********************************************************************************
Trades report produced on 21/05/2026 21:36 from 20/05/2026 21:36 to 21/05/2026 21:36
********************************************************************************
==================================================================================================
Broker orders
==================================================================================================
instrument_code strategy_name contract_date fill_datetime fill filled_price
22503 BTP caleb_strategy_v3 [20260600] 2026-05-21 07:01:00.000 [-1] 117.15000
22517 CAD caleb_strategy_v3 [20260600] 2026-05-21 14:21:05.000 [-1] 0.72570
22509 COCOA caleb_strategy_v3 [20260900] 2026-05-21 13:06:49.000 [-1] 3940.00000
22510 CRUDE_W caleb_strategy_v3 [20261200] 2026-05-21 13:06:49.000 [-1] 83.82000
22507 DAX caleb_strategy_v3 [20260600] 2026-05-21 07:18:17.000 [1] 24695.00000
22504 DAX caleb_strategy_v3 [20260600] 2026-05-21 19:45:29.208 [0] NaN
22506 DAX caleb_strategy_v3 [20260600] 2026-05-21 07:17:17.000 [1] 24691.00000
22519 DOW caleb_strategy_v3 [20260600] 2026-05-21 14:36:44.000 [1] 50069.00000
22516 DOW caleb_strategy_v3 [20260600] 2026-05-21 14:12:29.000 [1] 50105.00000
22523 DOW caleb_strategy_v3 [20260600] 2026-05-21 15:09:17.000 [1] 49946.00000
22505 EUROSTX caleb_strategy_v3 [20260600] 2026-05-21 07:15:12.000 [1] 5963.00000
22508 GOLD_micro caleb_strategy_v3 [20260800] 2026-05-21 13:02:16.000 [-1] 4543.50000
22521 LIVECOW caleb_strategy_v3 [20260800] 2026-05-21 14:39:26.000 [-1] 243.45000
22522 NASDAQ_micro caleb_strategy_v3 [20260600] 2026-05-21 14:52:13.000 [1] 29200.25000
22512 NASDAQ_micro caleb_strategy_v3 [20260600] 2026-05-21 14:05:10.000 [1] 29309.25000
22502 NIKKEI caleb_strategy_v3 [20260600] 2026-05-21 02:01:16.000 [-1] 61915.00000
22520 SOYBEAN caleb_strategy_v3 [20261100] 2026-05-21 14:39:05.000 [1] 1191.25000
22511 SP400 caleb_strategy_v3 [20260600] 2026-05-21 14:00:08.000 [-1] 3632.60000
22518 SP500_micro caleb_strategy_v3 [20260600] 2026-05-21 14:29:44.000 [-1] 7423.00000
22514 SP500_micro caleb_strategy_v3 [20260600] 2026-05-21 14:05:12.000 [-1] 7438.00000
22515 US5 caleb_strategy_v3 [20260600] 2026-05-21 14:05:13.000 [1] 106.71875
22513 VIX caleb_strategy_v3 [20260800] 2026-05-21 14:05:11.000 [-1] 22.00000
=====================================================================================================================================================================
Delays
=====================================================================================================================================================================
instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
22502 NIKKEI caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 03:01:15.958000 2026-05-21 02:01:16 97275.958 NaN
22503 BTP caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 08:00:29.010000 2026-05-21 07:01:00 115229.01 NaN
22505 EUROSTX caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 08:11:01.778000 2026-05-21 07:15:12 115861.778 NaN
22508 GOLD_micro caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 14:00:45.785000 2026-05-21 13:02:16 136845.785 NaN
22509 COCOA caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 14:02:17.222000 2026-05-21 13:06:49 136937.222 NaN
22510 CRUDE_W caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 14:06:49.742000 2026-05-21 13:06:49 137209.742 NaN
22511 SP400 caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:00:08.688000 2026-05-21 14:00:08 140408.688 NaN
22513 VIX caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:05:11.390000 2026-05-21 14:05:11 140711.39 NaN
22515 US5 caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:05:13.521000 2026-05-21 14:05:13 140713.521 NaN
22517 CAD caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:12:30.186000 2026-05-21 14:21:05 141150.186 NaN
22514 SP500_micro caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:05:12.482000 2026-05-21 14:05:12 140712.482 NaN
22518 SP500_micro caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:21:25.637000 2026-05-21 14:29:44 141685.637 NaN
22520 SOYBEAN caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:36:45.789000 2026-05-21 14:39:05 142605.789 NaN
22521 LIVECOW caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:39:10.318000 2026-05-21 14:39:26 142750.318 NaN
22512 NASDAQ_micro caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:00:09.786000 2026-05-21 14:05:10 140409.786 NaN
22522 NASDAQ_micro caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:52:13.480000 2026-05-21 14:52:13 143533.48 NaN
22523 DOW caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 16:09:16.952000 2026-05-21 15:09:17 144556.952 NaN
22516 DOW caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:05:14.617000 2026-05-21 14:12:29 140714.617 NaN
22519 DOW caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 15:29:48.893000 2026-05-21 14:36:44 142188.893 NaN
22504 DAX caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 08:01:01.038000 2026-05-21 19:45:29.208000 115261.038 42268.17
22506 DAX caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 08:17:16.943000 2026-05-21 07:17:17 116236.943 NaN
22507 DAX caleb_strategy_v3 2026-05-20 00:00:00 2026-05-21 08:18:17.007000 2026-05-21 07:18:17 116297.007 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
22502 NIKKEI caleb_strategy_v3 [-1] 61415.0 None 61897.5 61895.0 61900.0 61900.0 61915.0 482.5 -2.5 20.0 15.0 NaN 17.5
22503 BTP caleb_strategy_v3 [-1] 117.38 None 117.145 117.14 117.15 117.15 117.15 -0.235 -0.005 0.01 -0.0 NaN 0.005
22505 EUROSTX caleb_strategy_v3 [1] 5982.0 None 5960.5 5961.0 5960.0 5960.0 5963.0 21.5 -0.5 -2.0 -3.0 NaN -2.5
22508 GOLD_micro caleb_strategy_v3 [-1] 4580.9 None 4544.8 4544.6 4545.0 4545.0 4543.5 -36.1 -0.2 -1.1 -1.5 NaN -1.3
22509 COCOA caleb_strategy_v3 [-1] 3921.0 None 3968.0 3967.0 3969.0 3969.0 3940.0 47.0 -1.0 -27.0 -29.0 NaN -28.0
22510 CRUDE_W caleb_strategy_v3 [-1] 81.45 None 83.51 83.5 83.52 83.52 83.82 2.06 -0.01 0.32 0.3 NaN 0.31
22511 SP400 caleb_strategy_v3 [-1] 3640.3 None 3612.05 3611.8 3612.3 3612.3 3632.6 -28.25 -0.25 20.8 20.3 NaN 20.55
22513 VIX caleb_strategy_v3 [-1] 21.95 None 21.925 21.9 21.95 21.95 22.0 -0.025 -0.025 0.1 0.05 NaN 0.075
22515 US5 caleb_strategy_v3 [1] 106.992188 None 106.769531 106.773438 106.765625 106.765625 106.71875 0.222656 -0.003906 0.054688 0.046875 NaN 0.050781
22517 CAD caleb_strategy_v3 [-1] 0.72825 None 0.726025 0.726 0.72605 0.72605 0.7257 -0.002225 -0.000025 -0.0003 -0.00035 NaN -0.000325
22514 SP500_micro caleb_strategy_v3 [-1] 7444.75 None 7437.125 7437.0 7437.25 7437.25 7438.0 -7.625 -0.125 1.0 0.75 NaN 0.875
22518 SP500_micro caleb_strategy_v3 [-1] 7444.75 None 7437.125 7437.0 7437.25 7437.25 7423.0 -7.625 -0.125 -14.0 -14.25 NaN -14.125
22520 SOYBEAN caleb_strategy_v3 [1] 1193.0 None 1190.125 1190.25 1190.0 1190.0 1191.25 2.875 -0.125 -1.0 -1.25 NaN -1.125
22521 LIVECOW caleb_strategy_v3 [-1] 245.175 None 243.4125 243.375 243.45 243.45 243.45 -1.7625 -0.0375 0.075 -0.0 NaN 0.0375
22512 NASDAQ_micro caleb_strategy_v3 [1] 29303.25 None 29214.5 29214.75 29214.25 29214.25 29309.25 88.75 -0.25 -94.5 -95.0 NaN -94.75
22522 NASDAQ_micro caleb_strategy_v3 [1] 29303.25 None 29210.0 29210.25 29209.75 29209.75 29200.25 93.25 -0.25 10.0 9.5 NaN 9.75
22523 DOW caleb_strategy_v3 [1] 50071.0 None 50032.0 50033.0 50031.0 50031.0 49946.0 39.0 -1.0 87.0 85.0 NaN 86.0
22516 DOW caleb_strategy_v3 [1] 50071.0 None 50069.0 50070.0 50068.0 50068.0 50105.0 2.0 -1.0 -35.0 -37.0 NaN -36.0
22519 DOW caleb_strategy_v3 [1] 50071.0 None 50077.5 50078.0 50077.0 50077.0 50069.0 -6.5 -0.5 9.0 8.0 NaN 8.5
22504 DAX caleb_strategy_v3 [1] 24800.0 None 24714.5 24716.0 24713.0 24713.0 NaN 85.5 -1.5 NaN NaN NaN NaN
22506 DAX caleb_strategy_v3 [1] 24800.0 None 24746.0 24747.0 24745.0 24745.0 24691.0 54.0 -1.0 56.0 54.0 NaN 55.0
22507 DAX caleb_strategy_v3 [1] 24800.0 None 24746.0 24747.0 24745.0 24745.0 24695.0 54.0 -1.0 52.0 50.0 NaN 51.0
===============================================================================================================================================================
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
22502 NIKKEI caleb_strategy_v3 [-1] 16420.116663 293.846877 -1.522523 12.180181 9.135136 NaN 10.657659
22503 BTP caleb_strategy_v3 [-1] 9.315834 -252.258693 -5.367206 10.734412 -0.0 NaN 5.367206
22505 EUROSTX caleb_strategy_v3 [1] 1139.094305 188.746444 -4.389452 -17.557809 -26.336713 NaN -21.947261
22508 GOLD_micro caleb_strategy_v3 [-1] 1022.16443 -353.172141 -1.956632 -10.761478 -14.674743 NaN -12.71811
22509 COCOA caleb_strategy_v3 [-1] 3268.557536 143.794317 -3.059454 -82.605246 -88.724153 NaN -85.6647
22510 CRUDE_W caleb_strategy_v3 [-1] 25.060975 821.99516 -3.990268 127.688569 119.708033 NaN 123.698301
22511 SP400 caleb_strategy_v3 [-1] 620.139568 -455.542614 -4.031351 335.408367 327.345666 NaN 331.377017
22513 VIX caleb_strategy_v3 [-1] 7.588874 -32.942964 -32.942964 131.771858 65.885929 NaN 98.828893
22515 US5 caleb_strategy_v3 [1] 3.824167 582.234642 -10.214643 143.005 122.575714 NaN 132.790357
22517 CAD caleb_strategy_v3 [-1] 0.030117 -738.783973 -8.300944 -99.611322 -116.213209 NaN -107.912266
22514 SP500_micro caleb_strategy_v3 [-1] 908.363304 -83.942184 -1.376101 11.008811 8.256608 NaN 9.63271
22518 SP500_micro caleb_strategy_v3 [-1] 908.363304 -83.942184 -1.376101 -154.123355 -156.875558 NaN -155.499456
22520 SOYBEAN caleb_strategy_v3 [1] 173.194845 165.998012 -7.217305 -57.738439 -72.173049 NaN -64.955744
22521 LIVECOW caleb_strategy_v3 [-1] 37.121848 -474.787785 -10.101868 20.203736 -0.0 NaN 10.101868
22512 NASDAQ_micro caleb_strategy_v3 [1] 4787.856941 185.36477 -0.522154 -197.374318 -198.418627 NaN -197.896473
22522 NASDAQ_micro caleb_strategy_v3 [1] 4787.856941 194.763547 -0.522154 20.886171 19.841863 NaN 20.364017
22523 DOW caleb_strategy_v3 [1] 6693.298539 58.267235 -1.494032 129.980755 126.992692 NaN 128.486724
22516 DOW caleb_strategy_v3 [1] 6693.298539 2.988063 -1.494032 -52.291108 -55.279172 NaN -53.78514
22519 DOW caleb_strategy_v3 [1] 6693.298539 -9.711206 -0.747016 13.446285 11.952253 NaN 12.699269
22504 DAX caleb_strategy_v3 [1] 4673.759551 182.93624 -3.209408 NaN NaN NaN NaN
22506 DAX caleb_strategy_v3 [1] 4673.759551 115.538678 -2.139605 119.817888 115.538678 NaN 117.678283
22507 DAX caleb_strategy_v3 [1] 4673.759551 115.538678 -2.139605 111.259468 106.980257 NaN 109.119863
=========================================================================================================================================================================
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
22502 NIKKEI caleb_strategy_v3 [-1] 0.628844 303.417137 -1.57211 12.576876 9.432657 NaN 11.004767
22503 BTP caleb_strategy_v3 [-1] 1162.415 -273.167525 -5.812075 11.62415 -0.0 NaN 5.812075
22505 EUROSTX caleb_strategy_v3 [1] 11.62415 249.919225 -5.812075 -23.2483 -34.87245 NaN -29.060375
22508 GOLD_micro caleb_strategy_v3 [-1] 10.0 -361.0 -2.0 -11.0 -15.0 NaN -13.0
22509 COCOA caleb_strategy_v3 [-1] 10.0 470.0 -10.0 -270.0 -290.0 NaN -280.0
22510 CRUDE_W caleb_strategy_v3 [-1] 1000.0 2060.0 -10.0 320.0 300.0 NaN 310.0
22511 SP400 caleb_strategy_v3 [-1] 100.0 -2825.0 -25.0 2080.0 2030.0 NaN 2055.0
22513 VIX caleb_strategy_v3 [-1] 1000.0 -25.0 -25.0 100.0 50.0 NaN 75.0
22515 US5 caleb_strategy_v3 [1] 1000.0 222.65625 -3.90625 54.6875 46.875 NaN 50.78125
22517 CAD caleb_strategy_v3 [-1] 100000.0 -222.5 -2.5 -30.0 -35.0 NaN -32.5
22514 SP500_micro caleb_strategy_v3 [-1] 5.0 -38.125 -0.625 5.0 3.75 NaN 4.375
22518 SP500_micro caleb_strategy_v3 [-1] 5.0 -38.125 -0.625 -70.0 -71.25 NaN -70.625
22520 SOYBEAN caleb_strategy_v3 [1] 50.0 143.75 -6.25 -50.0 -62.5 NaN -56.25
22521 LIVECOW caleb_strategy_v3 [-1] 400.0 -705.0 -15.0 30.0 -0.0 NaN 15.0
22512 NASDAQ_micro caleb_strategy_v3 [1] 2.0 177.5 -0.5 -189.0 -190.0 NaN -189.5
22522 NASDAQ_micro caleb_strategy_v3 [1] 2.0 186.5 -0.5 20.0 19.0 NaN 19.5
22523 DOW caleb_strategy_v3 [1] 0.5 19.5 -0.5 43.5 42.5 NaN 43.0
22516 DOW caleb_strategy_v3 [1] 0.5 1.0 -0.5 -17.5 -18.5 NaN -18.0
22519 DOW caleb_strategy_v3 [1] 0.5 -3.25 -0.25 4.5 4.0 NaN 4.25
22504 DAX caleb_strategy_v3 [1] 1.162415 99.386482 -1.743622 NaN NaN NaN NaN
22506 DAX caleb_strategy_v3 [1] 1.162415 62.77041 -1.162415 65.09524 62.77041 NaN 63.932825
22507 DAX caleb_strategy_v3 [1] 1.162415 62.77041 -1.162415 60.44558 58.12075 NaN 59.283165
delay_cash Sum
delay_cash
strategy_name instrument_code
caleb_strategy_v3 BTP -273.167525
CAD -222.5
COCOA 470.0
CRUDE_W 2060.0
DAX 224.927302
DOW 17.25
EUROSTX 249.919225
GOLD_micro -361.0
LIVECOW -705.0
NASDAQ_micro 364.0
NIKKEI 303.417137
SOYBEAN 143.75
SP400 -2825.0
SP500_micro -76.25
US5 222.65625
VIX -25.0
delay_cash Total Sum
delay_cash
strategy_name
caleb_strategy_v3 -431.99761
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
caleb_strategy_v3 BTP -5.812075
CAD -2.5
COCOA -10.0
CRUDE_W -10.0
DAX -4.068453
DOW -1.25
EUROSTX -5.812075
GOLD_micro -2.0
LIVECOW -15.0
NASDAQ_micro -1.0
NIKKEI -1.57211
SOYBEAN -6.25
SP400 -25.0
SP500_micro -1.25
US5 -3.90625
VIX -25.0
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
caleb_strategy_v3 -120.420962
execution_cash Sum
execution_cash
strategy_name instrument_code
caleb_strategy_v3 BTP 11.62415
CAD -30.0
COCOA -270.0
CRUDE_W 320.0
DAX 125.54082
DOW 30.5
EUROSTX -23.2483
GOLD_micro -11.0
LIVECOW 30.0
NASDAQ_micro -169.0
NIKKEI 12.576876
SOYBEAN -50.0
SP400 2080.0
SP500_micro -65.0
US5 54.6875
VIX 100.0
execution_cash Total Sum
execution_cash
strategy_name
caleb_strategy_v3 2146.681046
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
caleb_strategy_v3 BTP -0.0
CAD -35.0
COCOA -290.0
CRUDE_W 300.0
DAX 120.89116
DOW 28.0
EUROSTX -34.87245
GOLD_micro -15.0
LIVECOW -0.0
NASDAQ_micro -171.0
NIKKEI 9.432657
SOYBEAN -62.5
SP400 2030.0
SP500_micro -67.5
US5 46.875
VIX 50.0
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
caleb_strategy_v3 1909.326367
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
caleb_strategy_v3 BTP 0
CAD 0
COCOA 0
CRUDE_W 0
DAX 0
DOW 0
EUROSTX 0
GOLD_micro 0
LIVECOW 0
NASDAQ_micro 0
NIKKEI 0
SOYBEAN 0
SP400 0
SP500_micro 0
US5 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 BTP 5.812075
CAD -32.5
COCOA -280.0
CRUDE_W 310.0
DAX 123.21599
DOW 29.25
EUROSTX -29.060375
GOLD_micro -13.0
LIVECOW 15.0
NASDAQ_micro -170.0
NIKKEI 11.004767
SOYBEAN -56.25
SP400 2055.0
SP500_micro -66.25
US5 50.78125
VIX 75.0
total_trading_cash Total Sum
total_trading_cash
strategy_name
caleb_strategy_v3 2028.003707
********************************************************************************
END OF REPORT
********************************************************************************