******************************************************************************** Trades report produced on 12/12/2025 21:34 from 11/12/2025 21:34 to 12/12/2025 21:34 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 20306 DOW caleb_strategy_v3 [20260300] 2025-12-12 15:27:12.000 [1] 49130.00 20302 DOW caleb_strategy_v3 [20260300] 2025-12-12 15:21:57.000 [1] 49149.00 20300 DOW caleb_strategy_v3 [20260300] 2025-12-12 19:45:00.549 [0] NaN 20298 DOW caleb_strategy_v3 [20260300] 2025-12-12 15:05:51.000 [1] 49257.00 20296 DOW caleb_strategy_v3 [20260300] 2025-12-12 15:00:46.000 [1] 49213.00 20304 DOW caleb_strategy_v3 [20260300] 2025-12-12 15:22:57.000 [1] 49164.00 20310 SOYOIL caleb_strategy_v3 [20260500] 2025-12-12 15:30:49.000 [-1] 51.02 20308 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:28:14.000 [1, -1] -0.54 20297 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:05:48.000 [1, -1] -0.55 20299 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:05:53.000 [1, -1] -0.55 20301 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:21:54.000 [1, -1] -0.54 20303 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:21:58.000 [1, -1] -0.54 20319 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:43:44.000 [1, -1] -0.55 20318 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:43:40.000 [1, -1] -0.55 20307 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:27:14.000 [1, -1] -0.54 20317 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:41:54.000 [1, -1] -0.54 20315 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:39:39.000 [1, -1] -0.55 20314 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:38:38.000 [1, -1] -0.54 20305 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:27:09.000 [1, -1] -0.54 20312 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:34:22.000 [1, -1] -0.53 20311 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:34:18.000 [1, -1] -0.54 20309 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:30:44.000 [1, -1] -0.53 20316 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:40:59.000 [1, -1] -0.54 20313 VIX _ROLL_PSEUDO_STRATEGY [20260200, 20260300] 2025-12-12 15:38:34.000 [1, -1] -0.54 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20310 SOYOIL caleb_strategy_v3 2025-12-11 00:00:00 2025-12-12 15:30:48.223000 2025-12-12 15:30:49 142248.223 0.777 20297 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:00:48.373000 2025-12-12 15:05:48 72048.373 299.627 20299 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:05:52.180000 2025-12-12 15:05:53 72352.18 0.82 20301 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:16:51.763000 2025-12-12 15:21:54 73011.763 302.237 20303 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:21:57.671000 2025-12-12 15:21:58 73317.671 0.329 20305 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:22:58.082000 2025-12-12 15:27:09 73378.082 250.918 20307 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:27:13.313000 2025-12-12 15:27:14 73633.313 0.687 20308 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:28:13.213000 2025-12-12 15:28:14 73693.213 0.787 20309 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:29:13.723000 2025-12-12 15:30:44 73753.723 90.277 20311 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:30:49.839000 2025-12-12 15:34:18 73849.839 208.161 20312 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:34:21.270000 2025-12-12 15:34:22 74061.27 0.73 20313 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:35:21.746000 2025-12-12 15:38:34 74121.746 192.254 20314 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:38:37.338000 2025-12-12 15:38:38 74317.338 0.662 20315 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:39:37.743000 2025-12-12 15:39:39 74377.743 1.257 20316 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:40:38.229000 2025-12-12 15:40:59 74438.229 20.771 20317 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:41:38.115000 2025-12-12 15:41:54 74498.115 15.885 20318 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:42:38.322000 2025-12-12 15:43:40 74558.322 61.678 20319 VIX _ROLL_PSEUDO_STRATEGY 2025-12-11 19:00:00 2025-12-12 15:43:43.855000 2025-12-12 15:43:44 74623.855 0.145 20296 DOW caleb_strategy_v3 2025-12-11 00:00:00 2025-12-12 15:00:46.637000 2025-12-12 15:00:46 140446.637 NaN 20298 DOW caleb_strategy_v3 2025-12-11 00:00:00 2025-12-12 15:05:50.991000 2025-12-12 15:05:51 140750.991 0.009 20300 DOW caleb_strategy_v3 2025-12-11 00:00:00 2025-12-12 15:06:51.252000 2025-12-12 19:45:00.549000 140811.252 16689.297 20302 DOW caleb_strategy_v3 2025-12-11 00:00:00 2025-12-12 15:21:57.055000 2025-12-12 15:21:57 141717.055 NaN 20304 DOW caleb_strategy_v3 2025-12-11 00:00:00 2025-12-12 15:22:57.378000 2025-12-12 15:22:57 141777.378 NaN 20306 DOW caleb_strategy_v3 2025-12-11 00:00:00 2025-12-12 15:27:12.737000 2025-12-12 15:27:12 142032.737 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 20310 SOYOIL caleb_strategy_v3 [-1] 51.69 None 51.185 51.18 51.19 NaN 51.02 -0.505 -0.005 -0.16 NaN NaN -0.165 20297 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.55 0.05 -0.05 0.05 -0.05 NaN 0.0 20299 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.25 -0.5 0.0 0.0 -0.55 -0.25 0.25 0.05 0.55 NaN 0.3 20301 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.54 0.05 -0.05 0.04 -0.06 NaN -0.01 20303 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.25 -0.5 0.0 0.0 -0.54 -0.25 0.25 0.04 0.54 NaN 0.29 20305 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.54 0.05 -0.05 0.04 -0.06 NaN -0.01 20307 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.25 -0.5 0.0 0.0 -0.54 -0.25 0.25 0.04 0.54 NaN 0.29 20308 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 NaN -0.54 0.05 -0.05 0.04 NaN NaN -0.01 20309 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.53 0.05 -0.05 0.03 -0.07 NaN -0.02 20311 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.525 -0.45 -0.6 -0.6 -0.54 0.025 -0.075 0.09 -0.06 NaN 0.015 20312 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.225 -0.45 0.0 0.0 -0.53 -0.275 0.225 0.08 0.53 NaN 0.305 20313 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.54 0.05 -0.05 0.04 -0.06 NaN -0.01 20314 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.225 -0.45 0.0 0.0 -0.54 -0.275 0.225 0.09 0.54 NaN 0.315 20315 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.55 0.05 -0.05 0.05 -0.05 NaN 0.0 20316 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.54 0.05 -0.05 0.04 -0.06 NaN -0.01 20317 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.55 -0.5 -0.6 -0.6 -0.54 0.05 -0.05 0.04 -0.06 NaN -0.01 20318 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.5 -0.45 -0.55 -0.55 -0.55 0.0 -0.05 0.1 0.0 NaN 0.05 20319 VIX _ROLL_PSEUDO_STRATEGY [1, -1] -0.5 None -0.25 -0.5 0.0 0.0 -0.55 -0.25 0.25 0.05 0.55 NaN 0.3 20296 DOW caleb_strategy_v3 [1] 49161.0 None 49242.0 49243.0 49241.0 49241.0 49213.0 -81.0 -1.0 30.0 28.0 NaN 29.0 20298 DOW caleb_strategy_v3 [1] 49161.0 None 49242.0 49243.0 49241.0 49241.0 49257.0 -81.0 -1.0 -14.0 -16.0 NaN -15.0 20300 DOW caleb_strategy_v3 [1] 49161.0 None 24636.5 49273.0 0.0 0.0 NaN 24524.5 -24636.5 NaN NaN NaN NaN 20302 DOW caleb_strategy_v3 [1] 49161.0 None 49226.5 49228.0 49225.0 49225.0 49149.0 -65.5 -1.5 79.0 76.0 NaN 77.5 20304 DOW caleb_strategy_v3 [1] 49161.0 None 49226.5 49228.0 49225.0 49225.0 49164.0 -65.5 -1.5 64.0 61.0 NaN 62.5 20306 DOW caleb_strategy_v3 [1] 49161.0 None 49226.5 49228.0 49225.0 49225.0 49130.0 -65.5 -1.5 98.0 95.0 NaN 96.5 ========================================================================================================================================================================== 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 20310 SOYOIL caleb_strategy_v3 [-1] 9.563645 -528.041338 -5.228132 -167.300226 NaN NaN -172.528358 20297 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 72.699304 -72.699304 NaN 0.0 20299 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 -363.49652 363.49652 72.699304 799.692344 NaN 436.195824 20301 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 58.159443 -87.239165 NaN -14.539861 20303 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 -363.49652 363.49652 58.159443 785.152483 NaN 421.655963 20305 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 58.159443 -87.239165 NaN -14.539861 20307 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 -363.49652 363.49652 58.159443 785.152483 NaN 421.655963 20308 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 58.159443 NaN NaN -14.539861 20309 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 43.619582 -101.779026 NaN -29.079722 20311 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 36.349652 -109.048956 130.858747 -87.239165 NaN 21.809791 20312 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 -399.846172 327.146868 116.318886 770.612622 NaN 443.465754 20313 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 58.159443 -87.239165 NaN -14.539861 20314 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 -399.846172 327.146868 130.858747 785.152483 NaN 458.005615 20315 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 72.699304 -72.699304 NaN 0.0 20316 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 58.159443 -87.239165 NaN -14.539861 20317 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 72.699304 -72.699304 58.159443 -87.239165 NaN -14.539861 20318 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 0.0 -72.699304 145.398608 0.0 NaN 72.699304 20319 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 6.877645 -363.49652 363.49652 72.699304 799.692344 NaN 436.195824 20296 DOW caleb_strategy_v3 [1] 5969.053708 -135.699901 -1.675307 50.259223 46.908608 NaN 48.583915 20298 DOW caleb_strategy_v3 [1] 5969.053708 -135.699901 -1.675307 -23.454304 -26.804919 NaN -25.129611 20300 DOW caleb_strategy_v3 [1] 5969.053708 41086.076956 -41273.711388 NaN NaN NaN NaN 20302 DOW caleb_strategy_v3 [1] 5969.053708 -109.732636 -2.512961 132.349287 127.323364 NaN 129.836325 20304 DOW caleb_strategy_v3 [1] 5969.053708 -109.732636 -2.512961 107.219675 102.193753 NaN 104.706714 20306 DOW caleb_strategy_v3 [1] 5969.053708 -109.732636 -2.512961 164.180128 159.154205 NaN 161.667167 =============================================================================================================================================================================== 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 20310 SOYOIL caleb_strategy_v3 [-1] 600.0 -303.0 -3.0 -96.0 NaN NaN -99.0 20297 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 50.0 -50.0 NaN 0.0 20299 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -250.0 250.0 50.0 550.0 NaN 300.0 20301 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 40.0 -60.0 NaN -10.0 20303 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -250.0 250.0 40.0 540.0 NaN 290.0 20305 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 40.0 -60.0 NaN -10.0 20307 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -250.0 250.0 40.0 540.0 NaN 290.0 20308 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 40.0 NaN NaN -10.0 20309 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 30.0 -70.0 NaN -20.0 20311 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 25.0 -75.0 90.0 -60.0 NaN 15.0 20312 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -275.0 225.0 80.0 530.0 NaN 305.0 20313 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 40.0 -60.0 NaN -10.0 20314 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -275.0 225.0 90.0 540.0 NaN 315.0 20315 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 50.0 -50.0 NaN 0.0 20316 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 40.0 -60.0 NaN -10.0 20317 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 50.0 -50.0 40.0 -60.0 NaN -10.0 20318 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 0.0 -50.0 100.0 0.0 NaN 50.0 20319 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -250.0 250.0 50.0 550.0 NaN 300.0 20296 DOW caleb_strategy_v3 [1] 0.5 -40.5 -0.5 15.0 14.0 NaN 14.5 20298 DOW caleb_strategy_v3 [1] 0.5 -40.5 -0.5 -7.0 -8.0 NaN -7.5 20300 DOW caleb_strategy_v3 [1] 0.5 12262.25 -12318.25 NaN NaN NaN NaN 20302 DOW caleb_strategy_v3 [1] 0.5 -32.75 -0.75 39.5 38.0 NaN 38.75 20304 DOW caleb_strategy_v3 [1] 0.5 -32.75 -0.75 32.0 30.5 NaN 31.25 20306 DOW caleb_strategy_v3 [1] 0.5 -32.75 -0.75 49.0 47.5 NaN 48.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -1075.0 caleb_strategy_v3 DOW 12083.0 SOYOIL -303.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1075.0 caleb_strategy_v3 11780.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 875.0 caleb_strategy_v3 DOW -12321.5 SOYOIL -3.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 875.0 caleb_strategy_v3 -12324.5 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 910.0 caleb_strategy_v3 DOW 128.5 SOYOIL -96.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 910.0 caleb_strategy_v3 32.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 2720.0 caleb_strategy_v3 DOW 122.0 SOYOIL 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 2720.0 caleb_strategy_v3 122.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 DOW 0 SOYOIL 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 VIX 1785.0 caleb_strategy_v3 DOW 125.25 SOYOIL -99.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1785.0 caleb_strategy_v3 26.25 ******************************************************************************** END OF REPORT ********************************************************************************