******************************************************************************** Trades report produced on 21/10/2025 21:39 from 20/10/2025 21:39 to 21/10/2025 21:39 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19350 COTTON2 _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-10-21 13:11:42.000 [1, -1] -1.57000 19352 COTTON2 _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-10-21 13:21:46.000 [1, -1] -1.57000 19354 COTTON2 _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-10-21 13:28:13.000 [1, -1] -1.56000 19355 COTTON2 _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-10-21 13:28:17.000 [1, -1] -1.56000 19356 COTTON2 _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-10-21 13:29:18.000 [1, -1] -1.56000 19348 DAX caleb_strategy_v3 [20251200] 2025-10-21 07:00:33.000 [-1] 24393.00000 19360 LEANHOG caleb_strategy_v3 [20260200] 2025-10-21 14:30:42.000 [-1] 84.85000 19361 LEANHOG caleb_strategy_v3 [20260200] 2025-10-21 19:45:09.020 [0] NaN 19362 LEANHOG caleb_strategy_v3 [20260200] 2025-10-21 14:41:35.000 [-1] 85.02500 19347 NIKKEI caleb_strategy_v3 [20251200] 2025-10-21 02:01:16.000 [-1] 49945.00000 19359 NZD caleb_strategy_v3 [20251200] 2025-10-21 14:02:23.000 [-1] 0.57360 19358 SP500_micro caleb_strategy_v3 [20251200] 2025-10-21 14:02:22.000 [1] 6760.75000 19353 SUGAR11 caleb_strategy_v3 [20260500] 2025-10-21 13:28:04.000 [1] 15.07000 19349 SUGAR11 caleb_strategy_v3 [20260500] 2025-10-21 19:45:08.907 [0] NaN 19351 SUGAR11 caleb_strategy_v3 [20260500] 2025-10-21 19:45:08.963 [0] NaN 19357 US5 caleb_strategy_v3 [20251200] 2025-10-21 14:02:21.000 [1] 109.96875 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19347 NIKKEI caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 03:01:15.539000 2025-10-21 02:01:16 97275.539 NaN 19348 DAX caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 08:00:33.638000 2025-10-21 07:00:33 115233.638 NaN 19350 COTTON2 _ROLL_PSEUDO_STRATEGY 2025-10-20 19:00:00 2025-10-21 14:10:45.964000 2025-10-21 13:11:42 69045.964 NaN 19352 COTTON2 _ROLL_PSEUDO_STRATEGY 2025-10-20 19:00:00 2025-10-21 14:21:46.379000 2025-10-21 13:21:46 69706.379 NaN 19354 COTTON2 _ROLL_PSEUDO_STRATEGY 2025-10-20 19:00:00 2025-10-21 14:28:05.014000 2025-10-21 13:28:13 70085.014 NaN 19355 COTTON2 _ROLL_PSEUDO_STRATEGY 2025-10-20 19:00:00 2025-10-21 14:28:17.819000 2025-10-21 13:28:17 70097.819 NaN 19356 COTTON2 _ROLL_PSEUDO_STRATEGY 2025-10-20 19:00:00 2025-10-21 14:29:17.950000 2025-10-21 13:29:18 70157.95 NaN 19357 US5 caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 15:00:39.798000 2025-10-21 14:02:21 140439.798 NaN 19358 SP500_micro caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 15:02:22.570000 2025-10-21 14:02:22 140542.57 NaN 19359 NZD caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 15:02:23.474000 2025-10-21 14:02:23 140543.474 NaN 19360 LEANHOG caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 15:30:32.578000 2025-10-21 14:30:42 142232.578 NaN 19361 LEANHOG caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 15:31:32.094000 2025-10-21 19:45:09.020000 142292.094 15216.926 19362 LEANHOG caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 15:41:35.875000 2025-10-21 14:41:35 142895.875 NaN 19353 SUGAR11 caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 14:21:50.060000 2025-10-21 13:28:04 138110.06 NaN 19349 SUGAR11 caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 14:00:44.370000 2025-10-21 19:45:08.907000 136844.37 20664.537 19351 SUGAR11 caleb_strategy_v3 2025-10-20 00:00:00 2025-10-21 14:11:45.667000 2025-10-21 19:45:08.963000 137505.667 20003.296 =========================================================================================================================================================================================================================================== 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 19347 NIKKEI caleb_strategy_v3 [-1] 49695.0 None 49912.5 49910.0 49915.0 49915.0 49945.0 217.5 -2.5 35.0 30.0 NaN 32.5 19348 DAX caleb_strategy_v3 [-1] 24424.0 None 24372.0 24371.0 24373.0 24373.0 24393.0 -52.0 -1.0 22.0 20.0 NaN 21.0 19350 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] -1.61 None -1.595 -1.58 -1.61 -1.61 -1.57 -0.015 -0.015 -0.01 -0.04 NaN -0.025 19352 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] -1.61 None -0.785 -1.57 0.0 0.0 -1.57 -0.825 0.785 0.0 1.57 NaN 0.785 19354 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] -1.61 None -1.575 -1.55 -1.6 -1.6 -1.56 -0.035 -0.025 0.01 -0.04 NaN -0.015 19355 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] -1.61 None -0.775 -1.55 0.0 0.0 -1.56 -0.835 0.775 0.01 1.56 NaN 0.785 19356 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] -1.61 None -0.775 -1.55 0.0 0.0 -1.56 -0.835 0.775 0.01 1.56 NaN 0.785 19357 US5 caleb_strategy_v3 [1] 109.851562 None 109.972656 109.976562 109.96875 109.96875 109.96875 -0.121094 -0.003906 0.007812 0.0 NaN 0.003906 19358 SP500_micro caleb_strategy_v3 [1] 6779.75 None 6768.375 6768.5 6768.25 6768.25 6760.75 11.375 -0.125 7.75 7.5 NaN 7.625 19359 NZD caleb_strategy_v3 [-1] 0.57605 None 0.573575 0.57355 0.5736 0.5736 0.5736 -0.002475 -0.000025 0.00005 -0.0 NaN 0.000025 19360 LEANHOG caleb_strategy_v3 [-1] 84.85 None 84.825 84.8 84.85 84.85 84.85 -0.025 -0.025 0.05 -0.0 NaN 0.025 19361 LEANHOG caleb_strategy_v3 [-1] 84.85 None 42.4125 84.825 0.0 0.0 NaN -42.4375 42.4125 NaN NaN NaN NaN 19362 LEANHOG caleb_strategy_v3 [-1] 84.85 None 84.875 84.85 84.9 84.9 85.025 0.025 -0.025 0.175 0.125 NaN 0.15 19353 SUGAR11 caleb_strategy_v3 [1] 15.25 None 15.015 15.02 15.01 15.01 15.07 0.235 -0.005 -0.05 -0.06 NaN -0.055 19349 SUGAR11 caleb_strategy_v3 [1] 15.25 None 14.98 14.99 14.97 14.97 NaN 0.27 -0.01 NaN NaN NaN NaN 19351 SUGAR11 caleb_strategy_v3 [1] 15.25 None 7.5 15.0 0.0 0.0 NaN 7.75 -7.5 NaN NaN NaN NaN ========================================================================================================================================================================== 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 19347 NIKKEI caleb_strategy_v3 [-1] 11345.801436 191.700869 -2.203458 30.848416 26.441499 NaN 28.644958 19348 DAX caleb_strategy_v3 [-1] 3273.164199 -158.867679 -3.055148 67.213249 61.102954 NaN 64.158101 19350 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 8.733823 -17.174609 -17.174609 -11.449739 -45.798956 NaN -28.624348 19352 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 8.733823 -944.603475 898.804519 0.0 1797.609038 NaN 898.804519 19354 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 8.733823 -40.074087 -28.624348 11.449739 -45.798956 NaN -17.174609 19355 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 8.733823 -956.053214 887.35478 11.449739 1786.159299 NaN 898.804519 19356 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 8.733823 -956.053214 887.35478 11.449739 1786.159299 NaN 898.804519 19357 US5 caleb_strategy_v3 [1] 3.336071 -362.983095 -11.709132 23.418264 0.0 NaN 11.709132 19358 SP500_micro caleb_strategy_v3 [1] 947.785467 120.016611 -1.318864 81.769559 79.131832 NaN 80.450696 19359 NZD caleb_strategy_v3 [-1] 0.044194 -560.036297 -5.656932 11.313865 -0.0 NaN 5.656932 19360 LEANHOG caleb_strategy_v3 [-1] 16.690206 -14.978845 -14.978845 29.957689 -0.0 NaN 14.978845 19361 LEANHOG caleb_strategy_v3 [-1] 16.690206 -25426.588791 25411.609946 NaN NaN NaN NaN 19362 LEANHOG caleb_strategy_v3 [-1] 16.690206 14.978845 -14.978845 104.851913 74.894223 NaN 89.873068 19353 SUGAR11 caleb_strategy_v3 [1] 4.10698 572.196562 -12.174395 -121.743949 -146.092739 NaN -133.918344 19349 SUGAR11 caleb_strategy_v3 [1] 4.10698 657.417326 -24.34879 NaN NaN NaN NaN 19351 SUGAR11 caleb_strategy_v3 [1] 4.10698 18870.312149 -18261.592402 NaN NaN NaN NaN ================================================================================================================================================================================ 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 19347 NIKKEI caleb_strategy_v3 [-1] 0.65977 143.499947 -1.649425 23.091946 19.793096 NaN 21.442521 19348 DAX caleb_strategy_v3 [-1] 1.16222 -60.43544 -1.16222 25.56884 23.2444 NaN 24.40662 19350 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 500.0 -7.5 -7.5 -5.0 -20.0 NaN -12.5 19352 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 500.0 -412.5 392.5 0.0 785.0 NaN 392.5 19354 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 500.0 -17.5 -12.5 5.0 -20.0 NaN -7.5 19355 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 500.0 -417.5 387.5 5.0 780.0 NaN 392.5 19356 COTTON2 _ROLL_PSEUDO_STRATEGY [1, -1] 500.0 -417.5 387.5 5.0 780.0 NaN 392.5 19357 US5 caleb_strategy_v3 [1] 1000.0 -121.09375 -3.90625 7.8125 0.0 NaN 3.90625 19358 SP500_micro caleb_strategy_v3 [1] 5.0 56.875 -0.625 38.75 37.5 NaN 38.125 19359 NZD caleb_strategy_v3 [-1] 100000.0 -247.5 -2.5 5.0 -0.0 NaN 2.5 19360 LEANHOG caleb_strategy_v3 [-1] 400.0 -10.0 -10.0 20.0 -0.0 NaN 10.0 19361 LEANHOG caleb_strategy_v3 [-1] 400.0 -16975.0 16965.0 NaN NaN NaN NaN 19362 LEANHOG caleb_strategy_v3 [-1] 400.0 10.0 -10.0 70.0 50.0 NaN 60.0 19353 SUGAR11 caleb_strategy_v3 [1] 1120.0 263.2 -5.6 -56.0 -67.2 NaN -61.6 19349 SUGAR11 caleb_strategy_v3 [1] 1120.0 302.4 -11.2 NaN NaN NaN NaN 19351 SUGAR11 caleb_strategy_v3 [1] 1120.0 8680.0 -8400.0 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -1272.5 caleb_strategy_v3 DAX -60.43544 LEANHOG -16975.0 NIKKEI 143.499947 NZD -247.5 SP500_micro 56.875 SUGAR11 9245.6 US5 -121.09375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1272.5 caleb_strategy_v3 -7958.054243 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 1147.5 caleb_strategy_v3 DAX -1.16222 LEANHOG 16945.0 NIKKEI -1.649425 NZD -2.5 SP500_micro -0.625 SUGAR11 -8416.8 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 1147.5 caleb_strategy_v3 8518.357105 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 10.0 caleb_strategy_v3 DAX 25.56884 LEANHOG 90.0 NIKKEI 23.091946 NZD 5.0 SP500_micro 38.75 SUGAR11 -56.0 US5 7.8125 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.0 caleb_strategy_v3 134.223286 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 2305.0 caleb_strategy_v3 DAX 23.2444 LEANHOG 50.0 NIKKEI 19.793096 NZD -0.0 SP500_micro 37.5 SUGAR11 -67.2 US5 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 2305.0 caleb_strategy_v3 63.337496 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 0 caleb_strategy_v3 DAX 0 LEANHOG 0 NIKKEI 0 NZD 0 SP500_micro 0 SUGAR11 0 US5 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 COTTON2 1157.5 caleb_strategy_v3 DAX 24.40662 LEANHOG 70.0 NIKKEI 21.442521 NZD 2.5 SP500_micro 38.125 SUGAR11 -61.6 US5 3.90625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1157.5 caleb_strategy_v3 98.780391 ******************************************************************************** END OF REPORT ********************************************************************************