******************************************************************************** Trades report produced on 26/11/2025 21:39 from 25/11/2025 21:39 to 26/11/2025 21:39 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 19956 DAX caleb_strategy_v3 [20251200] 2025-11-26 19:45:00.659 [0] NaN 19957 DAX caleb_strategy_v3 [20251200] 2025-11-26 19:45:00.683 [0] NaN 19958 DAX caleb_strategy_v3 [20251200] 2025-11-26 08:21:04.000 [-1] 23620.00000 19955 NIKKEI caleb_strategy_v3 [20260300] 2025-11-26 03:01:19.000 [1] 49715.00000 19960 SUGAR11 caleb_strategy_v3 [20260500] 2025-11-26 19:45:00.733 [0] NaN 19961 SUGAR11 caleb_strategy_v3 [20260500] 2025-11-26 14:28:14.000 [1] 14.68000 19959 SUGAR11 caleb_strategy_v3 [20260500] 2025-11-26 19:45:00.708 [0] NaN 19962 US10U caleb_strategy_v3 [20260300] 2025-11-26 15:00:25.000 [1] 116.09375 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 19955 NIKKEI caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 03:01:17.650000 2025-11-26 03:01:19 97277.65 1.35 19962 US10U caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 15:00:25.243000 2025-11-26 15:00:25 140425.243 NaN 19960 SUGAR11 caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 14:10:25.672000 2025-11-26 19:45:00.733000 137425.672 20075.061 19961 SUGAR11 caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 14:20:29.118000 2025-11-26 14:28:14 138029.118 464.882 19959 SUGAR11 caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 14:00:09.414000 2025-11-26 19:45:00.708000 136809.414 20691.294 19956 DAX caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 08:00:35.014000 2025-11-26 19:45:00.659000 115235.014 42265.645 19957 DAX caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 08:10:38.604000 2025-11-26 19:45:00.683000 115838.604 41662.079 19958 DAX caleb_strategy_v3 2025-11-25 00:00:00 2025-11-26 08:20:42.060000 2025-11-26 08:21:04 116442.06 21.94 ==================================================================================================================================================================================================================================== 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 19955 NIKKEI caleb_strategy_v3 [1] 48965.0 None 49722.5 49725.0 49720.0 49720.0 49715.0 -757.5 -2.5 10.0 5.0 NaN 7.5 19962 US10U caleb_strategy_v3 [1] 116.359375 None 116.132812 116.140625 116.125 116.125 116.09375 0.226562 -0.007812 0.046875 0.03125 NaN 0.039062 19960 SUGAR11 caleb_strategy_v3 [1] 14.45 None 7.31 14.62 0.0 0.0 NaN 7.14 -7.31 NaN NaN NaN NaN 19961 SUGAR11 caleb_strategy_v3 [1] 14.45 None 14.645 14.65 14.64 14.64 14.68 -0.195 -0.005 -0.03 -0.04 NaN -0.035 19959 SUGAR11 caleb_strategy_v3 [1] 14.45 None 14.61 14.62 14.6 14.6 NaN -0.16 -0.01 NaN NaN NaN NaN 19956 DAX caleb_strategy_v3 [-1] 23572.0 None 23687.5 23686.0 23689.0 23689.0 NaN 115.5 -1.5 NaN NaN NaN NaN 19957 DAX caleb_strategy_v3 [-1] 23572.0 None 11831.0 23662.0 0.0 0.0 NaN -11741.0 11831.0 NaN NaN NaN NaN 19958 DAX caleb_strategy_v3 [-1] 23572.0 None 23634.0 23633.0 23635.0 23635.0 23620.0 62.0 -1.0 -13.0 -15.0 NaN -14.0 =================================================================================================================================================================== 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 19955 NIKKEI caleb_strategy_v3 [1] 12522.253773 -604.923054 -1.996446 7.985783 3.992891 NaN 5.989337 19962 US10U caleb_strategy_v3 [1] 5.642662 401.517022 -13.845415 83.072487 55.381658 NaN 69.227073 19960 SUGAR11 caleb_strategy_v3 [1] 3.601984 19822.407532 -20294.369616 NaN NaN NaN NaN 19961 SUGAR11 caleb_strategy_v3 [1] 3.601984 -541.368273 -13.881238 -83.287427 -111.049902 NaN -97.168664 19959 SUGAR11 caleb_strategy_v3 [1] 3.601984 -444.199609 -27.762476 NaN NaN NaN NaN 19956 DAX caleb_strategy_v3 [-1] 3491.661972 330.788034 -4.295948 NaN NaN NaN NaN 19957 DAX caleb_strategy_v3 [-1] 3491.661972 -33625.820863 33883.577773 NaN NaN NaN NaN 19958 DAX caleb_strategy_v3 [-1] 3491.661972 177.565871 -2.863966 -37.231554 -42.959485 NaN -40.095519 ========================================================================================================================================================================== 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 19955 NIKKEI caleb_strategy_v3 [1] 0.640359 -485.07164 -1.600897 6.403586 3.201793 NaN 4.80269 19962 US10U caleb_strategy_v3 [1] 1000.0 226.5625 -7.8125 46.875 31.25 NaN 39.0625 19960 SUGAR11 caleb_strategy_v3 [1] 1120.0 7996.8 -8187.2 NaN NaN NaN NaN 19961 SUGAR11 caleb_strategy_v3 [1] 1120.0 -218.4 -5.6 -33.6 -44.8 NaN -39.2 19959 SUGAR11 caleb_strategy_v3 [1] 1120.0 -179.2 -11.2 NaN NaN NaN NaN 19956 DAX caleb_strategy_v3 [-1] 1.15915 133.881825 -1.738725 NaN NaN NaN NaN 19957 DAX caleb_strategy_v3 [-1] 1.15915 -13609.58015 13713.90365 NaN NaN NaN NaN 19958 DAX caleb_strategy_v3 [-1] 1.15915 71.8673 -1.15915 -15.06895 -17.38725 NaN -16.2281 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX -13403.831025 NIKKEI -485.07164 SUGAR11 7599.2 US10U 226.5625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -6063.140165 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX 13711.005775 NIKKEI -1.600897 SUGAR11 -8204.0 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 5497.592378 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX -15.06895 NIKKEI 6.403586 SUGAR11 -33.6 US10U 46.875 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 4.609636 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX -17.38725 NIKKEI 3.201793 SUGAR11 -44.8 US10U 31.25 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -27.735457 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 NIKKEI 0 SUGAR11 0 US10U 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 DAX -16.2281 NIKKEI 4.80269 SUGAR11 -39.2 US10U 39.0625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -11.56291 ******************************************************************************** END OF REPORT ********************************************************************************