******************************************************************************** Trades report produced on 12/03/2026 21:35 from 11/03/2026 21:35 to 12/03/2026 21:35 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 21685 AUD caleb_strategy_v3 [20260600] 2026-03-12 16:22:59.000 [-1] 0.70895 21670 AUD caleb_strategy_v3 [20260600] 2026-03-12 19:45:08.202 [0] NaN 21677 AUD caleb_strategy_v3 [20260600] 2026-03-12 19:45:08.364 [0] NaN 21692 AUD caleb_strategy_v3 [20260600] 2026-03-12 16:36:58.000 [-1] 0.70775 21656 BOBL caleb_strategy_v3 [20260600] 2026-03-12 08:00:11.000 [-1] 116.16000 21658 BTP caleb_strategy_v3 [20260600] 2026-03-12 08:03:13.000 [-1] 118.27000 21657 BUXL caleb_strategy_v3 [20260600] 2026-03-12 08:03:04.000 [-1] 109.38000 21676 CAD caleb_strategy_v3 [20260600] 2026-03-12 19:45:08.283 [0] NaN 21684 CAD caleb_strategy_v3 [20260600] 2026-03-12 16:22:59.000 [-1] 0.73755 21691 CAD caleb_strategy_v3 [20260600] 2026-03-12 16:36:57.000 [-1] 0.73710 21669 CAD caleb_strategy_v3 [20260600] 2026-03-12 19:45:08.121 [0] NaN 21665 CANOLA caleb_strategy_v3 [20260700] 2026-03-12 14:01:44.000 [-1] 741.90000 21667 CANOLA caleb_strategy_v3 [20260700] 2026-03-12 14:11:59.000 [-1] 742.90000 21663 CANOLA caleb_strategy_v3 [20260700] 2026-03-12 14:00:51.000 [-1] 741.50000 21695 CORN caleb_strategy_v3 [20261200] 2026-03-12 16:46:59.000 [-1] 490.50000 21683 CORN caleb_strategy_v3 [20261200] 2026-03-12 16:22:39.000 [-1] 491.25000 21690 CORN caleb_strategy_v3 [20261200] 2026-03-12 19:45:08.766 [0] NaN 21668 CRUDE_W caleb_strategy_v3 [20261200] 2026-03-12 14:12:29.000 [-1] 73.95000 21666 CRUDE_W caleb_strategy_v3 [20261200] 2026-03-12 19:45:08.038 [0] NaN 21664 CRUDE_W caleb_strategy_v3 [20261200] 2026-03-12 14:00:53.000 [-1] 74.05000 21686 DOW caleb_strategy_v3 [20260600] 2026-03-12 16:26:24.000 [1] 47237.00000 21678 DOW caleb_strategy_v3 [20260600] 2026-03-12 19:45:08.442 [0] NaN 21693 DOW caleb_strategy_v3 [20260600] 2026-03-12 19:45:08.845 [0] NaN 21698 DOW caleb_strategy_v3 [20260600] 2026-03-12 16:48:05.000 [1] 47179.00000 21671 DOW caleb_strategy_v3 [20260600] 2026-03-12 15:20:17.000 [1] 47093.00000 21696 DOW caleb_strategy_v3 [20260600] 2026-03-12 16:47:05.000 [1] 47168.00000 21659 GASOIL caleb_strategy_v3 [20260600] 2026-03-12 09:00:27.000 [-1] 925.75000 21661 GASOLINE caleb_strategy_v3 [20260600] 2026-03-12 14:00:49.000 [1] 2.80490 21662 GOLD_micro caleb_strategy_v3 [20260600] 2026-03-12 14:00:50.000 [1] 5199.10000 21660 HEATOIL caleb_strategy_v3 [20260600] 2026-03-12 14:00:46.000 [1] 3.37720 21674 MXP caleb_strategy_v3 [20260600] 2026-03-12 15:20:46.000 [-1] 0.05550 21682 MXP caleb_strategy_v3 [20260600] 2026-03-12 19:45:08.688 [0] NaN 21689 MXP caleb_strategy_v3 [20260600] 2026-03-12 16:26:53.000 [-1] 0.05564 21694 MXP caleb_strategy_v3 [20260600] 2026-03-12 16:46:59.000 [-1] 0.05561 21697 MXP caleb_strategy_v3 [20260600] 2026-03-12 16:47:05.000 [-1] 0.05561 21688 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-03-12 16:26:52.000 [1] 24652.50000 21673 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-03-12 15:20:44.000 [1] 24592.25000 21681 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-03-12 19:45:08.605 [0] NaN 21654 NIKKEI caleb_strategy_v3 [20260600] 2026-03-12 19:45:07.957 [0] NaN 21653 NIKKEI caleb_strategy_v3 [20260600] 2026-03-12 03:06:04.000 [-1] 53705.00000 21655 NIKKEI caleb_strategy_v3 [20260600] 2026-03-12 03:20:36.000 [-1] 53685.00000 21679 REDWHEAT caleb_strategy_v3 [20260700] 2026-03-12 15:51:24.000 [1] 639.75000 21675 SP500_micro caleb_strategy_v3 [20260300] 2026-03-12 15:20:47.000 [1] 6690.75000 21680 VIX caleb_strategy_v3 [20260500] 2026-03-12 19:45:08.522 [0] NaN 21687 VIX caleb_strategy_v3 [20260500] 2026-03-12 16:26:52.000 [1] 23.45000 21672 VIX caleb_strategy_v3 [20260500] 2026-03-12 15:20:39.000 [1] 23.70000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21656 BOBL caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 08:00:11.233000 2026-03-12 08:00:11 115211.233 NaN 21657 BUXL caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 08:00:12.981000 2026-03-12 08:03:04 115212.981 171.019 21658 BTP caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 08:03:13.621000 2026-03-12 08:03:13 115393.621 NaN 21659 GASOIL caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 09:00:26.133000 2026-03-12 09:00:27 118826.133 0.867 21660 HEATOIL caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:00:45.693000 2026-03-12 14:00:46 136845.693 0.307 21661 GASOLINE caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:00:48.001000 2026-03-12 14:00:49 136848.001 0.999 21662 GOLD_micro caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:00:50.301000 2026-03-12 14:00:50 136850.301 NaN 21665 CANOLA caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:01:44.622000 2026-03-12 14:01:44 136904.622 NaN 21667 CANOLA caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:11:59.577000 2026-03-12 14:11:59 137519.577 NaN 21663 CANOLA caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:00:51.878000 2026-03-12 14:00:51 136851.878 NaN 21675 SP500_micro caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:20:47.485000 2026-03-12 15:20:47 141647.485 NaN 21679 REDWHEAT caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:51:09.977000 2026-03-12 15:51:24 143469.977 14.023 21684 CAD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:22:58.977000 2026-03-12 16:22:59 145378.977 0.023 21691 CAD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:36:57.629000 2026-03-12 16:36:57 146217.629 NaN 21676 CAD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:21:07.842000 2026-03-12 19:45:08.283000 141667.842 15840.441 21669 CAD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:00:11.837000 2026-03-12 19:45:08.121000 140411.837 17096.284 21653 NIKKEI caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 03:01:16.317000 2026-03-12 03:06:04 97276.317 287.683 21654 NIKKEI caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 03:07:07.795000 2026-03-12 19:45:07.957000 97627.795 59880.162 21655 NIKKEI caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 03:17:10.672000 2026-03-12 03:20:36 98230.672 205.328 21692 AUD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:36:58.214000 2026-03-12 16:36:58 146218.214 NaN 21677 AUD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:31:08.333000 2026-03-12 19:45:08.364000 142268.333 15240.031 21670 AUD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:10:13.101000 2026-03-12 19:45:08.202000 141013.101 16495.101 21685 AUD caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:22:59.577000 2026-03-12 16:22:59 145379.577 NaN 21696 DOW caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:47:05.076000 2026-03-12 16:47:05 146825.076 NaN 21698 DOW caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:48:05.269000 2026-03-12 16:48:05 146885.269 NaN 21671 DOW caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:20:14.201000 2026-03-12 15:20:17 141614.201 2.799 21678 DOW caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:41:08.789000 2026-03-12 19:45:08.442000 142868.789 14639.653 21686 DOW caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:23:00.156000 2026-03-12 16:26:24 145380.156 203.844 21693 DOW caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:36:58.789000 2026-03-12 19:45:08.845000 146218.789 11290.056 21672 VIX caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:20:18.670000 2026-03-12 15:20:39 141618.67 20.33 21680 VIX caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:51:24.553000 2026-03-12 19:45:08.522000 143484.553 14023.969 21687 VIX caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:26:24.573000 2026-03-12 16:26:52 145584.573 27.427 21688 NASDAQ_micro caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:26:52.685000 2026-03-12 16:26:52 145612.685 NaN 21673 NASDAQ_micro caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:20:40.281000 2026-03-12 15:20:44 141640.281 3.719 21681 NASDAQ_micro caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:01:25.053000 2026-03-12 19:45:08.605000 144085.053 13423.552 21697 MXP caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:47:05.649000 2026-03-12 16:47:05 146825.649 NaN 21674 MXP caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 15:20:46.181000 2026-03-12 15:20:46 141646.181 NaN 21682 MXP caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:11:25.520000 2026-03-12 19:45:08.688000 144685.52 12823.168 21689 MXP caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:26:53.121000 2026-03-12 16:26:53 145613.121 NaN 21694 MXP caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:46:59.256000 2026-03-12 16:46:59 146819.256 NaN 21690 CORN caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:26:53.703000 2026-03-12 19:45:08.766000 145613.703 11895.063 21683 CORN caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:21:26.649000 2026-03-12 16:22:39 145286.649 72.351 21695 CORN caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 16:46:59.881000 2026-03-12 16:46:59 146819.881 NaN 21664 CRUDE_W caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:00:53.209000 2026-03-12 14:00:53 136853.209 NaN 21666 CRUDE_W caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:01:45.196000 2026-03-12 19:45:08.038000 136905.196 20602.842 21668 CRUDE_W caleb_strategy_v3 2026-03-11 00:00:00 2026-03-12 14:12:00.164000 2026-03-12 14:12:29 137520.164 28.836 ==================================================================================================================================================================================================================================== 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 21656 BOBL caleb_strategy_v3 [-1] 116.14 None 116.135 116.13 116.14 116.14 116.16 -0.005 -0.005 0.03 0.02 NaN 0.025 21657 BUXL caleb_strategy_v3 [-1] 109.4 None 109.51 109.5 109.52 109.52 109.38 0.11 -0.01 -0.12 -0.14 NaN -0.13 21658 BTP caleb_strategy_v3 [-1] 118.4 None 118.175 118.17 118.18 118.18 118.27 -0.225 -0.005 0.1 0.09 NaN 0.095 21659 GASOIL caleb_strategy_v3 [-1] 890.75 None 923.75 923.5 924.0 924.0 925.75 33.0 -0.25 2.25 1.75 NaN 2.0 21660 HEATOIL caleb_strategy_v3 [1] 3.1928 None 3.3902 3.3913 3.3891 3.3891 3.3772 -0.1974 -0.0011 0.0141 0.0119 NaN 0.013 21661 GASOLINE caleb_strategy_v3 [1] 2.6995 None 2.80565 2.806 2.8053 2.8053 2.8049 -0.10615 -0.00035 0.0011 0.0004 NaN 0.00075 21662 GOLD_micro caleb_strategy_v3 [1] 5229.4 None 5203.1 5203.3 5202.9 5202.9 5199.1 26.3 -0.2 4.2 3.8 NaN 4.0 21665 CANOLA caleb_strategy_v3 [-1] 741.0 None 740.4 740.3 740.5 740.5 741.9 -0.6 -0.1 1.6 1.4 NaN 1.5 21667 CANOLA caleb_strategy_v3 [-1] 741.0 None 740.1 740.0 740.2 740.2 742.9 -0.9 -0.1 2.9 2.7 NaN 2.8 21663 CANOLA caleb_strategy_v3 [-1] 741.0 None 740.4 740.3 740.5 740.5 741.5 -0.6 -0.1 1.2 1.0 NaN 1.1 21675 SP500_micro caleb_strategy_v3 [1] 6774.75 None 6692.375 6692.5 6692.25 6692.25 6690.75 82.375 -0.125 1.75 1.5 NaN 1.625 21679 REDWHEAT caleb_strategy_v3 [1] 628.25 None 639.25 639.5 639.0 639.0 639.75 -11.0 -0.25 -0.25 -0.75 NaN -0.5 21684 CAD caleb_strategy_v3 [-1] 0.73905 None 0.7369 0.73685 0.73695 0.73695 0.73755 -0.00215 -0.00005 0.0007 0.0006 NaN 0.00065 21691 CAD caleb_strategy_v3 [-1] 0.73905 None 0.736825 0.7368 0.73685 0.73685 0.7371 -0.002225 -0.000025 0.0003 0.00025 NaN 0.000275 21676 CAD caleb_strategy_v3 [-1] 0.73905 None 0.36885 0.7377 0.0 0.0 NaN -0.3702 0.36885 NaN NaN NaN NaN 21669 CAD caleb_strategy_v3 [-1] 0.73905 None 0.737925 0.7379 0.73795 0.73795 NaN -0.001125 -0.000025 NaN NaN NaN NaN 21653 NIKKEI caleb_strategy_v3 [-1] 54570.0 None 53770.0 53765.0 53775.0 53775.0 53705.0 -800.0 -5.0 -60.0 -70.0 NaN -65.0 21654 NIKKEI caleb_strategy_v3 [-1] 54570.0 None 26850.0 53700.0 0.0 0.0 NaN -27720.0 26850.0 NaN NaN NaN NaN 21655 NIKKEI caleb_strategy_v3 [-1] 54570.0 None 53712.5 53710.0 53715.0 53715.0 53685.0 -857.5 -2.5 -25.0 -30.0 NaN -27.5 21692 AUD caleb_strategy_v3 [-1] 0.7148 None 0.70715 0.7071 0.7072 0.7072 0.70775 -0.00765 -0.00005 0.00065 0.00055 NaN 0.0006 21677 AUD caleb_strategy_v3 [-1] 0.7148 None 0.353525 0.70705 0.0 0.0 NaN -0.361275 0.353525 NaN NaN NaN NaN 21670 AUD caleb_strategy_v3 [-1] 0.7148 None 0.708375 0.70835 0.7084 0.7084 NaN -0.006425 -0.000025 NaN NaN NaN NaN 21685 AUD caleb_strategy_v3 [-1] 0.7148 None 0.70755 0.7075 0.7076 0.7076 0.70895 -0.00725 -0.00005 0.00145 0.00135 NaN 0.0014 21696 DOW caleb_strategy_v3 [1] 47749.0 None 47244.5 47246.0 47243.0 47243.0 47168.0 504.5 -1.5 78.0 75.0 NaN 76.5 21698 DOW caleb_strategy_v3 [1] 47749.0 None 47244.5 47246.0 47243.0 47243.0 47179.0 504.5 -1.5 67.0 64.0 NaN 65.5 21671 DOW caleb_strategy_v3 [1] 47749.0 None 47086.5 47088.0 47085.0 47085.0 47093.0 662.5 -1.5 -5.0 -8.0 NaN -6.5 21678 DOW caleb_strategy_v3 [1] 47749.0 None 23546.5 47093.0 0.0 0.0 NaN 24202.5 -23546.5 NaN NaN NaN NaN 21686 DOW caleb_strategy_v3 [1] 47749.0 None 47143.5 47145.0 47142.0 47142.0 47237.0 605.5 -1.5 -92.0 -95.0 NaN -93.5 21693 DOW caleb_strategy_v3 [1] 47749.0 None 23620.0 47240.0 0.0 0.0 NaN 24129.0 -23620.0 NaN NaN NaN NaN 21672 VIX caleb_strategy_v3 [1] 22.95 None 23.725 23.75 23.7 23.7 23.7 -0.775 -0.025 0.05 0.0 NaN 0.025 21680 VIX caleb_strategy_v3 [1] 22.95 None 11.875 23.75 0.0 0.0 NaN 11.075 -11.875 NaN NaN NaN NaN 21687 VIX caleb_strategy_v3 [1] 22.95 None 23.475 23.5 23.45 23.45 23.45 -0.525 -0.025 0.05 0.0 NaN 0.025 21688 NASDAQ_micro caleb_strategy_v3 [1] 24956.25 None 24670.0 24670.25 24669.75 24669.75 24652.5 286.25 -0.25 17.75 17.25 NaN 17.5 21673 NASDAQ_micro caleb_strategy_v3 [1] 24956.25 None 24589.5 24589.75 24589.25 24589.25 24592.25 366.75 -0.25 -2.5 -3.0 NaN -2.75 21681 NASDAQ_micro caleb_strategy_v3 [1] 24956.25 None 12296.125 24592.25 0.0 0.0 NaN 12660.125 -12296.125 NaN NaN NaN NaN 21697 MXP caleb_strategy_v3 [-1] 0.05609 None 0.055555 0.05555 0.05556 0.05556 0.05561 -0.000535 -0.000005 0.00006 0.00005 NaN 0.000055 21674 MXP caleb_strategy_v3 [-1] 0.05609 None 0.055485 0.05548 0.05549 0.05549 0.0555 -0.000605 -0.000005 0.00002 0.00001 NaN 0.000015 21682 MXP caleb_strategy_v3 [-1] 0.05609 None 0.02774 0.05548 0.0 0.0 NaN -0.02835 0.02774 NaN NaN NaN NaN 21689 MXP caleb_strategy_v3 [-1] 0.05609 None 0.055555 0.05555 0.05556 0.05556 0.05564 -0.000535 -0.000005 0.00009 0.00008 NaN 0.000085 21694 MXP caleb_strategy_v3 [-1] 0.05609 None 0.055555 0.05555 0.05556 0.05556 0.05561 -0.000535 -0.000005 0.00006 0.00005 NaN 0.000055 21690 CORN caleb_strategy_v3 [-1] 489.0 None 245.625 491.25 0.0 0.0 NaN -243.375 245.625 NaN NaN NaN NaN 21683 CORN caleb_strategy_v3 [-1] 489.0 None 491.625 491.5 491.75 491.75 491.25 2.625 -0.125 -0.25 -0.5 NaN -0.375 21695 CORN caleb_strategy_v3 [-1] 489.0 None 490.375 490.25 490.5 490.5 490.5 1.375 -0.125 0.25 -0.0 NaN 0.125 21664 CRUDE_W caleb_strategy_v3 [-1] 72.7 None 73.92 73.91 73.93 73.93 74.05 1.22 -0.01 0.14 0.12 NaN 0.13 21666 CRUDE_W caleb_strategy_v3 [-1] 72.7 None 36.955 73.91 0.0 0.0 NaN -35.745 36.955 NaN NaN NaN NaN 21668 CRUDE_W caleb_strategy_v3 [-1] 72.7 None 74.02 74.01 74.03 74.03 73.95 1.32 -0.01 -0.06 -0.08 NaN -0.07 =================================================================================================================================================================== 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 21656 BOBL caleb_strategy_v3 [-1] 4.005828 -12.481814 -12.481814 74.890881 49.927254 NaN 62.409068 21657 BUXL caleb_strategy_v3 [-1] 10.93113 100.630035 -9.148185 -109.77822 -128.07459 NaN -118.926405 21658 BTP caleb_strategy_v3 [-1] 8.65394 -259.997174 -5.777715 115.5543 103.99887 NaN 109.776585 21659 GASOIL caleb_strategy_v3 [-1] 815.23542 404.791048 -3.066599 27.59939 21.466192 NaN 24.532791 21660 HEATOIL caleb_strategy_v3 [1] 1.518682 -1299.811669 -7.243125 92.843691 78.357441 NaN 85.600566 21661 GASOLINE caleb_strategy_v3 [1] 0.871129 -1218.534121 -4.017776 12.627297 4.591744 NaN 8.60952 21662 GOLD_micro caleb_strategy_v3 [1] 1514.140188 173.695938 -1.320882 27.738515 25.096751 NaN 26.417633 21665 CANOLA caleb_strategy_v3 [-1] 158.156078 -37.937208 -6.322868 101.165888 88.520152 NaN 94.84302 21667 CANOLA caleb_strategy_v3 [-1] 158.156078 -56.905812 -6.322868 183.363172 170.717436 NaN 177.040304 21663 CANOLA caleb_strategy_v3 [-1] 158.156078 -37.937208 -6.322868 75.874416 63.22868 NaN 69.551548 21675 SP500_micro caleb_strategy_v3 [1] 864.587663 952.766313 -1.445776 20.240862 17.349311 NaN 18.795087 21679 REDWHEAT caleb_strategy_v3 [1] 165.489795 -664.693552 -15.106672 -15.106672 -45.320015 NaN -30.213343 21684 CAD caleb_strategy_v3 [-1] 0.038318 -561.097011 -13.048768 182.682748 156.585212 NaN 169.63398 21691 CAD caleb_strategy_v3 [-1] 0.038318 -580.670163 -6.524384 78.292606 65.243838 NaN 71.768222 21676 CAD caleb_strategy_v3 [-1] 0.038318 -96613.076049 96260.759321 NaN NaN NaN NaN 21669 CAD caleb_strategy_v3 [-1] 0.038318 -293.597273 -6.524384 NaN NaN NaN NaN 21653 NIKKEI caleb_strategy_v3 [-1] 16070.091311 -497.8192 -3.11137 -37.33644 -43.55918 NaN -40.44781 21654 NIKKEI caleb_strategy_v3 [-1] 16070.091311 -17249.435279 16708.056899 NaN NaN NaN NaN 21655 NIKKEI caleb_strategy_v3 [-1] 16070.091311 -533.599955 -1.555685 -15.55685 -18.66822 NaN -17.112535 21692 AUD caleb_strategy_v3 [-1] 0.068929 -1109.844667 -7.253887 94.300527 79.792754 NaN 87.046641 21677 AUD caleb_strategy_v3 [-1] 0.068929 -52412.95842 51288.60598 NaN NaN NaN NaN 21670 AUD caleb_strategy_v3 [-1] 0.068929 -932.124442 -3.626943 NaN NaN NaN NaN 21685 AUD caleb_strategy_v3 [-1] 0.068929 -1051.813573 -7.253887 210.362715 195.854941 NaN 203.108828 21696 DOW caleb_strategy_v3 [1] 6465.913655 780.245495 -2.319858 120.632604 115.992888 NaN 118.312746 21698 DOW caleb_strategy_v3 [1] 6465.913655 780.245495 -2.319858 103.620313 98.980598 NaN 101.300456 21671 DOW caleb_strategy_v3 [1] 6465.913655 1024.603846 -2.319858 -7.732859 -12.372575 NaN -10.052717 21678 DOW caleb_strategy_v3 [1] 6465.913655 37430.905036 -36416.353906 NaN NaN NaN NaN 21686 DOW caleb_strategy_v3 [1] 6465.913655 936.449251 -2.319858 -142.28461 -146.924325 NaN -144.604467 21693 DOW caleb_strategy_v3 [1] 6465.913655 37317.232005 -36530.026937 NaN NaN NaN NaN 21672 VIX caleb_strategy_v3 [1] 14.26544 -543.271005 -17.524871 35.049742 0.0 NaN 17.524871 21680 VIX caleb_strategy_v3 [1] 14.26544 7763.517904 -8324.31378 NaN NaN NaN NaN 21687 VIX caleb_strategy_v3 [1] 14.26544 -368.022293 -17.524871 35.049742 0.0 NaN 17.524871 21688 NASDAQ_micro caleb_strategy_v3 [1] 4248.937787 673.697791 -0.588382 41.775147 40.598382 NaN 41.186764 21673 NASDAQ_micro caleb_strategy_v3 [1] 4248.937787 863.156907 -0.588382 -5.883823 -7.060588 NaN -6.472206 21681 NASDAQ_micro caleb_strategy_v3 [1] 4248.937787 29795.976393 -28939.291691 NaN NaN NaN NaN 21697 MXP caleb_strategy_v3 [-1] 0.006364 -840.663936 -7.856672 94.280068 78.566723 NaN 86.423395 21674 MXP caleb_strategy_v3 [-1] 0.006364 -950.657348 -7.856672 31.426689 15.713345 NaN 23.570017 21682 MXP caleb_strategy_v3 [-1] 0.006364 -44547.331927 43588.817906 NaN NaN NaN NaN 21689 MXP caleb_strategy_v3 [-1] 0.006364 -840.663936 -7.856672 141.420101 125.706757 NaN 133.563429 21694 MXP caleb_strategy_v3 [-1] 0.006364 -840.663936 -7.856672 94.280068 78.566723 NaN 86.423395 21690 CORN caleb_strategy_v3 [-1] 56.808423 -42841.357976 43237.426001 NaN NaN NaN NaN 21683 CORN caleb_strategy_v3 [-1] 56.808423 462.079362 -22.003779 -44.007558 -88.015117 NaN -66.011337 21695 CORN caleb_strategy_v3 [-1] 56.808423 242.04157 -22.003779 44.007558 -0.0 NaN 22.003779 21664 CRUDE_W caleb_strategy_v3 [-1] 17.549024 695.195352 -5.698323 79.776516 68.379871 NaN 74.078193 21666 CRUDE_W caleb_strategy_v3 [-1] 17.549024 -20368.653973 21058.151002 NaN NaN NaN NaN 21668 CRUDE_W caleb_strategy_v3 [-1] 17.549024 752.178577 -5.698323 -34.189935 -45.58658 NaN -39.888258 ============================================================================================================================================================================ 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 21656 BOBL caleb_strategy_v3 [-1] 1154.98 -5.7749 -5.7749 34.6494 23.0996 NaN 28.8745 21657 BUXL caleb_strategy_v3 [-1] 1154.98 127.0478 -11.5498 -138.5976 -161.6972 NaN -150.1474 21658 BTP caleb_strategy_v3 [-1] 1154.98 -259.8705 -5.7749 115.498 103.9482 NaN 109.7231 21659 GASOIL caleb_strategy_v3 [-1] 100.0 3300.0 -25.0 225.0 175.0 NaN 200.0 21660 HEATOIL caleb_strategy_v3 [1] 42000.0 -8290.8 -46.2 592.2 499.8 NaN 546.0 21661 GASOLINE caleb_strategy_v3 [1] 42000.0 -4458.3 -14.7 46.2 16.8 NaN 31.5 21662 GOLD_micro caleb_strategy_v3 [1] 10.0 263.0 -2.0 42.0 38.0 NaN 40.0 21665 CANOLA caleb_strategy_v3 [-1] 14.721795 -8.833077 -1.472179 23.554872 20.610513 NaN 22.082692 21667 CANOLA caleb_strategy_v3 [-1] 14.721795 -13.249615 -1.472179 42.693205 39.748846 NaN 41.221026 21663 CANOLA caleb_strategy_v3 [-1] 14.721795 -8.833077 -1.472179 17.666154 14.721795 NaN 16.193974 21675 SP500_micro caleb_strategy_v3 [1] 5.0 411.875 -0.625 8.75 7.5 NaN 8.125 21679 REDWHEAT caleb_strategy_v3 [1] 50.0 -550.0 -12.5 -12.5 -37.5 NaN -25.0 21684 CAD caleb_strategy_v3 [-1] 100000.0 -215.0 -5.0 70.0 60.0 NaN 65.0 21691 CAD caleb_strategy_v3 [-1] 100000.0 -222.5 -2.5 30.0 25.0 NaN 27.5 21676 CAD caleb_strategy_v3 [-1] 100000.0 -37020.0 36885.0 NaN NaN NaN NaN 21669 CAD caleb_strategy_v3 [-1] 100000.0 -112.5 -2.5 NaN NaN NaN NaN 21653 NIKKEI caleb_strategy_v3 [-1] 0.629174 -503.339342 -3.145871 -37.750451 -44.042192 NaN -40.896322 21654 NIKKEI caleb_strategy_v3 [-1] 0.629174 -17440.708198 16893.326664 NaN NaN NaN NaN 21655 NIKKEI caleb_strategy_v3 [-1] 0.629174 -539.516857 -1.572935 -15.729354 -18.875225 NaN -17.30229 21692 AUD caleb_strategy_v3 [-1] 100000.0 -765.0 -5.0 65.0 55.0 NaN 60.0 21677 AUD caleb_strategy_v3 [-1] 100000.0 -36127.5 35352.5 NaN NaN NaN NaN 21670 AUD caleb_strategy_v3 [-1] 100000.0 -642.5 -2.5 NaN NaN NaN NaN 21685 AUD caleb_strategy_v3 [-1] 100000.0 -725.0 -5.0 145.0 135.0 NaN 140.0 21696 DOW caleb_strategy_v3 [1] 0.5 252.25 -0.75 39.0 37.5 NaN 38.25 21698 DOW caleb_strategy_v3 [1] 0.5 252.25 -0.75 33.5 32.0 NaN 32.75 21671 DOW caleb_strategy_v3 [1] 0.5 331.25 -0.75 -2.5 -4.0 NaN -3.25 21678 DOW caleb_strategy_v3 [1] 0.5 12101.25 -11773.25 NaN NaN NaN NaN 21686 DOW caleb_strategy_v3 [1] 0.5 302.75 -0.75 -46.0 -47.5 NaN -46.75 21693 DOW caleb_strategy_v3 [1] 0.5 12064.5 -11810.0 NaN NaN NaN NaN 21672 VIX caleb_strategy_v3 [1] 1000.0 -775.0 -25.0 50.0 0.0 NaN 25.0 21680 VIX caleb_strategy_v3 [1] 1000.0 11075.0 -11875.0 NaN NaN NaN NaN 21687 VIX caleb_strategy_v3 [1] 1000.0 -525.0 -25.0 50.0 0.0 NaN 25.0 21688 NASDAQ_micro caleb_strategy_v3 [1] 2.0 572.5 -0.5 35.5 34.5 NaN 35.0 21673 NASDAQ_micro caleb_strategy_v3 [1] 2.0 733.5 -0.5 -5.0 -6.0 NaN -5.5 21681 NASDAQ_micro caleb_strategy_v3 [1] 2.0 25320.25 -24592.25 NaN NaN NaN NaN 21697 MXP caleb_strategy_v3 [-1] 500000.0 -267.5 -2.5 30.0 25.0 NaN 27.5 21674 MXP caleb_strategy_v3 [-1] 500000.0 -302.5 -2.5 10.0 5.0 NaN 7.5 21682 MXP caleb_strategy_v3 [-1] 500000.0 -14175.0 13870.0 NaN NaN NaN NaN 21689 MXP caleb_strategy_v3 [-1] 500000.0 -267.5 -2.5 45.0 40.0 NaN 42.5 21694 MXP caleb_strategy_v3 [-1] 500000.0 -267.5 -2.5 30.0 25.0 NaN 27.5 21690 CORN caleb_strategy_v3 [-1] 50.0 -12168.75 12281.25 NaN NaN NaN NaN 21683 CORN caleb_strategy_v3 [-1] 50.0 131.25 -6.25 -12.5 -25.0 NaN -18.75 21695 CORN caleb_strategy_v3 [-1] 50.0 68.75 -6.25 12.5 -0.0 NaN 6.25 21664 CRUDE_W caleb_strategy_v3 [-1] 1000.0 1220.0 -10.0 140.0 120.0 NaN 130.0 21666 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -35745.0 36955.0 NaN NaN NaN NaN 21668 CRUDE_W caleb_strategy_v3 [-1] 1000.0 1320.0 -10.0 -60.0 -80.0 NaN -70.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -38260.0 BOBL -5.7749 BTP -259.8705 BUXL 127.0478 CAD -37570.0 CANOLA -30.915769 CORN -11968.75 CRUDE_W -33205.0 DOW 25304.25 GASOIL 3300.0 GASOLINE -4458.3 GOLD_micro 263.0 HEATOIL -8290.8 MXP -15280.0 NASDAQ_micro 26626.25 NIKKEI -18483.564398 REDWHEAT -550.0 SP500_micro 411.875 VIX 9775.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -102555.552767 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD 35340.0 BOBL -5.7749 BTP -5.7749 BUXL -11.5498 CAD 36875.0 CANOLA -4.416538 CORN 12268.75 CRUDE_W 36935.0 DOW -23586.25 GASOIL -25.0 GASOLINE -14.7 GOLD_micro -2.0 HEATOIL -46.2 MXP 13860.0 NASDAQ_micro -24593.25 NIKKEI 16888.607858 REDWHEAT -12.5 SP500_micro -0.625 VIX -11925.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 91934.316719 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 210.0 BOBL 34.6494 BTP 115.498 BUXL -138.5976 CAD 100.0 CANOLA 83.914231 CORN 0.0 CRUDE_W 80.0 DOW 24.0 GASOIL 225.0 GASOLINE 46.2 GOLD_micro 42.0 HEATOIL 592.2 MXP 115.0 NASDAQ_micro 30.5 NIKKEI -53.479805 REDWHEAT -12.5 SP500_micro 8.75 VIX 100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1603.134226 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 190.0 BOBL 23.0996 BTP 103.9482 BUXL -161.6972 CAD 85.0 CANOLA 75.081154 CORN -25.0 CRUDE_W 40.0 DOW 18.0 GASOIL 175.0 GASOLINE 16.8 GOLD_micro 38.0 HEATOIL 499.8 MXP 95.0 NASDAQ_micro 28.5 NIKKEI -62.917418 REDWHEAT -37.5 SP500_micro 7.5 VIX 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 1108.614336 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BOBL 0 BTP 0 BUXL 0 CAD 0 CANOLA 0 CORN 0 CRUDE_W 0 DOW 0 GASOIL 0 GASOLINE 0 GOLD_micro 0 HEATOIL 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 REDWHEAT 0 SP500_micro 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 200.0 BOBL 28.8745 BTP 109.7231 BUXL -150.1474 CAD 92.5 CANOLA 79.497692 CORN -12.5 CRUDE_W 60.0 DOW 21.0 GASOIL 200.0 GASOLINE 31.5 GOLD_micro 40.0 HEATOIL 546.0 MXP 105.0 NASDAQ_micro 29.5 NIKKEI -58.198611 REDWHEAT -25.0 SP500_micro 8.125 VIX 50.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 1355.874281 ******************************************************************************** END OF REPORT ********************************************************************************