******************************************************************************** Trades report produced on 06/02/2026 21:35 from 05/02/2026 21:35 to 06/02/2026 21:35 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 21088 DOW caleb_strategy_v3 [20260300] 2026-02-06 15:18:23.000 [-1] 49788.00000 21082 DOW caleb_strategy_v3 [20260300] 2026-02-06 15:05:03.000 [-1] 49742.00000 21084 DOW caleb_strategy_v3 [20260300] 2026-02-06 15:15:07.000 [-1] 49788.00000 21086 DOW caleb_strategy_v3 [20260300] 2026-02-06 15:17:19.000 [-1] 49795.00000 21087 DOW caleb_strategy_v3 [20260300] 2026-02-06 15:17:22.000 [-1] 49810.00000 21081 MXP caleb_strategy_v3 [20260300] 2026-02-06 15:05:01.000 [-1] 0.05758 21083 MXP caleb_strategy_v3 [20260300] 2026-02-06 19:45:08.210 [0] NaN 21085 MXP caleb_strategy_v3 [20260300] 2026-02-06 15:17:19.000 [-1] 0.05756 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21088 DOW caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:18:23.463000 2026-02-06 15:18:23 141503.463 NaN 21082 DOW caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:05:03.545000 2026-02-06 15:05:03 140703.545 NaN 21084 DOW caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:15:07.393000 2026-02-06 15:15:07 141307.393 NaN 21086 DOW caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:17:19.594000 2026-02-06 15:17:19 141439.594 NaN 21087 DOW caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:17:22.935000 2026-02-06 15:17:22 141442.935 NaN 21081 MXP caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:00:47.390000 2026-02-06 15:05:01 140447.39 253.61 21083 MXP caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:05:06.898000 2026-02-06 19:45:08.210000 140706.898 16801.312 21085 MXP caleb_strategy_v3 2026-02-05 00:00:00 2026-02-06 15:15:11.082000 2026-02-06 15:17:19 141311.082 127.918 ================================================================================================================================================================================================================================= 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 21088 DOW caleb_strategy_v3 [-1] 49111.0 None 49738.5 49738.0 49739.0 49739.0 49788.0 627.5 -0.5 50.0 49.0 NaN 49.5 21082 DOW caleb_strategy_v3 [-1] 49111.0 None 49685.5 49685.0 49686.0 49686.0 49742.0 574.5 -0.5 57.0 56.0 NaN 56.5 21084 DOW caleb_strategy_v3 [-1] 49111.0 None 49685.5 49685.0 49686.0 49686.0 49788.0 574.5 -0.5 103.0 102.0 NaN 102.5 21086 DOW caleb_strategy_v3 [-1] 49111.0 None 49685.5 49685.0 49686.0 49686.0 49795.0 574.5 -0.5 110.0 109.0 NaN 109.5 21087 DOW caleb_strategy_v3 [-1] 49111.0 None 49738.5 49738.0 49739.0 49739.0 49810.0 627.5 -0.5 72.0 71.0 NaN 71.5 21081 MXP caleb_strategy_v3 [-1] 0.05727 None 0.057625 0.05762 0.05763 0.05763 0.05758 0.000355 -0.000005 -0.00004 -0.00005 NaN -0.000045 21083 MXP caleb_strategy_v3 [-1] 0.05727 None 0.02879 0.05758 0.0 0.0 NaN -0.02848 0.02879 NaN NaN NaN NaN 21085 MXP caleb_strategy_v3 [-1] 0.05727 None 0.057585 0.05758 0.05759 0.05759 0.05756 0.000315 -0.000005 -0.00002 -0.00003 NaN -0.000025 =================================================================================================================================================================== 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 21088 DOW caleb_strategy_v3 [-1] 6577.3444 954.032451 -0.760185 76.018522 74.498152 NaN 75.258337 21082 DOW caleb_strategy_v3 [-1] 6577.3444 873.452818 -0.760185 86.661115 85.140745 NaN 85.90093 21084 DOW caleb_strategy_v3 [-1] 6577.3444 873.452818 -0.760185 156.598155 155.077785 NaN 155.83797 21086 DOW caleb_strategy_v3 [-1] 6577.3444 873.452818 -0.760185 167.240748 165.720378 NaN 166.480563 21087 DOW caleb_strategy_v3 [-1] 6577.3444 954.032451 -0.760185 109.466672 107.946301 NaN 108.706486 21081 MXP caleb_strategy_v3 [-1] 0.006062 585.579341 -8.247596 -65.980771 -82.475964 NaN -74.228367 21083 MXP caleb_strategy_v3 [-1] 0.006062 -46978.308822 47489.659795 NaN NaN NaN NaN 21085 MXP caleb_strategy_v3 [-1] 0.006062 519.59857 -8.247596 -32.990385 -49.485578 NaN -41.237982 ======================================================================================================================================================================== 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 21088 DOW caleb_strategy_v3 [-1] 0.5 313.75 -0.25 25.0 24.5 NaN 24.75 21082 DOW caleb_strategy_v3 [-1] 0.5 287.25 -0.25 28.5 28.0 NaN 28.25 21084 DOW caleb_strategy_v3 [-1] 0.5 287.25 -0.25 51.5 51.0 NaN 51.25 21086 DOW caleb_strategy_v3 [-1] 0.5 287.25 -0.25 55.0 54.5 NaN 54.75 21087 DOW caleb_strategy_v3 [-1] 0.5 313.75 -0.25 36.0 35.5 NaN 35.75 21081 MXP caleb_strategy_v3 [-1] 500000.0 177.5 -2.5 -20.0 -25.0 NaN -22.5 21083 MXP caleb_strategy_v3 [-1] 500000.0 -14240.0 14395.0 NaN NaN NaN NaN 21085 MXP caleb_strategy_v3 [-1] 500000.0 157.5 -2.5 -10.0 -15.0 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 1489.25 MXP -13905.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -12415.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.25 MXP 14390.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 14388.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 196.0 MXP -30.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 166.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 193.5 MXP -40.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 153.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 MXP 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 194.75 MXP -35.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 159.75 ******************************************************************************** END OF REPORT ********************************************************************************