******************************************************************************** Trades report produced on 13/01/2026 21:37 from 12/01/2026 21:37 to 13/01/2026 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20703 BUND caleb_strategy_v3 [20260300] 2026-01-13 08:21:13.000 [1] 127.9700 20702 BUND caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.351 [0] NaN 20701 BUND caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.301 [0] NaN 20706 COPPER caleb_strategy_v3 [20260300] 2026-01-13 14:00:15.000 [1] 6.0535 20704 CRUDE_W caleb_strategy_v3 [20261200] 2026-01-13 14:00:07.000 [1] 58.8700 20711 DOW caleb_strategy_v3 [20260300] 2026-01-13 15:01:32.000 [-1] 49511.0000 20705 DX caleb_strategy_v3 [20260300] 2026-01-13 14:00:14.000 [1] 98.7100 20709 DX caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.402 [0] NaN 20710 DX caleb_strategy_v3 [20260300] 2026-01-13 14:21:44.000 [1] 98.7100 20707 GOLD_micro caleb_strategy_v3 [20260400] 2026-01-13 14:05:27.000 [-1] 4654.4000 20708 HEATOIL caleb_strategy_v3 [20260400] 2026-01-13 14:05:32.000 [1] 2.1632 20724 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-13 15:55:07.000 [-1] 25885.2500 20714 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-13 15:01:50.000 [-1] 25945.5000 20723 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-13 15:54:06.000 [-1] 25863.2500 20722 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-13 15:53:05.000 [-1] 25850.5000 20721 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.623 [0] NaN 20718 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.569 [0] NaN 20716 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.511 [0] NaN 20698 NIKKEI caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.201 [0] NaN 20700 NIKKEI caleb_strategy_v3 [20260300] 2026-01-13 03:21:55.000 [1] 53765.0000 20699 NIKKEI caleb_strategy_v3 [20260300] 2026-01-13 19:45:08.250 [0] NaN 20719 SOYMEAL caleb_strategy_v3 [20260500] 2026-01-13 15:37:59.000 [-1] 297.4000 20712 SP500_micro caleb_strategy_v3 [20260300] 2026-01-13 15:01:34.000 [1] 7006.7500 20715 VIX caleb_strategy_v3 [20260400] 2026-01-13 19:45:08.454 [0] NaN 20713 VIX caleb_strategy_v3 [20260400] 2026-01-13 15:01:43.000 [-1] 19.9500 20717 VIX caleb_strategy_v3 [20260400] 2026-01-13 15:22:20.000 [-1] 20.0000 20720 VIX caleb_strategy_v3 [20260400] 2026-01-13 15:43:00.000 [-1] 19.9500 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20704 CRUDE_W caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 14:00:07.146000 2026-01-13 14:00:07 136807.146 NaN 20706 COPPER caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 14:00:15.120000 2026-01-13 14:00:15 136815.12 NaN 20707 GOLD_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 14:00:16.413000 2026-01-13 14:05:27 136816.413 310.587 20708 HEATOIL caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 14:05:28.673000 2026-01-13 14:05:32 137128.673 3.327 20711 DOW caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:00:59.309000 2026-01-13 15:01:32 140459.309 32.691 20712 SP500_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:01:34.062000 2026-01-13 15:01:34 140494.062 NaN 20719 SOYMEAL caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:32:25.894000 2026-01-13 15:37:59 142345.894 333.106 20701 BUND caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 08:01:05.357000 2026-01-13 19:45:08.301000 115265.357 42242.944 20702 BUND caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 08:11:09.682000 2026-01-13 19:45:08.351000 115869.682 41638.669 20703 BUND caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 08:21:13.345000 2026-01-13 08:21:13 116473.345 NaN 20705 DX caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 14:00:08.824000 2026-01-13 14:00:14 136808.824 5.176 20709 DX caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 14:05:47.534000 2026-01-13 19:45:08.402000 137147.534 20360.868 20710 DX caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 14:15:51.625000 2026-01-13 14:21:44 137751.625 352.375 20720 VIX caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:38:00.474000 2026-01-13 15:43:00 142680.474 299.526 20713 VIX caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:01:35.595000 2026-01-13 15:01:43 140495.595 7.405 20715 VIX caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:01:58.726000 2026-01-13 19:45:08.454000 140518.726 16989.728 20717 VIX caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:22:20.633000 2026-01-13 15:22:20 141740.633 NaN 20714 NASDAQ_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:01:44.562000 2026-01-13 15:01:50 140504.562 5.438 20716 NASDAQ_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:11:59.185000 2026-01-13 19:45:08.511000 141119.185 16389.326 20718 NASDAQ_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:22:21.118000 2026-01-13 19:45:08.569000 141741.118 15767.451 20721 NASDAQ_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:43:01.071000 2026-01-13 19:45:08.623000 142981.071 14527.552 20722 NASDAQ_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:53:05.489000 2026-01-13 15:53:05 143585.489 NaN 20723 NASDAQ_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:54:05.960000 2026-01-13 15:54:06 143645.96 0.04 20724 NASDAQ_micro caleb_strategy_v3 2026-01-12 00:00:00 2026-01-13 15:55:07.054000 2026-01-13 15:55:07 143707.054 NaN 20698 NIKKEI caleb_strategy_v3 2026-01-09 00:00:00 2026-01-13 03:01:18.603000 2026-01-13 19:45:08.201000 356478.603 60229.598 20699 NIKKEI caleb_strategy_v3 2026-01-09 00:00:00 2026-01-13 03:11:22.521000 2026-01-13 19:45:08.250000 357082.521 59625.729 20700 NIKKEI caleb_strategy_v3 2026-01-09 00:00:00 2026-01-13 03:21:26.534000 2026-01-13 03:21:55 357686.534 28.466 ================================================================================================================================================================================================================================== 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 20704 CRUDE_W caleb_strategy_v3 [1] 58.45 None 58.945 58.95 58.94 58.94 58.87 -0.495 -0.005 0.08 0.07 NaN 0.075 20706 COPPER caleb_strategy_v3 [1] 6.02 None 6.0625 6.063 6.062 6.062 6.0535 -0.0425 -0.0005 0.0095 0.0085 NaN 0.009 20707 GOLD_micro caleb_strategy_v3 [-1] 4654.8 None 4659.9 4659.7 4660.1 4660.1 4654.4 5.1 -0.2 -5.3 -5.7 NaN -5.5 20708 HEATOIL caleb_strategy_v3 [1] 2.1322 None 2.16355 2.1639 2.1632 2.1632 2.1632 -0.03135 -0.00035 0.0007 0.0 NaN 0.00035 20711 DOW caleb_strategy_v3 [-1] 49798.0 None 49534.5 49534.0 49535.0 49535.0 49511.0 -263.5 -0.5 -23.0 -24.0 NaN -23.5 20712 SP500_micro caleb_strategy_v3 [1] 7022.5 None 7008.125 7008.25 7008.0 7008.0 7006.75 14.375 -0.125 1.5 1.25 NaN 1.375 20719 SOYMEAL caleb_strategy_v3 [-1] 302.2 None 297.25 297.2 297.3 297.3 297.4 -4.95 -0.05 0.2 0.1 NaN 0.15 20701 BUND caleb_strategy_v3 [1] 128.1 None 127.945 127.95 127.94 127.94 NaN 0.155 -0.005 NaN NaN NaN NaN 20702 BUND caleb_strategy_v3 [1] 128.1 None 63.97 127.94 0.0 0.0 NaN 64.13 -63.97 NaN NaN NaN NaN 20703 BUND caleb_strategy_v3 [1] 128.1 None 127.975 127.98 127.97 127.97 127.97 0.125 -0.005 0.01 0.0 NaN 0.005 20705 DX caleb_strategy_v3 [1] 98.625 None 98.705 98.71 98.7 98.7 98.71 -0.08 -0.005 0.0 -0.01 NaN -0.005 20709 DX caleb_strategy_v3 [1] 98.625 None 49.355 98.71 0.0 0.0 NaN 49.27 -49.355 NaN NaN NaN NaN 20710 DX caleb_strategy_v3 [1] 98.625 None 98.6875 98.69 98.685 98.685 98.71 -0.0625 -0.0025 -0.02 -0.025 NaN -0.0225 20720 VIX caleb_strategy_v3 [-1] 19.85 None 19.975 19.95 20.0 20.0 19.95 0.125 -0.025 -0.0 -0.05 NaN -0.025 20713 VIX caleb_strategy_v3 [-1] 19.85 None 19.925 19.9 19.95 19.95 19.95 0.075 -0.025 0.05 -0.0 NaN 0.025 20715 VIX caleb_strategy_v3 [-1] 19.85 None 9.95 19.9 0.0 0.0 NaN -9.9 9.95 NaN NaN NaN NaN 20717 VIX caleb_strategy_v3 [-1] 19.85 None 19.975 19.95 20.0 20.0 20.0 0.125 -0.025 0.05 -0.0 NaN 0.025 20714 NASDAQ_micro caleb_strategy_v3 [-1] 26016.25 None 25949.75 25949.5 25950.0 25950.0 25945.5 -66.5 -0.25 -4.0 -4.5 NaN -4.25 20716 NASDAQ_micro caleb_strategy_v3 [-1] 26016.25 None 12972.75 25945.5 0.0 0.0 NaN -13043.5 12972.75 NaN NaN NaN NaN 20718 NASDAQ_micro caleb_strategy_v3 [-1] 26016.25 None 25909.75 25909.5 25910.0 25910.0 NaN -106.5 -0.25 NaN NaN NaN NaN 20721 NASDAQ_micro caleb_strategy_v3 [-1] 26016.25 None 12926.0 25852.0 0.0 0.0 NaN -13090.25 12926.0 NaN NaN NaN NaN 20722 NASDAQ_micro caleb_strategy_v3 [-1] 26016.25 None 25836.375 25836.25 25836.5 25836.5 25850.5 -179.875 -0.125 14.25 14.0 NaN 14.125 20723 NASDAQ_micro caleb_strategy_v3 [-1] 26016.25 None 25836.375 25836.25 25836.5 25836.5 25863.25 -179.875 -0.125 27.0 26.75 NaN 26.875 20724 NASDAQ_micro caleb_strategy_v3 [-1] 26016.25 None 25836.375 25836.25 25836.5 25836.5 25885.25 -179.875 -0.125 49.0 48.75 NaN 48.875 20698 NIKKEI caleb_strategy_v3 [1] 52080.0 None 53737.5 53740.0 53735.0 53735.0 NaN -1657.5 -2.5 NaN NaN NaN NaN 20699 NIKKEI caleb_strategy_v3 [1] 52080.0 None 26882.5 53765.0 0.0 0.0 NaN 25197.5 -26882.5 NaN NaN NaN NaN 20700 NIKKEI caleb_strategy_v3 [1] 52080.0 None 53767.5 53770.0 53765.0 53765.0 53765.0 -1687.5 -2.5 5.0 0.0 NaN 2.5 ===================================================================================================================================================================== 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 20704 CRUDE_W caleb_strategy_v3 [1] 12.642275 -391.543454 -3.954984 63.27975 55.369781 NaN 59.324766 20706 COPPER caleb_strategy_v3 [1] 1.752064 -242.571023 -2.853777 54.221758 48.514205 NaN 51.367981 20707 GOLD_micro caleb_strategy_v3 [-1] 872.545332 58.449685 -2.292145 -60.74183 -65.326119 NaN -63.033974 20708 HEATOIL caleb_strategy_v3 [1] 0.630462 -497.254084 -5.551481 11.102962 0.0 NaN 5.551481 20711 DOW caleb_strategy_v3 [-1] 5616.70841 -469.135979 -0.890201 -40.949251 -42.729653 NaN -41.839452 20712 SP500_micro caleb_strategy_v3 [1] 722.238232 199.034049 -1.730731 20.76877 17.307309 NaN 19.03804 20719 SOYMEAL caleb_strategy_v3 [-1] 58.186353 -850.714943 -8.59308 34.372321 17.18616 NaN 25.779241 20701 BUND caleb_strategy_v3 [1] 5.066196 305.949488 -9.869338 NaN NaN NaN NaN 20702 BUND caleb_strategy_v3 [1] 5.066196 126584.133276 -126268.31445 NaN NaN NaN NaN 20703 BUND caleb_strategy_v3 [1] 5.066196 246.733458 -9.869338 19.738677 0.0 NaN 9.869338 20705 DX caleb_strategy_v3 [1] 4.900342 -163.253898 -10.203369 0.0 -20.406737 NaN -10.203369 20709 DX caleb_strategy_v3 [1] 4.900342 100543.994465 -100717.451732 NaN NaN NaN NaN 20710 DX caleb_strategy_v3 [1] 4.900342 -127.542108 -5.101684 -40.813475 -51.016843 NaN -45.915159 20720 VIX caleb_strategy_v3 [-1] 5.817567 214.866461 -42.973292 -0.0 -85.946585 NaN -42.973292 20713 VIX caleb_strategy_v3 [-1] 5.817567 128.919877 -42.973292 85.946585 -0.0 NaN 42.973292 20715 VIX caleb_strategy_v3 [-1] 5.817567 -17017.423748 17103.370333 NaN NaN NaN NaN 20717 VIX caleb_strategy_v3 [-1] 5.817567 214.866461 -42.973292 85.946585 -0.0 NaN 42.973292 20714 NASDAQ_micro caleb_strategy_v3 [-1] 3683.076681 -180.555567 -0.67878 -10.860485 -12.218046 NaN -11.539266 20716 NASDAQ_micro caleb_strategy_v3 [-1] 3683.076681 -35414.684866 35222.590033 NaN NaN NaN NaN 20718 NASDAQ_micro caleb_strategy_v3 [-1] 3683.076681 -289.16042 -0.67878 NaN NaN NaN NaN 20721 NASDAQ_micro caleb_strategy_v3 [-1] 3683.076681 -35541.616787 35095.658111 NaN NaN NaN NaN 20722 NASDAQ_micro caleb_strategy_v3 [-1] 3683.076681 -488.382446 -0.33939 38.690479 38.011698 NaN 38.351089 20723 NASDAQ_micro caleb_strategy_v3 [-1] 3683.076681 -488.382446 -0.33939 73.308275 72.629495 NaN 72.968885 20724 NASDAQ_micro caleb_strategy_v3 [-1] 3683.076681 -488.382446 -0.33939 133.040944 132.362164 NaN 132.701554 20698 NIKKEI caleb_strategy_v3 [1] 9274.238796 -1787.208672 -2.695639 NaN NaN NaN NaN 20699 NIKKEI caleb_strategy_v3 [1] 9274.238796 27169.345705 -28986.206406 NaN NaN NaN NaN 20700 NIKKEI caleb_strategy_v3 [1] 9274.238796 -1819.55634 -2.695639 5.391278 0.0 NaN 2.695639 =========================================================================================================================================================================== 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 20704 CRUDE_W caleb_strategy_v3 [1] 1000.0 -495.0 -5.0 80.0 70.0 NaN 75.0 20706 COPPER caleb_strategy_v3 [1] 25000.0 -1062.5 -12.5 237.5 212.5 NaN 225.0 20707 GOLD_micro caleb_strategy_v3 [-1] 10.0 51.0 -2.0 -53.0 -57.0 NaN -55.0 20708 HEATOIL caleb_strategy_v3 [1] 42000.0 -1316.7 -14.7 29.4 0.0 NaN 14.7 20711 DOW caleb_strategy_v3 [-1] 0.5 -131.75 -0.25 -11.5 -12.0 NaN -11.75 20712 SP500_micro caleb_strategy_v3 [1] 5.0 71.875 -0.625 7.5 6.25 NaN 6.875 20719 SOYMEAL caleb_strategy_v3 [-1] 100.0 -495.0 -5.0 20.0 10.0 NaN 15.0 20701 BUND caleb_strategy_v3 [1] 1165.935 180.719925 -5.829675 NaN NaN NaN NaN 20702 BUND caleb_strategy_v3 [1] 1165.935 74771.41155 -74584.86195 NaN NaN NaN NaN 20703 BUND caleb_strategy_v3 [1] 1165.935 145.741875 -5.829675 11.65935 0.0 NaN 5.829675 20705 DX caleb_strategy_v3 [1] 1000.0 -80.0 -5.0 0.0 -10.0 NaN -5.0 20709 DX caleb_strategy_v3 [1] 1000.0 49270.0 -49355.0 NaN NaN NaN NaN 20710 DX caleb_strategy_v3 [1] 1000.0 -62.5 -2.5 -20.0 -25.0 NaN -22.5 20720 VIX caleb_strategy_v3 [-1] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 20713 VIX caleb_strategy_v3 [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 20715 VIX caleb_strategy_v3 [-1] 1000.0 -9900.0 9950.0 NaN NaN NaN NaN 20717 VIX caleb_strategy_v3 [-1] 1000.0 125.0 -25.0 50.0 -0.0 NaN 25.0 20714 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -133.0 -0.5 -8.0 -9.0 NaN -8.5 20716 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -26087.0 25945.5 NaN NaN NaN NaN 20718 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -213.0 -0.5 NaN NaN NaN NaN 20721 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -26180.5 25852.0 NaN NaN NaN NaN 20722 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -359.75 -0.25 28.5 28.0 NaN 28.25 20723 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -359.75 -0.25 54.0 53.5 NaN 53.75 20724 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -359.75 -0.25 98.0 97.5 NaN 97.75 20698 NIKKEI caleb_strategy_v3 [1] 0.62981 -1043.910365 -1.574525 NaN NaN NaN NaN 20699 NIKKEI caleb_strategy_v3 [1] 0.62981 15869.64189 -16930.872035 NaN NaN NaN NaN 20700 NIKKEI caleb_strategy_v3 [1] 0.62981 -1062.804671 -1.574525 3.149051 0.0 NaN 1.574525 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUND 75097.87335 COPPER -1062.5 CRUDE_W -495.0 DOW -131.75 DX 49127.5 GOLD_micro 51.0 HEATOIL -1316.7 NASDAQ_micro -53692.75 NIKKEI 13762.926854 SOYMEAL -495.0 SP500_micro 71.875 VIX -9575.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 71342.475204 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUND -74596.5213 COPPER -12.5 CRUDE_W -5.0 DOW -0.25 DX -49362.5 GOLD_micro -2.0 HEATOIL -14.7 NASDAQ_micro 51795.75 NIKKEI -16934.021086 SOYMEAL -5.0 SP500_micro -0.625 VIX 9875.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -79262.367386 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUND 11.65935 COPPER 237.5 CRUDE_W 80.0 DOW -11.5 DX -20.0 GOLD_micro -53.0 HEATOIL 29.4 NASDAQ_micro 172.5 NIKKEI 3.149051 SOYMEAL 20.0 SP500_micro 7.5 VIX 100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 577.208401 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0.0 COPPER 212.5 CRUDE_W 70.0 DOW -12.0 DX -35.0 GOLD_micro -57.0 HEATOIL 0.0 NASDAQ_micro 170.0 NIKKEI 0.0 SOYMEAL 10.0 SP500_micro 6.25 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 314.75 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0 COPPER 0 CRUDE_W 0 DOW 0 DX 0 GOLD_micro 0 HEATOIL 0 NASDAQ_micro 0 NIKKEI 0 SOYMEAL 0 SP500_micro 0 VIX 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 BUND 5.829675 COPPER 225.0 CRUDE_W 75.0 DOW -11.75 DX -27.5 GOLD_micro -55.0 HEATOIL 14.7 NASDAQ_micro 171.25 NIKKEI 1.574525 SOYMEAL 15.0 SP500_micro 6.875 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 445.9792 ******************************************************************************** END OF REPORT ********************************************************************************