******************************************************************************** Trades report produced on 10/09/2025 21:38 from 09/09/2025 21:38 to 10/09/2025 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 18705 DOW caleb_strategy_v3 [20251200] 2025-09-10 14:01:04.000 [-1] 46016.0 18704 EUROSTX caleb_strategy_v3 [20250900] 2025-09-10 07:20:33.000 [-1] 5404.0 18702 EUROSTX caleb_strategy_v3 [20250900] 2025-09-10 19:45:05.539 [0] NaN 18703 EUROSTX caleb_strategy_v3 [20250900] 2025-09-10 19:45:05.561 [0] NaN 18701 NIKKEI caleb_strategy_v3 [20251200] 2025-09-10 02:01:38.000 [1] 43370.0 18706 SP500_micro caleb_strategy_v3 [20250900] 2025-09-10 19:45:05.583 [0] NaN 18707 SP500_micro caleb_strategy_v3 [20250900] 2025-09-10 19:45:05.603 [0] NaN 18708 SP500_micro caleb_strategy_v3 [20250900] 2025-09-10 14:22:41.000 [1] 6560.5 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 18701 NIKKEI caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 03:01:16.470000 2025-09-10 02:01:38 97276.47 NaN 18705 DOW caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 15:00:02.891000 2025-09-10 14:01:04 140402.891 NaN 18704 EUROSTX caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 08:20:33.753000 2025-09-10 07:20:33 116433.753 NaN 18702 EUROSTX caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 08:00:27.506000 2025-09-10 19:45:05.539000 115227.506 42278.033 18703 EUROSTX caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 08:10:30.705000 2025-09-10 19:45:05.561000 115830.705 41674.856 18706 SP500_micro caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 15:01:06.091000 2025-09-10 19:45:05.583000 140466.091 17039.492 18707 SP500_micro caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 15:11:26.510000 2025-09-10 19:45:05.603000 141086.51 16419.093 18708 SP500_micro caleb_strategy_v3 2025-09-09 00:00:00 2025-09-10 15:21:29.592000 2025-09-10 14:22:41 141689.592 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 18701 NIKKEI caleb_strategy_v3 [1] 43260.0 None 43357.5 43360.0 43355.0 43355.0 43370.0 -97.5 -2.5 -10.0 -15.0 NaN -12.5 18705 DOW caleb_strategy_v3 [-1] 46098.0 None 46045.5 46044.0 46047.0 46047.0 46016.0 -52.5 -1.5 -28.0 -31.0 NaN -29.5 18704 EUROSTX caleb_strategy_v3 [-1] 5386.0 None 5395.5 5395.0 5396.0 5396.0 5404.0 9.5 -0.5 9.0 8.0 NaN 8.5 18702 EUROSTX caleb_strategy_v3 [-1] 5386.0 None 5402.5 5402.0 5403.0 5403.0 NaN 16.5 -0.5 NaN NaN NaN NaN 18703 EUROSTX caleb_strategy_v3 [-1] 5386.0 None 2700.0 5400.0 0.0 0.0 NaN -2686.0 2700.0 NaN NaN NaN NaN 18706 SP500_micro caleb_strategy_v3 [1] 6516.25 None 6551.875 6552.0 6551.75 6551.75 NaN -35.625 -0.125 NaN NaN NaN NaN 18707 SP500_micro caleb_strategy_v3 [1] 6516.25 None 3278.375 6556.75 0.0 0.0 NaN 3237.875 -3278.375 NaN NaN NaN NaN 18708 SP500_micro caleb_strategy_v3 [1] 6516.25 None 6559.625 6559.75 6559.5 6559.5 6560.5 -43.375 -0.125 -0.75 -1.0 NaN -0.875 =================================================================================================================================================================== 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 18701 NIKKEI caleb_strategy_v3 [1] 7350.836083 -132.637973 -3.400974 -13.603895 -20.405842 NaN -17.004868 18705 DOW caleb_strategy_v3 [-1] 4848.846111 -108.273183 -3.09352 -57.745697 -63.932736 NaN -60.839217 18704 EUROSTX caleb_strategy_v3 [-1] 696.086376 136.477316 -7.183017 129.294299 114.928266 NaN 122.111282 18702 EUROSTX caleb_strategy_v3 [-1] 696.086376 237.039548 -7.183017 NaN NaN NaN NaN 18703 EUROSTX caleb_strategy_v3 [-1] 696.086376 -38587.165223 38788.289688 NaN NaN NaN NaN 18706 SP500_micro caleb_strategy_v3 [1] 670.131953 -531.61172 -1.865304 NaN NaN NaN NaN 18707 SP500_micro caleb_strategy_v3 [1] 670.131953 48316.976743 -48921.335329 NaN NaN NaN NaN 18708 SP500_micro caleb_strategy_v3 [1] 670.131953 -647.260585 -1.865304 -11.191826 -14.922434 NaN -13.05713 ========================================================================================================================================================================= 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 18701 NIKKEI caleb_strategy_v3 [1] 0.67823 -66.127473 -1.695576 -6.782305 -10.173457 NaN -8.477881 18705 DOW caleb_strategy_v3 [-1] 0.5 -26.25 -0.75 -14.0 -15.5 NaN -14.75 18704 EUROSTX caleb_strategy_v3 [-1] 11.7097 111.24215 -5.85485 105.3873 93.6776 NaN 99.53245 18702 EUROSTX caleb_strategy_v3 [-1] 11.7097 193.21005 -5.85485 NaN NaN NaN NaN 18703 EUROSTX caleb_strategy_v3 [-1] 11.7097 -31452.2542 31616.19 NaN NaN NaN NaN 18706 SP500_micro caleb_strategy_v3 [1] 5.0 -178.125 -0.625 NaN NaN NaN NaN 18707 SP500_micro caleb_strategy_v3 [1] 5.0 16189.375 -16391.875 NaN NaN NaN NaN 18708 SP500_micro caleb_strategy_v3 [1] 5.0 -216.875 -0.625 -3.75 -5.0 NaN -4.375 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW -26.25 EUROSTX -31147.802 NIKKEI -66.127473 SP500_micro 15794.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -15445.804473 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.75 EUROSTX 31604.4803 NIKKEI -1.695576 SP500_micro -16393.125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 15208.909724 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -14.0 EUROSTX 105.3873 NIKKEI -6.782305 SP500_micro -3.75 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 80.854995 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -15.5 EUROSTX 93.6776 NIKKEI -10.173457 SP500_micro -5.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 63.004143 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 EUROSTX 0 NIKKEI 0 SP500_micro 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 -14.75 EUROSTX 99.53245 NIKKEI -8.477881 SP500_micro -4.375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 71.929569 ******************************************************************************** END OF REPORT ********************************************************************************