******************************************************************************** Trades report produced on 25/08/2025 21:38 from 24/08/2025 21:38 to 25/08/2025 21:38 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 18433 DOW caleb_strategy_v3 [20250900] 2025-08-25 14:00:34 [1] 45587.0 18434 RUSSELL caleb_strategy_v3 [20250900] 2025-08-25 14:00:35 [-1] 2359.8 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18433 DOW caleb_strategy_v3 2025-08-22 00:00:00 2025-08-25 15:00:33.846000 2025-08-25 14:00:34 313233.846 NaN 18434 RUSSELL caleb_strategy_v3 2025-08-21 00:00:00 2025-08-25 15:00:35.378000 2025-08-25 14:00:35 399635.378 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 18433 DOW caleb_strategy_v3 [1] 45721.0 None 45588.5 45589.0 45588.0 45588.0 45587.0 132.5 -0.5 2.0 1.0 NaN 1.5 18434 RUSSELL caleb_strategy_v3 [-1] 2282.9 None 2357.1 2357.0 2357.2 2357.2 2359.8 74.2 -0.1 2.8 2.6 NaN 2.7 ================================================================================================================================================================ 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 18433 DOW caleb_strategy_v3 [1] 5508.295059 240.546301 -0.907722 3.630888 1.815444 NaN 2.723166 18434 RUSSELL caleb_strategy_v3 [-1] 489.048965 1517.230489 -2.044785 57.253981 53.164411 NaN 55.209196 ======================================================================================================================================================================== 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 18433 DOW caleb_strategy_v3 [1] 0.5 66.25 -0.25 1.0 0.5 NaN 0.75 18434 RUSSELL caleb_strategy_v3 [-1] 5.0 371.0 -0.5 14.0 13.0 NaN 13.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 66.25 RUSSELL 371.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 437.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.25 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -0.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 1.0 RUSSELL 14.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 15.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0.5 RUSSELL 13.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 13.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 RUSSELL 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 0.75 RUSSELL 13.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 14.25 ******************************************************************************** END OF REPORT ********************************************************************************