********************************************************************************
Trades report produced on 23/03/2026 21:36 from 22/03/2026 21:36 to 23/03/2026 21:36
********************************************************************************
==================================================================================================
Broker orders
==================================================================================================
instrument_code strategy_name contract_date fill_datetime fill filled_price
21826 CHF caleb_strategy_v3 [20260600] 2026-03-23 15:00:39.000 [-1] 1.285350
21823 CRUDE_W caleb_strategy_v3 [20261200] 2026-03-23 14:00:47.000 [-1] 74.080000
21831 DOW caleb_strategy_v3 [20260600] 2026-03-23 19:45:00.210 [0] NaN
21843 DOW caleb_strategy_v3 [20260600] 2026-03-23 15:48:54.000 [1] 46766.000000
21827 GBP caleb_strategy_v3 [20260600] 2026-03-23 15:01:14.000 [-1] 1.344200
21841 GBP caleb_strategy_v3 [20260600] 2026-03-23 15:31:44.000 [-1] 1.342600
21825 JPY caleb_strategy_v3 [20260600] 2026-03-23 15:00:05.000 [1] 0.006358
21834 JPY caleb_strategy_v3 [20260600] 2026-03-23 15:16:52.000 [1] 0.006361
21830 MXP caleb_strategy_v3 [20260600] 2026-03-23 15:01:17.000 [-1] 0.055960
21829 NASDAQ_micro caleb_strategy_v3 [20260600] 2026-03-23 15:01:16.000 [-1] 24626.000000
21836 NASDAQ_micro caleb_strategy_v3 [20260600] 2026-03-23 15:16:53.000 [-1] 24651.500000
21820 NIKKEI caleb_strategy_v3 [20260600] 2026-03-23 03:01:21.000 [-1] 51200.000000
21821 OAT caleb_strategy_v3 [20260600] 2026-03-23 08:02:14.000 [-1] 117.950000
21842 REDWHEAT caleb_strategy_v3 [20260700] 2026-03-23 15:31:49.000 [-1] 611.750000
21822 ROBUSTA caleb_strategy_v3 [20260700] 2026-03-23 10:00:53.000 [1] 3541.000000
21832 RUSSELL caleb_strategy_v3 [20260600] 2026-03-23 15:16:04.000 [1] 2545.000000
21837 RUSSELL caleb_strategy_v3 [20260600] 2026-03-23 15:22:54.000 [1] 2543.100000
21838 RUSSELL caleb_strategy_v3 [20260600] 2026-03-23 15:23:54.000 [1] 2545.700000
21839 RUSSELL caleb_strategy_v3 [20260600] 2026-03-23 15:24:54.000 [1] 2544.600000
21840 RUSSELL caleb_strategy_v3 [20260600] 2026-03-23 15:25:54.000 [1] 2544.700000
21833 SP400 caleb_strategy_v3 [20260600] 2026-03-23 15:16:32.000 [-1] 3431.200000
21824 SUGAR11 caleb_strategy_v3 [20260700] 2026-03-23 14:07:46.000 [1] 15.810000
21835 US5 caleb_strategy_v3 [20260600] 2026-03-23 15:16:53.000 [-1] 108.132813
21828 US5 caleb_strategy_v3 [20260600] 2026-03-23 15:01:15.000 [-1] 108.070313
=====================================================================================================================================================================
Delays
=====================================================================================================================================================================
instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
21820 NIKKEI caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 03:01:20.913000 2026-03-23 03:01:21 270080.913 0.087
21821 OAT caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 08:00:34.925000 2026-03-23 08:02:14 288034.925 99.075
21822 ROBUSTA caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 10:00:34.361000 2026-03-23 10:00:53 295234.361 18.639
21823 CRUDE_W caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 14:00:47.261000 2026-03-23 14:00:47 309647.261 NaN
21824 SUGAR11 caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 14:00:47.994000 2026-03-23 14:07:46 309647.994 418.006
21826 CHF caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:00:06.018000 2026-03-23 15:00:39 313206.018 32.982
21830 MXP caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:01:17.300000 2026-03-23 15:01:17 313277.3 NaN
21833 SP400 caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:16:05.108000 2026-03-23 15:16:32 314165.108 26.892
21825 JPY caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:00:05.029000 2026-03-23 15:00:05 313205.029 NaN
21834 JPY caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:16:52.085000 2026-03-23 15:16:52 314212.085 NaN
21835 US5 caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:16:52.942000 2026-03-23 15:16:53 314212.942 0.058
21828 US5 caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:01:15.125000 2026-03-23 15:01:15 313275.125 NaN
21836 NASDAQ_micro caleb_strategy_v3 2026-03-19 00:00:00 2026-03-23 15:16:53.541000 2026-03-23 15:16:53 400613.541 NaN
21829 NASDAQ_micro caleb_strategy_v3 2026-03-19 00:00:00 2026-03-23 15:01:16.209000 2026-03-23 15:01:16 399676.209 NaN
21832 RUSSELL caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:11:19.401000 2026-03-23 15:16:04 313879.401 284.599
21837 RUSSELL caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:22:54.163000 2026-03-23 15:22:54 314574.163 NaN
21838 RUSSELL caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:23:54.441000 2026-03-23 15:23:54 314634.441 NaN
21839 RUSSELL caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:24:54.453000 2026-03-23 15:24:54 314694.453 NaN
21840 RUSSELL caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:25:54.870000 2026-03-23 15:25:54 314754.87 NaN
21841 GBP caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:29:55.296000 2026-03-23 15:31:44 314995.296 108.704
21827 GBP caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:00:40.125000 2026-03-23 15:01:14 313240.125 33.875
21842 REDWHEAT caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:31:49.150000 2026-03-23 15:31:49 315109.15 NaN
21843 DOW caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:48:53.917000 2026-03-23 15:48:54 316133.917 0.083
21831 DOW caleb_strategy_v3 2026-03-20 00:00:00 2026-03-23 15:01:18.400000 2026-03-23 19:45:00.210000 313278.4 17021.81
===================================================================================================================================================================================================================================
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
21820 NIKKEI caleb_strategy_v3 [-1] 51145.0 None 51142.5 51140.0 51145.0 51145.0 51200.0 -2.5 -2.5 60.0 55.0 NaN 57.5
21821 OAT caleb_strategy_v3 [-1] 118.18 None 117.975 117.97 117.98 117.98 117.95 -0.205 -0.005 -0.02 -0.03 NaN -0.025
21822 ROBUSTA caleb_strategy_v3 [1] 3562.0 None 3541.0 3543.0 3539.0 3539.0 3541.0 21.0 -2.0 2.0 -2.0 NaN 0.0
21823 CRUDE_W caleb_strategy_v3 [-1] 77.94 None 73.69 73.67 73.71 73.71 74.08 -4.25 -0.02 0.41 0.37 NaN 0.39
21824 SUGAR11 caleb_strategy_v3 [1] 15.77 None 15.755 15.76 15.75 15.75 15.81 0.015 -0.005 -0.05 -0.06 NaN -0.055
21826 CHF caleb_strategy_v3 [-1] 1.2811 None 1.2861 1.28605 1.28615 1.28615 1.28535 0.005 -0.00005 -0.0007 -0.0008 NaN -0.00075
21830 MXP caleb_strategy_v3 [-1] 0.05523 None 0.055945 0.05594 0.05595 0.05595 0.05596 0.000715 -0.000005 0.00002 0.00001 NaN 0.000015
21833 SP400 caleb_strategy_v3 [-1] 3317.8 None 3432.55 3432.3 3432.8 3432.8 3431.2 114.75 -0.25 -1.1 -1.6 NaN -1.35
21825 JPY caleb_strategy_v3 [1] 0.006324 None 0.006359 0.006359 0.006358 0.006358 0.006358 -0.000035 -0.0 0.000001 0.0 NaN 0.000001
21834 JPY caleb_strategy_v3 [1] 0.006324 None 0.006359 0.006359 0.006358 0.006358 0.006361 -0.000035 -0.0 -0.000002 -0.000003 NaN -0.000002
21835 US5 caleb_strategy_v3 [-1] 107.851562 None 108.003906 108.0 108.007812 108.007812 108.132813 0.152344 -0.003906 0.132813 0.125 NaN 0.128907
21828 US5 caleb_strategy_v3 [-1] 107.851562 None 108.003906 108.0 108.007812 108.007812 108.070313 0.152344 -0.003906 0.070313 0.0625 NaN 0.066407
21836 NASDAQ_micro caleb_strategy_v3 [-1] 24580.0 None 24594.25 24594.0 24594.5 24594.5 24651.5 14.25 -0.25 57.5 57.0 NaN 57.25
21829 NASDAQ_micro caleb_strategy_v3 [-1] 24580.0 None 24594.25 24594.0 24594.5 24594.5 24626.0 14.25 -0.25 32.0 31.5 NaN 31.75
21832 RUSSELL caleb_strategy_v3 [1] 2451.7 None 2539.8 2539.9 2539.7 2539.7 2545.0 -88.1 -0.1 -5.1 -5.3 NaN -5.2
21837 RUSSELL caleb_strategy_v3 [1] 2451.7 None 2547.55 2547.6 2547.5 2547.5 2543.1 -95.85 -0.05 4.5 4.4 NaN 4.45
21838 RUSSELL caleb_strategy_v3 [1] 2451.7 None 2548.0 2548.1 2547.9 2547.9 2545.7 -96.3 -0.1 2.4 2.2 NaN 2.3
21839 RUSSELL caleb_strategy_v3 [1] 2451.7 None 2547.9 2548.0 2547.8 2547.8 2544.6 -96.2 -0.1 3.4 3.2 NaN 3.3
21840 RUSSELL caleb_strategy_v3 [1] 2451.7 None 2547.9 2548.0 2547.8 2547.8 2544.7 -96.2 -0.1 3.3 3.1 NaN 3.2
21841 GBP caleb_strategy_v3 [-1] 1.3332 None 1.3434 1.3433 1.3435 1.3435 1.3426 0.0102 -0.0001 -0.0007 -0.0009 NaN -0.0008
21827 GBP caleb_strategy_v3 [-1] 1.3332 None 1.34445 1.3444 1.3445 1.3445 1.3442 0.01125 -0.00005 -0.0002 -0.0003 NaN -0.00025
21842 REDWHEAT caleb_strategy_v3 [-1] 618.75 None 610.0 609.75 610.25 610.25 611.75 -8.75 -0.25 2.0 1.5 NaN 1.75
21843 DOW caleb_strategy_v3 [1] 45920.0 None 46830.0 46831.0 46829.0 46829.0 46766.0 -910.0 -1.0 65.0 63.0 NaN 64.0
21831 DOW caleb_strategy_v3 [1] 45920.0 None 46857.0 46858.0 46856.0 46856.0 NaN -937.0 -1.0 NaN NaN NaN NaN
================================================================================================================================================================
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
21820 NIKKEI caleb_strategy_v3 [-1] 16628.497903 -1.503443 -1.503443 36.082634 33.075748 NaN 34.579191
21821 OAT caleb_strategy_v3 [-1] 7.737633 -264.938895 -6.461924 -25.847697 -38.771546 NaN -32.309621
21822 ROBUSTA caleb_strategy_v3 [1] 1414.967975 148.413253 -14.134596 14.134596 -14.134596 NaN 0.0
21823 CRUDE_W caleb_strategy_v3 [-1] 22.236632 -1911.260703 -8.994168 184.380444 166.392108 NaN 175.386276
21824 SUGAR11 caleb_strategy_v3 [1] 3.833929 39.124357 -13.041452 -130.414522 -156.497426 NaN -143.455974
21826 CHF caleb_strategy_v3 [-1] 0.111697 447.640468 -4.476405 -62.669665 -71.622475 NaN -67.14607
21830 MXP caleb_strategy_v3 [-1] 0.006832 1046.529791 -7.31839 29.273561 14.63678 NaN 21.95517
21833 SP400 caleb_strategy_v3 [-1] 633.69553 1810.806525 -3.945112 -17.358494 -25.248718 NaN -21.303606
21825 JPY caleb_strategy_v3 [1] 0.000639 -551.466817 -3.911112 15.644449 7.822224 NaN 11.733337
21834 JPY caleb_strategy_v3 [1] 0.000639 -551.466817 -3.911112 -31.288897 -39.111122 NaN -35.20001
21835 US5 caleb_strategy_v3 [-1] 3.809313 399.924495 -10.254474 348.653437 328.144488 NaN 338.398963
21828 US5 caleb_strategy_v3 [-1] 3.809313 399.924495 -10.254474 184.581849 164.0729 NaN 174.327375
21836 NASDAQ_micro caleb_strategy_v3 [-1] 4355.141636 32.719946 -0.574034 132.027853 130.879785 NaN 131.453819
21829 NASDAQ_micro caleb_strategy_v3 [-1] 4355.141636 32.719946 -0.574034 73.47637 72.328302 NaN 72.902336
21832 RUSSELL caleb_strategy_v3 [1] 548.139693 -1607.254521 -1.824352 -93.041976 -96.690681 NaN -94.866328
21837 RUSSELL caleb_strategy_v3 [1] 548.139693 -1748.641837 -0.912176 82.095861 80.271508 NaN 81.183685
21838 RUSSELL caleb_strategy_v3 [1] 548.139693 -1756.851423 -1.824352 43.784459 40.135754 NaN 41.960107
21839 RUSSELL caleb_strategy_v3 [1] 548.139693 -1755.027071 -1.824352 62.027984 58.379279 NaN 60.203631
21840 RUSSELL caleb_strategy_v3 [1] 548.139693 -1755.027071 -1.824352 60.203631 56.554926 NaN 58.379279
21841 GBP caleb_strategy_v3 [-1] 0.114106 893.902954 -8.763754 -61.346281 -78.87379 NaN -70.110036
21827 GBP caleb_strategy_v3 [-1] 0.114106 985.922376 -4.381877 -17.527509 -26.291263 NaN -21.909386
21842 REDWHEAT caleb_strategy_v3 [-1] 180.022147 -486.051308 -13.88718 111.097442 83.323081 NaN 97.210262
21843 DOW caleb_strategy_v3 [1] 6622.616459 -1374.079272 -1.509977 98.148519 95.128565 NaN 96.638542
21831 DOW caleb_strategy_v3 [1] 6622.616459 -1414.848656 -1.509977 NaN NaN NaN NaN
=========================================================================================================================================================================
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
21820 NIKKEI caleb_strategy_v3 [-1] 0.627205 -1.568013 -1.568013 37.632301 34.496276 NaN 36.064289
21821 OAT caleb_strategy_v3 [-1] 1153.355 -236.437775 -5.766775 -23.0671 -34.60065 NaN -28.833875
21822 ROBUSTA caleb_strategy_v3 [1] 10.0 210.0 -20.0 20.0 -20.0 NaN 0.0
21823 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -4250.0 -20.0 410.0 370.0 NaN 390.0
21824 SUGAR11 caleb_strategy_v3 [1] 1120.0 16.8 -5.6 -56.0 -67.2 NaN -61.6
21826 CHF caleb_strategy_v3 [-1] 125000.0 625.0 -6.25 -87.5 -100.0 NaN -93.75
21830 MXP caleb_strategy_v3 [-1] 500000.0 357.5 -2.5 10.0 5.0 NaN 7.5
21833 SP400 caleb_strategy_v3 [-1] 100.0 11475.0 -25.0 -110.0 -160.0 NaN -135.0
21825 JPY caleb_strategy_v3 [1] 12500000.0 -440.625 -3.125 12.5 6.25 NaN 9.375
21834 JPY caleb_strategy_v3 [1] 12500000.0 -440.625 -3.125 -25.0 -31.25 NaN -28.125
21835 US5 caleb_strategy_v3 [-1] 1000.0 152.34375 -3.90625 132.813 125.0005 NaN 128.90675
21828 US5 caleb_strategy_v3 [-1] 1000.0 152.34375 -3.90625 70.313 62.5005 NaN 66.40675
21836 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 28.5 -0.5 115.0 114.0 NaN 114.5
21829 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 28.5 -0.5 64.0 63.0 NaN 63.5
21832 RUSSELL caleb_strategy_v3 [1] 5.0 -440.5 -0.5 -25.5 -26.5 NaN -26.0
21837 RUSSELL caleb_strategy_v3 [1] 5.0 -479.25 -0.25 22.5 22.0 NaN 22.25
21838 RUSSELL caleb_strategy_v3 [1] 5.0 -481.5 -0.5 12.0 11.0 NaN 11.5
21839 RUSSELL caleb_strategy_v3 [1] 5.0 -481.0 -0.5 17.0 16.0 NaN 16.5
21840 RUSSELL caleb_strategy_v3 [1] 5.0 -481.0 -0.5 16.5 15.5 NaN 16.0
21841 GBP caleb_strategy_v3 [-1] 62500.0 637.5 -6.25 -43.75 -56.25 NaN -50.0
21827 GBP caleb_strategy_v3 [-1] 62500.0 703.125 -3.125 -12.5 -18.75 NaN -15.625
21842 REDWHEAT caleb_strategy_v3 [-1] 50.0 -437.5 -12.5 100.0 75.0 NaN 87.5
21843 DOW caleb_strategy_v3 [1] 0.5 -455.0 -0.5 32.5 31.5 NaN 32.0
21831 DOW caleb_strategy_v3 [1] 0.5 -468.5 -0.5 NaN NaN NaN NaN
delay_cash Sum
delay_cash
strategy_name instrument_code
caleb_strategy_v3 CHF 625.0
CRUDE_W -4250.0
DOW -923.5
GBP 1340.625
JPY -881.25
MXP 357.5
NASDAQ_micro 57.0
NIKKEI -1.568013
OAT -236.437775
REDWHEAT -437.5
ROBUSTA 210.0
RUSSELL -2363.25
SP400 11475.0
SUGAR11 16.8
US5 304.6875
delay_cash Total Sum
delay_cash
strategy_name
caleb_strategy_v3 5293.106712
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
caleb_strategy_v3 CHF -6.25
CRUDE_W -20.0
DOW -1.0
GBP -9.375
JPY -6.25
MXP -2.5
NASDAQ_micro -1.0
NIKKEI -1.568013
OAT -5.766775
REDWHEAT -12.5
ROBUSTA -20.0
RUSSELL -2.25
SP400 -25.0
SUGAR11 -5.6
US5 -7.8125
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
caleb_strategy_v3 -126.872288
execution_cash Sum
execution_cash
strategy_name instrument_code
caleb_strategy_v3 CHF -87.5
CRUDE_W 410.0
DOW 32.5
GBP -56.25
JPY -12.5
MXP 10.0
NASDAQ_micro 179.0
NIKKEI 37.632301
OAT -23.0671
REDWHEAT 100.0
ROBUSTA 20.0
RUSSELL 42.5
SP400 -110.0
SUGAR11 -56.0
US5 203.126
execution_cash Total Sum
execution_cash
strategy_name
caleb_strategy_v3 689.441201
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
caleb_strategy_v3 CHF -100.0
CRUDE_W 370.0
DOW 31.5
GBP -75.0
JPY -25.0
MXP 5.0
NASDAQ_micro 177.0
NIKKEI 34.496276
OAT -34.60065
REDWHEAT 75.0
ROBUSTA -20.0
RUSSELL 38.0
SP400 -160.0
SUGAR11 -67.2
US5 187.501
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
caleb_strategy_v3 436.696626
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
caleb_strategy_v3 CHF 0
CRUDE_W 0
DOW 0
GBP 0
JPY 0
MXP 0
NASDAQ_micro 0
NIKKEI 0
OAT 0
REDWHEAT 0
ROBUSTA 0
RUSSELL 0
SP400 0
SUGAR11 0
US5 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 CHF -93.75
CRUDE_W 390.0
DOW 32.0
GBP -65.625
JPY -18.75
MXP 7.5
NASDAQ_micro 178.0
NIKKEI 36.064289
OAT -28.833875
REDWHEAT 87.5
ROBUSTA 0.0
RUSSELL 40.25
SP400 -135.0
SUGAR11 -61.6
US5 195.3135
total_trading_cash Total Sum
total_trading_cash
strategy_name
caleb_strategy_v3 563.068914
********************************************************************************
END OF REPORT
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