******************************************************************************** Trades report produced on 28/01/2026 21:36 from 27/01/2026 21:36 to 28/01/2026 21:36 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 20936 BUND caleb_strategy_v3 [20260300] 2026-01-28 08:01:49.000 [1] 128.07000 20937 CANOLA caleb_strategy_v3 [20260500] 2026-01-28 14:03:18.000 [1] 660.80000 20940 COPPER caleb_strategy_v3 [20260300] 2026-01-28 14:03:29.000 [1] 5.92150 20939 CRUDE_W caleb_strategy_v3 [20261200] 2026-01-28 14:03:28.000 [1] 60.93000 20942 DOW caleb_strategy_v3 [20260300] 2026-01-28 15:00:47.000 [1] 49128.00000 20938 DX caleb_strategy_v3 [20260300] 2026-01-28 14:03:19.000 [-1] 96.18000 20941 EUR caleb_strategy_v3 [20260300] 2026-01-28 15:00:46.000 [1] 1.19905 20945 GBP caleb_strategy_v3 [20260300] 2026-01-28 15:00:50.000 [1] 1.37870 20946 GBP caleb_strategy_v3 [20260300] 2026-01-28 15:01:46.000 [1] 1.37920 20943 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-01-28 15:00:48.000 [1] 26258.25000 20933 NIKKEI caleb_strategy_v3 [20260300] 2026-01-28 03:01:19.000 [-1] 53075.00000 20934 NIKKEI caleb_strategy_v3 [20260300] 2026-01-28 19:45:01.226 [0] NaN 20935 NIKKEI caleb_strategy_v3 [20260300] 2026-01-28 03:12:42.000 [-1] 53065.00000 20944 SP500_micro caleb_strategy_v3 [20260300] 2026-01-28 15:00:49.000 [1] 7023.25000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 20936 BUND caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 08:00:49.093000 2026-01-28 08:01:49 115249.093 59.907 20937 CANOLA caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 14:00:36.441000 2026-01-28 14:03:18 136836.441 161.559 20938 DX caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 14:03:18.969000 2026-01-28 14:03:19 136998.969 0.031 20939 CRUDE_W caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 14:03:20.089000 2026-01-28 14:03:28 137000.089 7.911 20940 COPPER caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 14:03:29.221000 2026-01-28 14:03:29 137009.221 NaN 20941 EUR caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 15:00:46.833000 2026-01-28 15:00:46 140446.833 NaN 20942 DOW caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 15:00:47.737000 2026-01-28 15:00:47 140447.737 NaN 20943 NASDAQ_micro caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 15:00:48.641000 2026-01-28 15:00:48 140448.641 NaN 20944 SP500_micro caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 15:00:49.537000 2026-01-28 15:00:49 140449.537 NaN 20945 GBP caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 15:00:50.397000 2026-01-28 15:00:50 140450.397 NaN 20946 GBP caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 15:01:46.921000 2026-01-28 15:01:46 140506.921 NaN 20933 NIKKEI caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 03:01:18.158000 2026-01-28 03:01:19 97278.158 0.842 20934 NIKKEI caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 03:02:18.142000 2026-01-28 19:45:01.226000 97338.142 60163.084 20935 NIKKEI caleb_strategy_v3 2026-01-27 00:00:00 2026-01-28 03:12:21.545000 2026-01-28 03:12:42 97941.545 20.455 ================================================================================================================================================================================================================================== 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 20936 BUND caleb_strategy_v3 [1] 127.83 None 128.055 128.06 128.05 128.05 128.07 -0.225 -0.005 -0.01 -0.02 NaN -0.015 20937 CANOLA caleb_strategy_v3 [1] 656.9 None 660.4 660.5 660.3 660.3 660.8 -3.5 -0.1 -0.3 -0.5 NaN -0.4 20938 DX caleb_strategy_v3 [-1] 96.05 None 96.1125 96.11 96.115 96.115 96.18 0.0625 -0.0025 0.07 0.065 NaN 0.0675 20939 CRUDE_W caleb_strategy_v3 [1] 60.41 None 60.915 60.92 60.91 60.91 60.93 -0.505 -0.005 -0.01 -0.02 NaN -0.015 20940 COPPER caleb_strategy_v3 [1] 5.8985 None 5.924 5.9245 5.9235 5.9235 5.9215 -0.0255 -0.0005 0.003 0.002 NaN 0.0025 20941 EUR caleb_strategy_v3 [1] 1.2004 None 1.200175 1.2002 1.20015 1.20015 1.19905 0.000225 -0.000025 0.00115 0.0011 NaN 0.001125 20942 DOW caleb_strategy_v3 [1] 49133.0 None 49135.5 49136.0 49135.0 49135.0 49128.0 -2.5 -0.5 8.0 7.0 NaN 7.5 20943 NASDAQ_micro caleb_strategy_v3 [1] 26093.5 None 26260.625 26260.75 26260.5 26260.5 26258.25 -167.125 -0.125 2.5 2.25 NaN 2.375 20944 SP500_micro caleb_strategy_v3 [1] 7015.0 None 7024.125 7024.25 7024.0 7024.0 7023.25 -9.125 -0.125 1.0 0.75 NaN 0.875 20945 GBP caleb_strategy_v3 [1] 1.3784 None 1.3797 1.3798 1.3796 1.3796 1.3787 -0.0013 -0.0001 0.0011 0.0009 NaN 0.001 20946 GBP caleb_strategy_v3 [1] 1.3784 None 1.3797 1.3798 1.3796 1.3796 1.3792 -0.0013 -0.0001 0.0006 0.0004 NaN 0.0005 20933 NIKKEI caleb_strategy_v3 [-1] 53040.0 None 53032.5 53030.0 53035.0 53035.0 53075.0 -7.5 -2.5 45.0 40.0 NaN 42.5 20934 NIKKEI caleb_strategy_v3 [-1] 53040.0 None 26515.0 53030.0 0.0 0.0 NaN -26525.0 26515.0 NaN NaN NaN NaN 20935 NIKKEI caleb_strategy_v3 [-1] 53040.0 None 53062.5 53060.0 53065.0 53065.0 53065.0 22.5 -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 20936 BUND caleb_strategy_v3 [1] 4.6108 -487.984759 -10.844106 -21.688211 -43.376423 NaN -32.532317 20937 CANOLA caleb_strategy_v3 [1] 111.402691 -314.175534 -8.976444 -26.929332 -44.882219 NaN -35.905775 20938 DX caleb_strategy_v3 [-1] 6.45387 96.841119 -3.873645 108.462054 100.714764 NaN 104.588409 20939 CRUDE_W caleb_strategy_v3 [1] 12.520376 -403.342509 -3.99349 -7.98698 -15.973961 NaN -11.980471 20940 COPPER caleb_strategy_v3 [1] 1.569458 -162.476443 -3.185813 19.114876 12.74325 NaN 15.929063 20941 EUR caleb_strategy_v3 [1] 0.089222 25.217858 -2.801984 128.891276 123.287308 NaN 126.089292 20942 DOW caleb_strategy_v3 [1] 5638.04628 -4.43416 -0.886832 14.189312 12.415648 NaN 13.30248 20943 NASDAQ_micro caleb_strategy_v3 [1] 3572.71508 -467.781495 -0.349874 6.997479 6.297731 NaN 6.647605 20944 SP500_micro caleb_strategy_v3 [1] 735.319673 -124.095687 -1.699941 13.599527 10.199646 NaN 11.899586 20945 GBP caleb_strategy_v3 [1] 0.099074 -131.214916 -10.093455 111.028006 90.841096 NaN 100.934551 20946 GBP caleb_strategy_v3 [1] 0.099074 -131.214916 -10.093455 60.56073 40.37382 NaN 50.467275 20933 NIKKEI caleb_strategy_v3 [-1] 11758.008604 -6.378631 -2.12621 38.271787 34.019366 NaN 36.145577 20934 NIKKEI caleb_strategy_v3 [-1] 11758.008604 -22559.092185 22550.587343 NaN NaN NaN NaN 20935 NIKKEI caleb_strategy_v3 [-1] 11758.008604 19.135893 -2.12621 4.252421 -0.0 NaN 2.12621 ============================================================================================================================================================================ 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 20936 BUND caleb_strategy_v3 [1] 1199.86 -269.9685 -5.9993 -11.9986 -23.9972 NaN -17.9979 20937 CANOLA caleb_strategy_v3 [1] 14.725968 -51.540888 -1.472597 -4.41779 -7.362984 NaN -5.890387 20938 DX caleb_strategy_v3 [-1] 1000.0 62.5 -2.5 70.0 65.0 NaN 67.5 20939 CRUDE_W caleb_strategy_v3 [1] 1000.0 -505.0 -5.0 -10.0 -20.0 NaN -15.0 20940 COPPER caleb_strategy_v3 [1] 25000.0 -637.5 -12.5 75.0 50.0 NaN 62.5 20941 EUR caleb_strategy_v3 [1] 125000.0 28.125 -3.125 143.75 137.5 NaN 140.625 20942 DOW caleb_strategy_v3 [1] 0.5 -1.25 -0.25 4.0 3.5 NaN 3.75 20943 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -334.25 -0.25 5.0 4.5 NaN 4.75 20944 SP500_micro caleb_strategy_v3 [1] 5.0 -45.625 -0.625 5.0 3.75 NaN 4.375 20945 GBP caleb_strategy_v3 [1] 62500.0 -81.25 -6.25 68.75 56.25 NaN 62.5 20946 GBP caleb_strategy_v3 [1] 62500.0 -81.25 -6.25 37.5 25.0 NaN 31.25 20933 NIKKEI caleb_strategy_v3 [-1] 0.655433 -4.915744 -1.638581 29.494465 26.217302 NaN 27.855883 20934 NIKKEI caleb_strategy_v3 [-1] 0.655433 -17385.348461 17378.794135 NaN NaN NaN NaN 20935 NIKKEI caleb_strategy_v3 [-1] 0.655433 14.747232 -1.638581 3.277163 -0.0 NaN 1.638581 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUND -269.9685 CANOLA -51.540888 COPPER -637.5 CRUDE_W -505.0 DOW -1.25 DX 62.5 EUR 28.125 GBP -162.5 NASDAQ_micro -334.25 NIKKEI -17375.516972 SP500_micro -45.625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -19292.526361 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUND -5.9993 CANOLA -1.472597 COPPER -12.5 CRUDE_W -5.0 DOW -0.25 DX -2.5 EUR -3.125 GBP -12.5 NASDAQ_micro -0.25 NIKKEI 17375.516972 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 17331.295076 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUND -11.9986 CANOLA -4.41779 COPPER 75.0 CRUDE_W -10.0 DOW 4.0 DX 70.0 EUR 143.75 GBP 106.25 NASDAQ_micro 5.0 NIKKEI 32.771628 SP500_micro 5.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 415.355237 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND -23.9972 CANOLA -7.362984 COPPER 50.0 CRUDE_W -20.0 DOW 3.5 DX 65.0 EUR 137.5 GBP 81.25 NASDAQ_micro 4.5 NIKKEI 26.217302 SP500_micro 3.75 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 320.357118 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0 CANOLA 0 COPPER 0 CRUDE_W 0 DOW 0 DX 0 EUR 0 GBP 0 NASDAQ_micro 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 BUND -17.9979 CANOLA -5.890387 COPPER 62.5 CRUDE_W -15.0 DOW 3.75 DX 67.5 EUR 140.625 GBP 93.75 NASDAQ_micro 4.75 NIKKEI 29.494465 SP500_micro 4.375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 367.856178 ******************************************************************************** END OF REPORT ********************************************************************************