******************************************************************************** Trades report produced on 17/12/2025 21:38 from 16/12/2025 21:38 to 17/12/2025 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20382 DOW caleb_strategy_v3 [20260300] 2025-12-17 15:01:34.000 [-1] 48668.00000 20384 MXP caleb_strategy_v3 [20260300] 2025-12-17 19:45:00.483 [0] NaN 20386 MXP caleb_strategy_v3 [20260300] 2025-12-17 15:11:52.000 [1] 0.05512 20381 MXP caleb_strategy_v3 [20260300] 2025-12-17 15:01:09.000 [1] 0.05512 20385 SP500_micro caleb_strategy_v3 [20260300] 2025-12-17 15:11:48.000 [-1] 6850.75000 20383 SP500_micro caleb_strategy_v3 [20260300] 2025-12-17 15:01:34.000 [-1] 6851.75000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20382 DOW caleb_strategy_v3 2025-12-16 00:00:00 2025-12-17 15:01:10.065000 2025-12-17 15:01:34 140470.065 23.935 20385 SP500_micro caleb_strategy_v3 2025-12-16 00:00:00 2025-12-17 15:11:48.793000 2025-12-17 15:11:48 141108.793 NaN 20383 SP500_micro caleb_strategy_v3 2025-12-16 00:00:00 2025-12-17 15:01:34.938000 2025-12-17 15:01:34 140494.938 NaN 20384 MXP caleb_strategy_v3 2025-12-16 00:00:00 2025-12-17 15:01:48.466000 2025-12-17 19:45:00.483000 140508.466 16992.017 20386 MXP caleb_strategy_v3 2025-12-16 00:00:00 2025-12-17 15:11:52.017000 2025-12-17 15:11:52 141112.017 NaN 20381 MXP caleb_strategy_v3 2025-12-16 00:00:00 2025-12-17 15:00:48.513000 2025-12-17 15:01:09 140448.513 20.487 ================================================================================================================================================================================================================================= 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 20382 DOW caleb_strategy_v3 [-1] 48427.0 None 48686.0 48685.0 48687.0 48687.0 48668.0 259.0 -1.0 -17.0 -19.0 NaN -18.0 20385 SP500_micro caleb_strategy_v3 [-1] 6853.25 None 6850.625 6850.5 6850.75 6850.75 6850.75 -2.625 -0.125 0.25 -0.0 NaN 0.125 20383 SP500_micro caleb_strategy_v3 [-1] 6853.25 None 6850.625 6850.5 6850.75 6850.75 6851.75 -2.625 -0.125 1.25 1.0 NaN 1.125 20384 MXP caleb_strategy_v3 [1] 0.05521 None 0.02756 0.05512 0.0 0.0 NaN 0.02765 -0.02756 NaN NaN NaN NaN 20386 MXP caleb_strategy_v3 [1] 0.05521 None 0.055125 0.05513 0.05512 0.05512 0.05512 0.000085 -0.000005 0.00001 0.0 NaN 0.000005 20381 MXP caleb_strategy_v3 [1] 0.05521 None 0.055105 0.05511 0.0551 0.0551 0.05512 0.000105 -0.000005 -0.00001 -0.00002 NaN -0.000015 =================================================================================================================================================================== 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 20382 DOW caleb_strategy_v3 [-1] 5794.165174 447.00141 -1.725874 -29.339861 -32.791609 NaN -31.065735 20385 SP500_micro caleb_strategy_v3 [-1] 819.113258 -32.04685 -1.52604 3.052081 -0.0 NaN 1.52604 20383 SP500_micro caleb_strategy_v3 [-1] 819.113258 -32.04685 -1.52604 15.260405 12.208324 NaN 13.734364 20384 MXP caleb_strategy_v3 [1] 0.003838 72044.298382 -71809.796145 NaN NaN NaN NaN 20386 MXP caleb_strategy_v3 [1] 0.003838 221.474335 -13.027902 26.055804 0.0 NaN 13.027902 20381 MXP caleb_strategy_v3 [1] 0.003838 273.585943 -13.027902 -26.055804 -52.111608 NaN -39.083706 ======================================================================================================================================================================== 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 20382 DOW caleb_strategy_v3 [-1] 0.5 129.5 -0.5 -8.5 -9.5 NaN -9.0 20385 SP500_micro caleb_strategy_v3 [-1] 5.0 -13.125 -0.625 1.25 -0.0 NaN 0.625 20383 SP500_micro caleb_strategy_v3 [-1] 5.0 -13.125 -0.625 6.25 5.0 NaN 5.625 20384 MXP caleb_strategy_v3 [1] 500000.0 13825.0 -13780.0 NaN NaN NaN NaN 20386 MXP caleb_strategy_v3 [1] 500000.0 42.5 -2.5 5.0 0.0 NaN 2.5 20381 MXP caleb_strategy_v3 [1] 500000.0 52.5 -2.5 -5.0 -10.0 NaN -7.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 129.5 MXP 13920.0 SP500_micro -26.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 14023.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.5 MXP -13785.0 SP500_micro -1.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -13786.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -8.5 MXP -0.0 SP500_micro 7.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -1.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -9.5 MXP -10.0 SP500_micro 5.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -14.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 MXP 0 SP500_micro 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 DOW -9.0 MXP -5.0 SP500_micro 6.25 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -7.75 ******************************************************************************** END OF REPORT ********************************************************************************