******************************************************************************** Trades report produced on 25/11/2025 21:39 from 24/11/2025 21:39 to 25/11/2025 21:39 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 19941 CHF caleb_strategy_v3 [20251200] 2025-11-25 15:16:50.000 [-1] 1.2424 19931 DAX caleb_strategy_v3 [20251200] 2025-11-25 08:00:33.000 [-1] 23301.0000 19932 DAX caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.188 [0] NaN 19933 DAX caleb_strategy_v3 [20251200] 2025-11-25 08:17:09.000 [-1] 23295.0000 19950 DOW caleb_strategy_v3 [20251200] 2025-11-25 16:14:19.000 [1] 46836.0000 19946 DOW caleb_strategy_v3 [20251200] 2025-11-25 15:51:09.000 [1] 46803.0000 19943 DOW caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.287 [0] NaN 19938 DOW caleb_strategy_v3 [20251200] 2025-11-25 15:15:49.000 [1] 46635.0000 19948 DOW caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.436 [0] NaN 19935 HEATOIL _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-11-25 14:03:29.000 [-1, 1] 0.0380 19937 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-11-25 15:10:00.000 [1] 24775.7500 19954 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 16:40:23.000 [1] 2456.0000 19953 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.534 [0] NaN 19952 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 16:28:39.000 [1] 2453.7000 19951 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.484 [0] NaN 19942 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.237 [0] NaN 19947 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.387 [0] NaN 19945 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 19:45:32.336 [0] NaN 19936 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 15:09:59.000 [1] 2443.9000 19949 RUSSELL caleb_strategy_v3 [20251200] 2025-11-25 16:11:33.000 [1] 2450.6000 19944 SOYMEAL caleb_strategy_v3 [20260500] 2025-11-25 15:36:56.000 [-1] 331.9000 19939 SP500_micro caleb_strategy_v3 [20251200] 2025-11-25 15:16:00.000 [1] 6704.2500 19934 SUGAR11 caleb_strategy_v3 [20260500] 2025-11-25 14:03:22.000 [1] 14.4000 19940 US10U caleb_strategy_v3 [20260300] 2025-11-25 15:16:49.000 [1] 116.3125 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19934 SUGAR11 caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 14:00:46.158000 2025-11-25 14:03:22 136846.158 155.842 19935 HEATOIL _ROLL_PSEUDO_STRATEGY 2025-11-24 19:00:00 2025-11-25 14:03:23.766000 2025-11-25 14:03:29 68603.766 5.234 19937 NASDAQ_micro caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:10:00.079000 2025-11-25 15:10:00 141000.079 NaN 19939 SP500_micro caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:15:49.942000 2025-11-25 15:16:00 141349.942 10.058 19940 US10U caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:16:01.270000 2025-11-25 15:16:49 141361.27 47.73 19941 CHF caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:16:50.170000 2025-11-25 15:16:50 141410.17 NaN 19944 SOYMEAL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:36:55.232000 2025-11-25 15:36:56 142615.232 0.768 19931 DAX caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 08:00:29.578000 2025-11-25 08:00:33 115229.578 3.422 19932 DAX caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 08:01:29.208000 2025-11-25 19:45:32.188000 115289.208 42242.98 19933 DAX caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 08:11:32.507000 2025-11-25 08:17:09 115892.507 336.493 19936 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:00:42.802000 2025-11-25 15:09:59 140442.802 556.198 19942 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:16:53.646000 2025-11-25 19:45:32.237000 141413.646 16118.591 19945 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:36:59.824000 2025-11-25 19:45:32.336000 142619.824 14912.512 19947 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:51:12.573000 2025-11-25 19:45:32.387000 143472.573 14059.814 19949 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 16:11:33.207000 2025-11-25 16:11:33 144693.207 NaN 19951 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 16:14:22.833000 2025-11-25 19:45:32.484000 144862.833 12669.651 19952 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 16:24:26.632000 2025-11-25 16:28:39 145466.632 252.368 19953 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 16:28:42.942000 2025-11-25 19:45:32.534000 145722.942 11809.592 19954 RUSSELL caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 16:38:46.715000 2025-11-25 16:40:23 146326.715 96.285 19938 DOW caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:10:01.086000 2025-11-25 15:15:49 141001.086 347.914 19943 DOW caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:26:53.981000 2025-11-25 19:45:32.287000 142013.981 15518.306 19946 DOW caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 15:47:00.325000 2025-11-25 15:51:09 143220.325 248.675 19948 DOW caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 16:01:13.040000 2025-11-25 19:45:32.436000 144073.04 13459.396 19950 DOW caleb_strategy_v3 2025-11-24 00:00:00 2025-11-25 16:11:33.995000 2025-11-25 16:14:19 144693.995 165.005 =========================================================================================================================================================================================================================================== 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 19934 SUGAR11 caleb_strategy_v3 [1] 14.38 None 14.405 14.41 14.4 14.4 14.4 -0.025 -0.005 0.01 0.0 NaN 0.005 19935 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.042 None 0.03885 0.0378 0.0399 0.0399 0.038 -0.00315 -0.00105 0.0002 -0.0019 NaN -0.00085 19937 NASDAQ_micro caleb_strategy_v3 [1] 24914.25 None 24816.75 24817.5 24816.0 24816.0 24775.75 97.5 -0.75 41.75 40.25 NaN 41.0 19939 SP500_micro caleb_strategy_v3 [1] 6723.75 None 6703.875 6704.0 6703.75 6703.75 6704.25 19.875 -0.125 -0.25 -0.5 NaN -0.375 19940 US10U caleb_strategy_v3 [1] 116.046875 None 116.320312 116.328125 116.3125 116.3125 116.3125 -0.273438 -0.007812 0.015625 0.0 NaN 0.007812 19941 CHF caleb_strategy_v3 [-1] 1.2406 None 1.24175 1.2417 1.2418 1.2418 1.2424 0.00115 -0.00005 0.0007 0.0006 NaN 0.00065 19944 SOYMEAL caleb_strategy_v3 [-1] 329.6 None 331.85 331.8 331.9 NaN 331.9 2.25 -0.05 0.1 NaN NaN 0.05 19931 DAX caleb_strategy_v3 [-1] 23247.0 None 23305.0 23304.0 23306.0 23306.0 23301.0 58.0 -1.0 -3.0 -5.0 NaN -4.0 19932 DAX caleb_strategy_v3 [-1] 23247.0 None 11650.5 23301.0 0.0 0.0 NaN -11596.5 11650.5 NaN NaN NaN NaN 19933 DAX caleb_strategy_v3 [-1] 23247.0 None 23283.0 23282.0 23284.0 23284.0 23295.0 36.0 -1.0 13.0 11.0 NaN 12.0 19936 RUSSELL caleb_strategy_v3 [1] 2414.1 None 2423.65 2423.7 2423.6 2423.6 2443.9 -9.55 -0.05 -20.2 -20.3 NaN -20.25 19942 RUSSELL caleb_strategy_v3 [1] 2414.1 None 1221.95 2443.9 0.0 0.0 NaN 1192.15 -1221.95 NaN NaN NaN NaN 19945 RUSSELL caleb_strategy_v3 [1] 2414.1 None 2439.4 2439.5 2439.3 2439.3 NaN -25.3 -0.1 NaN NaN NaN NaN 19947 RUSSELL caleb_strategy_v3 [1] 2414.1 None 1225.45 2450.9 0.0 0.0 NaN 1188.65 -1225.45 NaN NaN NaN NaN 19949 RUSSELL caleb_strategy_v3 [1] 2414.1 None 2449.55 2449.6 2449.5 2449.5 2450.6 -35.45 -0.05 -1.0 -1.1 NaN -1.05 19951 RUSSELL caleb_strategy_v3 [1] 2414.1 None 1225.45 2450.9 0.0 0.0 NaN 1188.65 -1225.45 NaN NaN NaN NaN 19952 RUSSELL caleb_strategy_v3 [1] 2414.1 None 2451.6 2451.7 2451.5 2451.5 2453.7 -37.5 -0.1 -2.0 -2.2 NaN -2.1 19953 RUSSELL caleb_strategy_v3 [1] 2414.1 None 1226.85 2453.7 0.0 0.0 NaN 1187.25 -1226.85 NaN NaN NaN NaN 19954 RUSSELL caleb_strategy_v3 [1] 2414.1 None 2453.55 2453.6 2453.5 2453.5 2456.0 -39.45 -0.05 -2.4 -2.5 NaN -2.45 19938 DOW caleb_strategy_v3 [1] 46506.0 None 46656.0 46660.0 46652.0 46652.0 46635.0 -150.0 -4.0 25.0 17.0 NaN 21.0 19943 DOW caleb_strategy_v3 [1] 46506.0 None 23321.5 46643.0 0.0 0.0 NaN 23184.5 -23321.5 NaN NaN NaN NaN 19946 DOW caleb_strategy_v3 [1] 46506.0 None 46666.0 46667.0 46665.0 46665.0 46803.0 -160.0 -1.0 -136.0 -138.0 NaN -137.0 19948 DOW caleb_strategy_v3 [1] 46506.0 None 23401.5 46803.0 0.0 0.0 NaN 23104.5 -23401.5 NaN NaN NaN NaN 19950 DOW caleb_strategy_v3 [1] 46506.0 None 46826.5 46827.0 46826.0 46826.0 46836.0 -320.5 -0.5 -9.0 -10.0 NaN -9.5 ========================================================================================================================================================================== 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 19934 SUGAR11 caleb_strategy_v3 [1] 3.599358 -69.456833 -13.891367 27.782733 0.0 NaN 13.891367 19935 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.773291 -40.734981 -13.578327 2.586348 -24.570306 NaN -10.991979 19937 NASDAQ_micro caleb_strategy_v3 [1] 4825.759822 202.040722 -1.554159 86.514873 83.406555 NaN 84.960714 19939 SP500_micro caleb_strategy_v3 [1] 966.138979 205.715745 -1.29381 -2.587619 -5.175239 NaN -3.881429 19940 US10U caleb_strategy_v3 [1] 5.740966 -476.291758 -13.608336 27.216672 0.0 NaN 13.608336 19941 CHF caleb_strategy_v3 [-1] 0.083662 137.458574 -5.97646 83.670436 71.717517 NaN 77.693976 19944 SOYMEAL caleb_strategy_v3 [-1] 68.051053 330.634122 -7.347425 14.69485 NaN NaN 7.347425 19931 DAX caleb_strategy_v3 [-1] 3486.151416 166.372578 -2.868493 -8.605478 -14.342464 NaN -11.473971 19932 DAX caleb_strategy_v3 [-1] 3486.151416 -33264.475969 33419.374576 NaN NaN NaN NaN 19933 DAX caleb_strategy_v3 [-1] 3486.151416 103.265738 -2.868493 37.290406 31.55342 NaN 34.421913 19936 RUSSELL caleb_strategy_v3 [1] 558.839784 -170.889766 -0.894711 -361.46317 -363.252592 NaN -362.357881 19942 RUSSELL caleb_strategy_v3 [1] 558.839784 21332.590027 -21865.837674 NaN NaN NaN NaN 19945 RUSSELL caleb_strategy_v3 [1] 558.839784 -452.723674 -1.789422 NaN NaN NaN NaN 19947 RUSSELL caleb_strategy_v3 [1] 558.839784 21269.96027 -21928.467432 NaN NaN NaN NaN 19949 RUSSELL caleb_strategy_v3 [1] 558.839784 -634.34997 -0.894711 -17.894216 -19.683638 NaN -18.788927 19951 RUSSELL caleb_strategy_v3 [1] 558.839784 21269.96027 -21928.467432 NaN NaN NaN NaN 19952 RUSSELL caleb_strategy_v3 [1] 558.839784 -671.033113 -1.789422 -35.788433 -39.367276 NaN -37.577854 19953 RUSSELL caleb_strategy_v3 [1] 558.839784 21244.908367 -21953.519335 NaN NaN NaN NaN 19954 RUSSELL caleb_strategy_v3 [1] 558.839784 -705.926835 -0.894711 -42.946119 -44.735541 NaN -43.84083 19938 DOW caleb_strategy_v3 [1] 6247.575704 -240.093129 -6.402483 40.015522 27.210555 NaN 33.613038 19943 DOW caleb_strategy_v3 [1] 6247.575704 37109.594345 -37328.879403 NaN NaN NaN NaN 19946 DOW caleb_strategy_v3 [1] 6247.575704 -256.099338 -1.600621 -217.684437 -220.885679 NaN -219.285058 19948 DOW caleb_strategy_v3 [1] 6247.575704 36981.544676 -37456.929071 NaN NaN NaN NaN 19950 DOW caleb_strategy_v3 [1] 6247.575704 -512.998986 -0.80031 -14.405588 -16.006209 NaN -15.205898 =================================================================================================================================================================================== 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 19934 SUGAR11 caleb_strategy_v3 [1] 1120.0 -28.0 -5.6 11.2 0.0 NaN 5.6 19935 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000.0 -132.3 -44.1 8.4 -79.8 NaN -35.7 19937 NASDAQ_micro caleb_strategy_v3 [1] 2.0 195.0 -1.5 83.5 80.5 NaN 82.0 19939 SP500_micro caleb_strategy_v3 [1] 5.0 99.375 -0.625 -1.25 -2.5 NaN -1.875 19940 US10U caleb_strategy_v3 [1] 1000.0 -273.4375 -7.8125 15.625 0.0 NaN 7.8125 19941 CHF caleb_strategy_v3 [-1] 125000.0 143.75 -6.25 87.5 75.0 NaN 81.25 19944 SOYMEAL caleb_strategy_v3 [-1] 100.0 225.0 -5.0 10.0 NaN NaN 5.0 19931 DAX caleb_strategy_v3 [-1] 1.15245 66.8421 -1.15245 -3.45735 -5.76225 NaN -4.6098 19932 DAX caleb_strategy_v3 [-1] 1.15245 -13364.386425 13426.618725 NaN NaN NaN NaN 19933 DAX caleb_strategy_v3 [-1] 1.15245 41.4882 -1.15245 14.98185 12.67695 NaN 13.8294 19936 RUSSELL caleb_strategy_v3 [1] 5.0 -47.75 -0.25 -101.0 -101.5 NaN -101.25 19942 RUSSELL caleb_strategy_v3 [1] 5.0 5960.75 -6109.75 NaN NaN NaN NaN 19945 RUSSELL caleb_strategy_v3 [1] 5.0 -126.5 -0.5 NaN NaN NaN NaN 19947 RUSSELL caleb_strategy_v3 [1] 5.0 5943.25 -6127.25 NaN NaN NaN NaN 19949 RUSSELL caleb_strategy_v3 [1] 5.0 -177.25 -0.25 -5.0 -5.5 NaN -5.25 19951 RUSSELL caleb_strategy_v3 [1] 5.0 5943.25 -6127.25 NaN NaN NaN NaN 19952 RUSSELL caleb_strategy_v3 [1] 5.0 -187.5 -0.5 -10.0 -11.0 NaN -10.5 19953 RUSSELL caleb_strategy_v3 [1] 5.0 5936.25 -6134.25 NaN NaN NaN NaN 19954 RUSSELL caleb_strategy_v3 [1] 5.0 -197.25 -0.25 -12.0 -12.5 NaN -12.25 19938 DOW caleb_strategy_v3 [1] 0.5 -75.0 -2.0 12.5 8.5 NaN 10.5 19943 DOW caleb_strategy_v3 [1] 0.5 11592.25 -11660.75 NaN NaN NaN NaN 19946 DOW caleb_strategy_v3 [1] 0.5 -80.0 -0.5 -68.0 -69.0 NaN -68.5 19948 DOW caleb_strategy_v3 [1] 0.5 11552.25 -11700.75 NaN NaN NaN NaN 19950 DOW caleb_strategy_v3 [1] 0.5 -160.25 -0.25 -4.5 -5.0 NaN -4.75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -132.3 caleb_strategy_v3 CHF 143.75 DAX -13256.056125 DOW 22829.25 NASDAQ_micro 195.0 RUSSELL 23047.25 SOYMEAL 225.0 SP500_micro 99.375 SUGAR11 -28.0 US10U -273.4375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -132.3 caleb_strategy_v3 32982.131375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -44.1 caleb_strategy_v3 CHF -6.25 DAX 13424.313825 DOW -23364.25 NASDAQ_micro -1.5 RUSSELL -24500.25 SOYMEAL -5.0 SP500_micro -0.625 SUGAR11 -5.6 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -44.1 caleb_strategy_v3 -34466.973675 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 8.4 caleb_strategy_v3 CHF 87.5 DAX 11.5245 DOW -60.0 NASDAQ_micro 83.5 RUSSELL -128.0 SOYMEAL 10.0 SP500_micro -1.25 SUGAR11 11.2 US10U 15.625 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 8.4 caleb_strategy_v3 30.0995 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -79.8 caleb_strategy_v3 CHF 75.0 DAX 6.9147 DOW -65.5 NASDAQ_micro 80.5 RUSSELL -130.5 SOYMEAL 0 SP500_micro -2.5 SUGAR11 0.0 US10U 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -79.8 caleb_strategy_v3 -36.0853 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0 caleb_strategy_v3 CHF 0 DAX 0 DOW 0 NASDAQ_micro 0 RUSSELL 0 SOYMEAL 0 SP500_micro 0 SUGAR11 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 HEATOIL -35.7 caleb_strategy_v3 CHF 81.25 DAX 9.2196 DOW -62.75 NASDAQ_micro 82.0 RUSSELL -129.25 SOYMEAL 5.0 SP500_micro -1.875 SUGAR11 5.6 US10U 7.8125 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.7 caleb_strategy_v3 -2.9929 ******************************************************************************** END OF REPORT 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