******************************************************************************** Trades report produced on 23/10/2025 21:39 from 22/10/2025 21:39 to 23/10/2025 21:39 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 19400 DOW caleb_strategy_v3 [20251200] 2025-10-23 14:01:39.000 [1] 46809.000 19402 DOW caleb_strategy_v3 [20251200] 2025-10-23 14:11:43.000 [1] 46761.000 19398 DOW caleb_strategy_v3 [20251200] 2025-10-23 14:00:41.000 [1] 46818.000 19396 GAS_US_mini caleb_strategy_v3 [20251200] 2025-10-23 13:01:11.000 [1] 4.035 19391 NIKKEI caleb_strategy_v3 [20251200] 2025-10-23 19:45:00.637 [0] NaN 19394 NIKKEI caleb_strategy_v3 [20251200] 2025-10-23 19:45:00.715 [0] NaN 19393 NIKKEI caleb_strategy_v3 [20251200] 2025-10-23 02:21:24.000 [-1] 48710.000 19395 NIKKEI caleb_strategy_v3 [20251200] 2025-10-23 02:32:27.000 [-1] 48730.000 19392 NIKKEI caleb_strategy_v3 [20251200] 2025-10-23 19:45:00.676 [0] NaN 19408 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 14:35:41.000 [-1] 2481.600 19399 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 14:00:43.000 [-1] 2483.600 19401 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 19:45:00.751 [0] NaN 19403 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 19:45:00.788 [0] NaN 19404 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 19:45:00.826 [0] NaN 19406 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 14:34:37.000 [-1] 2480.500 19407 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 14:34:41.000 [-1] 2480.600 19409 RUSSELL caleb_strategy_v3 [20251200] 2025-10-23 14:36:42.000 [-1] 2482.400 19405 SOYMEAL caleb_strategy_v3 [20260300] 2025-10-23 14:34:37.000 [1] 294.900 19397 SP500_micro caleb_strategy_v3 [20251200] 2025-10-23 14:00:40.000 [1] 6758.250 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19396 GAS_US_mini caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 14:00:12.074000 2025-10-23 13:01:11 136812.074 NaN 19397 SP500_micro caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:00:40.026000 2025-10-23 14:00:40 140440.026 NaN 19400 DOW caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:01:39.131000 2025-10-23 14:01:39 140499.131 NaN 19402 DOW caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:11:43.341000 2025-10-23 14:11:43 141103.341 NaN 19398 DOW caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:00:41.270000 2025-10-23 14:00:41 140441.27 NaN 19405 SOYMEAL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:31:52.110000 2025-10-23 14:34:37 142312.11 NaN 19392 NIKKEI caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 03:11:19.943000 2025-10-23 19:45:00.676000 97879.943 59620.733 19393 NIKKEI caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 03:21:23.499000 2025-10-23 02:21:24 98483.499 NaN 19394 NIKKEI caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 03:22:23.528000 2025-10-23 19:45:00.715000 98543.528 58957.187 19395 NIKKEI caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 03:32:27.115000 2025-10-23 02:32:27 99147.115 NaN 19391 NIKKEI caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 03:01:16.074000 2025-10-23 19:45:00.637000 97276.074 60224.563 19399 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:00:42.554000 2025-10-23 14:00:43 140442.554 NaN 19401 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:01:39.705000 2025-10-23 19:45:00.751000 140499.705 17001.046 19403 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:11:43.935000 2025-10-23 19:45:00.788000 141103.935 16396.853 19404 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:21:47.742000 2025-10-23 19:45:00.826000 141707.742 15793.084 19406 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:34:37.831000 2025-10-23 14:34:37 142477.831 NaN 19407 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:34:41.714000 2025-10-23 14:34:41 142481.714 NaN 19408 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:35:41.946000 2025-10-23 14:35:41 142541.946 NaN 19409 RUSSELL caleb_strategy_v3 2025-10-22 00:00:00 2025-10-23 15:36:42.364000 2025-10-23 14:36:42 142602.364 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 19396 GAS_US_mini caleb_strategy_v3 [1] 4.06 None 4.0225 4.025 4.02 4.02 4.035 0.0375 -0.0025 -0.01 -0.015 NaN -0.0125 19397 SP500_micro caleb_strategy_v3 [1] 6720.25 None 6763.125 6763.25 6763.0 6763.0 6758.25 -42.875 -0.125 5.0 4.75 NaN 4.875 19400 DOW caleb_strategy_v3 [1] 46748.0 None 46875.5 46876.0 46875.0 46875.0 46809.0 -127.5 -0.5 67.0 66.0 NaN 66.5 19402 DOW caleb_strategy_v3 [1] 46748.0 None 46896.0 46897.0 46895.0 46895.0 46761.0 -148.0 -1.0 136.0 134.0 NaN 135.0 19398 DOW caleb_strategy_v3 [1] 46748.0 None 46875.5 46876.0 46875.0 46875.0 46818.0 -127.5 -0.5 58.0 57.0 NaN 57.5 19405 SOYMEAL caleb_strategy_v3 [1] 295.3 None 294.65 294.7 294.6 294.6 294.9 0.65 -0.05 -0.2 -0.3 NaN -0.25 19392 NIKKEI caleb_strategy_v3 [-1] 48615.0 None 24365.0 48730.0 0.0 0.0 NaN -24250.0 24365.0 NaN NaN NaN NaN 19393 NIKKEI caleb_strategy_v3 [-1] 48615.0 None 48717.5 48715.0 48720.0 48720.0 48710.0 102.5 -2.5 -5.0 -10.0 NaN -7.5 19394 NIKKEI caleb_strategy_v3 [-1] 48615.0 None 24355.0 48710.0 0.0 0.0 NaN -24260.0 24355.0 NaN NaN NaN NaN 19395 NIKKEI caleb_strategy_v3 [-1] 48615.0 None 48657.5 48655.0 48660.0 48660.0 48730.0 42.5 -2.5 75.0 70.0 NaN 72.5 19391 NIKKEI caleb_strategy_v3 [-1] 48615.0 None 48762.5 48760.0 48765.0 48765.0 NaN 147.5 -2.5 NaN NaN NaN NaN 19399 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 2483.55 2483.5 2483.6 2483.6 2483.6 29.55 -0.05 0.1 -0.0 NaN 0.05 19401 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 1241.75 2483.5 0.0 0.0 NaN -1212.25 1241.75 NaN NaN NaN NaN 19403 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 2482.9 2482.8 2483.0 2483.0 NaN 28.9 -0.1 NaN NaN NaN NaN 19404 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 1236.85 2473.7 0.0 0.0 NaN -1217.15 1236.85 NaN NaN NaN NaN 19406 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 2472.95 2472.9 2473.0 2473.0 2480.5 18.95 -0.05 7.6 7.5 NaN 7.55 19407 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 2475.95 2475.9 2476.0 2476.0 2480.6 21.95 -0.05 4.7 4.6 NaN 4.65 19408 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 2475.95 2475.9 2476.0 2476.0 2481.6 21.95 -0.05 5.7 5.6 NaN 5.65 19409 RUSSELL caleb_strategy_v3 [-1] 2454.0 None 2475.6 2475.5 2475.7 2475.7 2482.4 21.6 -0.1 6.9 6.7 NaN 6.8 =================================================================================================================================================================== 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 19396 GAS_US_mini caleb_strategy_v3 [1] 1.59674 234.853518 -15.656901 -62.627605 -93.941407 NaN -78.284506 19397 SP500_micro caleb_strategy_v3 [1] 926.89994 -462.563413 -1.348581 53.943255 51.246092 NaN 52.594674 19400 DOW caleb_strategy_v3 [1] 5787.197097 -220.313906 -0.863976 115.772798 114.044846 NaN 114.908822 19402 DOW caleb_strategy_v3 [1] 5787.197097 -255.736927 -1.727952 235.0015 231.545596 NaN 233.273548 19398 DOW caleb_strategy_v3 [1] 5787.197097 -220.313906 -0.863976 100.221228 98.493276 NaN 99.357252 19405 SOYMEAL caleb_strategy_v3 [1] 40.300143 161.289751 -12.406904 -49.627616 -74.441424 NaN -62.03452 19392 NIKKEI caleb_strategy_v3 [-1] 10978.426051 -22088.776557 22193.527456 NaN NaN NaN NaN 19393 NIKKEI caleb_strategy_v3 [-1] 10978.426051 93.364932 -2.277193 -4.554387 -9.108774 NaN -6.83158 19394 NIKKEI caleb_strategy_v3 [-1] 10978.426051 -22097.885331 22184.418683 NaN NaN NaN NaN 19395 NIKKEI caleb_strategy_v3 [-1] 10978.426051 38.712289 -2.277193 68.315804 63.761417 NaN 66.03861 19391 NIKKEI caleb_strategy_v3 [-1] 10978.426051 134.354414 -2.277193 NaN NaN NaN NaN 19399 RUSSELL caleb_strategy_v3 [-1] 552.969374 534.387642 -0.904209 1.808418 -0.0 NaN 0.904209 19401 RUSSELL caleb_strategy_v3 [-1] 552.969374 -21922.552267 22456.0357 NaN NaN NaN NaN 19403 RUSSELL caleb_strategy_v3 [-1] 552.969374 522.632923 -1.808418 NaN NaN NaN NaN 19404 RUSSELL caleb_strategy_v3 [-1] 552.969374 -22011.164769 22367.423197 NaN NaN NaN NaN 19406 RUSSELL caleb_strategy_v3 [-1] 552.969374 342.69529 -0.904209 137.4398 135.631381 NaN 136.535591 19407 RUSSELL caleb_strategy_v3 [-1] 552.969374 396.947843 -0.904209 84.995666 83.187247 NaN 84.091456 19408 RUSSELL caleb_strategy_v3 [-1] 552.969374 396.947843 -0.904209 103.07985 101.271431 NaN 102.175641 19409 RUSSELL caleb_strategy_v3 [-1] 552.969374 390.618378 -1.808418 124.780871 121.164034 NaN 122.972452 ============================================================================================================================================================================ 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 19396 GAS_US_mini caleb_strategy_v3 [1] 2500.0 93.75 -6.25 -25.0 -37.5 NaN -31.25 19397 SP500_micro caleb_strategy_v3 [1] 5.0 -214.375 -0.625 25.0 23.75 NaN 24.375 19400 DOW caleb_strategy_v3 [1] 0.5 -63.75 -0.25 33.5 33.0 NaN 33.25 19402 DOW caleb_strategy_v3 [1] 0.5 -74.0 -0.5 68.0 67.0 NaN 67.5 19398 DOW caleb_strategy_v3 [1] 0.5 -63.75 -0.25 29.0 28.5 NaN 28.75 19405 SOYMEAL caleb_strategy_v3 [1] 100.0 65.0 -5.0 -20.0 -30.0 NaN -25.0 19392 NIKKEI caleb_strategy_v3 [-1] 0.656349 -15916.459917 15991.940036 NaN NaN NaN NaN 19393 NIKKEI caleb_strategy_v3 [-1] 0.656349 67.275758 -1.640872 -3.281744 -6.563489 NaN -4.922616 19394 NIKKEI caleb_strategy_v3 [-1] 0.656349 -15923.023405 15985.376547 NaN NaN NaN NaN 19395 NIKKEI caleb_strategy_v3 [-1] 0.656349 27.894827 -1.640872 49.226165 45.94442 NaN 47.585293 19391 NIKKEI caleb_strategy_v3 [-1] 0.656349 96.811457 -1.640872 NaN NaN NaN NaN 19399 RUSSELL caleb_strategy_v3 [-1] 5.0 147.75 -0.25 0.5 -0.0 NaN 0.25 19401 RUSSELL caleb_strategy_v3 [-1] 5.0 -6061.25 6208.75 NaN NaN NaN NaN 19403 RUSSELL caleb_strategy_v3 [-1] 5.0 144.5 -0.5 NaN NaN NaN NaN 19404 RUSSELL caleb_strategy_v3 [-1] 5.0 -6085.75 6184.25 NaN NaN NaN NaN 19406 RUSSELL caleb_strategy_v3 [-1] 5.0 94.75 -0.25 38.0 37.5 NaN 37.75 19407 RUSSELL caleb_strategy_v3 [-1] 5.0 109.75 -0.25 23.5 23.0 NaN 23.25 19408 RUSSELL caleb_strategy_v3 [-1] 5.0 109.75 -0.25 28.5 28.0 NaN 28.25 19409 RUSSELL caleb_strategy_v3 [-1] 5.0 108.0 -0.5 34.5 33.5 NaN 34.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW -201.5 GAS_US_mini 93.75 NIKKEI -31647.50128 RUSSELL -11432.5 SOYMEAL 65.0 SP500_micro -214.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -43337.12628 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.0 GAS_US_mini -6.25 NIKKEI 31972.393967 RUSSELL 12391.0 SOYMEAL -5.0 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 44350.518967 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 130.5 GAS_US_mini -25.0 NIKKEI 45.94442 RUSSELL 125.0 SOYMEAL -20.0 SP500_micro 25.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 281.44442 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 128.5 GAS_US_mini -37.5 NIKKEI 39.380932 RUSSELL 122.0 SOYMEAL -30.0 SP500_micro 23.75 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 246.130932 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 GAS_US_mini 0 NIKKEI 0 RUSSELL 0 SOYMEAL 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 129.5 GAS_US_mini -31.25 NIKKEI 42.662676 RUSSELL 123.5 SOYMEAL -25.0 SP500_micro 24.375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 263.787676 ******************************************************************************** END OF REPORT ********************************************************************************