******************************************************************************** Trades report produced on 09/12/2025 21:34 from 08/12/2025 21:34 to 09/12/2025 21:34 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 20224 BUND caleb_strategy_v3 [20260300] 2025-12-09 08:05:33.000 [-1] 127.42000 20226 DOW caleb_strategy_v3 [20260300] 2025-12-09 15:01:29.000 [-1] 48281.00000 20229 DOW caleb_strategy_v3 [20260300] 2025-12-09 19:45:14.803 [0] NaN 20231 DOW caleb_strategy_v3 [20260300] 2025-12-09 15:32:02.000 [-1] 48253.00000 20225 MXP caleb_strategy_v3 [20260300] 2025-12-09 15:01:04.000 [1] 0.05429 20228 MXP caleb_strategy_v3 [20260300] 2025-12-09 19:45:14.779 [0] NaN 20230 MXP caleb_strategy_v3 [20260300] 2025-12-09 19:45:14.826 [0] NaN 20232 MXP caleb_strategy_v3 [20260300] 2025-12-09 19:45:14.849 [0] NaN 20233 MXP caleb_strategy_v3 [20260300] 2025-12-09 15:43:04.000 [1] 0.05439 20220 NIKKEI _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-12-09 03:01:39.000 [-1, 1] -36.00000 20221 NIKKEI _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-12-09 03:02:19.000 [-1, 1] -36.00000 20222 NIKKEI _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-12-09 03:03:21.000 [-1, 1] -36.00000 20223 NIKKEI _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-12-09 03:04:20.000 [-1, 1] -36.00000 20227 NZD _ROLL_PSEUDO_STRATEGY [20251200, 20260300] 2025-12-09 15:01:39.000 [1, -1] -0.00200 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20220 NIKKEI _ROLL_PSEUDO_STRATEGY 2025-12-08 19:00:00 2025-12-09 03:01:20.761000 2025-12-09 03:01:39 28880.761 18.239 20221 NIKKEI _ROLL_PSEUDO_STRATEGY 2025-12-08 19:00:00 2025-12-09 03:02:18.504000 2025-12-09 03:02:19 28938.504 0.496 20222 NIKKEI _ROLL_PSEUDO_STRATEGY 2025-12-08 19:00:00 2025-12-09 03:03:18.934000 2025-12-09 03:03:21 28998.934 2.066 20223 NIKKEI _ROLL_PSEUDO_STRATEGY 2025-12-08 19:00:00 2025-12-09 03:04:19.146000 2025-12-09 03:04:20 29059.146 0.854 20224 BUND caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 08:00:32.441000 2025-12-09 08:05:33 115232.441 300.559 20227 NZD _ROLL_PSEUDO_STRATEGY 2025-12-08 19:00:00 2025-12-09 15:01:31.053000 2025-12-09 15:01:39 72091.053 7.947 20225 MXP caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:00:03.317000 2025-12-09 15:01:04 140403.317 60.683 20228 MXP caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:01:58.771000 2025-12-09 19:45:14.779000 140518.771 16996.008 20230 MXP caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:22:02.130000 2025-12-09 19:45:14.826000 141722.13 15792.696 20232 MXP caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:32:05.799000 2025-12-09 19:45:14.849000 142325.799 15189.05 20233 MXP caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:42:08.720000 2025-12-09 15:43:04 142928.72 55.28 20226 DOW caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:01:05.249000 2025-12-09 15:01:29 140465.249 23.751 20229 DOW caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:11:59.228000 2025-12-09 19:45:14.803000 141119.228 16395.575 20231 DOW caleb_strategy_v3 2025-12-08 00:00:00 2025-12-09 15:32:02.657000 2025-12-09 15:32:02 142322.657 NaN ======================================================================================================================================================================================================================================== 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 20220 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] -40.0 None -35.0 -40.0 -30.0 -30.0 -36.0 5.0 -5.0 4.0 -6.0 NaN -1.0 20221 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] -40.0 None -22.5 -45.0 0.0 0.0 -36.0 17.5 -22.5 9.0 -36.0 NaN -13.5 20222 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] -40.0 None -22.5 -45.0 0.0 0.0 -36.0 17.5 -22.5 9.0 -36.0 NaN -13.5 20223 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] -40.0 None -20.0 -40.0 0.0 0.0 -36.0 20.0 -20.0 4.0 -36.0 NaN -16.0 20224 BUND caleb_strategy_v3 [-1] 127.47 None 127.425 127.42 127.43 127.43 127.42 -0.045 -0.005 -0.0 -0.01 NaN -0.005 20227 NZD _ROLL_PSEUDO_STRATEGY [1, -1] -0.002 None -0.002 -0.0019 -0.0021 -0.0021 -0.002 -0.0 -0.0001 0.0001 -0.0001 NaN 0.0 20225 MXP caleb_strategy_v3 [1] 0.05424 None 0.054265 0.05427 0.05426 0.05426 0.05429 -0.000025 -0.000005 -0.00002 -0.00003 NaN -0.000025 20228 MXP caleb_strategy_v3 [1] 0.05424 None 0.027145 0.05429 0.0 0.0 NaN 0.027095 -0.027145 NaN NaN NaN NaN 20230 MXP caleb_strategy_v3 [1] 0.05424 None 0.054265 0.05427 0.05426 0.05426 NaN -0.000025 -0.000005 NaN NaN NaN NaN 20232 MXP caleb_strategy_v3 [1] 0.05424 None 0.02717 0.05434 0.0 0.0 NaN 0.02707 -0.02717 NaN NaN NaN NaN 20233 MXP caleb_strategy_v3 [1] 0.05424 None 0.054365 0.05437 0.05436 0.05436 0.05439 -0.000125 -0.000005 -0.00002 -0.00003 NaN -0.000025 20226 DOW caleb_strategy_v3 [-1] 48071.0 None 48279.5 48278.0 48281.0 48281.0 48281.0 208.5 -1.5 3.0 -0.0 NaN 1.5 20229 DOW caleb_strategy_v3 [-1] 48071.0 None 24151.5 48303.0 0.0 0.0 NaN -23919.5 24151.5 NaN NaN NaN NaN 20231 DOW caleb_strategy_v3 [-1] 48071.0 None 48246.5 48245.0 48248.0 48248.0 48253.0 175.5 -1.5 8.0 5.0 NaN 6.5 ========================================================================================================================================================================== 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 20220 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 10623.360028 4.706609 -4.706609 3.765287 -5.647931 NaN -0.941322 20221 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 10623.360028 16.473131 -21.17974 8.471896 -33.887584 NaN -12.707844 20222 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 10623.360028 16.473131 -21.17974 8.471896 -33.887584 NaN -12.707844 20223 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 10623.360028 18.826435 -18.826435 3.765287 -33.887584 NaN -15.061148 20224 BUND caleb_strategy_v3 [-1] 5.396047 -83.394386 -9.266043 -0.0 -18.532086 NaN -9.266043 20227 NZD _ROLL_PSEUDO_STRATEGY [1, -1] 0.045594 -0.0 -21.93291 21.93291 -21.93291 NaN 0.0 20225 MXP caleb_strategy_v3 [1] 0.004024 -62.133376 -12.426675 -49.706701 -74.560051 NaN -62.133376 20228 MXP caleb_strategy_v3 [1] 0.004024 67340.152833 -67464.419585 NaN NaN NaN NaN 20230 MXP caleb_strategy_v3 [1] 0.004024 -62.133376 -12.426675 NaN NaN NaN NaN 20232 MXP caleb_strategy_v3 [1] 0.004024 67278.019457 -67526.552961 NaN NaN NaN NaN 20233 MXP caleb_strategy_v3 [1] 0.004024 -310.66688 -12.426675 -49.706701 -74.560051 NaN -62.133376 20226 DOW caleb_strategy_v3 [-1] 5688.370173 366.537327 -2.636959 5.273918 -0.0 NaN 2.636959 20229 DOW caleb_strategy_v3 [-1] 5688.370173 -42049.83022 42457.679908 NaN NaN NaN NaN 20231 DOW caleb_strategy_v3 [-1] 5688.370173 308.524225 -2.636959 14.063782 8.789864 NaN 11.426823 =============================================================================================================================================================================== 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 20220 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.640806 3.204029 -3.204029 2.563224 -3.844835 NaN -0.640806 20221 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.640806 11.214103 -14.418132 5.767253 -23.069012 NaN -8.650879 20222 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.640806 11.214103 -14.418132 5.767253 -23.069012 NaN -8.650879 20223 NIKKEI _ROLL_PSEUDO_STRATEGY [-1, 1] 0.640806 12.816118 -12.816118 2.563224 -23.069012 NaN -10.252894 20224 BUND caleb_strategy_v3 [-1] 1164.475 -52.401375 -5.822375 -0.0 -11.64475 NaN -5.822375 20227 NZD _ROLL_PSEUDO_STRATEGY [1, -1] 100000.0 -0.0 -10.0 10.0 -10.0 NaN 0.0 20225 MXP caleb_strategy_v3 [1] 500000.0 -12.5 -2.5 -10.0 -15.0 NaN -12.5 20228 MXP caleb_strategy_v3 [1] 500000.0 13547.5 -13572.5 NaN NaN NaN NaN 20230 MXP caleb_strategy_v3 [1] 500000.0 -12.5 -2.5 NaN NaN NaN NaN 20232 MXP caleb_strategy_v3 [1] 500000.0 13535.0 -13585.0 NaN NaN NaN NaN 20233 MXP caleb_strategy_v3 [1] 500000.0 -62.5 -2.5 -10.0 -15.0 NaN -12.5 20226 DOW caleb_strategy_v3 [-1] 0.5 104.25 -0.75 1.5 -0.0 NaN 0.75 20229 DOW caleb_strategy_v3 [-1] 0.5 -11959.75 12075.75 NaN NaN NaN NaN 20231 DOW caleb_strategy_v3 [-1] 0.5 87.75 -0.75 4.0 2.5 NaN 3.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 38.448353 NZD -0.0 caleb_strategy_v3 BUND -52.401375 DOW -11767.75 MXP 26995.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 38.448353 caleb_strategy_v3 15174.848625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -44.856411 NZD -10.0 caleb_strategy_v3 BUND -5.822375 DOW 12074.25 MXP -27165.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -54.856411 caleb_strategy_v3 -15096.572375 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 16.660953 NZD 10.0 caleb_strategy_v3 BUND -0.0 DOW 5.5 MXP -20.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 26.660953 caleb_strategy_v3 -14.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -73.05187 NZD -10.0 caleb_strategy_v3 BUND -11.64475 DOW 2.5 MXP -30.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -83.05187 caleb_strategy_v3 -39.14475 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 0 NZD 0 caleb_strategy_v3 BUND 0 DOW 0 MXP 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 NIKKEI -28.195459 NZD 0.0 caleb_strategy_v3 BUND -5.822375 DOW 4.0 MXP -25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -28.195459 caleb_strategy_v3 -26.822375 ******************************************************************************** END OF REPORT ********************************************************************************