******************************************************************************** Trades report produced on 23/01/2026 21:37 from 22/01/2026 21:37 to 23/01/2026 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20900 DOW caleb_strategy_v3 [20260300] 2026-01-23 15:05:23.000 [1] 49261.0000 20901 DOW caleb_strategy_v3 [20260300] 2026-01-23 19:45:03.458 [0] NaN 20902 DOW caleb_strategy_v3 [20260300] 2026-01-23 15:15:48.000 [1] 49246.0000 20897 GASOIL caleb_strategy_v3 [20260400] 2026-01-23 09:01:13.000 [-1] 648.5000 20898 GBP caleb_strategy_v3 [20260300] 2026-01-23 15:00:16.000 [-1] 1.3535 20899 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-23 15:00:17.000 [-1] 25681.7500 20896 NIKKEI caleb_strategy_v3 [20260300] 2026-01-23 03:37:23.000 [1] 53915.0000 20892 NIKKEI caleb_strategy_v3 [20260300] 2026-01-23 03:07:08.000 [1] 53865.0000 20893 NIKKEI caleb_strategy_v3 [20260300] 2026-01-23 19:45:03.361 [0] NaN 20894 NIKKEI caleb_strategy_v3 [20260300] 2026-01-23 19:45:03.396 [0] NaN 20895 NIKKEI caleb_strategy_v3 [20260300] 2026-01-23 19:45:03.427 [0] NaN ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20897 GASOIL caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 09:00:14.909000 2026-01-23 09:01:13 118814.909 58.091 20898 GBP caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 15:00:16.041000 2026-01-23 15:00:16 140416.041 NaN 20899 NASDAQ_micro caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 15:00:17.302000 2026-01-23 15:00:17 140417.302 NaN 20896 NIKKEI caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 03:37:23.618000 2026-01-23 03:37:23 99443.618 NaN 20892 NIKKEI caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 03:01:20.649000 2026-01-23 03:07:08 97280.649 347.351 20893 NIKKEI caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 03:07:12.163000 2026-01-23 19:45:03.361000 97632.163 59871.198 20894 NIKKEI caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 03:17:15.743000 2026-01-23 19:45:03.396000 98235.743 59267.653 20895 NIKKEI caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 03:27:19.666000 2026-01-23 19:45:03.427000 98839.666 58663.761 20900 DOW caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 15:00:18.574000 2026-01-23 15:05:23 140418.574 304.426 20901 DOW caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 15:05:44.113000 2026-01-23 19:45:03.458000 140744.113 16759.345 20902 DOW caleb_strategy_v3 2026-01-22 00:00:00 2026-01-23 15:15:48.249000 2026-01-23 15:15:48 141348.249 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 20897 GASOIL caleb_strategy_v3 [-1] 644.75 None 649.375 649.25 649.5 649.5 648.5 4.625 -0.125 -0.75 -1.0 NaN -0.875 20898 GBP caleb_strategy_v3 [-1] 1.349 None 1.35285 1.3528 1.3529 1.3529 1.3535 0.00385 -0.00005 0.0007 0.0006 NaN 0.00065 20899 NASDAQ_micro caleb_strategy_v3 [-1] 25639.5 None 25592.875 25592.75 25593.0 25593.0 25681.75 -46.625 -0.125 89.0 88.75 NaN 88.875 20896 NIKKEI caleb_strategy_v3 [1] 54095.0 None 53972.5 53975.0 53970.0 53970.0 53915.0 122.5 -2.5 60.0 55.0 NaN 57.5 20892 NIKKEI caleb_strategy_v3 [1] 54095.0 None 53882.5 53885.0 53880.0 53880.0 53865.0 212.5 -2.5 20.0 15.0 NaN 17.5 20893 NIKKEI caleb_strategy_v3 [1] 54095.0 None 26932.5 53865.0 0.0 0.0 NaN 27162.5 -26932.5 NaN NaN NaN NaN 20894 NIKKEI caleb_strategy_v3 [1] 54095.0 None 53870.0 53875.0 53865.0 53865.0 NaN 225.0 -5.0 NaN NaN NaN NaN 20895 NIKKEI caleb_strategy_v3 [1] 54095.0 None 26932.5 53865.0 0.0 0.0 NaN 27162.5 -26932.5 NaN NaN NaN NaN 20900 DOW caleb_strategy_v3 [1] 49591.0 None 49179.0 49180.0 49178.0 49178.0 49261.0 412.0 -1.0 -81.0 -83.0 NaN -82.0 20901 DOW caleb_strategy_v3 [1] 49591.0 None 24630.5 49261.0 0.0 0.0 NaN 24960.5 -24630.5 NaN NaN NaN NaN 20902 DOW caleb_strategy_v3 [1] 49591.0 None 49288.0 49289.0 49287.0 49287.0 49246.0 303.0 -1.0 43.0 41.0 NaN 42.0 =================================================================================================================================================================== 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 20897 GASOIL caleb_strategy_v3 [-1] 178.07597 259.720613 -7.019476 -42.116856 -56.155808 NaN -49.136332 20898 GBP caleb_strategy_v3 [-1] 0.084713 454.478355 -5.902316 82.632428 70.827796 NaN 76.730112 20899 NASDAQ_micro caleb_strategy_v3 [-1] 3706.201965 -125.802642 -0.337272 240.13802 239.463475 NaN 239.800747 20896 NIKKEI caleb_strategy_v3 [1] 12035.16814 101.785034 -2.077246 49.853894 45.699403 NaN 47.776649 20892 NIKKEI caleb_strategy_v3 [1] 12035.16814 176.565876 -2.077246 16.617965 12.463474 NaN 14.540719 20893 NIKKEI caleb_strategy_v3 [1] 12035.16814 22569.273385 -22378.166791 NaN NaN NaN NaN 20894 NIKKEI caleb_strategy_v3 [1] 12035.16814 186.952104 -4.154491 NaN NaN NaN NaN 20895 NIKKEI caleb_strategy_v3 [1] 12035.16814 22569.273385 -22378.166791 NaN NaN NaN NaN 20900 DOW caleb_strategy_v3 [1] 5754.760624 715.928997 -1.737692 -140.753031 -144.228414 NaN -142.490723 20901 DOW caleb_strategy_v3 [1] 5754.760624 43373.654664 -42800.21639 NaN NaN NaN NaN 20902 DOW caleb_strategy_v3 [1] 5754.760624 526.520597 -1.737692 74.720745 71.245361 NaN 72.983053 =========================================================================================================================================================================== 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 20897 GASOIL caleb_strategy_v3 [-1] 100.0 462.5 -12.5 -75.0 -100.0 NaN -87.5 20898 GBP caleb_strategy_v3 [-1] 62500.0 240.625 -3.125 43.75 37.5 NaN 40.625 20899 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -93.25 -0.25 178.0 177.5 NaN 177.75 20896 NIKKEI caleb_strategy_v3 [1] 0.62935 77.095422 -1.573376 37.761023 34.614271 NaN 36.187647 20892 NIKKEI caleb_strategy_v3 [1] 0.62935 133.736957 -1.573376 12.587008 9.440256 NaN 11.013632 20893 NIKKEI caleb_strategy_v3 [1] 0.62935 17094.72982 -16949.979231 NaN NaN NaN NaN 20894 NIKKEI caleb_strategy_v3 [1] 0.62935 141.603837 -3.146752 NaN NaN NaN NaN 20895 NIKKEI caleb_strategy_v3 [1] 0.62935 17094.72982 -16949.979231 NaN NaN NaN NaN 20900 DOW caleb_strategy_v3 [1] 0.5 206.0 -0.5 -40.5 -41.5 NaN -41.0 20901 DOW caleb_strategy_v3 [1] 0.5 12480.25 -12315.25 NaN NaN NaN NaN 20902 DOW caleb_strategy_v3 [1] 0.5 151.5 -0.5 21.5 20.5 NaN 21.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 12837.75 GASOIL 462.5 GBP 240.625 NASDAQ_micro -93.25 NIKKEI 34541.895855 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 47989.520855 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -12316.25 GASOIL -12.5 GBP -3.125 NASDAQ_micro -0.25 NIKKEI -33906.251967 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -46238.376967 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -19.0 GASOIL -75.0 GBP 43.75 NASDAQ_micro 178.0 NIKKEI 50.348031 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 178.098031 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -21.0 GASOIL -100.0 GBP 37.5 NASDAQ_micro 177.5 NIKKEI 44.054527 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 138.054527 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 GASOIL 0 GBP 0 NASDAQ_micro 0 NIKKEI 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 -20.0 GASOIL -87.5 GBP 40.625 NASDAQ_micro 177.75 NIKKEI 47.201279 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 158.076279 ******************************************************************************** END OF REPORT ********************************************************************************