******************************************************************************** Trades report produced on 06/11/2025 21:39 from 05/11/2025 21:39 to 06/11/2025 21:39 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19591 CANOLA _ROLL_PSEUDO_STRATEGY [20260100, 20260300] 2025-11-06 14:05:41.000 [-1, 1] -11.300000 19590 DAX caleb_strategy_v3 [20251200] 2025-11-06 08:00:29.000 [1] 24089.000000 19594 MXP caleb_strategy_v3 [20251200] 2025-11-06 19:45:02.115 [0] NaN 19595 MXP caleb_strategy_v3 [20251200] 2025-11-06 19:45:02.134 [0] NaN 19596 MXP caleb_strategy_v3 [20251200] 2025-11-06 15:20:47.000 [-1] 0.053480 19592 SILVER-mini _ROLL_PSEUDO_STRATEGY [20260100, 20260300] 2025-11-06 14:07:10.000 [-1, 1] -0.412500 19593 US10U caleb_strategy_v3 [20251200] 2025-11-06 15:00:22.000 [-1] 115.515625 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19590 DAX caleb_strategy_v3 2025-11-05 00:00:00 2025-11-06 08:00:28.906000 2025-11-06 08:00:29 115228.906 0.094 19591 CANOLA _ROLL_PSEUDO_STRATEGY 2025-11-05 19:00:00 2025-11-06 14:00:41.046000 2025-11-06 14:05:41 68441.046 299.954 19592 SILVER-mini _ROLL_PSEUDO_STRATEGY 2025-11-05 17:00:00 2025-11-06 14:05:42.922000 2025-11-06 14:07:10 75942.922 87.078 19593 US10U caleb_strategy_v3 2025-11-05 00:00:00 2025-11-06 15:00:22.158000 2025-11-06 15:00:22 140422.158 NaN 19594 MXP caleb_strategy_v3 2025-11-05 00:00:00 2025-11-06 15:00:23.450000 2025-11-06 19:45:02.115000 140423.45 17078.665 19595 MXP caleb_strategy_v3 2025-11-05 00:00:00 2025-11-06 15:10:44.362000 2025-11-06 19:45:02.134000 141044.362 16457.772 19596 MXP caleb_strategy_v3 2025-11-05 00:00:00 2025-11-06 15:20:47.769000 2025-11-06 15:20:47 141647.769 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 19590 DAX caleb_strategy_v3 [1] 24179.0 None 24136.5 24138.0 24135.0 24135.0 24089.0 42.5 -1.5 49.0 46.0 NaN 47.5 19591 CANOLA _ROLL_PSEUDO_STRATEGY [-1, 1] -11.0 None -11.35 -11.5 -11.2 -11.2 -11.3 -0.35 -0.15 0.2 -0.1 NaN 0.05 19592 SILVER-mini _ROLL_PSEUDO_STRATEGY [-1, 1] -0.3375 None -0.38125 -0.425 -0.3375 -0.3375 -0.4125 -0.04375 -0.04375 0.0125 -0.075 NaN -0.03125 19593 US10U caleb_strategy_v3 [-1] 114.984375 None 115.460938 115.453125 115.46875 115.46875 115.515625 0.476562 -0.007812 0.0625 0.046875 NaN 0.054688 19594 MXP caleb_strategy_v3 [-1] 0.05357 None 0.053535 0.05353 0.05354 0.05354 NaN -0.000035 -0.000005 NaN NaN NaN NaN 19595 MXP caleb_strategy_v3 [-1] 0.05357 None 0.02675 0.0535 0.0 0.0 NaN -0.02682 0.02675 NaN NaN NaN NaN 19596 MXP caleb_strategy_v3 [-1] 0.05357 None 0.053465 0.05346 0.05347 0.05347 0.05348 -0.000105 -0.000005 0.00002 0.00001 NaN 0.000015 ========================================================================================================================================================================== 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 19590 DAX caleb_strategy_v3 [1] 2986.949468 142.285634 -5.021846 164.046967 154.003275 NaN 159.025121 19591 CANOLA _ROLL_PSEUDO_STRATEGY [-1, 1] 109.493246 -31.965442 -13.699475 18.265967 -9.132983 NaN 4.566492 19592 SILVER-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 15.750718 -27.776512 -27.776512 7.936146 -47.616877 NaN -19.840365 19593 US10U caleb_strategy_v3 [-1] 6.427164 741.481775 -12.155439 97.243511 72.932634 NaN 85.088072 19594 MXP caleb_strategy_v3 [-1] 0.004406 -79.434821 -11.347832 NaN NaN NaN NaN 19595 MXP caleb_strategy_v3 [-1] 0.004406 -60869.768677 60710.899035 NaN NaN NaN NaN 19596 MXP caleb_strategy_v3 [-1] 0.004406 -238.304464 -11.347832 45.391326 22.695663 NaN 34.043495 =============================================================================================================================================================================== 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 19590 DAX caleb_strategy_v3 [1] 1.15079 48.908575 -1.726185 56.38871 52.93634 NaN 54.662525 19591 CANOLA _ROLL_PSEUDO_STRATEGY [-1, 1] 14.182486 -4.96387 -2.127373 2.836497 -1.418249 NaN 0.709124 19592 SILVER-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 2500.0 -109.375 -109.375 31.25 -187.5 NaN -78.125 19593 US10U caleb_strategy_v3 [-1] 1000.0 476.5625 -7.8125 62.5 46.875 NaN 54.6875 19594 MXP caleb_strategy_v3 [-1] 500000.0 -17.5 -2.5 NaN NaN NaN NaN 19595 MXP caleb_strategy_v3 [-1] 500000.0 -13410.0 13375.0 NaN NaN NaN NaN 19596 MXP caleb_strategy_v3 [-1] 500000.0 -52.5 -2.5 10.0 5.0 NaN 7.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -4.96387 SILVER-mini -109.375 caleb_strategy_v3 DAX 48.908575 MXP -13480.0 US10U 476.5625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -114.33887 caleb_strategy_v3 -12954.528925 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -2.127373 SILVER-mini -109.375 caleb_strategy_v3 DAX -1.726185 MXP 13370.0 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -111.502373 caleb_strategy_v3 13360.461315 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 2.836497 SILVER-mini 31.25 caleb_strategy_v3 DAX 56.38871 MXP 10.0 US10U 62.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 34.086497 caleb_strategy_v3 128.88871 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -1.418249 SILVER-mini -187.5 caleb_strategy_v3 DAX 52.93634 MXP 5.0 US10U 46.875 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -188.918249 caleb_strategy_v3 104.81134 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 0 SILVER-mini 0 caleb_strategy_v3 DAX 0 MXP 0 US10U 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 CANOLA 0.709124 SILVER-mini -78.125 caleb_strategy_v3 DAX 54.662525 MXP 7.5 US10U 54.6875 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -77.415876 caleb_strategy_v3 116.850025 ******************************************************************************** END OF REPORT ********************************************************************************