857 2.485714 0.0 NaN 1.242857 18821 RUSSELL caleb_strategy_v3 [1] 402.298817 -471.042896 -1.242857 -7.457143 -9.942858 NaN -8.700001 18853 RUSSELL caleb_strategy_v3 [1] 402.298817 29755.245335 -30408.988246 NaN NaN NaN NaN 18855 RUSSELL caleb_strategy_v3 [1] 402.298817 -626.400052 -2.485714 69.600006 64.628577 NaN 67.114291 18857 RUSSELL caleb_strategy_v3 [1] 402.298817 -626.400052 -2.485714 62.142862 57.171433 NaN 59.657148 18826 RUSSELL caleb_strategy_v3 [1] 402.298817 29842.245342 -30321.988239 NaN NaN NaN NaN 18859 RUSSELL caleb_strategy_v3 [1] 402.298817 -636.34291 -2.485714 74.571435 69.600006 NaN 72.08572 18833 RUSSELL caleb_strategy_v3 [1] 402.298817 -504.600042 -2.485714 -37.285717 -42.257146 NaN -39.771432 18838 RUSSELL caleb_strategy_v3 [1] 402.298817 29809.931054 -30354.302527 NaN NaN NaN NaN 18842 RUSSELL caleb_strategy_v3 [1] 402.298817 -544.371474 -2.485714 NaN NaN NaN NaN 18845 RUSSELL caleb_strategy_v3 [1] 402.298817 29757.731049 -30406.502532 NaN NaN NaN NaN 18847 RUSSELL caleb_strategy_v3 [1] 402.298817 -654.985769 -1.242857 29.828574 27.342859 NaN 28.585717 ============================================================================================================================================================================ 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 18809 EUROSTX caleb_strategy_v3 [1] 11.8566 -53.3547 -5.9283 35.5698 23.7132 NaN 29.6415 18810 CRUDE_W caleb_strategy_v3 [1] 1000.0 275.0 -5.0 -10.0 -20.0 NaN -15.0 18811 GOLD_micro caleb_strategy_v3 [-1] 10.0 -145.5 -0.5 3.0 2.0 NaN 2.5 18812 PLAT caleb_strategy_v3 [-1] 50.0 -1420.0 -10.0 125.0 105.0 NaN 115.0 18813 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -156.8 -11.2 11.2 -11.2 NaN -0.0 18816 SP400 caleb_strategy_v3 [-1] 100.0 2010.0 -30.0 130.0 70.0 NaN 100.0 18817 SP500_micro caleb_strategy_v3 [1] 5.0 3.125 -0.625 47.5 46.25 NaN 46.875 18820 VIX caleb_strategy_v3 [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 18829 LEANHOG caleb_strategy_v3 [1] 400.0 180.0 -10.0 30.0 10.0 NaN 20.0 18832 FEEDCOW caleb_strategy_v3 [-1] 500.0 -3018.75 -43.75 112.5 25.0 NaN 68.75 18824 NASDAQ_micro caleb_strategy_v3 [1] 2.0 64.5 -0.5 117.5 116.5 NaN 117.0 18818 NASDAQ_micro caleb_strategy_v3 [1] 2.0 64.5 -0.5 108.5 107.5 NaN 108.0 18836 NASDAQ_micro caleb_strategy_v3 [1] 2.0 216.25 -0.25 39.0 38.5 NaN 38.75 18830 NASDAQ_micro caleb_strategy_v3 [1] 2.0 64.5 -0.5 162.5 161.5 NaN 162.0 18848 DOW caleb_strategy_v3 [1] 0.5 -122.75 -0.25 -10.5 -11.0 NaN -10.75 18850 DOW caleb_strategy_v3 [1] 0.5 11473.0 -11607.5 NaN NaN NaN NaN 18846 DOW caleb_strategy_v3 [1] 0.5 11476.25 -11604.25 NaN NaN NaN NaN 18852 DOW caleb_strategy_v3 [1] 0.5 -132.25 -0.25 -3.0 -3.5 NaN -3.25 18822 DOW caleb_strategy_v3 [1] 0.5 11478.75 -11601.75 NaN NaN NaN NaN 18854 DOW caleb_strategy_v3 [1] 0.5 11472.5 -11608.0 NaN NaN NaN NaN 18856 DOW caleb_strategy_v3 [1] 0.5 -128.5 -0.5 21.5 20.5 NaN 21.0 18858 DOW caleb_strategy_v3 [1] 0.5 -129.0 -0.5 22.0 21.0 NaN 21.5 18827 DOW caleb_strategy_v3 [1] 0.5 -111.0 -0.5 4.0 3.0 NaN 3.5 18834 DOW caleb_strategy_v3 [1] 0.5 -111.0 -0.5 -5.5 -6.5 NaN -6.0 18839 DOW caleb_strategy_v3 [1] 0.5 11481.75 -11598.75 NaN NaN NaN NaN 18843 DOW caleb_strategy_v3 [1] 0.5 -121.75 -0.25 -3.5 -4.0 NaN -3.75 18814 DOW caleb_strategy_v3 [1] 0.5 -104.25 -0.25 -15.5 -16.0 NaN -15.75 18823 MXP caleb_strategy_v3 [1] 500000.0 13542.5 -13527.5 NaN NaN NaN NaN 18828 MXP caleb_strategy_v3 [1] 500000.0 22.5 -2.5 30.0 25.0 NaN 27.5 18835 MXP caleb_strategy_v3 [1] 500000.0 32.5 -2.5 30.0 25.0 NaN 27.5 18840 MXP caleb_strategy_v3 [1] 500000.0 52.5 -2.5 5.0 0.0 NaN 2.5 18815 MXP caleb_strategy_v3 [1] 500000.0 20.0 -5.0 15.0 5.0 NaN 10.0 18819 AUD caleb_strategy_v3 [1] 100000.0 30.0 -5.0 20.0 10.0 NaN 15.0 18825 AUD caleb_strategy_v3 [1] 100000.0 30.0 -5.0 -5.0 -15.0 NaN -10.0 18831 AUD caleb_strategy_v3 [1] 100000.0 33465.0 -33445.0 NaN NaN NaN NaN 18837 AUD caleb_strategy_v3 [1] 100000.0 72.5 -2.5 25.0 20.0 NaN 22.5 18841 AUD caleb_strategy_v3 [1] 100000.0 72.5 -2.5 45.0 40.0 NaN 42.5 18844 AUD caleb_strategy_v3 [1] 100000.0 127.5 -2.5 5.0 0.0 NaN 2.5 18804 NIKKEI caleb_strategy_v3 [1] 0.68272 -175.800318 -1.706799 3.413598 0.0 NaN 1.706799 18805 NIKKEI caleb_strategy_v3 [1] 0.68272 15098.34577 -15272.439289 NaN NaN NaN NaN 18806 NIKKEI caleb_strategy_v3 [1] 0.68272 -189.454712 -1.706799 6.827197 3.413598 NaN 5.120398 18807 NIKKEI caleb_strategy_v3 [1] 0.68272 15093.225373 -15277.559687 NaN NaN NaN NaN 18808 NIKKEI caleb_strategy_v3 [1] 0.68272 -172.38672 -1.706799 -10.240795 -13.654394 NaN -11.947594 18849 RUSSELL caleb_strategy_v3 [1] 5.0 -131.75 -0.25 2.5 2.0 NaN 2.25 18851 RUSSELL caleb_strategy_v3 [1] 5.0 -131.75 -0.25 0.5 0.0 NaN 0.25 18821 RUSSELL caleb_strategy_v3 [1] 5.0 -94.75 -0.25 -1.5 -2.0 NaN -1.75 18853 RUSSELL caleb_strategy_v3 [1] 5.0 5985.25 -6116.75 NaN NaN NaN NaN 18855 RUSSELL caleb_strategy_v3 [1] 5.0 -126.0 -0.5 14.0 13.0 NaN 13.5 18857 RUSSELL caleb_strategy_v3 [1] 5.0 -126.0 -0.5 12.5 11.5 NaN 12.0 18826 RUSSELL caleb_strategy_v3 [1] 5.0 6002.75 -6099.25 NaN NaN NaN NaN 18859 RUSSELL caleb_strategy_v3 [1] 5.0 -128.0 -0.5 15.0 14.0 NaN 14.5 18833 RUSSELL caleb_strategy_v3 [1] 5.0 -101.5 -0.5 -7.5 -8.5 NaN -8.0 18838 RUSSELL caleb_strategy_v3 [1] 5.0 5996.25 -6105.75 NaN NaN NaN NaN 18842 RUSSELL caleb_strategy_v3 [1] 5.0 -109.5 -0.5 NaN NaN NaN NaN 18845 RUSSELL caleb_strategy_v3 [1] 5.0 5985.75 -6116.25 NaN NaN NaN NaN 18847 RUSSELL caleb_strategy_v3 [1] 5.0 -131.75 -0.25 6.0 5.5 NaN 5.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 33797.5 CRUDE_W 275.0 DOW 56421.75 EUROSTX -53.3547 FEEDCOW -3018.75 GOLD_micro -145.5 LEANHOG 180.0 MXP 13670.0 NASDAQ_micro 409.75 NIKKEI 29653.929393 PLAT -1420.0 RUSSELL 22889.0 SP400 2010.0 SP500_micro 3.125 SUGAR11 -156.8 VIX -25.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 154490.649693 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -33462.5 CRUDE_W -5.0 DOW -58023.25 EUROSTX -5.9283 FEEDCOW -43.75 GOLD_micro -0.5 LEANHOG -10.0 MXP -13540.0 NASDAQ_micro -1.75 NIKKEI -30555.119374 PLAT -10.0 RUSSELL -24441.5 SP400 -30.0 SP500_micro -0.625 SUGAR11 -11.2 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -160166.122674 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 90.0 CRUDE_W -10.0 DOW 9.5 EUROSTX 35.5698 FEEDCOW 112.5 GOLD_micro 3.0 LEANHOG 30.0 MXP 80.0 NASDAQ_micro 427.5 NIKKEI 0.0 PLAT 125.0 RUSSELL 41.5 SP400 130.0 SP500_micro 47.5 SUGAR11 11.2 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1183.2698 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 55.0 CRUDE_W -20.0 DOW 3.5 EUROSTX 23.7132 FEEDCOW 25.0 GOLD_micro 2.0 LEANHOG 10.0 MXP 55.0 NASDAQ_micro 424.0 NIKKEI -10.240795 PLAT 105.0 RUSSELL 35.5 SP400 70.0 SP500_micro 46.25 SUGAR11 -11.2 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 813.522405 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 CRUDE_W 0 DOW 0 EUROSTX 0 FEEDCOW 0 GOLD_micro 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 RUSSELL 0 SP400 0 SP500_micro 0 SUGAR11 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 72.5 CRUDE_W -15.0 DOW 6.5 EUROSTX 29.6415 FEEDCOW 68.75 GOLD_micro 2.5 LEANHOG 20.0 MXP 67.5 NASDAQ_micro 425.75 NIKKEI -5.120398 PLAT 115.0 RUSSELL 38.5 SP400 100.0 SP500_micro 46.875 SUGAR11 -0.0 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 998.396102 ******************************************************************************** END OF REPORT ********************************************************************************