******************************************************************************** Trades report produced on 05/02/2026 21:35 from 04/02/2026 21:35 to 05/02/2026 21:35 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 21074 DOW caleb_strategy_v3 [20260300] 2026-02-05 15:00:46.000 [1] 49256.000000 21077 DOW caleb_strategy_v3 [20260300] 2026-02-05 15:10:51.000 [1] 49147.000000 21079 DOW caleb_strategy_v3 [20260300] 2026-02-05 15:20:55.000 [1] 49057.000000 21080 SP500_micro caleb_strategy_v3 [20260300] 2026-02-05 15:22:25.000 [-1] 6821.250000 21075 SP500_micro caleb_strategy_v3 [20260300] 2026-02-05 19:45:02.854 [0] NaN 21078 SP500_micro caleb_strategy_v3 [20260300] 2026-02-05 19:45:02.936 [0] NaN 21076 US5 caleb_strategy_v3 [20260300] 2026-02-05 15:10:47.000 [-1] 109.046875 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21076 US5 caleb_strategy_v3 2026-02-04 00:00:00 2026-02-05 15:10:47.789000 2026-02-05 15:10:47 141047.789 NaN 21074 DOW caleb_strategy_v3 2026-02-04 00:00:00 2026-02-05 15:00:45.841000 2026-02-05 15:00:46 140445.841 0.159 21077 DOW caleb_strategy_v3 2026-02-04 00:00:00 2026-02-05 15:10:51.268000 2026-02-05 15:10:51 141051.268 NaN 21079 DOW caleb_strategy_v3 2026-02-04 00:00:00 2026-02-05 15:20:55.310000 2026-02-05 15:20:55 141655.31 NaN 21080 SP500_micro caleb_strategy_v3 2026-02-04 00:00:00 2026-02-05 15:20:55.899000 2026-02-05 15:22:25 141655.899 89.101 21075 SP500_micro caleb_strategy_v3 2026-02-04 00:00:00 2026-02-05 15:00:46.941000 2026-02-05 19:45:02.854000 140446.941 17055.913 21078 SP500_micro caleb_strategy_v3 2026-02-04 00:00:00 2026-02-05 15:10:51.853000 2026-02-05 19:45:02.936000 141051.853 16451.083 ==================================================================================================================================================================================================================================== 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 21076 US5 caleb_strategy_v3 [-1] 108.75 None 109.042969 109.039062 109.046875 109.046875 109.046875 0.292969 -0.003906 0.007812 -0.0 NaN 0.003906 21074 DOW caleb_strategy_v3 [1] 49648.0 None 49414.0 49415.0 49413.0 49413.0 49256.0 234.0 -1.0 159.0 157.0 NaN 158.0 21077 DOW caleb_strategy_v3 [1] 49648.0 None 49414.0 49415.0 49413.0 49413.0 49147.0 234.0 -1.0 268.0 266.0 NaN 267.0 21079 DOW caleb_strategy_v3 [1] 49648.0 None 49248.0 49249.0 49247.0 49247.0 49057.0 400.0 -1.0 192.0 190.0 NaN 191.0 21080 SP500_micro caleb_strategy_v3 [-1] 6923.5 None 6826.625 6826.5 6826.75 6826.75 6821.25 -96.875 -0.125 -5.25 -5.5 NaN -5.375 21075 SP500_micro caleb_strategy_v3 [-1] 6923.5 None 6878.875 6878.75 6879.0 6879.0 NaN -44.625 -0.125 NaN NaN NaN NaN 21078 SP500_micro caleb_strategy_v3 [-1] 6923.5 None 3422.375 6844.75 0.0 0.0 NaN -3501.125 3422.375 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 21076 US5 caleb_strategy_v3 [-1] 2.762391 1060.562077 -14.140828 28.281655 -0.0 NaN 14.140828 21074 DOW caleb_strategy_v3 [1] 5579.733502 419.374868 -1.7922 284.959846 281.375446 NaN 283.167646 21077 DOW caleb_strategy_v3 [1] 5579.733502 419.374868 -1.7922 480.309678 476.725277 NaN 478.517477 21079 DOW caleb_strategy_v3 [1] 5579.733502 716.880116 -1.7922 344.102456 340.518055 NaN 342.310255 21080 SP500_micro caleb_strategy_v3 [-1] 744.020608 -1302.047267 -1.680061 -70.562562 -73.922684 NaN -72.242623 21075 SP500_micro caleb_strategy_v3 [-1] 744.020608 -599.781773 -1.680061 NaN NaN NaN NaN 21078 SP500_micro caleb_strategy_v3 [-1] 744.020608 -47056.828269 45998.389845 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 21076 US5 caleb_strategy_v3 [-1] 1000.0 292.96875 -3.90625 7.8125 -0.0 NaN 3.90625 21074 DOW caleb_strategy_v3 [1] 0.5 117.0 -0.5 79.5 78.5 NaN 79.0 21077 DOW caleb_strategy_v3 [1] 0.5 117.0 -0.5 134.0 133.0 NaN 133.5 21079 DOW caleb_strategy_v3 [1] 0.5 200.0 -0.5 96.0 95.0 NaN 95.5 21080 SP500_micro caleb_strategy_v3 [-1] 5.0 -484.375 -0.625 -26.25 -27.5 NaN -26.875 21075 SP500_micro caleb_strategy_v3 [-1] 5.0 -223.125 -0.625 NaN NaN NaN NaN 21078 SP500_micro caleb_strategy_v3 [-1] 5.0 -17505.625 17111.875 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 434.0 SP500_micro -18213.125 US5 292.96875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -17486.15625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.5 SP500_micro 17110.625 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 17105.21875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 309.5 SP500_micro -26.25 US5 7.8125 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 291.0625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 306.5 SP500_micro -27.5 US5 -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 279.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 SP500_micro 0 US5 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 308.0 SP500_micro -26.875 US5 3.90625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 285.03125 ******************************************************************************** END OF REPORT ********************************************************************************