******************************************************************************** Trades report produced on 08/09/2025 21:38 from 07/09/2025 21:38 to 08/09/2025 21:38 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 18645 DOW caleb_strategy_v3 [20251200] 2025-09-08 14:18:18.000 [-1] 45713.000000 18637 DOW _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-08 14:05:09.000 [1, -1] -332.000000 18639 DOW _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-08 14:05:27.000 [1, -1] -332.000000 18641 DOW caleb_strategy_v3 [20251200] 2025-09-08 14:16:15.000 [-1] 45714.000000 18643 DOW caleb_strategy_v3 [20251200] 2025-09-08 14:16:18.000 [-1] 45712.000000 18644 DOW caleb_strategy_v3 [20251200] 2025-09-08 14:17:18.000 [-1] 45721.000000 18646 DOW caleb_strategy_v3 [20251200] 2025-09-08 14:19:18.000 [-1] 45704.000000 18647 DOW caleb_strategy_v3 [20251200] 2025-09-08 14:20:18.000 [-1] 45718.000000 18648 DOW caleb_strategy_v3 [20251200] 2025-09-08 19:45:27.841 [0] NaN 18649 DOW caleb_strategy_v3 [20251200] 2025-09-08 14:31:21.000 [-1] 45780.000000 18636 GBP _ROLL_PSEUDO_STRATEGY [20250900, 20251200] 2025-09-08 14:03:28.000 [-1, 1] -0.000250 18635 RUSSELL caleb_strategy_v3 [20250900] 2025-09-08 14:03:24.000 [-1] 2383.400000 18642 US5 caleb_strategy_v3 [20251200] 2025-09-08 14:16:18.000 [1] 110.015625 18638 US5 caleb_strategy_v3 [20251200] 2025-09-08 14:05:25.000 [1] 110.015625 18634 US5 caleb_strategy_v3 [20251200] 2025-09-08 14:00:49.000 [1] 110.007813 18640 US5 caleb_strategy_v3 [20251200] 2025-09-08 19:45:27.805 [0] NaN 18633 VIX caleb_strategy_v3 [20251200] 2025-09-08 14:00:48.000 [-1] 20.200000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18633 VIX caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:00:47.926000 2025-09-08 14:00:48 313247.926 NaN 18635 RUSSELL caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:00:49.934000 2025-09-08 14:03:24 313249.934 NaN 18636 GBP _ROLL_PSEUDO_STRATEGY 2025-09-05 19:00:00 2025-09-08 15:03:25.814000 2025-09-08 14:03:28 245005.814 NaN 18637 DOW _ROLL_PSEUDO_STRATEGY 2025-09-05 19:00:00 2025-09-08 15:03:29.691000 2025-09-08 14:05:09 245009.691 NaN 18639 DOW _ROLL_PSEUDO_STRATEGY 2025-09-05 19:00:00 2025-09-08 15:05:26.085000 2025-09-08 14:05:27 245126.085 NaN 18641 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:16:15.034000 2025-09-08 14:16:15 314175.034 NaN 18643 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:16:18.874000 2025-09-08 14:16:18 314178.874 NaN 18644 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:17:18.301000 2025-09-08 14:17:18 314238.301 NaN 18645 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:18:18.357000 2025-09-08 14:18:18 314298.357 NaN 18646 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:19:18.405000 2025-09-08 14:19:18 314358.405 NaN 18647 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:20:18.522000 2025-09-08 14:20:18 314418.522 NaN 18648 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:21:18.389000 2025-09-08 19:45:27.841000 314478.389 15849.452 18649 DOW caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:31:21.536000 2025-09-08 14:31:21 315081.536 NaN 18640 US5 caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:06:14.135000 2025-09-08 19:45:27.805000 313574.135 16753.67 18642 US5 caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:16:18.254000 2025-09-08 14:16:18 314178.254 NaN 18634 US5 caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:00:49.110000 2025-09-08 14:00:49 313249.11 NaN 18638 US5 caleb_strategy_v3 2025-09-05 00:00:00 2025-09-08 15:05:12.306000 2025-09-08 14:05:25 313512.306 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 18633 VIX caleb_strategy_v3 [-1] 20.3 None 20.175 20.15 20.2 20.2 20.2 -0.125 -0.025 0.05 -0.0 NaN 0.025 18635 RUSSELL caleb_strategy_v3 [-1] 2387.8 None 2384.75 2384.7 2384.8 2384.8 2383.4 -3.05 -0.05 -1.3 -1.4 NaN -1.35 18636 GBP _ROLL_PSEUDO_STRATEGY [-1, 1] -0.0002 None -0.0002 -0.0003 -0.0001 NaN -0.00025 -0.0 -0.0001 0.00005 NaN NaN -0.00005 18637 DOW _ROLL_PSEUDO_STRATEGY [1, -1] -328.0 None -334.0 -332.0 -336.0 -336.0 -332.0 6.0 -2.0 0.0 -4.0 NaN -2.0 18639 DOW _ROLL_PSEUDO_STRATEGY [1, -1] -328.0 None -165.5 -331.0 0.0 0.0 -332.0 -162.5 165.5 1.0 332.0 NaN 166.5 18641 DOW caleb_strategy_v3 [-1] 45773.0 None 45691.5 45690.0 45693.0 45693.0 45714.0 -81.5 -1.5 24.0 21.0 NaN 22.5 18643 DOW caleb_strategy_v3 [-1] 45773.0 None 45691.5 45690.0 45693.0 45693.0 45712.0 -81.5 -1.5 22.0 19.0 NaN 20.5 18644 DOW caleb_strategy_v3 [-1] 45773.0 None 45691.5 45690.0 45693.0 45693.0 45721.0 -81.5 -1.5 31.0 28.0 NaN 29.5 18645 DOW caleb_strategy_v3 [-1] 45773.0 None 45691.5 45690.0 45693.0 45693.0 45713.0 -81.5 -1.5 23.0 20.0 NaN 21.5 18646 DOW caleb_strategy_v3 [-1] 45773.0 None 45691.5 45690.0 45693.0 45693.0 45704.0 -81.5 -1.5 14.0 11.0 NaN 12.5 18647 DOW caleb_strategy_v3 [-1] 45773.0 None 45719.0 45718.0 45720.0 45720.0 45718.0 -54.0 -1.0 -0.0 -2.0 NaN -1.0 18648 DOW caleb_strategy_v3 [-1] 45773.0 None 22858.0 45716.0 0.0 0.0 NaN -22915.0 22858.0 NaN NaN NaN NaN 18649 DOW caleb_strategy_v3 [-1] 45773.0 None 45735.5 45734.0 45737.0 45737.0 45780.0 -37.5 -1.5 46.0 43.0 NaN 44.5 18640 US5 caleb_strategy_v3 [1] 109.9375 None 55.011719 110.023438 0.0 0.0 NaN 54.925781 -55.011719 NaN NaN NaN NaN 18642 US5 caleb_strategy_v3 [1] 109.9375 None 110.019531 110.023438 110.015625 110.015625 110.015625 -0.082031 -0.003906 0.007812 0.0 NaN 0.003906 18634 US5 caleb_strategy_v3 [1] 109.9375 None 110.011719 110.015625 110.007812 110.007812 110.007813 -0.074219 -0.003906 0.007812 -0.0 NaN 0.003906 18638 US5 caleb_strategy_v3 [1] 109.9375 None 110.019531 110.023438 110.015625 110.015625 110.015625 -0.082031 -0.003906 0.007812 0.0 NaN 0.003906 ============================================================================================================================================================================ 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 18633 VIX caleb_strategy_v3 [-1] 6.66771 -187.470673 -37.494135 74.988269 -0.0 NaN 37.494135 18635 RUSSELL caleb_strategy_v3 [-1] 426.021686 -71.5926 -1.173649 -30.514879 -32.862177 NaN -31.688528 18636 GBP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.086356 -0.0 -11.58001 5.790005 NaN NaN -5.790005 18637 DOW _ROLL_PSEUDO_STRATEGY [1, -1] 4991.831775 12.019636 -4.006545 0.0 -8.013091 NaN -4.006545 18639 DOW _ROLL_PSEUDO_STRATEGY [1, -1] 4991.831775 -325.531803 331.541621 2.003273 665.086515 NaN 333.544894 18641 DOW caleb_strategy_v3 [-1] 4991.831775 -163.26672 -3.004909 48.078543 42.068725 NaN 45.073634 18643 DOW caleb_strategy_v3 [-1] 4991.831775 -163.26672 -3.004909 44.071998 38.06218 NaN 41.067089 18644 DOW caleb_strategy_v3 [-1] 4991.831775 -163.26672 -3.004909 62.101452 56.091634 NaN 59.096543 18645 DOW caleb_strategy_v3 [-1] 4991.831775 -163.26672 -3.004909 46.075271 40.065453 NaN 43.070362 18646 DOW caleb_strategy_v3 [-1] 4991.831775 -163.26672 -3.004909 28.045817 22.035999 NaN 25.040908 18647 DOW caleb_strategy_v3 [-1] 4991.831775 -108.176722 -2.003273 -0.0 -4.006545 NaN -2.003273 18648 DOW caleb_strategy_v3 [-1] 4991.831775 -45904.99246 45790.80592 NaN NaN NaN NaN 18649 DOW caleb_strategy_v3 [-1] 4991.831775 -75.122724 -3.004909 92.150541 86.140723 NaN 89.145632 18640 US5 caleb_strategy_v3 [1] 3.587031 153123.251444 -153362.829819 NaN NaN NaN NaN 18642 US5 caleb_strategy_v3 [1] 3.587031 -228.688449 -10.889926 21.779852 0.0 NaN 10.889926 18634 US5 caleb_strategy_v3 [1] 3.587031 -206.908597 -10.889926 21.778458 -0.001394 NaN 10.888532 18638 US5 caleb_strategy_v3 [1] 3.587031 -228.688449 -10.889926 21.779852 0.0 NaN 10.889926 ================================================================================================================================================================================= 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 18633 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 50.0 -0.0 NaN 25.0 18635 RUSSELL caleb_strategy_v3 [-1] 5.0 -15.25 -0.25 -6.5 -7.0 NaN -6.75 18636 GBP _ROLL_PSEUDO_STRATEGY [-1, 1] 62500.0 -0.0 -6.25 3.125 NaN NaN -3.125 18637 DOW _ROLL_PSEUDO_STRATEGY [1, -1] 0.5 3.0 -1.0 0.0 -2.0 NaN -1.0 18639 DOW _ROLL_PSEUDO_STRATEGY [1, -1] 0.5 -81.25 82.75 0.5 166.0 NaN 83.25 18641 DOW caleb_strategy_v3 [-1] 0.5 -40.75 -0.75 12.0 10.5 NaN 11.25 18643 DOW caleb_strategy_v3 [-1] 0.5 -40.75 -0.75 11.0 9.5 NaN 10.25 18644 DOW caleb_strategy_v3 [-1] 0.5 -40.75 -0.75 15.5 14.0 NaN 14.75 18645 DOW caleb_strategy_v3 [-1] 0.5 -40.75 -0.75 11.5 10.0 NaN 10.75 18646 DOW caleb_strategy_v3 [-1] 0.5 -40.75 -0.75 7.0 5.5 NaN 6.25 18647 DOW caleb_strategy_v3 [-1] 0.5 -27.0 -0.5 -0.0 -1.0 NaN -0.5 18648 DOW caleb_strategy_v3 [-1] 0.5 -11457.5 11429.0 NaN NaN NaN NaN 18649 DOW caleb_strategy_v3 [-1] 0.5 -18.75 -0.75 23.0 21.5 NaN 22.25 18640 US5 caleb_strategy_v3 [1] 1000.0 54925.78125 -55011.71875 NaN NaN NaN NaN 18642 US5 caleb_strategy_v3 [1] 1000.0 -82.03125 -3.90625 7.8125 0.0 NaN 3.90625 18634 US5 caleb_strategy_v3 [1] 1000.0 -74.21875 -3.90625 7.812 -0.0005 NaN 3.90575 18638 US5 caleb_strategy_v3 [1] 1000.0 -82.03125 -3.90625 7.8125 0.0 NaN 3.90625 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DOW -78.25 GBP -0.0 caleb_strategy_v3 DOW -11707.0 RUSSELL -15.25 US5 54687.5 VIX -125.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -78.25 caleb_strategy_v3 42840.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DOW 81.75 GBP -6.25 caleb_strategy_v3 DOW 11424.0 RUSSELL -0.25 US5 -55023.4375 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 75.5 caleb_strategy_v3 -43624.6875 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DOW 0.5 GBP 3.125 caleb_strategy_v3 DOW 80.0 RUSSELL -6.5 US5 23.437 VIX 50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 3.625 caleb_strategy_v3 146.937 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DOW 164.0 GBP 0 caleb_strategy_v3 DOW 70.0 RUSSELL -7.0 US5 -0.0005 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 164.0 caleb_strategy_v3 62.9995 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DOW 0 GBP 0 caleb_strategy_v3 DOW 0 RUSSELL 0 US5 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DOW 82.25 GBP -3.125 caleb_strategy_v3 DOW 75.0 RUSSELL -6.75 US5 11.71825 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 79.125 caleb_strategy_v3 104.96825 ******************************************************************************** END OF REPORT ********************************************************************************