******************************************************************************** Trades report produced on 16/10/2025 21:39 from 15/10/2025 21:39 to 16/10/2025 21:39 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 19285 CANOLA caleb_strategy_v3 [20260100] 2025-10-16 13:00:42 [1] 632.90000 19286 MXP caleb_strategy_v3 [20251200] 2025-10-16 14:00:44 [-1] 0.05403 19287 SP500_micro caleb_strategy_v3 [20251200] 2025-10-16 14:00:45 [-1] 6731.50000 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19285 CANOLA caleb_strategy_v3 2025-10-15 00:00:00 2025-10-16 14:00:42.243000 2025-10-16 13:00:42 136842.243 NaN 19286 MXP caleb_strategy_v3 2025-10-15 00:00:00 2025-10-16 15:00:44.266000 2025-10-16 14:00:44 140444.266 NaN 19287 SP500_micro caleb_strategy_v3 2025-10-15 00:00:00 2025-10-16 15:00:45.171000 2025-10-16 14:00:45 140445.171 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 19285 CANOLA caleb_strategy_v3 [1] 633.0 None 633.9 634.0 633.8 633.8 632.9 -0.9 -0.1 1.1 0.9 NaN 1.0 19286 MXP caleb_strategy_v3 [-1] 0.05378 None 0.05401 0.054 0.05402 0.05402 0.05403 0.00023 -0.00001 0.00003 0.00001 NaN 0.00002 19287 SP500_micro caleb_strategy_v3 [-1] 6711.75 None 6725.375 6725.25 6725.5 6725.5 6731.5 13.625 -0.125 6.25 6.0 NaN 6.125 =============================================================================================================================================================== 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 19285 CANOLA caleb_strategy_v3 [1] 127.547529 -70.561932 -7.840215 86.242361 70.561932 NaN 78.402146 19286 MXP caleb_strategy_v3 [-1] 0.004345 529.285222 -23.012401 69.037203 23.012401 NaN 46.024802 19287 SP500_micro caleb_strategy_v3 [-1] 974.014345 139.885003 -1.283349 64.167433 61.600735 NaN 62.884084 ======================================================================================================================================================================== 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 19285 CANOLA caleb_strategy_v3 [1] 14.249125 -12.824212 -1.424912 15.674037 12.824212 NaN 14.249125 19286 MXP caleb_strategy_v3 [-1] 500000.0 115.0 -5.0 15.0 5.0 NaN 10.0 19287 SP500_micro caleb_strategy_v3 [-1] 5.0 68.125 -0.625 31.25 30.0 NaN 30.625 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CANOLA -12.824212 MXP 115.0 SP500_micro 68.125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 170.300788 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CANOLA -1.424912 MXP -5.0 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -7.049912 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 15.674037 MXP 15.0 SP500_micro 31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 61.924037 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 12.824212 MXP 5.0 SP500_micro 30.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 47.824212 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 0 MXP 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 CANOLA 14.249125 MXP 10.0 SP500_micro 30.625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 54.874125 ******************************************************************************** END OF REPORT ********************************************************************************