******************************************************************************** Trades report produced on 26/01/2026 21:37 from 25/01/2026 21:37 to 26/01/2026 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20911 AUD caleb_strategy_v3 [20260300] 2026-01-26 15:01:32.000 [1] 0.69370 20915 AUD caleb_strategy_v3 [20260300] 2026-01-26 19:45:04.884 [0] NaN 20919 AUD caleb_strategy_v3 [20260300] 2026-01-26 15:22:58.000 [1] 0.69335 20917 AUD caleb_strategy_v3 [20260300] 2026-01-26 15:21:59.000 [1] 0.69315 20905 BUND caleb_strategy_v3 [20260300] 2026-01-26 08:04:37.000 [-1] 127.77000 20908 DOW caleb_strategy_v3 [20260300] 2026-01-26 15:00:21.000 [1] 49397.00000 20904 EUROSTX caleb_strategy_v3 [20260300] 2026-01-26 08:04:24.000 [-1] 5962.00000 20906 GAS_US_mini caleb_strategy_v3 [20260300] 2026-01-26 14:00:17.000 [1] 3.70500 20910 GBP caleb_strategy_v3 [20260300] 2026-01-26 15:00:24.000 [-1] 1.36900 20914 GBP caleb_strategy_v3 [20260300] 2026-01-26 15:11:54.000 [-1] 1.36940 20909 MXP caleb_strategy_v3 [20260300] 2026-01-26 15:00:23.000 [1] 0.05762 20913 MXP caleb_strategy_v3 [20260300] 2026-01-26 15:11:53.000 [1] 0.05764 20903 NIKKEI caleb_strategy_v3 [20260300] 2026-01-26 03:05:03.000 [-1] 52825.00000 20907 SP500_micro caleb_strategy_v3 [20260300] 2026-01-26 15:00:20.000 [-1] 6976.00000 20912 SP500_micro caleb_strategy_v3 [20260300] 2026-01-26 19:45:04.840 [0] NaN 20916 SP500_micro caleb_strategy_v3 [20260300] 2026-01-26 15:21:58.000 [-1] 6987.00000 20918 SP500_micro caleb_strategy_v3 [20260300] 2026-01-26 15:22:58.000 [-1] 6986.75000 20920 SP500_micro caleb_strategy_v3 [20260300] 2026-01-26 15:23:59.000 [-1] 6987.50000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20903 NIKKEI caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 03:01:20.454000 2026-01-26 03:05:03 270080.454 222.546 20904 EUROSTX caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 08:00:42.573000 2026-01-26 08:04:24 288042.573 221.427 20905 BUND caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 08:04:25.365000 2026-01-26 08:04:37 288265.365 11.635 20906 GAS_US_mini caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 14:00:17.304000 2026-01-26 14:00:17 309617.304 NaN 20908 DOW caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:00:21.902000 2026-01-26 15:00:21 313221.902 NaN 20913 MXP caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:11:53.157000 2026-01-26 15:11:53 313913.157 NaN 20909 MXP caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:00:23.285000 2026-01-26 15:00:23 313223.285 NaN 20914 GBP caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:11:53.957000 2026-01-26 15:11:54 313913.957 0.043 20910 GBP caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:00:24.494000 2026-01-26 15:00:24 313224.494 NaN 20907 SP500_micro caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:00:19.209000 2026-01-26 15:00:20 313219.209 0.791 20912 SP500_micro caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:01:52.670000 2026-01-26 19:45:04.840000 313312.67 16992.17 20916 SP500_micro caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:21:58.486000 2026-01-26 15:21:58 314518.486 NaN 20918 SP500_micro caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:22:58.445000 2026-01-26 15:22:58 314578.445 NaN 20920 SP500_micro caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:23:58.645000 2026-01-26 15:23:59 314638.645 0.355 20919 AUD caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:22:58.928000 2026-01-26 15:22:58 314578.928 NaN 20915 AUD caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:11:54.639000 2026-01-26 19:45:04.884000 313914.639 16390.245 20917 AUD caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:21:59.096000 2026-01-26 15:21:59 314519.096 NaN 20911 AUD caleb_strategy_v3 2026-01-23 00:00:00 2026-01-26 15:00:25.858000 2026-01-26 15:01:32 313225.858 66.142 ================================================================================================================================================================================================================================= 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 20903 NIKKEI caleb_strategy_v3 [-1] 53000.0 None 52832.5 52830.0 52835.0 52835.0 52825.0 -167.5 -2.5 -5.0 -10.0 NaN -7.5 20904 EUROSTX caleb_strategy_v3 [-1] 5965.0 None 5963.5 5963.0 5964.0 5964.0 5962.0 -1.5 -0.5 -1.0 -2.0 NaN -1.5 20905 BUND caleb_strategy_v3 [-1] 127.59 None 127.765 127.76 127.77 127.77 127.77 0.175 -0.005 0.01 -0.0 NaN 0.005 20906 GAS_US_mini caleb_strategy_v3 [1] 3.57 None 3.725 3.73 3.72 3.72 3.705 -0.155 -0.005 0.025 0.015 NaN 0.02 20908 DOW caleb_strategy_v3 [1] 49250.0 None 49453.0 49454.0 49452.0 49452.0 49397.0 -203.0 -1.0 57.0 55.0 NaN 56.0 20913 MXP caleb_strategy_v3 [1] 0.05728 None 0.057625 0.05763 0.05762 0.05762 0.05764 -0.000345 -0.000005 -0.00001 -0.00002 NaN -0.000015 20909 MXP caleb_strategy_v3 [1] 0.05728 None 0.057625 0.05763 0.05762 0.05762 0.05762 -0.000345 -0.000005 0.00001 0.0 NaN 0.000005 20914 GBP caleb_strategy_v3 [-1] 1.3624 None 1.3682 1.3681 1.3683 1.3683 1.3694 0.0058 -0.0001 0.0013 0.0011 NaN 0.0012 20910 GBP caleb_strategy_v3 [-1] 1.3624 None 1.3682 1.3681 1.3683 1.3683 1.369 0.0058 -0.0001 0.0009 0.0007 NaN 0.0008 20907 SP500_micro caleb_strategy_v3 [-1] 6946.25 None 6975.875 6975.75 6976.0 6976.0 6976.0 29.625 -0.125 0.25 -0.0 NaN 0.125 20912 SP500_micro caleb_strategy_v3 [-1] 6946.25 None 3488.125 6976.25 0.0 0.0 NaN -3458.125 3488.125 NaN NaN NaN NaN 20916 SP500_micro caleb_strategy_v3 [-1] 6946.25 None 6974.625 6974.5 6974.75 6974.75 6987.0 28.375 -0.125 12.5 12.25 NaN 12.375 20918 SP500_micro caleb_strategy_v3 [-1] 6946.25 None 6974.125 6974.0 6974.25 6974.25 6986.75 27.875 -0.125 12.75 12.5 NaN 12.625 20920 SP500_micro caleb_strategy_v3 [-1] 6946.25 None 6974.125 6974.0 6974.25 6974.25 6987.5 27.875 -0.125 13.5 13.25 NaN 13.375 20919 AUD caleb_strategy_v3 [1] 0.68865 None 0.693725 0.69375 0.6937 0.6937 0.69335 -0.005075 -0.000025 0.0004 0.00035 NaN 0.000375 20915 AUD caleb_strategy_v3 [1] 0.68865 None 0.34685 0.6937 0.0 0.0 NaN 0.3418 -0.34685 NaN NaN NaN NaN 20917 AUD caleb_strategy_v3 [1] 0.68865 None 0.6937 0.69375 0.69365 0.69365 0.69315 -0.00505 -0.00005 0.0006 0.0005 NaN 0.00055 20911 AUD caleb_strategy_v3 [1] 0.68865 None 0.693625 0.69365 0.6936 0.6936 0.6937 -0.004975 -0.000025 -0.00005 -0.0001 NaN -0.000075 =================================================================================================================================================================== 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 20903 NIKKEI caleb_strategy_v3 [-1] 12074.197196 -138.725579 -2.070531 -4.141062 -8.282124 NaN -6.211593 20904 EUROSTX caleb_strategy_v3 [-1] 733.011289 -20.463532 -6.821177 -13.642355 -27.284709 NaN -20.463532 20905 BUND caleb_strategy_v3 [-1] 4.752432 368.232486 -10.520928 21.041856 -0.0 NaN 10.520928 20906 GAS_US_mini caleb_strategy_v3 [1] 2.334766 -663.87817 -21.415425 107.077124 64.246275 NaN 85.661699 20908 DOW caleb_strategy_v3 [1] 5708.488314 -355.610783 -1.751777 99.851304 96.347749 NaN 98.099526 20913 MXP caleb_strategy_v3 [1] 0.003677 -938.377858 -13.599679 -27.199358 -54.398716 NaN -40.799037 20909 MXP caleb_strategy_v3 [1] 0.003677 -938.377858 -13.599679 27.199358 0.0 NaN 13.599679 20914 GBP caleb_strategy_v3 [-1] 0.08635 671.68819 -11.580831 150.550801 127.389139 NaN 138.96997 20910 GBP caleb_strategy_v3 [-1] 0.08635 671.68819 -11.580831 104.227478 81.065816 NaN 92.646647 20907 SP500_micro caleb_strategy_v3 [-1] 766.134085 386.68166 -1.631568 3.263136 -0.0 NaN 1.631568 20912 SP500_micro caleb_strategy_v3 [-1] 766.134085 -45137.333874 45528.910239 NaN NaN NaN NaN 20916 SP500_micro caleb_strategy_v3 [-1] 766.134085 370.365978 -1.631568 163.156819 159.893682 NaN 161.52525 20918 SP500_micro caleb_strategy_v3 [-1] 766.134085 363.839706 -1.631568 166.419955 163.156819 NaN 164.788387 20920 SP500_micro caleb_strategy_v3 [-1] 766.134085 363.839706 -1.631568 176.209364 172.946228 NaN 174.577796 20919 AUD caleb_strategy_v3 [1] 0.049477 -1025.72467 -5.052831 80.845294 70.739632 NaN 75.792463 20915 AUD caleb_strategy_v3 [1] 0.049477 69082.303865 -70102.975704 NaN NaN NaN NaN 20917 AUD caleb_strategy_v3 [1] 0.049477 -1020.671839 -10.105662 121.267941 101.056618 NaN 111.162279 20911 AUD caleb_strategy_v3 [1] 0.049477 -1005.513346 -5.052831 -10.105662 -20.211324 NaN -15.158493 ========================================================================================================================================================================= 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 20903 NIKKEI caleb_strategy_v3 [-1] 0.648466 -108.618118 -1.621166 -3.242332 -6.484664 NaN -4.863498 20904 EUROSTX caleb_strategy_v3 [-1] 11.85615 -17.784225 -5.928075 -11.85615 -23.7123 NaN -17.784225 20905 BUND caleb_strategy_v3 [-1] 1185.615 207.482625 -5.928075 11.85615 -0.0 NaN 5.928075 20906 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -387.5 -12.5 62.5 37.5 NaN 50.0 20908 DOW caleb_strategy_v3 [1] 0.5 -101.5 -0.5 28.5 27.5 NaN 28.0 20913 MXP caleb_strategy_v3 [1] 500000.0 -172.5 -2.5 -5.0 -10.0 NaN -7.5 20909 MXP caleb_strategy_v3 [1] 500000.0 -172.5 -2.5 5.0 0.0 NaN 2.5 20914 GBP caleb_strategy_v3 [-1] 62500.0 362.5 -6.25 81.25 68.75 NaN 75.0 20910 GBP caleb_strategy_v3 [-1] 62500.0 362.5 -6.25 56.25 43.75 NaN 50.0 20907 SP500_micro caleb_strategy_v3 [-1] 5.0 148.125 -0.625 1.25 -0.0 NaN 0.625 20912 SP500_micro caleb_strategy_v3 [-1] 5.0 -17290.625 17440.625 NaN NaN NaN NaN 20916 SP500_micro caleb_strategy_v3 [-1] 5.0 141.875 -0.625 62.5 61.25 NaN 61.875 20918 SP500_micro caleb_strategy_v3 [-1] 5.0 139.375 -0.625 63.75 62.5 NaN 63.125 20920 SP500_micro caleb_strategy_v3 [-1] 5.0 139.375 -0.625 67.5 66.25 NaN 66.875 20919 AUD caleb_strategy_v3 [1] 100000.0 -507.5 -2.5 40.0 35.0 NaN 37.5 20915 AUD caleb_strategy_v3 [1] 100000.0 34180.0 -34685.0 NaN NaN NaN NaN 20917 AUD caleb_strategy_v3 [1] 100000.0 -505.0 -5.0 60.0 50.0 NaN 55.0 20911 AUD caleb_strategy_v3 [1] 100000.0 -497.5 -2.5 -5.0 -10.0 NaN -7.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 32670.0 BUND 207.482625 DOW -101.5 EUROSTX -17.784225 GAS_US_mini -387.5 GBP 725.0 MXP -345.0 NIKKEI -108.618118 SP500_micro -16721.875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 15920.205282 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -34695.0 BUND -5.928075 DOW -0.5 EUROSTX -5.928075 GAS_US_mini -12.5 GBP -12.5 MXP -5.0 NIKKEI -1.621166 SP500_micro 17438.125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -17300.852316 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 95.0 BUND 11.85615 DOW 28.5 EUROSTX -11.85615 GAS_US_mini 62.5 GBP 137.5 MXP 0.0 NIKKEI -3.242332 SP500_micro 195.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 515.257668 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 75.0 BUND -0.0 DOW 27.5 EUROSTX -23.7123 GAS_US_mini 37.5 GBP 112.5 MXP -10.0 NIKKEI -6.484664 SP500_micro 190.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 402.303036 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BUND 0 DOW 0 EUROSTX 0 GAS_US_mini 0 GBP 0 MXP 0 NIKKEI 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 AUD 85.0 BUND 5.928075 DOW 28.0 EUROSTX -17.784225 GAS_US_mini 50.0 GBP 125.0 MXP -5.0 NIKKEI -4.863498 SP500_micro 192.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 458.780352 ******************************************************************************** END OF REPORT ********************************************************************************