******************************************************************************** Trades report produced on 27/01/2026 21:36 from 26/01/2026 21:36 to 27/01/2026 21:36 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20929 AUD caleb_strategy_v3 [20260300] 2026-01-27 19:45:07.488 [0] NaN 20930 AUD caleb_strategy_v3 [20260300] 2026-01-27 15:27:24.000 [1] 0.69715 20931 AUD caleb_strategy_v3 [20260300] 2026-01-27 19:45:07.513 [0] NaN 20932 AUD caleb_strategy_v3 [20260300] 2026-01-27 15:37:32.000 [1] 0.69710 20927 AUD caleb_strategy_v3 [20260300] 2026-01-27 19:45:07.461 [0] NaN 20924 CRUDE_W caleb_strategy_v3 [20261200] 2026-01-27 14:09:29.000 [1] 60.09000 20925 DOW caleb_strategy_v3 [20260300] 2026-01-27 15:00:59.000 [1] 49168.00000 20922 EUROSTX caleb_strategy_v3 [20260300] 2026-01-27 08:02:22.000 [-1] 5996.00000 20923 GAS_US_mini caleb_strategy_v3 [20260300] 2026-01-27 14:09:29.000 [1] 3.78500 20921 NIKKEI caleb_strategy_v3 [20260300] 2026-01-27 03:02:15.000 [-1] 53040.00000 20928 SP500_micro caleb_strategy_v3 [20260300] 2026-01-27 15:11:06.000 [-1] 7004.50000 20926 SP500_micro caleb_strategy_v3 [20260300] 2026-01-27 15:01:00.000 [-1] 7004.25000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20921 NIKKEI caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 03:01:18.225000 2026-01-27 03:02:15 97278.225 56.775 20922 EUROSTX caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 08:00:41.233000 2026-01-27 08:02:22 115241.233 100.767 20923 GAS_US_mini caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 14:00:57.178000 2026-01-27 14:09:29 136857.178 511.822 20924 CRUDE_W caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 14:09:29.730000 2026-01-27 14:09:29 137369.73 NaN 20925 DOW caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:00:59.894000 2026-01-27 15:00:59 140459.894 NaN 20928 SP500_micro caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:11:06.389000 2026-01-27 15:11:06 141066.389 NaN 20926 SP500_micro caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:01:00.769000 2026-01-27 15:01:00 140460.769 NaN 20929 AUD caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:11:07.016000 2026-01-27 19:45:07.488000 141067.016 16440.472 20930 AUD caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:21:10.790000 2026-01-27 15:27:24 141670.79 373.21 20931 AUD caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:27:28.380000 2026-01-27 19:45:07.513000 142048.38 15459.133 20932 AUD caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:37:32.417000 2026-01-27 15:37:32 142652.417 NaN 20927 AUD caleb_strategy_v3 2026-01-26 00:00:00 2026-01-27 15:01:01.670000 2026-01-27 19:45:07.461000 140461.67 17045.791 ================================================================================================================================================================================================================================= 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 20921 NIKKEI caleb_strategy_v3 [-1] 52575.0 None 53017.5 53015.0 53020.0 53020.0 53040.0 442.5 -2.5 25.0 20.0 NaN 22.5 20922 EUROSTX caleb_strategy_v3 [-1] 5979.0 None 5997.5 5997.0 5998.0 5998.0 5996.0 18.5 -0.5 -1.0 -2.0 NaN -1.5 20923 GAS_US_mini caleb_strategy_v3 [1] 3.815 None 3.755 3.76 3.75 3.75 3.785 0.06 -0.005 -0.025 -0.035 NaN -0.03 20924 CRUDE_W caleb_strategy_v3 [1] 59.52 None 60.23 60.24 60.22 60.22 60.09 -0.71 -0.01 0.15 0.13 NaN 0.14 20925 DOW caleb_strategy_v3 [1] 49577.0 None 49198.0 49199.0 49197.0 49197.0 49168.0 379.0 -1.0 31.0 29.0 NaN 30.0 20928 SP500_micro caleb_strategy_v3 [-1] 6989.25 None 7000.375 7000.25 7000.5 7000.5 7004.5 11.125 -0.125 4.25 4.0 NaN 4.125 20926 SP500_micro caleb_strategy_v3 [-1] 6989.25 None 7000.375 7000.25 7000.5 7000.5 7004.25 11.125 -0.125 4.0 3.75 NaN 3.875 20929 AUD caleb_strategy_v3 [1] 0.69175 None 0.348175 0.69635 0.0 0.0 NaN 0.343575 -0.348175 NaN NaN NaN NaN 20930 AUD caleb_strategy_v3 [1] 0.69175 None 0.6966 0.69665 0.69655 0.69655 0.69715 -0.00485 -0.00005 -0.0005 -0.0006 NaN -0.00055 20931 AUD caleb_strategy_v3 [1] 0.69175 None 0.348575 0.69715 0.0 0.0 NaN 0.343175 -0.348575 NaN NaN NaN NaN 20932 AUD caleb_strategy_v3 [1] 0.69175 None 0.697125 0.69715 0.6971 0.6971 0.6971 -0.005375 -0.000025 0.00005 0.0 NaN 0.000025 20927 AUD caleb_strategy_v3 [1] 0.69175 None 0.695825 0.69585 0.6958 0.6958 NaN -0.004075 -0.000025 NaN NaN NaN NaN =================================================================================================================================================================== 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 20921 NIKKEI caleb_strategy_v3 [-1] 11808.772008 374.721436 -2.11707 21.170703 16.936562 NaN 19.053632 20922 EUROSTX caleb_strategy_v3 [-1] 724.121668 255.481928 -6.904917 -13.809834 -27.619668 NaN -20.714751 20923 GAS_US_mini caleb_strategy_v3 [1] 2.309142 259.836747 -21.653062 -108.265311 -151.571436 NaN -129.918374 20924 CRUDE_W caleb_strategy_v3 [1] 12.684495 -559.738496 -7.883641 118.254612 102.48733 NaN 110.370971 20925 DOW caleb_strategy_v3 [1] 5782.647893 655.409091 -1.729312 53.608659 50.150036 NaN 51.879348 20928 SP500_micro caleb_strategy_v3 [-1] 753.156129 147.711737 -1.659682 56.429203 53.109838 NaN 54.76952 20926 SP500_micro caleb_strategy_v3 [-1] 753.156129 147.711737 -1.659682 53.109838 49.790473 NaN 51.450156 20929 AUD caleb_strategy_v3 [1] 0.051121 67207.901089 -68107.723093 NaN NaN NaN NaN 20930 AUD caleb_strategy_v3 [1] 0.051121 -948.725374 -9.780674 -97.80674 -117.368087 NaN -107.587414 20931 AUD caleb_strategy_v3 [1] 0.051121 67129.655697 -68185.968484 NaN NaN NaN NaN 20932 AUD caleb_strategy_v3 [1] 0.051121 -1051.42245 -4.890337 9.780674 0.0 NaN 4.890337 20927 AUD caleb_strategy_v3 [1] 0.051121 -797.124927 -4.890337 NaN NaN NaN NaN ========================================================================================================================================================================= 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 20921 NIKKEI caleb_strategy_v3 [-1] 0.647203 286.387377 -1.618008 16.180078 12.944062 NaN 14.56207 20922 EUROSTX caleb_strategy_v3 [-1] 11.8734 219.6579 -5.9367 -11.8734 -23.7468 NaN -17.8101 20923 GAS_US_mini caleb_strategy_v3 [1] 2500.0 150.0 -12.5 -62.5 -87.5 NaN -75.0 20924 CRUDE_W caleb_strategy_v3 [1] 1000.0 -710.0 -10.0 150.0 130.0 NaN 140.0 20925 DOW caleb_strategy_v3 [1] 0.5 189.5 -0.5 15.5 14.5 NaN 15.0 20928 SP500_micro caleb_strategy_v3 [-1] 5.0 55.625 -0.625 21.25 20.0 NaN 20.625 20926 SP500_micro caleb_strategy_v3 [-1] 5.0 55.625 -0.625 20.0 18.75 NaN 19.375 20929 AUD caleb_strategy_v3 [1] 100000.0 34357.5 -34817.5 NaN NaN NaN NaN 20930 AUD caleb_strategy_v3 [1] 100000.0 -485.0 -5.0 -50.0 -60.0 NaN -55.0 20931 AUD caleb_strategy_v3 [1] 100000.0 34317.5 -34857.5 NaN NaN NaN NaN 20932 AUD caleb_strategy_v3 [1] 100000.0 -537.5 -2.5 5.0 0.0 NaN 2.5 20927 AUD caleb_strategy_v3 [1] 100000.0 -407.5 -2.5 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 67245.0 CRUDE_W -710.0 DOW 189.5 EUROSTX 219.6579 GAS_US_mini 150.0 NIKKEI 286.387377 SP500_micro 111.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 67491.795277 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -69685.0 CRUDE_W -10.0 DOW -0.5 EUROSTX -5.9367 GAS_US_mini -12.5 NIKKEI -1.618008 SP500_micro -1.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -69716.804708 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -45.0 CRUDE_W 150.0 DOW 15.5 EUROSTX -11.8734 GAS_US_mini -62.5 NIKKEI 16.180078 SP500_micro 41.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 103.556678 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -60.0 CRUDE_W 130.0 DOW 14.5 EUROSTX -23.7468 GAS_US_mini -87.5 NIKKEI 12.944062 SP500_micro 38.75 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 24.947262 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 CRUDE_W 0 DOW 0 EUROSTX 0 GAS_US_mini 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 -52.5 CRUDE_W 140.0 DOW 15.0 EUROSTX -17.8101 GAS_US_mini -75.0 NIKKEI 14.56207 SP500_micro 40.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 64.25197 ******************************************************************************** END OF REPORT ********************************************************************************