******************************************************************************** Trades report produced on 27/11/2025 21:40 from 26/11/2025 21:40 to 27/11/2025 21:40 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19971 BOBL _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-11-27 12:58:00.000 [-1, 1] 1.010000 19984 CHF caleb_strategy_v3 [20251200] 2025-11-27 15:12:04.000 [-1] 1.243450 20008 DOW caleb_strategy_v3 [20251200] 2025-11-27 16:39:44.000 [1] 47486.000000 20004 DOW caleb_strategy_v3 [20251200] 2025-11-27 16:37:43.000 [1] 47486.000000 20002 DOW caleb_strategy_v3 [20251200] 2025-11-27 16:37:31.000 [1] 47486.000000 19981 DOW caleb_strategy_v3 [20251200] 2025-11-27 15:06:26.000 [1] 47494.000000 19995 DOW caleb_strategy_v3 [20251200] 2025-11-27 15:52:29.000 [1] 47486.000000 19999 DOW caleb_strategy_v3 [20251200] 2025-11-27 16:12:53.000 [1] 47470.000000 20006 DOW caleb_strategy_v3 [20251200] 2025-11-27 16:38:43.000 [1] 47487.000000 19989 DOW caleb_strategy_v3 [20251200] 2025-11-27 15:42:16.000 [1] 47493.000000 19968 EUROSTX caleb_strategy_v3 [20251200] 2025-11-27 08:00:33.000 [1] 5654.000000 20000 GBP caleb_strategy_v3 [20251200] 2025-11-27 16:18:06.000 [1] 1.325100 19996 GBP caleb_strategy_v3 [20251200] 2025-11-27 19:45:27.464 [0] NaN 19982 GBP caleb_strategy_v3 [20251200] 2025-11-27 15:06:27.000 [1] 1.323500 19990 GBP caleb_strategy_v3 [20251200] 2025-11-27 15:42:17.000 [1] 1.324500 19975 GOLD_micro caleb_strategy_v3 [20260200] 2025-11-27 14:00:29.000 [1] 4187.000000 19976 HEATOIL caleb_strategy_v3 [20260300] 2025-11-27 14:00:53.000 [-1] 2.237800 19993 JPY caleb_strategy_v3 [20260300] 2025-11-27 15:52:27.000 [-1] 0.006464 19987 JPY caleb_strategy_v3 [20260300] 2025-11-27 19:45:27.245 [0] NaN 19977 JPY caleb_strategy_v3 [20260300] 2025-11-27 15:01:09.000 [-1] 0.006462 19994 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-11-27 15:52:28.000 [1] 25300.250000 19988 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-11-27 19:45:27.316 [0] NaN 19978 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-11-27 15:01:22.000 [1] 25295.750000 19963 NIKKEI caleb_strategy_v3 [20251200] 2025-11-27 19:45:21.419 [0] NaN 19964 NIKKEI caleb_strategy_v3 [20251200] 2025-11-27 11:58:19.025 [0] NaN 19965 NIKKEI caleb_strategy_v3 [20251200] 2025-11-27 03:22:59.000 [-1] 50110.000000 19966 NIKKEI caleb_strategy_v3 [20251200] 2025-11-27 11:58:19.042 [0] NaN 19967 NIKKEI caleb_strategy_v3 [20251200] 2025-11-27 03:34:07.000 [-1] 50125.000000 19998 NZD caleb_strategy_v3 [20251200] 2025-11-27 16:12:30.000 [1] 0.572950 19986 NZD caleb_strategy_v3 [20251200] 2025-11-27 19:45:27.171 [0] NaN 19992 NZD caleb_strategy_v3 [20251200] 2025-11-27 19:45:27.389 [0] NaN 19970 OAT _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-11-27 12:52:34.000 [-1, 1] 0.970000 19972 OAT _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-11-27 12:58:02.000 [-1, 1] 0.970000 19969 OAT _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-11-27 12:14:38.000 [-1, 1] 0.970000 19974 OAT _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-11-27 13:04:08.000 [-1, 1] 0.970000 19973 OAT _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-11-27 12:58:09.000 [-1, 1] 0.970000 20001 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 19:45:27.612 [0] NaN 20003 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 16:37:32.000 [1] 2489.600000 20005 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 16:37:44.000 [1] 2489.600000 20007 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 16:38:44.000 [1] 2489.500000 20009 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 16:39:45.000 [1] 2489.700000 20010 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 16:40:44.000 [1] 2489.900000 20011 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 16:41:45.000 [1] 2489.900000 19985 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 15:12:06.000 [1] 2487.500000 19991 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 15:42:17.000 [1] 2488.100000 19997 RUSSELL caleb_strategy_v3 [20251200] 2025-11-27 19:45:27.537 [0] NaN 19980 SP500_micro caleb_strategy_v3 [20251200] 2025-11-27 15:06:25.000 [1] 6826.500000 19983 US10U caleb_strategy_v3 [20260300] 2025-11-27 15:12:03.000 [1] 116.390625 19979 US30 caleb_strategy_v3 [20260300] 2025-11-27 15:06:24.000 [-1] 121.531250 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19968 EUROSTX caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 08:00:33.178000 2025-11-27 08:00:33 115233.178 NaN 19971 BOBL _ROLL_PSEUDO_STRATEGY 2025-11-26 19:00:00 2025-11-27 12:52:59.931000 2025-11-27 12:58:00 64379.931 300.069 19969 OAT _ROLL_PSEUDO_STRATEGY 2025-11-26 19:00:00 2025-11-27 12:14:32.379000 2025-11-27 12:14:38 62072.379 5.621 19970 OAT _ROLL_PSEUDO_STRATEGY 2025-11-26 19:00:00 2025-11-27 12:50:13.511000 2025-11-27 12:52:34 64213.511 140.489 19972 OAT _ROLL_PSEUDO_STRATEGY 2025-11-26 19:00:00 2025-11-27 12:58:00.870000 2025-11-27 12:58:02 64680.87 1.13 19973 OAT _ROLL_PSEUDO_STRATEGY 2025-11-26 19:00:00 2025-11-27 12:58:08.283000 2025-11-27 12:58:09 64688.283 0.717 19974 OAT _ROLL_PSEUDO_STRATEGY 2025-11-26 19:00:00 2025-11-27 12:59:08.570000 2025-11-27 13:04:08 64748.57 299.43 19975 GOLD_micro caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 14:00:27.958000 2025-11-27 14:00:29 136827.958 1.042 19976 HEATOIL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 14:00:30.282000 2025-11-27 14:00:53 136830.282 22.718 19979 US30 caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:01:24.063000 2025-11-27 15:06:24 140484.063 299.937 19980 SP500_micro caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:06:25.319000 2025-11-27 15:06:25 140785.319 NaN 19983 US10U caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:06:29.222000 2025-11-27 15:12:03 140789.222 333.778 19984 CHF caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:12:04.626000 2025-11-27 15:12:04 141124.626 NaN 20002 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:28:18.149000 2025-11-27 16:37:31 145698.149 552.851 20004 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:37:43.389000 2025-11-27 16:37:43 146263.389 NaN 20006 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:38:43.730000 2025-11-27 16:38:43 146323.73 NaN 20008 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:39:43.973000 2025-11-27 16:39:44 146383.973 0.027 19981 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:06:26.623000 2025-11-27 15:06:26 140786.623 NaN 19989 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:42:16.518000 2025-11-27 15:42:16 142936.518 NaN 19995 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:52:29.025000 2025-11-27 15:52:29 143549.025 NaN 19999 DOW caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:12:53.427000 2025-11-27 16:12:53 144773.427 NaN 19977 JPY caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:00:48.098000 2025-11-27 15:01:09 140448.098 20.902 19987 JPY caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:22:15.546000 2025-11-27 19:45:27.245000 141735.546 15791.699 19993 JPY caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:52:27.846000 2025-11-27 15:52:27 143547.846 NaN 19978 NASDAQ_micro caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:01:10.946000 2025-11-27 15:01:22 140470.946 11.054 19994 NASDAQ_micro caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:52:28.309000 2025-11-27 15:52:28 143548.309 NaN 19988 NASDAQ_micro caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:32:16.046000 2025-11-27 19:45:27.316000 142336.046 15191.27 19963 NIKKEI caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 03:01:16.411000 2025-11-27 19:45:21.419000 97276.411 60245.008 19964 NIKKEI caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 03:11:20.119000 2025-11-27 11:58:19.025000 97880.119 31618.906 19965 NIKKEI caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 03:21:23.756000 2025-11-27 03:22:59 98483.756 95.244 19966 NIKKEI caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 03:24:03.177000 2025-11-27 11:58:19.042000 98643.177 30855.865 19967 NIKKEI caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 03:34:06.876000 2025-11-27 03:34:07 99246.876 0.124 20000 GBP caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:12:54.007000 2025-11-27 16:18:06 144774.007 311.993 19996 GBP caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:52:29.638000 2025-11-27 19:45:27.464000 143549.638 13977.826 19982 GBP caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:06:27.926000 2025-11-27 15:06:27 140787.926 NaN 19990 GBP caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:42:17.130000 2025-11-27 15:42:17 142937.13 NaN 20001 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:18:07.187000 2025-11-27 19:45:27.612000 145087.187 12440.425 20003 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:37:31.761000 2025-11-27 16:37:32 146251.761 0.239 20005 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:37:44.124000 2025-11-27 16:37:44 146264.124 NaN 20007 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:38:44.283000 2025-11-27 16:38:44 146324.283 NaN 20009 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:39:44.726000 2025-11-27 16:39:45 146384.726 0.274 20010 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:40:44.265000 2025-11-27 16:40:44 146444.265 NaN 20011 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:41:44.632000 2025-11-27 16:41:45 146504.632 0.368 19985 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:12:05.938000 2025-11-27 15:12:06 141125.938 0.062 19991 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:42:17.697000 2025-11-27 15:42:17 142937.697 NaN 19997 RUSSELL caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:02:30.109000 2025-11-27 19:45:27.537000 144150.109 13377.428 19992 NZD caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:42:18.438000 2025-11-27 19:45:27.389000 142938.438 14588.951 19986 NZD caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 15:12:07.235000 2025-11-27 19:45:27.171000 141127.235 16399.936 19998 NZD caleb_strategy_v3 2025-11-26 00:00:00 2025-11-27 16:12:30.581000 2025-11-27 16:12:30 144750.581 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 19968 EUROSTX caleb_strategy_v3 [1] 5664.0 None 5655.5 5656.0 5655.0 5655.0 5654.0 8.5 -0.5 2.0 1.0 NaN 1.5 19971 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.0 None 1.01 1.0 1.02 1.02 1.01 0.01 -0.01 0.01 -0.01 NaN 0.0 19969 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.96 None 0.975 0.96 0.99 0.99 0.97 0.015 -0.015 0.01 -0.02 NaN -0.005 19970 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.96 None 0.98 0.97 0.99 0.99 0.97 0.02 -0.01 0.0 -0.02 NaN -0.01 19972 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.96 None 0.48 0.96 0.0 0.0 0.97 -0.48 0.48 0.01 0.97 NaN 0.49 19973 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.96 None 0.48 0.96 0.0 0.0 0.97 -0.48 0.48 0.01 0.97 NaN 0.49 19974 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.96 None 0.97 0.96 0.98 0.98 0.97 0.01 -0.01 0.01 -0.01 NaN 0.0 19975 GOLD_micro caleb_strategy_v3 [1] 4197.2 None 4187.0 4187.1 4186.9 4186.9 4187.0 10.2 -0.1 0.1 -0.1 NaN 0.0 19976 HEATOIL caleb_strategy_v3 [-1] 2.2364 None 2.23905 2.2384 2.2397 2.2397 2.2378 0.00265 -0.00065 -0.0006 -0.0019 NaN -0.00125 19979 US30 caleb_strategy_v3 [-1] 121.5 None 121.546875 121.53125 121.5625 121.5625 121.53125 0.046875 -0.015625 -0.0 -0.03125 NaN -0.015625 19980 SP500_micro caleb_strategy_v3 [1] 6840.0 None 6827.375 6827.5 6827.25 6827.25 6826.5 12.625 -0.125 1.0 0.75 NaN 0.875 19983 US10U caleb_strategy_v3 [1] 116.40625 None 116.382812 116.390625 116.375 116.375 116.390625 0.023438 -0.007812 0.0 -0.015625 NaN -0.007812 19984 CHF caleb_strategy_v3 [-1] 1.2459 None 1.2432 1.24315 1.24325 1.24325 1.24345 -0.0027 -0.00005 0.0003 0.0002 NaN 0.00025 20002 DOW caleb_strategy_v3 [1] 47560.0 None 47476.5 47477.0 47476.0 47476.0 47486.0 83.5 -0.5 -9.0 -10.0 NaN -9.5 20004 DOW caleb_strategy_v3 [1] 47560.0 None 23743.0 47486.0 0.0 NaN 47486.0 23817.0 -23743.0 0.0 NaN NaN -23743.0 20006 DOW caleb_strategy_v3 [1] 47560.0 None 47488.0 47489.0 47487.0 NaN 47487.0 72.0 -1.0 2.0 NaN NaN 1.0 20008 DOW caleb_strategy_v3 [1] 47560.0 None 47488.0 47489.0 47487.0 NaN 47486.0 72.0 -1.0 3.0 NaN NaN 2.0 19981 DOW caleb_strategy_v3 [1] 47560.0 None 47504.0 47505.0 47503.0 47503.0 47494.0 56.0 -1.0 11.0 9.0 NaN 10.0 19989 DOW caleb_strategy_v3 [1] 47560.0 None 47504.0 47505.0 47503.0 47503.0 47493.0 56.0 -1.0 12.0 10.0 NaN 11.0 19995 DOW caleb_strategy_v3 [1] 47560.0 None 47504.0 47505.0 47503.0 47503.0 47486.0 56.0 -1.0 19.0 17.0 NaN 18.0 19999 DOW caleb_strategy_v3 [1] 47560.0 None 47504.0 47505.0 47503.0 47503.0 47470.0 56.0 -1.0 35.0 33.0 NaN 34.0 19977 JPY caleb_strategy_v3 [-1] 0.006458 None 0.006462 0.006462 0.006462 0.006462 0.006462 0.000003 -0.0 0.0 -0.0 NaN 0.0 19987 JPY caleb_strategy_v3 [-1] 0.006458 None 0.00323 0.006461 0.0 0.0 NaN -0.003228 0.00323 NaN NaN NaN NaN 19993 JPY caleb_strategy_v3 [-1] 0.006458 None 0.006463 0.006463 0.006463 0.006463 0.006464 0.000005 -0.0 0.000001 0.000001 NaN 0.000001 19978 NASDAQ_micro caleb_strategy_v3 [1] 25329.75 None 25295.875 25296.0 25295.75 25295.75 25295.75 33.875 -0.125 0.25 0.0 NaN 0.125 19994 NASDAQ_micro caleb_strategy_v3 [1] 25329.75 None 25295.75 25296.0 25295.5 25295.5 25300.25 34.0 -0.25 -4.25 -4.75 NaN -4.5 19988 NASDAQ_micro caleb_strategy_v3 [1] 25329.75 None 12648.125 25296.25 0.0 0.0 NaN 12681.625 -12648.125 NaN NaN NaN NaN 19963 NIKKEI caleb_strategy_v3 [-1] 50140.0 None 50185.0 50180.0 50190.0 50190.0 NaN 45.0 -5.0 NaN NaN NaN NaN 19964 NIKKEI caleb_strategy_v3 [-1] 50140.0 None 25065.0 50130.0 0.0 0.0 NaN -25075.0 25065.0 NaN NaN NaN NaN 19965 NIKKEI caleb_strategy_v3 [-1] 50140.0 None 50132.5 50130.0 50135.0 50135.0 50110.0 -7.5 -2.5 -20.0 -25.0 NaN -22.5 19966 NIKKEI caleb_strategy_v3 [-1] 50140.0 None 25055.0 50110.0 0.0 0.0 NaN -25085.0 25055.0 NaN NaN NaN NaN 19967 NIKKEI caleb_strategy_v3 [-1] 50140.0 None 50092.5 50090.0 50095.0 50095.0 50125.0 -47.5 -2.5 35.0 30.0 NaN 32.5 20000 GBP caleb_strategy_v3 [1] 1.3235 None 1.32435 1.3244 1.3243 1.3243 1.3251 -0.00085 -0.00005 -0.0007 -0.0008 NaN -0.00075 19996 GBP caleb_strategy_v3 [1] 1.3235 None 0.66225 1.3245 0.0 0.0 NaN 0.66125 -0.66225 NaN NaN NaN NaN 19982 GBP caleb_strategy_v3 [1] 1.3235 None 1.3236 1.3237 1.3235 1.3235 1.3235 -0.0001 -0.0001 0.0002 0.0 NaN 0.0001 19990 GBP caleb_strategy_v3 [1] 1.3235 None 1.3236 1.3237 1.3235 1.3235 1.3245 -0.0001 -0.0001 -0.0008 -0.001 NaN -0.0009 20001 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2488.3 2488.4 2488.2 2488.2 NaN 15.6 -0.1 NaN NaN NaN NaN 20003 RUSSELL caleb_strategy_v3 [1] 2503.9 None 1244.6 2489.2 0.0 NaN 2489.6 1259.3 -1244.6 -0.4 NaN NaN -1245.0 20005 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2489.6 2489.7 2489.5 NaN 2489.6 14.3 -0.1 0.1 NaN NaN 0.0 20007 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2489.65 2489.7 2489.6 NaN 2489.5 14.25 -0.05 0.2 NaN NaN 0.15 20009 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2489.5 2489.6 2489.4 NaN 2489.7 14.4 -0.1 -0.1 NaN NaN -0.2 20010 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2489.5 2489.6 2489.4 NaN 2489.9 14.4 -0.1 -0.3 NaN NaN -0.4 20011 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2489.7 2489.8 2489.6 NaN 2489.9 14.2 -0.1 -0.1 NaN NaN -0.2 19985 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2487.6 2487.7 2487.5 2487.5 2487.5 16.3 -0.1 0.2 0.0 NaN 0.1 19991 RUSSELL caleb_strategy_v3 [1] 2503.9 None 2487.6 2487.7 2487.5 2487.5 2488.1 16.3 -0.1 -0.4 -0.6 NaN -0.5 19997 RUSSELL caleb_strategy_v3 [1] 2503.9 None 1244.35 2488.7 0.0 0.0 NaN 1259.55 -1244.35 NaN NaN NaN NaN 19992 NZD caleb_strategy_v3 [1] 0.56975 None 0.286425 0.57285 0.0 0.0 NaN 0.283325 -0.286425 NaN NaN NaN NaN 19986 NZD caleb_strategy_v3 [1] 0.56975 None 0.5724 0.57245 0.57235 0.57235 NaN -0.00265 -0.00005 NaN NaN NaN NaN 19998 NZD caleb_strategy_v3 [1] 0.56975 None 0.573175 0.5732 0.57315 0.57315 0.57295 -0.003425 -0.000025 0.00025 0.0002 NaN 0.000225 ========================================================================================================================================================================== 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 19968 EUROSTX caleb_strategy_v3 [1] 803.390806 105.801559 -6.223621 24.894485 12.447242 NaN 18.670863 19971 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 2.37811 42.050202 -42.050202 42.050202 -42.050202 NaN 0.0 19969 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 4.853982 30.902462 -30.902462 20.601641 -41.203283 NaN -10.300821 19970 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 4.853982 41.203283 -20.601641 0.0 -41.203283 NaN -20.601641 19972 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 4.853982 -988.878787 988.878787 20.601641 1998.359215 NaN 1009.480428 19973 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 4.853982 -988.878787 988.878787 20.601641 1998.359215 NaN 1009.480428 19974 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 4.853982 20.601641 -20.601641 20.601641 -20.601641 NaN 0.0 19975 GOLD_micro caleb_strategy_v3 [1] 809.748317 125.965066 -1.234952 1.234952 -1.234952 NaN 0.0 19976 HEATOIL caleb_strategy_v3 [-1] 0.74938 35.362555 -8.673834 -8.006616 -25.354285 NaN -16.68045 19979 US30 caleb_strategy_v3 [-1] 11.96603 39.173394 -13.057798 -0.0 -26.115596 NaN -13.057798 19980 SP500_micro caleb_strategy_v3 [1] 958.623254 131.699288 -1.303953 10.431627 7.82372 NaN 9.127673 19983 US10U caleb_strategy_v3 [1] 5.642793 41.535285 -13.845095 0.0 -27.69019 NaN -13.845095 19984 CHF caleb_strategy_v3 [-1] 0.083795 -322.214013 -5.966926 35.801557 23.867705 NaN 29.834631 20002 DOW caleb_strategy_v3 [1] 6227.291636 134.087184 -0.802917 -14.452511 -16.058345 NaN -15.255428 20004 DOW caleb_strategy_v3 [1] 6227.291636 38246.161241 -38127.329485 0.0 NaN NaN -38127.329485 20006 DOW caleb_strategy_v3 [1] 6227.291636 115.620087 -1.605835 3.211669 NaN NaN 1.605835 20008 DOW caleb_strategy_v3 [1] 6227.291636 115.620087 -1.605835 4.817504 NaN NaN 3.211669 19981 DOW caleb_strategy_v3 [1] 6227.291636 89.926734 -1.605835 17.66418 14.452511 NaN 16.058345 19989 DOW caleb_strategy_v3 [1] 6227.291636 89.926734 -1.605835 19.270014 16.058345 NaN 17.66418 19995 DOW caleb_strategy_v3 [1] 6227.291636 89.926734 -1.605835 30.510856 27.299187 NaN 28.905022 19999 DOW caleb_strategy_v3 [1] 6227.291636 89.926734 -1.605835 56.204209 52.99254 NaN 54.598374 19977 JPY caleb_strategy_v3 [-1] 0.000561 57.919447 -4.455342 8.910684 -0.0 NaN 4.455342 19987 JPY caleb_strategy_v3 [-1] 0.000561 -57527.376674 57571.930095 NaN NaN NaN NaN 19993 JPY caleb_strategy_v3 [-1] 0.000561 80.196157 -8.910684 26.732052 8.910684 NaN 17.821368 19978 NASDAQ_micro caleb_strategy_v3 [1] 4780.622506 70.858973 -0.261472 0.522944 0.0 NaN 0.261472 19994 NASDAQ_micro caleb_strategy_v3 [1] 4780.622506 71.120445 -0.522944 -8.890056 -9.935945 NaN -9.413 19988 NASDAQ_micro caleb_strategy_v3 [1] 4780.622506 26527.141568 -26457.067012 NaN NaN NaN NaN 19963 NIKKEI caleb_strategy_v3 [-1] 12137.651385 37.074718 -4.119413 NaN NaN NaN NaN 19964 NIKKEI caleb_strategy_v3 [-1] 12137.651385 -20658.856648 20650.617822 NaN NaN NaN NaN 19965 NIKKEI caleb_strategy_v3 [-1] 12137.651385 -6.17912 -2.059707 -16.477652 -20.597065 NaN -18.537359 19966 NIKKEI caleb_strategy_v3 [-1] 12137.651385 -20667.095474 20642.378996 NaN NaN NaN NaN 19967 NIKKEI caleb_strategy_v3 [-1] 12137.651385 -39.134424 -2.059707 28.835892 24.716479 NaN 26.776185 20000 GBP caleb_strategy_v3 [1] 0.081472 -104.329691 -6.137041 -85.918569 -98.19265 NaN -92.05561 19996 GBP caleb_strategy_v3 [1] 0.081472 81162.362512 -81285.103325 NaN NaN NaN NaN 19982 GBP caleb_strategy_v3 [1] 0.081472 -12.274081 -12.274081 24.548163 0.0 NaN 12.274081 19990 GBP caleb_strategy_v3 [1] 0.081472 -12.274081 -12.274081 -98.19265 -122.740813 NaN -110.466732 20001 RUSSELL caleb_strategy_v3 [1] 550.672876 283.289784 -1.81596 NaN NaN NaN NaN 20003 RUSSELL caleb_strategy_v3 [1] 550.672876 22868.386206 -22601.440064 -7.263841 NaN NaN -22608.703904 20005 RUSSELL caleb_strategy_v3 [1] 550.672876 259.682302 -1.81596 1.81596 NaN NaN 0.0 20007 RUSSELL caleb_strategy_v3 [1] 550.672876 258.774322 -0.90798 3.63192 NaN NaN 2.72394 20009 RUSSELL caleb_strategy_v3 [1] 550.672876 261.498262 -1.81596 -1.81596 NaN NaN -3.63192 20010 RUSSELL caleb_strategy_v3 [1] 550.672876 261.498262 -1.81596 -5.44788 NaN NaN -7.263841 20011 RUSSELL caleb_strategy_v3 [1] 550.672876 257.866342 -1.81596 -1.81596 NaN NaN -3.63192 19985 RUSSELL caleb_strategy_v3 [1] 550.672876 296.001505 -1.81596 3.63192 0.0 NaN 1.81596 19991 RUSSELL caleb_strategy_v3 [1] 550.672876 296.001505 -1.81596 -7.263841 -10.895761 NaN -9.079801 19997 RUSSELL caleb_strategy_v3 [1] 550.672876 22872.926106 -22596.900163 NaN NaN NaN NaN 19992 NZD caleb_strategy_v3 [1] 0.050405 56210.163409 -56825.186815 NaN NaN NaN NaN 19986 NZD caleb_strategy_v3 [1] 0.050405 -525.745815 -9.919732 NaN NaN NaN NaN 19998 NZD caleb_strategy_v3 [1] 0.050405 -679.501667 -4.959866 49.598662 39.678929 NaN 44.638796 =================================================================================================================================================================================== 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 19968 EUROSTX caleb_strategy_v3 [1] 11.5926 98.5371 -5.7963 23.1852 11.5926 NaN 17.3889 19971 BOBL _ROLL_PSEUDO_STRATEGY [-1, 1] 1159.26 11.5926 -11.5926 11.5926 -11.5926 NaN 0.0 19969 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1159.26 17.3889 -17.3889 11.5926 -23.1852 NaN -5.7963 19970 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1159.26 23.1852 -11.5926 0.0 -23.1852 NaN -11.5926 19972 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1159.26 -556.4448 556.4448 11.5926 1124.4822 NaN 568.0374 19973 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1159.26 -556.4448 556.4448 11.5926 1124.4822 NaN 568.0374 19974 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1159.26 11.5926 -11.5926 11.5926 -11.5926 NaN 0.0 19975 GOLD_micro caleb_strategy_v3 [1] 10.0 102.0 -1.0 1.0 -1.0 NaN 0.0 19976 HEATOIL caleb_strategy_v3 [-1] 42000.0 111.3 -27.3 -25.2 -79.8 NaN -52.5 19979 US30 caleb_strategy_v3 [-1] 1000.0 46.875 -15.625 -0.0 -31.25 NaN -15.625 19980 SP500_micro caleb_strategy_v3 [1] 5.0 63.125 -0.625 5.0 3.75 NaN 4.375 19983 US10U caleb_strategy_v3 [1] 1000.0 23.4375 -7.8125 0.0 -15.625 NaN -7.8125 19984 CHF caleb_strategy_v3 [-1] 125000.0 -337.5 -6.25 37.5 25.0 NaN 31.25 20002 DOW caleb_strategy_v3 [1] 0.5 41.75 -0.25 -4.5 -5.0 NaN -4.75 20004 DOW caleb_strategy_v3 [1] 0.5 11908.5 -11871.5 0.0 NaN NaN -11871.5 20006 DOW caleb_strategy_v3 [1] 0.5 36.0 -0.5 1.0 NaN NaN 0.5 20008 DOW caleb_strategy_v3 [1] 0.5 36.0 -0.5 1.5 NaN NaN 1.0 19981 DOW caleb_strategy_v3 [1] 0.5 28.0 -0.5 5.5 4.5 NaN 5.0 19989 DOW caleb_strategy_v3 [1] 0.5 28.0 -0.5 6.0 5.0 NaN 5.5 19995 DOW caleb_strategy_v3 [1] 0.5 28.0 -0.5 9.5 8.5 NaN 9.0 19999 DOW caleb_strategy_v3 [1] 0.5 28.0 -0.5 17.5 16.5 NaN 17.0 19977 JPY caleb_strategy_v3 [-1] 12500000.0 40.625 -3.125 6.25 -0.0 NaN 3.125 19987 JPY caleb_strategy_v3 [-1] 12500000.0 -40350.0 40381.25 NaN NaN NaN NaN 19993 JPY caleb_strategy_v3 [-1] 12500000.0 56.25 -6.25 18.75 6.25 NaN 12.5 19978 NASDAQ_micro caleb_strategy_v3 [1] 2.0 67.75 -0.25 0.5 0.0 NaN 0.25 19994 NASDAQ_micro caleb_strategy_v3 [1] 2.0 68.0 -0.5 -8.5 -9.5 NaN -9.0 19988 NASDAQ_micro caleb_strategy_v3 [1] 2.0 25363.25 -25296.25 NaN NaN NaN NaN 19963 NIKKEI caleb_strategy_v3 [-1] 0.640412 28.818536 -3.20206 NaN NaN NaN NaN 19964 NIKKEI caleb_strategy_v3 [-1] 0.640412 -16058.328717 16051.924598 NaN NaN NaN NaN 19965 NIKKEI caleb_strategy_v3 [-1] 0.640412 -4.803089 -1.60103 -12.808238 -16.010298 NaN -14.409268 19966 NIKKEI caleb_strategy_v3 [-1] 0.640412 -16064.732836 16045.520479 NaN NaN NaN NaN 19967 NIKKEI caleb_strategy_v3 [-1] 0.640412 -30.419566 -1.60103 22.414417 19.212357 NaN 20.813387 20000 GBP caleb_strategy_v3 [1] 62500.0 -53.125 -3.125 -43.75 -50.0 NaN -46.875 19996 GBP caleb_strategy_v3 [1] 62500.0 41328.125 -41390.625 NaN NaN NaN NaN 19982 GBP caleb_strategy_v3 [1] 62500.0 -6.25 -6.25 12.5 0.0 NaN 6.25 19990 GBP caleb_strategy_v3 [1] 62500.0 -6.25 -6.25 -50.0 -62.5 NaN -56.25 20001 RUSSELL caleb_strategy_v3 [1] 5.0 78.0 -0.5 NaN NaN NaN NaN 20003 RUSSELL caleb_strategy_v3 [1] 5.0 6296.5 -6223.0 -2.0 NaN NaN -6225.0 20005 RUSSELL caleb_strategy_v3 [1] 5.0 71.5 -0.5 0.5 NaN NaN 0.0 20007 RUSSELL caleb_strategy_v3 [1] 5.0 71.25 -0.25 1.0 NaN NaN 0.75 20009 RUSSELL caleb_strategy_v3 [1] 5.0 72.0 -0.5 -0.5 NaN NaN -1.0 20010 RUSSELL caleb_strategy_v3 [1] 5.0 72.0 -0.5 -1.5 NaN NaN -2.0 20011 RUSSELL caleb_strategy_v3 [1] 5.0 71.0 -0.5 -0.5 NaN NaN -1.0 19985 RUSSELL caleb_strategy_v3 [1] 5.0 81.5 -0.5 1.0 0.0 NaN 0.5 19991 RUSSELL caleb_strategy_v3 [1] 5.0 81.5 -0.5 -2.0 -3.0 NaN -2.5 19997 RUSSELL caleb_strategy_v3 [1] 5.0 6297.75 -6221.75 NaN NaN NaN NaN 19992 NZD caleb_strategy_v3 [1] 100000.0 28332.5 -28642.5 NaN NaN NaN NaN 19986 NZD caleb_strategy_v3 [1] 100000.0 -265.0 -5.0 NaN NaN NaN NaN 19998 NZD caleb_strategy_v3 [1] 100000.0 -342.5 -2.5 25.0 20.0 NaN 22.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 11.5926 OAT -1060.7229 caleb_strategy_v3 CHF -337.5 DOW 12134.25 EUROSTX 98.5371 GBP 41262.5 GOLD_micro 102.0 HEATOIL 111.3 JPY -40253.125 NASDAQ_micro 25499.0 NIKKEI -32129.465672 NZD 27725.0 RUSSELL 13193.0 SP500_micro 63.125 US10U 23.4375 US30 46.875 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1049.1303 caleb_strategy_v3 47538.933928 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -11.5926 OAT 1072.3155 caleb_strategy_v3 CHF -6.25 DOW -11874.75 EUROSTX -5.7963 GBP -41406.25 GOLD_micro -1.0 HEATOIL -27.3 JPY 40371.875 NASDAQ_micro -25297.0 NIKKEI 32091.040958 NZD -28650.0 RUSSELL -12448.5 SP500_micro -0.625 US10U -7.8125 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 1060.7229 caleb_strategy_v3 -47277.992842 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 11.5926 OAT 46.3704 caleb_strategy_v3 CHF 37.5 DOW 36.5 EUROSTX 23.1852 GBP -81.25 GOLD_micro 1.0 HEATOIL -25.2 JPY 25.0 NASDAQ_micro -8.0 NIKKEI 9.606179 NZD 25.0 RUSSELL -4.0 SP500_micro 5.0 US10U 0.0 US30 -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 57.963 caleb_strategy_v3 44.341379 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -11.5926 OAT 2191.0014 caleb_strategy_v3 CHF 25.0 DOW 29.5 EUROSTX 11.5926 GBP -112.5 GOLD_micro -1.0 HEATOIL -79.8 JPY 6.25 NASDAQ_micro -9.5 NIKKEI 3.20206 NZD 20.0 RUSSELL -3.0 SP500_micro 3.75 US10U -15.625 US30 -31.25 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 2179.4088 caleb_strategy_v3 -153.38034 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 0 OAT 0 caleb_strategy_v3 CHF 0 DOW 0 EUROSTX 0 GBP 0 GOLD_micro 0 HEATOIL 0 JPY 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 RUSSELL 0 SP500_micro 0 US10U 0 US30 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 BOBL 0.0 OAT 1118.6859 caleb_strategy_v3 CHF 31.25 DOW -11838.25 EUROSTX 17.3889 GBP -96.875 GOLD_micro 0.0 HEATOIL -52.5 JPY 15.625 NASDAQ_micro -8.75 NIKKEI 6.404119 NZD 22.5 RUSSELL -6230.25 SP500_micro 4.375 US10U -7.8125 US30 -15.625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1118.6859 caleb_strategy_v3 -18152.519481 ******************************************************************************** END OF REPORT ********************************************************************************