******************************************************************************** Trades report produced on 02/12/2025 21:41 from 01/12/2025 21:41 to 02/12/2025 21:41 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 20062 BUXL caleb_strategy_v3 [20260300] 2025-12-02 10:04:13.000 [-1] 111.8800 20063 BUXL _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-12-02 10:11:49.000 [1, -1] 0.5400 20065 COPPER caleb_strategy_v3 [20260300] 2025-12-02 14:20:27.000 [1] 5.2945 20061 DAX caleb_strategy_v3 [20251200] 2025-12-02 08:11:41.000 [-1] 23680.0000 20060 DAX caleb_strategy_v3 [20251200] 2025-12-02 19:45:23.116 [0] NaN 20059 DAX caleb_strategy_v3 [20251200] 2025-12-02 08:01:12.000 [-1] 23666.0000 20072 DOW caleb_strategy_v3 [20251200] 2025-12-02 15:02:31.000 [-1] 47496.0000 20075 DOW caleb_strategy_v3 [20251200] 2025-12-02 15:11:05.000 [-1] 47496.0000 20068 GOLD_micro caleb_strategy_v3 [20260200] 2025-12-02 14:38:13.000 [1] 4255.9000 20067 GOLD_micro caleb_strategy_v3 [20260200] 2025-12-02 19:45:23.255 [0] NaN 20064 GOLD_micro caleb_strategy_v3 [20260200] 2025-12-02 19:45:23.185 [0] NaN 20073 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-12-02 15:11:04.000 [1] 25620.2500 20069 NASDAQ_micro caleb_strategy_v3 [20251200] 2025-12-02 15:00:21.000 [1] 25598.5000 20081 RICE _ROLL_PSEUDO_STRATEGY [20260100, 20260300] 2025-12-02 15:58:55.000 [1, -1] -0.2850 20077 RICE _ROLL_PSEUDO_STRATEGY [20260100, 20260300] 2025-12-02 15:40:55.000 [1, -1] -0.2900 20079 RICE _ROLL_PSEUDO_STRATEGY [20260100, 20260300] 2025-12-02 15:51:01.000 [1, -1] -0.2350 20071 RUSSELL caleb_strategy_v3 [20260300] 2025-12-02 15:02:30.000 [1] 2508.1000 20074 RUSSELL caleb_strategy_v3 [20260300] 2025-12-02 15:11:04.000 [1] 2505.4000 20076 SOYBEAN caleb_strategy_v3 [20261100] 2025-12-02 19:45:23.326 [0] NaN 20080 SOYBEAN caleb_strategy_v3 [20261100] 2025-12-02 15:53:55.000 [-1] 1122.2500 20078 SOYBEAN caleb_strategy_v3 [20261100] 2025-12-02 19:45:23.393 [0] NaN 20066 SUGAR11 caleb_strategy_v3 [20260500] 2025-12-02 14:28:04.000 [1] 14.4300 20070 US5 caleb_strategy_v3 [20260300] 2025-12-02 15:02:29.000 [-1] 109.4375 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20062 BUXL caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 10:04:06.134000 2025-12-02 10:04:13 122646.134 6.866 20063 BUXL _ROLL_PSEUDO_STRATEGY 2025-12-01 19:00:00 2025-12-02 10:11:08.157000 2025-12-02 10:11:49 54668.157 40.843 20065 COPPER caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 14:10:44.445000 2025-12-02 14:20:27 137444.445 582.555 20066 SUGAR11 caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 14:20:28.428000 2025-12-02 14:28:04 138028.428 455.572 20070 US5 caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:00:22.365000 2025-12-02 15:02:29 140422.365 126.635 20073 NASDAQ_micro caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:02:53.614000 2025-12-02 15:11:04 140573.614 490.386 20069 NASDAQ_micro caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:00:21.169000 2025-12-02 15:00:21 140421.169 NaN 20074 RUSSELL caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:11:04.554000 2025-12-02 15:11:04 141064.554 NaN 20071 RUSSELL caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:02:30.498000 2025-12-02 15:02:30 140550.498 NaN 20072 DOW caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:02:31.805000 2025-12-02 15:02:31 140551.805 NaN 20075 DOW caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:11:05.077000 2025-12-02 15:11:05 141065.077 NaN 20081 RICE _ROLL_PSEUDO_STRATEGY 2025-12-01 19:00:00 2025-12-02 15:53:55.792000 2025-12-02 15:58:55 75235.792 299.208 20077 RICE _ROLL_PSEUDO_STRATEGY 2025-12-01 19:00:00 2025-12-02 15:40:17.733000 2025-12-02 15:40:55 74417.733 37.267 20079 RICE _ROLL_PSEUDO_STRATEGY 2025-12-01 19:00:00 2025-12-02 15:51:00.242000 2025-12-02 15:51:01 75060.242 0.758 20059 DAX caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 08:00:37.185000 2025-12-02 08:01:12 115237.185 34.815 20060 DAX caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 08:01:36.853000 2025-12-02 19:45:23.116000 115296.853 42226.263 20061 DAX caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 08:11:41.177000 2025-12-02 08:11:41 115901.177 NaN 20064 GOLD_micro caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 14:00:43.637000 2025-12-02 19:45:23.185000 136843.637 20679.548 20067 GOLD_micro caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 14:28:08.906000 2025-12-02 19:45:23.255000 138488.906 19034.349 20068 GOLD_micro caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 14:38:13.325000 2025-12-02 14:38:13 139093.325 NaN 20080 SOYBEAN caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:51:08.010000 2025-12-02 15:53:55 143468.01 166.99 20076 SOYBEAN caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:30:15.645000 2025-12-02 19:45:23.326000 142215.645 15307.681 20078 SOYBEAN caleb_strategy_v3 2025-12-01 00:00:00 2025-12-02 15:40:59.490000 2025-12-02 19:45:23.393000 142859.49 14663.903 =========================================================================================================================================================================================================================================== 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 20062 BUXL caleb_strategy_v3 [-1] 111.88 None 111.88 111.86 111.9 111.9 111.88 -0.0 -0.02 0.02 -0.02 NaN 0.0 20063 BUXL _ROLL_PSEUDO_STRATEGY [1, -1] 0.54 None 0.53 0.56 0.5 0.5 0.54 0.01 -0.03 0.02 -0.04 NaN -0.01 20065 COPPER caleb_strategy_v3 [1] 5.2745 None 5.283 5.2835 5.2825 5.2825 5.2945 -0.0085 -0.0005 -0.011 -0.012 NaN -0.0115 20066 SUGAR11 caleb_strategy_v3 [1] 14.29 None 14.41 14.42 14.4 14.4 14.43 -0.12 -0.01 -0.01 -0.03 NaN -0.02 20070 US5 caleb_strategy_v3 [-1] 109.429688 None 109.457031 109.453125 109.460938 109.460938 109.4375 0.027344 -0.003906 -0.015625 -0.023438 NaN -0.019531 20073 NASDAQ_micro caleb_strategy_v3 [1] 25374.25 None 25598.0 25598.25 25597.75 25597.75 25620.25 -223.75 -0.25 -22.0 -22.5 NaN -22.25 20069 NASDAQ_micro caleb_strategy_v3 [1] 25374.25 None 25585.25 25585.5 25585.0 NaN 25598.5 -211.0 -0.25 -13.0 NaN NaN -13.25 20074 RUSSELL caleb_strategy_v3 [1] 2496.5 None 2507.35 2507.6 2507.1 2507.1 2505.4 -10.85 -0.25 2.2 1.7 NaN 1.95 20071 RUSSELL caleb_strategy_v3 [1] 2496.5 None 2500.5 2500.7 2500.3 NaN 2508.1 -4.0 -0.2 -7.4 NaN NaN -7.6 20072 DOW caleb_strategy_v3 [-1] 47400.0 None 47392.5 47392.0 47393.0 47393.0 47496.0 -7.5 -0.5 104.0 103.0 NaN 103.5 20075 DOW caleb_strategy_v3 [-1] 47400.0 None 47392.5 47392.0 47393.0 47393.0 47496.0 -7.5 -0.5 104.0 103.0 NaN 103.5 20081 RICE _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.295 -0.29 -0.3 -0.3 -0.285 0.01 -0.005 -0.005 -0.015 NaN -0.01 20077 RICE _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.295 -0.27 -0.32 -0.32 -0.29 0.01 -0.025 0.02 -0.03 NaN -0.005 20079 RICE _ROLL_PSEUDO_STRATEGY [1, -1] -0.285 None -0.135 -0.27 0.0 0.0 -0.235 -0.15 0.135 -0.035 0.235 NaN 0.1 20059 DAX caleb_strategy_v3 [-1] 23611.0 None 23668.0 23667.0 23669.0 23669.0 23666.0 57.0 -1.0 -1.0 -3.0 NaN -2.0 20060 DAX caleb_strategy_v3 [-1] 23611.0 None 11833.0 23666.0 0.0 0.0 NaN -11778.0 11833.0 NaN NaN NaN NaN 20061 DAX caleb_strategy_v3 [-1] 23611.0 None 23679.0 23678.0 23680.0 23680.0 23680.0 68.0 -1.0 2.0 -0.0 NaN 1.0 20064 GOLD_micro caleb_strategy_v3 [1] 4268.2 None 4237.5 4237.6 4237.4 4237.4 NaN 30.7 -0.1 NaN NaN NaN NaN 20067 GOLD_micro caleb_strategy_v3 [1] 4268.2 None 2122.0 4244.0 0.0 0.0 NaN 2146.2 -2122.0 NaN NaN NaN NaN 20068 GOLD_micro caleb_strategy_v3 [1] 4268.2 None 4260.1 4260.2 4260.0 NaN 4255.9 8.1 -0.1 4.3 NaN NaN 4.2 20080 SOYBEAN caleb_strategy_v3 [-1] 1124.5 None 1122.25 1122.0 1122.5 1122.5 1122.25 -2.25 -0.25 0.25 -0.25 NaN 0.0 20076 SOYBEAN caleb_strategy_v3 [-1] 1124.5 None 1125.5 1125.25 1125.75 1125.75 NaN 1.0 -0.25 NaN NaN NaN NaN 20078 SOYBEAN caleb_strategy_v3 [-1] 1124.5 None 562.375 1124.75 0.0 0.0 NaN -562.125 562.375 NaN NaN NaN NaN ========================================================================================================================================================================== 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 20062 BUXL caleb_strategy_v3 [-1] 11.290848 -0.0 -17.713462 17.713462 -17.713462 NaN 0.0 20063 BUXL _ROLL_PSEUDO_STRATEGY [1, -1] 11.290848 8.856731 -26.570193 17.713462 -35.426924 NaN -8.856731 20065 COPPER caleb_strategy_v3 [1] 1.171234 -72.573035 -4.269002 -93.918046 -102.45605 NaN -98.187048 20066 SUGAR11 caleb_strategy_v3 [1] 3.834737 -312.928852 -26.077404 -26.077404 -78.232213 NaN -52.154809 20070 US5 caleb_strategy_v3 [-1] 3.229334 84.673026 -12.096147 -48.384586 -72.576879 NaN -60.480733 20073 NASDAQ_micro caleb_strategy_v3 [1] 4634.938891 -482.746386 -0.539381 -47.465566 -48.544329 NaN -48.004948 20069 NASDAQ_micro caleb_strategy_v3 [1] 4634.938891 -455.237933 -0.539381 -28.047835 NaN NaN -28.587216 20074 RUSSELL caleb_strategy_v3 [1] 536.634088 -202.186187 -4.658668 40.996278 31.678942 NaN 36.33761 20071 RUSSELL caleb_strategy_v3 [1] 536.634088 -74.538686 -3.726934 -137.89657 NaN NaN -141.623504 20072 DOW caleb_strategy_v3 [-1] 6144.079042 -12.206874 -0.813792 169.268656 167.641072 NaN 168.454864 20075 DOW caleb_strategy_v3 [-1] 6144.079042 -12.206874 -0.813792 169.268656 167.641072 NaN 168.454864 20081 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2.379816 42.020059 -21.01003 -21.01003 -63.030089 NaN -42.020059 20077 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2.379816 42.020059 -105.050149 84.040119 -126.060178 NaN -21.01003 20079 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2.379816 -630.300891 567.270802 -147.070208 987.471397 NaN 420.200594 20059 DAX caleb_strategy_v3 [-1] 3325.722291 171.39134 -3.006866 -3.006866 -9.020597 NaN -6.013731 20060 DAX caleb_strategy_v3 [-1] 3325.722291 -35414.863202 35580.240811 NaN NaN NaN NaN 20061 DAX caleb_strategy_v3 [-1] 3325.722291 204.466862 -3.006866 6.013731 -0.0 NaN 3.006866 20064 GOLD_micro caleb_strategy_v3 [1] 781.964308 392.601039 -1.278831 NaN NaN NaN NaN 20067 GOLD_micro caleb_strategy_v3 [1] 781.964308 27446.2655 -27136.788459 NaN NaN NaN NaN 20068 GOLD_micro caleb_strategy_v3 [1] 781.964308 103.585291 -1.278831 54.989722 NaN NaN 53.710891 20080 SOYBEAN caleb_strategy_v3 [-1] 120.479932 -186.753093 -20.750344 20.750344 -20.750344 NaN 0.0 20076 SOYBEAN caleb_strategy_v3 [-1] 120.479932 83.001375 -20.750344 NaN NaN NaN NaN 20078 SOYBEAN caleb_strategy_v3 [-1] 120.479932 -46657.147672 46677.898016 NaN NaN NaN NaN ================================================================================================================================================================================== 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 20062 BUXL caleb_strategy_v3 [-1] 1161.235 -0.0 -23.2247 23.2247 -23.2247 NaN 0.0 20063 BUXL _ROLL_PSEUDO_STRATEGY [1, -1] 1161.235 11.61235 -34.83705 23.2247 -46.4494 NaN -11.61235 20065 COPPER caleb_strategy_v3 [1] 25000.0 -212.5 -12.5 -275.0 -300.0 NaN -287.5 20066 SUGAR11 caleb_strategy_v3 [1] 1120.0 -134.4 -11.2 -11.2 -33.6 NaN -22.4 20070 US5 caleb_strategy_v3 [-1] 1000.0 27.34375 -3.90625 -15.625 -23.4375 NaN -19.53125 20073 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -447.5 -0.5 -44.0 -45.0 NaN -44.5 20069 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -422.0 -0.5 -26.0 NaN NaN -26.5 20074 RUSSELL caleb_strategy_v3 [1] 5.0 -54.25 -1.25 11.0 8.5 NaN 9.75 20071 RUSSELL caleb_strategy_v3 [1] 5.0 -20.0 -1.0 -37.0 NaN NaN -38.0 20072 DOW caleb_strategy_v3 [-1] 0.5 -3.75 -0.25 52.0 51.5 NaN 51.75 20075 DOW caleb_strategy_v3 [-1] 0.5 -3.75 -0.25 52.0 51.5 NaN 51.75 20081 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2000.0 20.0 -10.0 -10.0 -30.0 NaN -20.0 20077 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2000.0 20.0 -50.0 40.0 -60.0 NaN -10.0 20079 RICE _ROLL_PSEUDO_STRATEGY [1, -1] 2000.0 -300.0 270.0 -70.0 470.0 NaN 200.0 20059 DAX caleb_strategy_v3 [-1] 1.161235 66.190395 -1.161235 -1.161235 -3.483705 NaN -2.32247 20060 DAX caleb_strategy_v3 [-1] 1.161235 -13677.02583 13740.893755 NaN NaN NaN NaN 20061 DAX caleb_strategy_v3 [-1] 1.161235 78.96398 -1.161235 2.32247 -0.0 NaN 1.161235 20064 GOLD_micro caleb_strategy_v3 [1] 10.0 307.0 -1.0 NaN NaN NaN NaN 20067 GOLD_micro caleb_strategy_v3 [1] 10.0 21462.0 -21220.0 NaN NaN NaN NaN 20068 GOLD_micro caleb_strategy_v3 [1] 10.0 81.0 -1.0 43.0 NaN NaN 42.0 20080 SOYBEAN caleb_strategy_v3 [-1] 50.0 -112.5 -12.5 12.5 -12.5 NaN 0.0 20076 SOYBEAN caleb_strategy_v3 [-1] 50.0 50.0 -12.5 NaN NaN NaN NaN 20078 SOYBEAN caleb_strategy_v3 [-1] 50.0 -28106.25 28118.75 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUXL 11.61235 RICE -260.0 caleb_strategy_v3 BUXL -0.0 COPPER -212.5 DAX -13531.871455 DOW -7.5 GOLD_micro 21850.0 NASDAQ_micro -869.5 RUSSELL -74.25 SOYBEAN -28168.75 SUGAR11 -134.4 US5 27.34375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -248.38765 caleb_strategy_v3 -21121.427705 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUXL -34.83705 RICE 210.0 caleb_strategy_v3 BUXL -23.2247 COPPER -12.5 DAX 13738.571285 DOW -0.5 GOLD_micro -21222.0 NASDAQ_micro -1.0 RUSSELL -2.25 SOYBEAN 28093.75 SUGAR11 -11.2 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 175.16295 caleb_strategy_v3 20555.740335 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUXL 23.2247 RICE -40.0 caleb_strategy_v3 BUXL 23.2247 COPPER -275.0 DAX 1.161235 DOW 104.0 GOLD_micro 43.0 NASDAQ_micro -70.0 RUSSELL -26.0 SOYBEAN 12.5 SUGAR11 -11.2 US5 -15.625 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -16.7753 caleb_strategy_v3 -213.939065 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUXL -46.4494 RICE 380.0 caleb_strategy_v3 BUXL -23.2247 COPPER -300.0 DAX -3.483705 DOW 103.0 GOLD_micro 0 NASDAQ_micro -45.0 RUSSELL 8.5 SOYBEAN -12.5 SUGAR11 -33.6 US5 -23.4375 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 333.5506 caleb_strategy_v3 -329.745905 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUXL 0 RICE 0 caleb_strategy_v3 BUXL 0 COPPER 0 DAX 0 DOW 0 GOLD_micro 0 NASDAQ_micro 0 RUSSELL 0 SOYBEAN 0 SUGAR11 0 US5 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 BUXL -11.61235 RICE 170.0 caleb_strategy_v3 BUXL 0.0 COPPER -287.5 DAX -1.161235 DOW 103.5 GOLD_micro 42.0 NASDAQ_micro -71.0 RUSSELL -28.25 SOYBEAN 0.0 SUGAR11 -22.4 US5 -19.53125 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 158.38765 caleb_strategy_v3 -284.342485 ******************************************************************************** END OF REPORT ********************************************************************************