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Trades report produced on 23/12/2025 21:42 from 22/12/2025 21:42 to 23/12/2025 21:42
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Broker orders
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instrument_code strategy_name contract_date fill_datetime fill filled_price
20451 DOW caleb_strategy_v3 [20260300] 2025-12-23 15:01:47.000 [-1] 48680.00000
20447 EUROSTX caleb_strategy_v3 [20260300] 2025-12-23 08:04:23.000 [-1] 5768.00000
20448 GASOLINE caleb_strategy_v3 [20260400] 2025-12-23 14:00:44.000 [1] 1.98870
20456 MXP caleb_strategy_v3 [20260300] 2025-12-23 15:32:10.000 [1] 0.05536
20450 MXP caleb_strategy_v3 [20260300] 2025-12-23 15:01:46.000 [1] 0.05530
20453 MXP caleb_strategy_v3 [20260300] 2025-12-23 19:45:10.385 [0] NaN
20446 NIKKEI caleb_strategy_v3 [20260300] 2025-12-23 03:06:27.000 [1] 50415.00000
20449 PLAT caleb_strategy_v3 [20260400] 2025-12-23 14:00:45.000 [1] 2267.40000
20457 SP500_micro caleb_strategy_v3 [20260300] 2025-12-23 15:32:11.000 [-1] 6935.50000
20452 SP500_micro caleb_strategy_v3 [20260300] 2025-12-23 19:45:10.332 [0] NaN
20454 SP500_micro caleb_strategy_v3 [20260300] 2025-12-23 19:45:10.430 [0] NaN
20455 WHEAT caleb_strategy_v3 [20261200] 2025-12-23 15:32:01.000 [-1] 569.25000
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Delays
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instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit
20446 NIKKEI caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 03:01:23.291000 2025-12-23 03:06:27 97283.291 303.709
20447 EUROSTX caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 08:00:36.626000 2025-12-23 08:04:23 115236.626 226.374
20448 GASOLINE caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 14:00:43.347000 2025-12-23 14:00:44 136843.347 0.653
20449 PLAT caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 14:00:45.473000 2025-12-23 14:00:45 136845.473 NaN
20451 DOW caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:01:47.926000 2025-12-23 15:01:47 140507.926 NaN
20455 WHEAT caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:32:00.286000 2025-12-23 15:32:01 142320.286 0.714
20456 MXP caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:32:02.039000 2025-12-23 15:32:10 142322.039 7.961
20450 MXP caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:00:49.677000 2025-12-23 15:01:46 140449.677 56.323
20453 MXP caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:11:54.110000 2025-12-23 19:45:10.385000 141114.11 16396.275
20457 SP500_micro caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:32:11.170000 2025-12-23 15:32:11 142331.17 NaN
20452 SP500_micro caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:01:48.860000 2025-12-23 19:45:10.332000 140508.86 17001.472
20454 SP500_micro caleb_strategy_v3 2025-12-22 00:00:00 2025-12-23 15:21:54.737000 2025-12-23 19:45:10.430000 141714.737 15795.693
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Slippage (ticks per lot)
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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
20446 NIKKEI caleb_strategy_v3 [1] 50295.0 None 50382.5 50385.0 50380.0 50380.0 50415.0 -87.5 -2.5 -30.0 -35.0 NaN -32.5
20447 EUROSTX caleb_strategy_v3 [-1] 5767.0 None 5767.5 5767.0 5768.0 5768.0 5768.0 0.5 -0.5 1.0 -0.0 NaN 0.5
20448 GASOLINE caleb_strategy_v3 [1] 1.9857 None 1.9913 1.9916 1.991 1.991 1.9887 -0.0056 -0.0003 0.0029 0.0023 NaN 0.0026
20449 PLAT caleb_strategy_v3 [1] 2149.6 None 2277.45 2277.9 2277.0 2277.0 2267.4 -127.85 -0.45 10.5 9.6 NaN 10.05
20451 DOW caleb_strategy_v3 [-1] 48718.0 None 48671.5 48671.0 48672.0 48672.0 48680.0 -46.5 -0.5 9.0 8.0 NaN 8.5
20455 WHEAT caleb_strategy_v3 [-1] 568.75 None 569.0 568.75 569.25 569.25 569.25 0.25 -0.25 0.5 -0.0 NaN 0.25
20456 MXP caleb_strategy_v3 [1] 0.05516 None 0.055345 0.05535 0.05534 0.05534 0.05536 -0.000185 -0.000005 -0.00001 -0.00002 NaN -0.000015
20450 MXP caleb_strategy_v3 [1] 0.05516 None 0.055305 0.05531 0.0553 0.0553 0.0553 -0.000145 -0.000005 0.00001 0.0 NaN 0.000005
20453 MXP caleb_strategy_v3 [1] 0.05516 None 0.02765 0.0553 0.0 0.0 NaN 0.02751 -0.02765 NaN NaN NaN NaN
20457 SP500_micro caleb_strategy_v3 [-1] 6930.75 None 6934.125 6934.0 6934.25 6934.25 6935.5 3.375 -0.125 1.5 1.25 NaN 1.375
20452 SP500_micro caleb_strategy_v3 [-1] 6930.75 None 6939.375 6939.25 6939.5 6939.5 NaN 8.625 -0.125 NaN NaN NaN NaN
20454 SP500_micro caleb_strategy_v3 [-1] 6930.75 None 3466.25 6932.5 0.0 0.0 NaN -3464.5 3466.25 NaN NaN NaN NaN
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Slippage (normalised by annual vol, BP of annual SR)
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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
20446 NIKKEI caleb_strategy_v3 [1] 9892.35263 -88.452164 -2.527205 -30.326456 -35.380866 NaN -32.853661
20447 EUROSTX caleb_strategy_v3 [-1] 662.169351 7.550938 -7.550938 15.101877 -0.0 NaN 7.550938
20448 GASOLINE caleb_strategy_v3 [1] 0.431943 -129.646798 -6.945364 67.13852 53.247792 NaN 60.193156
20449 PLAT caleb_strategy_v3 [1] 669.109319 -1910.749058 -6.725358 156.92503 143.474313 NaN 150.199672
20451 DOW caleb_strategy_v3 [-1] 5418.430181 -85.818214 -0.922776 16.609977 14.764424 NaN 15.6872
20455 WHEAT caleb_strategy_v3 [-1] 92.581927 27.00311 -27.00311 54.006221 -0.0 NaN 27.00311
20456 MXP caleb_strategy_v3 [1] 0.003711 -498.581339 -13.475171 -26.950343 -53.900685 NaN -40.425514
20450 MXP caleb_strategy_v3 [1] 0.003711 -390.779968 -13.475171 26.950343 0.0 NaN 13.475171
20453 MXP caleb_strategy_v3 [1] 0.003711 74140.392611 -74517.697408 NaN NaN NaN NaN
20457 SP500_micro caleb_strategy_v3 [-1] 818.73884 41.221936 -1.526738 18.32086 15.267384 NaN 16.794122
20452 SP500_micro caleb_strategy_v3 [-1] 818.73884 105.344947 -1.526738 NaN NaN NaN NaN
20454 SP500_micro caleb_strategy_v3 [-1] 818.73884 -42315.080615 42336.454952 NaN NaN NaN NaN
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Slippage (In base currency)
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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
20446 NIKKEI caleb_strategy_v3 [1] 0.640617 -56.053991 -1.601543 -19.218511 -22.421596 NaN -20.820054
20447 EUROSTX caleb_strategy_v3 [-1] 11.77285 5.886425 -5.886425 11.77285 -0.0 NaN 5.886425
20448 GASOLINE caleb_strategy_v3 [1] 42000.0 -235.2 -12.6 121.8 96.6 NaN 109.2
20449 PLAT caleb_strategy_v3 [1] 50.0 -6392.5 -22.5 525.0 480.0 NaN 502.5
20451 DOW caleb_strategy_v3 [-1] 0.5 -23.25 -0.25 4.5 4.0 NaN 4.25
20455 WHEAT caleb_strategy_v3 [-1] 50.0 12.5 -12.5 25.0 -0.0 NaN 12.5
20456 MXP caleb_strategy_v3 [1] 500000.0 -92.5 -2.5 -5.0 -10.0 NaN -7.5
20450 MXP caleb_strategy_v3 [1] 500000.0 -72.5 -2.5 5.0 0.0 NaN 2.5
20453 MXP caleb_strategy_v3 [1] 500000.0 13755.0 -13825.0 NaN NaN NaN NaN
20457 SP500_micro caleb_strategy_v3 [-1] 5.0 16.875 -0.625 7.5 6.25 NaN 6.875
20452 SP500_micro caleb_strategy_v3 [-1] 5.0 43.125 -0.625 NaN NaN NaN NaN
20454 SP500_micro caleb_strategy_v3 [-1] 5.0 -17322.5 17331.25 NaN NaN NaN NaN
delay_cash Sum
delay_cash
strategy_name instrument_code
caleb_strategy_v3 DOW -23.25
EUROSTX 5.886425
GASOLINE -235.2
MXP 13590.0
NIKKEI -56.053991
PLAT -6392.5
SP500_micro -17262.5
WHEAT 12.5
delay_cash Total Sum
delay_cash
strategy_name
caleb_strategy_v3 -10361.117566
bid_ask_cash Sum
bid_ask_cash
strategy_name instrument_code
caleb_strategy_v3 DOW -0.25
EUROSTX -5.886425
GASOLINE -12.6
MXP -13830.0
NIKKEI -1.601543
PLAT -22.5
SP500_micro 17330.0
WHEAT -12.5
bid_ask_cash Total Sum
bid_ask_cash
strategy_name
caleb_strategy_v3 3444.662032
execution_cash Sum
execution_cash
strategy_name instrument_code
caleb_strategy_v3 DOW 4.5
EUROSTX 11.77285
GASOLINE 121.8
MXP 0.0
NIKKEI -19.218511
PLAT 525.0
SP500_micro 7.5
WHEAT 25.0
execution_cash Total Sum
execution_cash
strategy_name
caleb_strategy_v3 676.354339
versus_limit_cash Sum
versus_limit_cash
strategy_name instrument_code
caleb_strategy_v3 DOW 4.0
EUROSTX -0.0
GASOLINE 96.6
MXP -10.0
NIKKEI -22.421596
PLAT 480.0
SP500_micro 6.25
WHEAT -0.0
versus_limit_cash Total Sum
versus_limit_cash
strategy_name
caleb_strategy_v3 554.428404
versus_parent_limit_cash Sum
versus_parent_limit_cash
strategy_name instrument_code
caleb_strategy_v3 DOW 0
EUROSTX 0
GASOLINE 0
MXP 0
NIKKEI 0
PLAT 0
SP500_micro 0
WHEAT 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 DOW 4.25
EUROSTX 5.886425
GASOLINE 109.2
MXP -5.0
NIKKEI -20.820054
PLAT 502.5
SP500_micro 6.875
WHEAT 12.5
total_trading_cash Total Sum
total_trading_cash
strategy_name
caleb_strategy_v3 615.391371
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END OF REPORT
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