******************************************************************************** Trades report produced on 29/10/2025 21:39 from 28/10/2025 21:39 to 29/10/2025 21:39 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19508 DOW caleb_strategy_v3 [20251200] 2025-10-29 15:01:59.000 [1] 48110.000 19510 DOW caleb_strategy_v3 [20251200] 2025-10-29 19:45:08.805 [0] NaN 19511 DOW caleb_strategy_v3 [20251200] 2025-10-29 15:15:44.000 [1] 48141.000 19512 FEEDCOW _ROLL_PSEUDO_STRATEGY [20260100, 20260300] 2025-10-29 15:31:14.000 [-1, 1] 5.425 19498 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:01:29.000 [1, -1] -0.290 19499 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:01:42.000 [1, -1] -0.290 19500 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:02:49.000 [1, -1] -0.290 19501 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:03:42.000 [1, -1] -0.290 19502 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:09:12.000 [1, -1] -0.290 19503 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:09:17.000 [1, -1] -0.290 19504 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:10:24.000 [1, -1] -0.290 19505 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:11:17.000 [1, -1] -0.290 19506 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:12:22.000 [1, -1] -0.290 19507 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20251200, 20260100] 2025-10-29 14:13:17.000 [1, -1] -0.290 19509 RUSSELL caleb_strategy_v3 [20251200] 2025-10-29 15:02:00.000 [-1] 2527.100 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19498 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:00:42.066000 2025-10-29 14:01:29 68442.066 46.934 19499 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:01:41.486000 2025-10-29 14:01:42 68501.486 0.514 19500 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:02:41.671000 2025-10-29 14:02:49 68561.671 7.329 19501 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:03:41.690000 2025-10-29 14:03:42 68621.69 0.31 19502 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:04:41.779000 2025-10-29 14:09:12 68681.779 270.221 19503 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:09:16.452000 2025-10-29 14:09:17 68956.452 0.548 19504 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:10:16.457000 2025-10-29 14:10:24 69016.457 7.543 19505 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:11:16.377000 2025-10-29 14:11:17 69076.377 0.623 19506 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:12:16.578000 2025-10-29 14:12:22 69136.578 5.422 19507 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2025-10-28 19:00:00 2025-10-29 14:13:16.502000 2025-10-29 14:13:17 69196.502 0.498 19509 RUSSELL caleb_strategy_v3 2025-10-28 00:00:00 2025-10-29 15:02:00.196000 2025-10-29 15:02:00 140520.196 NaN 19512 FEEDCOW _ROLL_PSEUDO_STRATEGY 2025-10-28 18:00:00 2025-10-29 15:30:51.426000 2025-10-29 15:31:14 77451.426 22.574 19508 DOW caleb_strategy_v3 2025-10-28 00:00:00 2025-10-29 15:00:44.778000 2025-10-29 15:01:59 140444.778 74.222 19510 DOW caleb_strategy_v3 2025-10-28 00:00:00 2025-10-29 15:02:03.561000 2025-10-29 19:45:08.805000 140523.561 16985.244 19511 DOW caleb_strategy_v3 2025-10-28 00:00:00 2025-10-29 15:12:06.599000 2025-10-29 15:15:44 141126.599 217.401 ====================================================================================================================================================================================================================================== 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 19498 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.2875 -0.28 -0.295 -0.295 -0.29 0.0025 -0.0075 0.01 -0.005 NaN 0.0025 19499 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.1425 -0.285 0.0 0.0 -0.29 -0.1425 0.1425 0.005 0.29 NaN 0.1475 19500 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.285 -0.28 -0.29 -0.29 -0.29 -0.0 -0.005 0.01 0.0 NaN 0.005 19501 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.14 -0.28 0.0 0.0 -0.29 -0.145 0.14 0.01 0.29 NaN 0.15 19502 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.2875 -0.28 -0.295 -0.295 -0.29 0.0025 -0.0075 0.01 -0.005 NaN 0.0025 19503 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.1425 -0.285 0.0 0.0 -0.29 -0.1425 0.1425 0.005 0.29 NaN 0.1475 19504 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.2925 -0.285 -0.3 -0.3 -0.29 0.0075 -0.0075 0.005 -0.01 NaN -0.0025 19505 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.14 -0.28 0.0 0.0 -0.29 -0.145 0.14 0.01 0.29 NaN 0.15 19506 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.2925 -0.285 -0.3 -0.3 -0.29 0.0075 -0.0075 0.005 -0.01 NaN -0.0025 19507 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.1425 -0.285 0.0 0.0 -0.29 -0.1425 0.1425 0.005 0.29 NaN 0.1475 19509 RUSSELL caleb_strategy_v3 [-1] 2518.7 None 2519.45 2519.4 2519.5 2519.5 2527.1 0.75 -0.05 7.7 7.6 NaN 7.65 19512 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 5.2 None 5.6 5.475 5.725 5.725 5.425 0.4 -0.125 -0.05 -0.3 NaN -0.175 19508 DOW caleb_strategy_v3 [1] 47937.0 None 48072.0 48073.0 48071.0 48071.0 48110.0 -135.0 -1.0 -37.0 -39.0 NaN -38.0 19510 DOW caleb_strategy_v3 [1] 47937.0 None 24055.0 48110.0 0.0 0.0 NaN 23882.0 -24055.0 NaN NaN NaN NaN 19511 DOW caleb_strategy_v3 [1] 47937.0 None 48111.0 48112.0 48110.0 48110.0 48141.0 -174.0 -1.0 -29.0 -31.0 NaN -30.0 ========================================================================================================================================================================== 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 19498 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 16.068797 -48.20639 64.275187 -32.137593 NaN 16.068797 19499 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 -915.921413 915.921413 32.137593 1863.980419 NaN 948.059006 19500 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 -0.0 -32.137593 64.275187 0.0 NaN 32.137593 19501 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 -931.990209 899.852616 64.275187 1863.980419 NaN 964.127803 19502 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 16.068797 -48.20639 64.275187 -32.137593 NaN 16.068797 19503 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 -915.921413 915.921413 32.137593 1863.980419 NaN 948.059006 19504 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 48.20639 -48.20639 32.137593 -64.275187 NaN -16.068797 19505 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 -931.990209 899.852616 64.275187 1863.980419 NaN 964.127803 19506 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 48.20639 -48.20639 32.137593 -64.275187 NaN -16.068797 19507 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.55581 -915.921413 915.921413 32.137593 1863.980419 NaN 948.059006 19509 RUSSELL caleb_strategy_v3 [-1] 519.039654 14.449763 -0.963318 148.350901 146.424265 NaN 147.387583 19512 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 84.901228 47.113571 -14.722991 -5.889196 -35.335178 NaN -20.612187 19508 DOW caleb_strategy_v3 [1] 5592.407352 -241.398724 -1.788139 -66.161132 -69.737409 NaN -67.949271 19510 DOW caleb_strategy_v3 [1] 5592.407352 42704.328383 -43013.676378 NaN NaN NaN NaN 19511 DOW caleb_strategy_v3 [1] 5592.407352 -311.136133 -1.788139 -51.856022 -55.4323 NaN -53.644161 =============================================================================================================================================================================== 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 19498 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 6.25 -18.75 25.0 -12.5 NaN 6.25 19499 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -356.25 356.25 12.5 725.0 NaN 368.75 19500 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -0.0 -12.5 25.0 0.0 NaN 12.5 19501 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -362.5 350.0 25.0 725.0 NaN 375.0 19502 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 6.25 -18.75 25.0 -12.5 NaN 6.25 19503 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -356.25 356.25 12.5 725.0 NaN 368.75 19504 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 18.75 -18.75 12.5 -25.0 NaN -6.25 19505 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -362.5 350.0 25.0 725.0 NaN 375.0 19506 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 18.75 -18.75 12.5 -25.0 NaN -6.25 19507 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 -356.25 356.25 12.5 725.0 NaN 368.75 19509 RUSSELL caleb_strategy_v3 [-1] 5.0 3.75 -0.25 38.5 38.0 NaN 38.25 19512 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 200.0 -62.5 -25.0 -150.0 NaN -87.5 19508 DOW caleb_strategy_v3 [1] 0.5 -67.5 -0.5 -18.5 -19.5 NaN -19.0 19510 DOW caleb_strategy_v3 [1] 0.5 11941.0 -12027.5 NaN NaN NaN NaN 19511 DOW caleb_strategy_v3 [1] 0.5 -87.0 -0.5 -14.5 -15.5 NaN -15.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 200.0 GAS_US_mini -1743.75 caleb_strategy_v3 DOW 11786.5 RUSSELL 3.75 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1543.75 caleb_strategy_v3 11790.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -62.5 GAS_US_mini 1681.25 caleb_strategy_v3 DOW -12028.5 RUSSELL -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 1618.75 caleb_strategy_v3 -12028.75 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -25.0 GAS_US_mini 187.5 caleb_strategy_v3 DOW -33.0 RUSSELL 38.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 162.5 caleb_strategy_v3 5.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -150.0 GAS_US_mini 3550.0 caleb_strategy_v3 DOW -35.0 RUSSELL 38.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 3400.0 caleb_strategy_v3 3.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 GAS_US_mini 0 caleb_strategy_v3 DOW 0 RUSSELL 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 FEEDCOW -87.5 GAS_US_mini 1868.75 caleb_strategy_v3 DOW -34.0 RUSSELL 38.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1781.25 caleb_strategy_v3 4.25 ******************************************************************************** END OF REPORT ********************************************************************************