******************************************************************************** Trades report produced on 01/12/2025 21:38 from 30/11/2025 21:38 to 01/12/2025 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20038 COPPER caleb_strategy_v3 [20260300] 2025-12-01 14:11:23.000 [1] 5.336500 20039 COTTON2 caleb_strategy_v3 [20260300] 2025-12-01 14:11:24.000 [-1] 64.400000 20035 CRUDE_W caleb_strategy_v3 [20261200] 2025-12-01 14:00:48.000 [1] 58.390000 20053 DOW caleb_strategy_v3 [20251200] 2025-12-01 15:39:29.000 [-1] 47428.000000 20048 DOW caleb_strategy_v3 [20251200] 2025-12-01 19:45:03.843 [0] NaN 20050 DOW caleb_strategy_v3 [20251200] 2025-12-01 19:45:03.917 [0] NaN 20034 GASOIL caleb_strategy_v3 [20260300] 2025-12-01 09:00:43.000 [1] 655.750000 20040 GOLD_micro caleb_strategy_v3 [20260200] 2025-12-01 14:11:24.000 [-1] 4282.000000 20036 HEATOIL caleb_strategy_v3 [20260300] 2025-12-01 14:01:21.000 [-1] 2.256600 20047 MXP caleb_strategy_v3 [20251200] 2025-12-01 15:11:37.000 [1] 0.054710 20049 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 15:21:42.000 [1] 2480.900000 20058 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 16:03:22.000 [1] 2487.500000 20057 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 19:45:03.977 [0] NaN 20046 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 15:10:41.000 [1] 2487.200000 20056 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 15:43:21.000 [1] 2482.900000 20051 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 15:31:47.000 [1] 2481.500000 20054 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 15:39:33.000 [1] 2483.500000 20055 RUSSELL caleb_strategy_v3 [20251200] 2025-12-01 15:40:33.000 [1] 2484.200000 20052 SOYMEAL caleb_strategy_v3 [20260500] 2025-12-01 15:38:14.000 [-1] 325.900000 20042 SUGAR11 caleb_strategy_v3 [20260500] 2025-12-01 14:21:32.000 [1] 14.490000 20037 SUGAR11 caleb_strategy_v3 [20260500] 2025-12-01 19:45:03.715 [0] NaN 20041 SUGAR11 caleb_strategy_v3 [20260500] 2025-12-01 19:45:03.781 [0] NaN 20044 US10U caleb_strategy_v3 [20260300] 2025-12-01 15:10:40.000 [1] 115.640625 20043 US30 caleb_strategy_v3 [20260300] 2025-12-01 15:10:39.000 [1] 119.718750 20045 US5 caleb_strategy_v3 [20260300] 2025-12-01 15:10:40.000 [1] 109.539063 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20034 GASOIL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 09:00:42.233000 2025-12-01 09:00:43 291642.233 0.767 20035 CRUDE_W caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:00:48.142000 2025-12-01 14:00:48 309648.142 NaN 20036 HEATOIL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:00:49.070000 2025-12-01 14:01:21 309649.07 31.93 20038 COPPER caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:11:23.209000 2025-12-01 14:11:23 310283.209 NaN 20039 COTTON2 caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:11:24.037000 2025-12-01 14:11:24 310284.037 NaN 20040 GOLD_micro caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:11:24.913000 2025-12-01 14:11:24 310284.913 NaN 20043 US30 caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:00:45.698000 2025-12-01 15:10:39 313245.698 593.302 20044 US10U caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:10:39.993000 2025-12-01 15:10:40 313839.993 0.007 20045 US5 caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:10:40.901000 2025-12-01 15:10:40 313840.901 NaN 20047 MXP caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:10:42.701000 2025-12-01 15:11:37 313842.701 54.299 20052 SOYMEAL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:31:48.389000 2025-12-01 15:38:14 315108.389 385.611 20041 SUGAR11 caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:11:28.548000 2025-12-01 19:45:03.781000 310288.548 20015.233 20042 SUGAR11 caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:21:32.085000 2025-12-01 14:21:32 310892.085 NaN 20037 SUGAR11 caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 14:01:22.305000 2025-12-01 19:45:03.715000 309682.305 20621.41 20046 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:10:41.793000 2025-12-01 15:10:41 313841.793 NaN 20049 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:21:42.340000 2025-12-01 15:21:42 314502.34 NaN 20051 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:31:47.135000 2025-12-01 15:31:47 315107.135 NaN 20054 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:39:33.310000 2025-12-01 15:39:33 315573.31 NaN 20055 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:40:33.585000 2025-12-01 15:40:33 315633.585 NaN 20056 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:41:33.582000 2025-12-01 15:43:21 315693.582 107.418 20057 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:43:25.953000 2025-12-01 19:45:03.977000 315805.953 14498.024 20058 RUSSELL caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:53:30.012000 2025-12-01 16:03:22 316410.012 591.988 20048 DOW caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:11:37.949000 2025-12-01 19:45:03.843000 313897.949 16405.894 20050 DOW caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:21:42.994000 2025-12-01 19:45:03.917000 314502.994 15800.923 20053 DOW caleb_strategy_v3 2025-11-28 00:00:00 2025-12-01 15:38:15.495000 2025-12-01 15:39:29 315495.495 73.505 ==================================================================================================================================================================================================================================== 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 20034 GASOIL caleb_strategy_v3 [1] 641.25 None 656.25 656.5 656.0 656.0 655.75 -15.0 -0.25 0.75 0.25 NaN 0.5 20035 CRUDE_W caleb_strategy_v3 [1] 58.74 None 58.355 58.36 58.35 NaN 58.39 0.385 -0.005 -0.03 NaN NaN -0.035 20036 HEATOIL caleb_strategy_v3 [-1] 2.2711 None 2.25675 2.2565 2.257 2.257 2.2566 -0.01435 -0.00025 0.0001 -0.0004 NaN -0.00015 20038 COPPER caleb_strategy_v3 [1] 5.2735 None 5.34425 5.3445 5.344 5.344 5.3365 -0.07075 -0.00025 0.008 0.0075 NaN 0.00775 20039 COTTON2 caleb_strategy_v3 [-1] 64.73 None 64.365 64.36 64.37 64.37 64.4 -0.365 -0.005 0.04 0.03 NaN 0.035 20040 GOLD_micro caleb_strategy_v3 [-1] 4251.6 None 4277.7 4277.6 4277.8 4277.8 4282.0 26.1 -0.1 4.4 4.2 NaN 4.3 20043 US30 caleb_strategy_v3 [1] 120.96875 None 119.453125 119.46875 119.4375 119.4375 119.71875 1.515625 -0.015625 -0.25 -0.28125 NaN -0.265625 20044 US10U caleb_strategy_v3 [1] 116.203125 None 115.648438 115.65625 115.640625 115.640625 115.640625 0.554688 -0.007812 0.015625 0.0 NaN 0.007812 20045 US5 caleb_strategy_v3 [1] 109.757812 None 109.542969 109.546875 109.539062 109.539062 109.539063 0.214844 -0.003906 0.007812 -0.0 NaN 0.003906 20047 MXP caleb_strategy_v3 [1] 0.05457 None 0.05469 0.0547 0.05468 0.05468 0.05471 -0.00012 -0.00001 -0.00001 -0.00003 NaN -0.00002 20052 SOYMEAL caleb_strategy_v3 [-1] 329.4 None 326.35 326.3 326.4 326.4 325.9 -3.05 -0.05 -0.4 -0.5 NaN -0.45 20041 SUGAR11 caleb_strategy_v3 [1] 14.7 None 7.21 14.42 0.0 0.0 NaN 7.49 -7.21 NaN NaN NaN NaN 20042 SUGAR11 caleb_strategy_v3 [1] 14.7 None 14.51 14.52 14.5 14.5 14.49 0.19 -0.01 0.03 0.01 NaN 0.02 20037 SUGAR11 caleb_strategy_v3 [1] 14.7 None 14.395 14.4 14.39 14.39 NaN 0.305 -0.005 NaN NaN NaN NaN 20046 RUSSELL caleb_strategy_v3 [1] 2500.7 None 2491.4 2491.5 2491.3 2491.3 2487.2 9.3 -0.1 4.3 4.1 NaN 4.2 20049 RUSSELL caleb_strategy_v3 [1] 2500.7 None 2491.4 2491.5 2491.3 2491.3 2480.9 9.3 -0.1 10.6 10.4 NaN 10.5 20051 RUSSELL caleb_strategy_v3 [1] 2500.7 None 2491.4 2491.5 2491.3 2491.3 2481.5 9.3 -0.1 10.0 9.8 NaN 9.9 20054 RUSSELL caleb_strategy_v3 [1] 2500.7 None 2491.4 2491.5 2491.3 2491.3 2483.5 9.3 -0.1 8.0 7.8 NaN 7.9 20055 RUSSELL caleb_strategy_v3 [1] 2500.7 None 2491.4 2491.5 2491.3 2491.3 2484.2 9.3 -0.1 7.3 7.1 NaN 7.2 20056 RUSSELL caleb_strategy_v3 [1] 2500.7 None 2478.45 2478.5 2478.4 2478.4 2482.9 22.25 -0.05 -4.4 -4.5 NaN -4.45 20057 RUSSELL caleb_strategy_v3 [1] 2500.7 None 1241.45 2482.9 0.0 0.0 NaN 1259.25 -1241.45 NaN NaN NaN NaN 20058 RUSSELL caleb_strategy_v3 [1] 2500.7 None 2483.05 2483.1 2483.0 2483.0 2487.5 17.65 -0.05 -4.4 -4.5 NaN -4.45 20048 DOW caleb_strategy_v3 [-1] 47745.0 None 47692.0 47691.0 47693.0 47693.0 NaN -53.0 -1.0 NaN NaN NaN NaN 20050 DOW caleb_strategy_v3 [-1] 47745.0 None 23772.5 47545.0 0.0 0.0 NaN -23972.5 23772.5 NaN NaN NaN NaN 20053 DOW caleb_strategy_v3 [-1] 47745.0 None 47488.5 47488.0 47489.0 47489.0 47428.0 -256.5 -0.5 -60.0 -61.0 NaN -60.5 =================================================================================================================================================================== 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 20034 GASOIL caleb_strategy_v3 [1] 191.530774 -783.163963 -13.052733 39.158198 13.052733 NaN 26.105465 20035 CRUDE_W caleb_strategy_v3 [1] 11.928996 322.743013 -4.191468 -25.148806 NaN NaN -29.340274 20036 HEATOIL caleb_strategy_v3 [-1] 0.732219 -195.979515 -3.414277 1.365711 -5.462844 NaN -2.048566 20038 COPPER caleb_strategy_v3 [1] 1.191486 -593.796441 -2.098221 67.14306 62.946619 NaN 65.04484 20039 COTTON2 caleb_strategy_v3 [-1] 8.40807 -434.106736 -5.946668 47.573341 35.680006 NaN 41.626673 20040 GOLD_micro caleb_strategy_v3 [-1] 790.773276 330.056678 -1.264585 55.641739 53.112569 NaN 54.377154 20043 US30 caleb_strategy_v3 [1] 12.699638 1193.439498 -12.3035 -196.856 -221.463 NaN -209.1595 20044 US10U caleb_strategy_v3 [1] 6.116388 906.887394 -12.773062 25.546124 0.0 NaN 12.773062 20045 US5 caleb_strategy_v3 [1] 3.283117 654.389582 -11.897992 23.794462 -0.001523 NaN 11.896469 20047 MXP caleb_strategy_v3 [1] 0.004178 -287.249778 -23.937482 -23.937482 -71.812445 NaN -47.874963 20052 SOYMEAL caleb_strategy_v3 [-1] 67.558899 -451.457918 -7.400949 -59.207596 -74.009495 NaN -66.608545 20041 SUGAR11 caleb_strategy_v3 [1] 3.861917 19394.514624 -18669.48604 NaN NaN NaN NaN 20042 SUGAR11 caleb_strategy_v3 [1] 3.861917 491.983682 -25.893878 77.681634 25.893878 NaN 51.787756 20037 SUGAR11 caleb_strategy_v3 [1] 3.861917 789.763279 -12.946939 NaN NaN NaN NaN 20046 RUSSELL caleb_strategy_v3 [1] 546.245078 170.25325 -1.83068 78.719245 75.057885 NaN 76.888565 20049 RUSSELL caleb_strategy_v3 [1] 546.245078 170.25325 -1.83068 194.052092 190.390732 NaN 192.221412 20051 RUSSELL caleb_strategy_v3 [1] 546.245078 170.25325 -1.83068 183.068011 179.406651 NaN 181.237331 20054 RUSSELL caleb_strategy_v3 [1] 546.245078 170.25325 -1.83068 146.454409 142.793049 NaN 144.623729 20055 RUSSELL caleb_strategy_v3 [1] 546.245078 170.25325 -1.83068 133.639648 129.978288 NaN 131.808968 20056 RUSSELL caleb_strategy_v3 [1] 546.245078 407.326325 -0.91534 -80.549925 -82.380605 NaN -81.465265 20057 RUSSELL caleb_strategy_v3 [1] 546.245078 23052.8393 -22726.97824 NaN NaN NaN NaN 20058 RUSSELL caleb_strategy_v3 [1] 546.245078 323.11504 -0.91534 -80.549925 -82.380605 NaN -81.465265 20048 DOW caleb_strategy_v3 [-1] 6210.664579 -85.337083 -1.610134 NaN NaN NaN NaN 20050 DOW caleb_strategy_v3 [-1] 6210.664579 -38598.928815 38276.902086 NaN NaN NaN NaN 20053 DOW caleb_strategy_v3 [-1] 6210.664579 -412.99928 -0.805067 -96.608019 -98.218152 NaN -97.413086 ======================================================================================================================================================================== 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 20034 GASOIL caleb_strategy_v3 [1] 100.0 -1500.0 -25.0 75.0 25.0 NaN 50.0 20035 CRUDE_W caleb_strategy_v3 [1] 1000.0 385.0 -5.0 -30.0 NaN NaN -35.0 20036 HEATOIL caleb_strategy_v3 [-1] 42000.0 -602.7 -10.5 4.2 -16.8 NaN -6.3 20038 COPPER caleb_strategy_v3 [1] 25000.0 -1768.75 -6.25 200.0 187.5 NaN 193.75 20039 COTTON2 caleb_strategy_v3 [-1] 500.0 -182.5 -2.5 20.0 15.0 NaN 17.5 20040 GOLD_micro caleb_strategy_v3 [-1] 10.0 261.0 -1.0 44.0 42.0 NaN 43.0 20043 US30 caleb_strategy_v3 [1] 1000.0 1515.625 -15.625 -250.0 -281.25 NaN -265.625 20044 US10U caleb_strategy_v3 [1] 1000.0 554.6875 -7.8125 15.625 0.0 NaN 7.8125 20045 US5 caleb_strategy_v3 [1] 1000.0 214.84375 -3.90625 7.812 -0.0005 NaN 3.90575 20047 MXP caleb_strategy_v3 [1] 500000.0 -60.0 -5.0 -5.0 -15.0 NaN -10.0 20052 SOYMEAL caleb_strategy_v3 [-1] 100.0 -305.0 -5.0 -40.0 -50.0 NaN -45.0 20041 SUGAR11 caleb_strategy_v3 [1] 1120.0 8388.8 -8075.2 NaN NaN NaN NaN 20042 SUGAR11 caleb_strategy_v3 [1] 1120.0 212.8 -11.2 33.6 11.2 NaN 22.4 20037 SUGAR11 caleb_strategy_v3 [1] 1120.0 341.6 -5.6 NaN NaN NaN NaN 20046 RUSSELL caleb_strategy_v3 [1] 5.0 46.5 -0.5 21.5 20.5 NaN 21.0 20049 RUSSELL caleb_strategy_v3 [1] 5.0 46.5 -0.5 53.0 52.0 NaN 52.5 20051 RUSSELL caleb_strategy_v3 [1] 5.0 46.5 -0.5 50.0 49.0 NaN 49.5 20054 RUSSELL caleb_strategy_v3 [1] 5.0 46.5 -0.5 40.0 39.0 NaN 39.5 20055 RUSSELL caleb_strategy_v3 [1] 5.0 46.5 -0.5 36.5 35.5 NaN 36.0 20056 RUSSELL caleb_strategy_v3 [1] 5.0 111.25 -0.25 -22.0 -22.5 NaN -22.25 20057 RUSSELL caleb_strategy_v3 [1] 5.0 6296.25 -6207.25 NaN NaN NaN NaN 20058 RUSSELL caleb_strategy_v3 [1] 5.0 88.25 -0.25 -22.0 -22.5 NaN -22.25 20048 DOW caleb_strategy_v3 [-1] 0.5 -26.5 -0.5 NaN NaN NaN NaN 20050 DOW caleb_strategy_v3 [-1] 0.5 -11986.25 11886.25 NaN NaN NaN NaN 20053 DOW caleb_strategy_v3 [-1] 0.5 -128.25 -0.25 -30.0 -30.5 NaN -30.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COPPER -1768.75 COTTON2 -182.5 CRUDE_W 385.0 DOW -12141.0 GASOIL -1500.0 GOLD_micro 261.0 HEATOIL -602.7 MXP -60.0 RUSSELL 6728.25 SOYMEAL -305.0 SUGAR11 8943.2 US10U 554.6875 US30 1515.625 US5 214.84375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 2042.65625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COPPER -6.25 COTTON2 -2.5 CRUDE_W -5.0 DOW 11885.5 GASOIL -25.0 GOLD_micro -1.0 HEATOIL -10.5 MXP -5.0 RUSSELL -6210.25 SOYMEAL -5.0 SUGAR11 -8092.0 US10U -7.8125 US30 -15.625 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -2504.34375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COPPER 200.0 COTTON2 20.0 CRUDE_W -30.0 DOW -30.0 GASOIL 75.0 GOLD_micro 44.0 HEATOIL 4.2 MXP -5.0 RUSSELL 157.0 SOYMEAL -40.0 SUGAR11 33.6 US10U 15.625 US30 -250.0 US5 7.812 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 202.237 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER 187.5 COTTON2 15.0 CRUDE_W 0 DOW -30.5 GASOIL 25.0 GOLD_micro 42.0 HEATOIL -16.8 MXP -15.0 RUSSELL 151.0 SOYMEAL -50.0 SUGAR11 11.2 US10U 0.0 US30 -281.25 US5 -0.0005 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 38.1495 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER 0 COTTON2 0 CRUDE_W 0 DOW 0 GASOIL 0 GOLD_micro 0 HEATOIL 0 MXP 0 RUSSELL 0 SOYMEAL 0 SUGAR11 0 US10U 0 US30 0 US5 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 COPPER 193.75 COTTON2 17.5 CRUDE_W -35.0 DOW -30.25 GASOIL 50.0 GOLD_micro 43.0 HEATOIL -6.3 MXP -10.0 RUSSELL 154.0 SOYMEAL -45.0 SUGAR11 22.4 US10U 7.8125 US30 -265.625 US5 3.90575 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 100.19325 ******************************************************************************** END OF REPORT ********************************************************************************