******************************************************************************** Trades report produced on 11/11/2025 21:39 from 10/11/2025 21:39 to 11/11/2025 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19656 DOW caleb_strategy_v3 [20251200] 2025-11-11 15:05:23 [1] 47538.00000 19655 MXP caleb_strategy_v3 [20251200] 2025-11-11 15:05:04 [1] 0.05437 19657 RUSSELL caleb_strategy_v3 [20251200] 2025-11-11 15:06:19 [1] 2461.00000 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19655 MXP caleb_strategy_v3 2025-11-10 00:00:00 2025-11-11 15:00:45.846000 2025-11-11 15:05:04 140445.846 258.154 19656 DOW caleb_strategy_v3 2025-11-10 00:00:00 2025-11-11 15:05:05.098000 2025-11-11 15:05:23 140705.098 17.902 19657 RUSSELL caleb_strategy_v3 2025-11-10 00:00:00 2025-11-11 15:05:24.410000 2025-11-11 15:06:19 140724.41 54.59 ================================================================================================================================================================================================================================= 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 19655 MXP caleb_strategy_v3 [1] 0.05422 None 0.054355 0.05436 0.05435 0.05435 0.05437 -0.000135 -0.000005 -0.00001 -0.00002 NaN -0.000015 19656 DOW caleb_strategy_v3 [1] 47485.0 None 47538.5 47539.0 47538.0 47538.0 47538.0 -53.5 -0.5 1.0 0.0 NaN 0.5 19657 RUSSELL caleb_strategy_v3 [1] 2474.7 None 2457.0 2457.1 2456.9 2456.9 2461.0 17.7 -0.1 -3.9 -4.1 NaN -4.0 =============================================================================================================================================================== 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 19655 MXP caleb_strategy_v3 [1] 0.004444 -303.784374 -11.251273 -22.502546 -45.005092 NaN -33.753819 19656 DOW caleb_strategy_v3 [1] 5465.690544 -97.883332 -0.914797 1.829595 0.0 NaN 0.914797 19657 RUSSELL caleb_strategy_v3 [1] 494.30739 358.076783 -2.023033 -78.898274 -82.94434 NaN -80.921307 ======================================================================================================================================================================== 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 19655 MXP caleb_strategy_v3 [1] 500000.0 -67.5 -2.5 -5.0 -10.0 NaN -7.5 19656 DOW caleb_strategy_v3 [1] 0.5 -26.75 -0.25 0.5 0.0 NaN 0.25 19657 RUSSELL caleb_strategy_v3 [1] 5.0 88.5 -0.5 -19.5 -20.5 NaN -20.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW -26.75 MXP -67.5 RUSSELL 88.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -5.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.25 MXP -2.5 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -3.25 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 0.5 MXP -5.0 RUSSELL -19.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -24.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0.0 MXP -10.0 RUSSELL -20.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -30.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 MXP 0 RUSSELL 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 0.25 MXP -7.5 RUSSELL -20.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -27.25 ******************************************************************************** END OF REPORT ********************************************************************************