******************************************************************************** Trades report produced on 22/01/2026 21:38 from 21/01/2026 21:38 to 22/01/2026 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20888 CHF caleb_strategy_v3 [20260300] 2026-01-22 15:16:30.000 [1] 1.270350 20883 CHF caleb_strategy_v3 [20260300] 2026-01-22 15:00:15.000 [1] 1.269550 20887 CHF caleb_strategy_v3 [20260300] 2026-01-22 19:45:07.485 [0] NaN 20875 CRUDE_W caleb_strategy_v3 [20261200] 2026-01-22 14:20:52.000 [-1] 58.920000 20885 DOW caleb_strategy_v3 [20260300] 2026-01-22 15:00:28.000 [1] 49496.000000 20872 DX caleb_strategy_v3 [20260300] 2026-01-22 19:45:07.268 [0] NaN 20876 DX caleb_strategy_v3 [20260300] 2026-01-22 19:45:07.380 [0] NaN 20878 DX caleb_strategy_v3 [20260300] 2026-01-22 14:46:59.000 [-1] 98.385000 20880 EUR caleb_strategy_v3 [20260300] 2026-01-22 15:00:10.000 [1] 1.174800 20871 GASOIL caleb_strategy_v3 [20260400] 2026-01-22 09:00:45.000 [1] 656.000000 20873 GAS_US_mini caleb_strategy_v3 [20260300] 2026-01-22 14:10:50.000 [1] 3.675000 20877 HEATOIL caleb_strategy_v3 [20260500] 2026-01-22 19:45:07.429 [0] NaN 20874 HEATOIL caleb_strategy_v3 [20260500] 2026-01-22 19:45:07.326 [0] NaN 20879 HEATOIL caleb_strategy_v3 [20260500] 2026-01-22 14:46:59.000 [1] 2.212600 20881 JPY caleb_strategy_v3 [20260300] 2026-01-22 15:00:12.000 [1] 0.006333 20886 JPY caleb_strategy_v3 [20260300] 2026-01-22 15:01:10.000 [1] 0.006332 20884 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-22 15:00:16.000 [1] 25560.500000 20869 NIKKEI caleb_strategy_v3 [20260300] 2026-01-22 03:01:18.000 [-1] 53785.000000 20870 NIKKEI caleb_strategy_v3 [20260300] 2026-01-22 03:02:18.000 [-1] 53785.000000 20890 REDWHEAT caleb_strategy_v3 [20260500] 2026-01-22 15:37:04.000 [1] 534.750000 20889 SOYBEAN caleb_strategy_v3 [20261100] 2026-01-22 15:30:54.000 [1] 1078.250000 20891 SOYMEAL caleb_strategy_v3 [20260500] 2026-01-22 15:41:37.000 [1] 299.100000 20882 SP500_micro caleb_strategy_v3 [20260300] 2026-01-22 15:00:13.000 [1] 6931.000000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20869 NIKKEI caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 03:01:18.342000 2026-01-22 03:01:18 97278.342 NaN 20870 NIKKEI caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 03:02:18.633000 2026-01-22 03:02:18 97338.633 NaN 20871 GASOIL caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 09:00:44.142000 2026-01-22 09:00:45 118844.142 0.858 20873 GAS_US_mini caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:10:50.875000 2026-01-22 14:10:50 137450.875 NaN 20875 CRUDE_W caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:20:52.908000 2026-01-22 14:20:52 138052.908 NaN 20880 EUR caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:00:10.809000 2026-01-22 15:00:10 140410.809 NaN 20882 SP500_micro caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:00:13.634000 2026-01-22 15:00:13 140413.634 NaN 20884 NASDAQ_micro caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:00:16.562000 2026-01-22 15:00:16 140416.562 NaN 20885 DOW caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:00:17.797000 2026-01-22 15:00:28 140417.797 10.203 20881 JPY caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:00:12.309000 2026-01-22 15:00:12 140412.309 NaN 20886 JPY caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:01:10.064000 2026-01-22 15:01:10 140470.064 NaN 20889 SOYBEAN caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:30:38.934000 2026-01-22 15:30:54 142238.934 15.066 20890 REDWHEAT caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:30:55.758000 2026-01-22 15:37:04 142255.758 368.242 20891 SOYMEAL caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:37:05.425000 2026-01-22 15:41:37 142625.425 271.575 20872 DX caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:00:49.777000 2026-01-22 19:45:07.268000 136849.777 20657.491 20876 DX caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:20:56.970000 2026-01-22 19:45:07.380000 138056.97 19450.41 20878 DX caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:41:01.190000 2026-01-22 14:46:59 139261.19 357.81 20888 CHF caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:11:15.338000 2026-01-22 15:16:30 141075.338 314.662 20883 CHF caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:00:15.180000 2026-01-22 15:00:15 140415.18 NaN 20887 CHF caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 15:01:10.754000 2026-01-22 19:45:07.485000 140470.754 17036.731 20874 HEATOIL caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:10:52.173000 2026-01-22 19:45:07.326000 137452.173 20055.153 20877 HEATOIL caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:30:57.322000 2026-01-22 19:45:07.429000 138657.322 18850.107 20879 HEATOIL caleb_strategy_v3 2026-01-21 00:00:00 2026-01-22 14:46:59.674000 2026-01-22 14:46:59 139619.674 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 20869 NIKKEI caleb_strategy_v3 [-1] 53445.0 None 53752.5 53750.0 53755.0 53755.0 53785.0 307.5 -2.5 35.0 30.0 NaN 32.5 20870 NIKKEI caleb_strategy_v3 [-1] 53445.0 None 53767.5 53765.0 53770.0 53770.0 53785.0 322.5 -2.5 20.0 15.0 NaN 17.5 20871 GASOIL caleb_strategy_v3 [1] 661.0 None 657.875 658.0 657.75 657.75 656.0 3.125 -0.125 2.0 1.75 NaN 1.875 20873 GAS_US_mini caleb_strategy_v3 [1] 3.5 None 3.68 3.685 3.675 3.675 3.675 -0.18 -0.005 0.01 0.0 NaN 0.005 20875 CRUDE_W caleb_strategy_v3 [-1] 59.44 None 58.9 58.89 58.91 58.91 58.92 -0.54 -0.01 0.03 0.01 NaN 0.02 20880 EUR caleb_strategy_v3 [1] 1.172 None 1.174925 1.17495 1.1749 1.1749 1.1748 -0.002925 -0.000025 0.00015 0.0001 NaN 0.000125 20882 SP500_micro caleb_strategy_v3 [1] 6937.25 None 6933.625 6933.75 6933.5 6933.5 6931.0 3.625 -0.125 2.75 2.5 NaN 2.625 20884 NASDAQ_micro caleb_strategy_v3 [1] 25626.0 None 25566.5 25566.75 25566.25 25566.25 25560.5 59.5 -0.25 6.25 5.75 NaN 6.0 20885 DOW caleb_strategy_v3 [1] 49430.0 None 49482.0 49483.0 49481.0 49481.0 49496.0 -52.0 -1.0 -13.0 -15.0 NaN -14.0 20881 JPY caleb_strategy_v3 [1] 0.006343 None 0.006334 0.006334 0.006333 0.006333 0.006333 0.000009 -0.0 0.000001 0.0 NaN 0.000001 20886 JPY caleb_strategy_v3 [1] 0.006343 None 0.006334 0.006334 0.006333 0.006333 0.006332 0.000009 -0.0 0.000002 0.000001 NaN 0.000002 20889 SOYBEAN caleb_strategy_v3 [1] 1074.25 None 1077.75 1078.0 1077.5 1077.5 1078.25 -3.5 -0.25 -0.25 -0.75 NaN -0.5 20890 REDWHEAT caleb_strategy_v3 [1] 531.25 None 533.125 533.25 533.0 533.0 534.75 -1.875 -0.125 -1.5 -1.75 NaN -1.625 20891 SOYMEAL caleb_strategy_v3 [1] 295.2 None 298.85 298.9 298.8 298.8 299.1 -3.65 -0.05 -0.2 -0.3 NaN -0.25 20872 DX caleb_strategy_v3 [-1] 98.64 None 98.4575 98.455 98.46 98.46 NaN -0.1825 -0.0025 NaN NaN NaN NaN 20876 DX caleb_strategy_v3 [-1] 98.64 None 49.2175 98.435 0.0 0.0 NaN -49.4225 49.2175 NaN NaN NaN NaN 20878 DX caleb_strategy_v3 [-1] 98.64 None 98.43 98.425 98.435 98.435 98.385 -0.21 -0.005 -0.04 -0.05 NaN -0.045 20888 CHF caleb_strategy_v3 [1] 1.26305 None 1.26955 1.2696 1.2695 1.2695 1.27035 -0.0065 -0.00005 -0.00075 -0.00085 NaN -0.0008 20883 CHF caleb_strategy_v3 [1] 1.26305 None 1.269625 1.2697 1.26955 1.26955 1.26955 -0.006575 -0.000075 0.00015 0.0 NaN 0.000075 20887 CHF caleb_strategy_v3 [1] 1.26305 None 0.63485 1.2697 0.0 0.0 NaN 0.6282 -0.63485 NaN NaN NaN NaN 20874 HEATOIL caleb_strategy_v3 [1] 2.2463 None 2.22315 2.2235 2.2228 2.2228 NaN 0.02315 -0.00035 NaN NaN NaN NaN 20877 HEATOIL caleb_strategy_v3 [1] 2.2463 None 1.1138 2.2276 0.0 0.0 NaN 1.1325 -1.1138 NaN NaN NaN NaN 20879 HEATOIL caleb_strategy_v3 [1] 2.2463 None 2.2288 2.2289 2.2287 2.2287 2.2126 0.0175 -0.0001 0.0163 0.0161 NaN 0.0162 ===================================================================================================================================================================== 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 20869 NIKKEI caleb_strategy_v3 [-1] 11834.455281 259.834519 -2.112476 29.574661 25.349709 NaN 27.462185 20870 NIKKEI caleb_strategy_v3 [-1] 11834.455281 272.509374 -2.112476 16.899806 12.674855 NaN 14.78733 20871 GASOIL caleb_strategy_v3 [1] 187.721682 166.469849 -6.658794 106.540703 93.223115 NaN 99.881909 20873 GAS_US_mini caleb_strategy_v3 [1] 2.306571 -780.379084 -21.677197 43.354394 0.0 NaN 21.677197 20875 CRUDE_W caleb_strategy_v3 [-1] 13.065047 -413.31654 -7.65401 22.96203 7.65401 NaN 15.30802 20880 EUR caleb_strategy_v3 [1] 0.062834 -465.512758 -3.978742 23.872449 15.914966 NaN 19.893708 20882 SP500_micro caleb_strategy_v3 [1] 786.410549 46.095516 -1.589501 34.969012 31.790011 NaN 33.379512 20884 NASDAQ_micro caleb_strategy_v3 [1] 3766.624957 157.966351 -0.663724 16.593104 15.265656 NaN 15.92938 20885 DOW caleb_strategy_v3 [1] 5786.181586 -89.869285 -1.728255 -22.467321 -25.923832 NaN -24.195577 20881 JPY caleb_strategy_v3 [1] 0.000471 201.711797 -10.61641 21.232821 0.0 NaN 10.61641 20886 JPY caleb_strategy_v3 [1] 0.000471 201.711797 -10.61641 42.465641 21.232821 NaN 31.849231 20889 SOYBEAN caleb_strategy_v3 [1] 118.81119 -294.585048 -21.041789 -21.041789 -63.125367 NaN -42.083578 20890 REDWHEAT caleb_strategy_v3 [1] 107.934315 -173.716765 -11.581118 -138.973412 -162.135647 NaN -150.554529 20891 SOYMEAL caleb_strategy_v3 [1] 55.009513 -663.521596 -9.089337 -36.357348 -54.536022 NaN -45.446685 20872 DX caleb_strategy_v3 [-1] 4.882716 -373.767415 -5.120102 NaN NaN NaN NaN 20876 DX caleb_strategy_v3 [-1] 4.882716 -101219.287939 100799.439611 NaN NaN NaN NaN 20878 DX caleb_strategy_v3 [-1] 4.882716 -430.088532 -10.240203 -81.921625 -102.402031 NaN -92.161828 20888 CHF caleb_strategy_v3 [1] 0.095056 -683.808657 -5.260067 -78.900999 -89.421132 NaN -84.161066 20883 CHF caleb_strategy_v3 [1] 0.095056 -691.698757 -7.8901 15.7802 0.0 NaN 7.8901 20887 CHF caleb_strategy_v3 [1] 0.095056 66087.476707 -66787.065565 NaN NaN NaN NaN 20874 HEATOIL caleb_strategy_v3 [1] 0.628693 368.224253 -5.567105 NaN NaN NaN NaN 20877 HEATOIL caleb_strategy_v3 [1] 0.628693 18013.56227 -17716.119785 NaN NaN NaN NaN 20879 HEATOIL caleb_strategy_v3 [1] 0.628693 278.355267 -1.590602 259.268049 256.086846 NaN 257.677447 ========================================================================================================================================================================= 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 20869 NIKKEI caleb_strategy_v3 [-1] 0.629527 193.579457 -1.573817 22.033434 18.885801 NaN 20.459617 20870 NIKKEI caleb_strategy_v3 [-1] 0.629527 203.022358 -1.573817 12.590534 9.4429 NaN 11.016717 20871 GASOIL caleb_strategy_v3 [1] 100.0 312.5 -12.5 200.0 175.0 NaN 187.5 20873 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -450.0 -12.5 25.0 0.0 NaN 12.5 20875 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -540.0 -10.0 30.0 10.0 NaN 20.0 20880 EUR caleb_strategy_v3 [1] 125000.0 -365.625 -3.125 18.75 12.5 NaN 15.625 20882 SP500_micro caleb_strategy_v3 [1] 5.0 18.125 -0.625 13.75 12.5 NaN 13.125 20884 NASDAQ_micro caleb_strategy_v3 [1] 2.0 119.0 -0.5 12.5 11.5 NaN 12.0 20885 DOW caleb_strategy_v3 [1] 0.5 -26.0 -0.5 -6.5 -7.5 NaN -7.0 20881 JPY caleb_strategy_v3 [1] 12500000.0 118.75 -6.25 12.5 0.0 NaN 6.25 20886 JPY caleb_strategy_v3 [1] 12500000.0 118.75 -6.25 25.0 12.5 NaN 18.75 20889 SOYBEAN caleb_strategy_v3 [1] 50.0 -175.0 -12.5 -12.5 -37.5 NaN -25.0 20890 REDWHEAT caleb_strategy_v3 [1] 50.0 -93.75 -6.25 -75.0 -87.5 NaN -81.25 20891 SOYMEAL caleb_strategy_v3 [1] 100.0 -365.0 -5.0 -20.0 -30.0 NaN -25.0 20872 DX caleb_strategy_v3 [-1] 1000.0 -182.5 -2.5 NaN NaN NaN NaN 20876 DX caleb_strategy_v3 [-1] 1000.0 -49422.5 49217.5 NaN NaN NaN NaN 20878 DX caleb_strategy_v3 [-1] 1000.0 -210.0 -5.0 -40.0 -50.0 NaN -45.0 20888 CHF caleb_strategy_v3 [1] 125000.0 -812.5 -6.25 -93.75 -106.25 NaN -100.0 20883 CHF caleb_strategy_v3 [1] 125000.0 -821.875 -9.375 18.75 0.0 NaN 9.375 20887 CHF caleb_strategy_v3 [1] 125000.0 78525.0 -79356.25 NaN NaN NaN NaN 20874 HEATOIL caleb_strategy_v3 [1] 42000.0 972.3 -14.7 NaN NaN NaN NaN 20877 HEATOIL caleb_strategy_v3 [1] 42000.0 47565.0 -46779.6 NaN NaN NaN NaN 20879 HEATOIL caleb_strategy_v3 [1] 42000.0 735.0 -4.2 684.6 676.2 NaN 680.4 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF 76890.625 CRUDE_W -540.0 DOW -26.0 DX -49815.0 EUR -365.625 GASOIL 312.5 GAS_US_mini -450.0 HEATOIL 49272.3 JPY 237.5 NASDAQ_micro 119.0 NIKKEI 396.601815 REDWHEAT -93.75 SOYBEAN -175.0 SOYMEAL -365.0 SP500_micro 18.125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 75416.276815 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -79371.875 CRUDE_W -10.0 DOW -0.5 DX 49210.0 EUR -3.125 GASOIL -12.5 GAS_US_mini -12.5 HEATOIL -46798.5 JPY -12.5 NASDAQ_micro -0.5 NIKKEI -3.147633 REDWHEAT -6.25 SOYBEAN -12.5 SOYMEAL -5.0 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -77039.522633 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF -75.0 CRUDE_W 30.0 DOW -6.5 DX -40.0 EUR 18.75 GASOIL 200.0 GAS_US_mini 25.0 HEATOIL 684.6 JPY 37.5 NASDAQ_micro 12.5 NIKKEI 34.623968 REDWHEAT -75.0 SOYBEAN -12.5 SOYMEAL -20.0 SP500_micro 13.75 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 827.723968 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF -106.25 CRUDE_W 10.0 DOW -7.5 DX -50.0 EUR 12.5 GASOIL 175.0 GAS_US_mini 0.0 HEATOIL 676.2 JPY 12.5 NASDAQ_micro 11.5 NIKKEI 28.328701 REDWHEAT -87.5 SOYBEAN -37.5 SOYMEAL -30.0 SP500_micro 12.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 619.778701 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 CRUDE_W 0 DOW 0 DX 0 EUR 0 GASOIL 0 GAS_US_mini 0 HEATOIL 0 JPY 0 NASDAQ_micro 0 NIKKEI 0 REDWHEAT 0 SOYBEAN 0 SOYMEAL 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 CHF -90.625 CRUDE_W 20.0 DOW -7.0 DX -45.0 EUR 15.625 GASOIL 187.5 GAS_US_mini 12.5 HEATOIL 680.4 JPY 25.0 NASDAQ_micro 12.0 NIKKEI 31.476335 REDWHEAT -81.25 SOYBEAN -25.0 SOYMEAL -25.0 SP500_micro 13.125 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 723.751335 ******************************************************************************** END OF REPORT ********************************************************************************