******************************************************************************** Trades report produced on 23/02/2026 21:36 from 22/02/2026 21:36 to 23/02/2026 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 21273 SP500_micro caleb_strategy_v3 [20260300] 2026-02-23 15:00:49 [1] 6893.00 21274 SP500_micro caleb_strategy_v3 [20260300] 2026-02-23 15:01:48 [1] 6898.25 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21273 SP500_micro caleb_strategy_v3 2026-02-20 00:00:00 2026-02-23 15:00:49.061000 2026-02-23 15:00:49 313249.061 NaN 21274 SP500_micro caleb_strategy_v3 2026-02-20 00:00:00 2026-02-23 15:01:48.732000 2026-02-23 15:01:48 313308.732 NaN ============================================================================================================================================================================================================================= 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 21273 SP500_micro caleb_strategy_v3 [1] 6917.25 None 6905.625 6905.75 6905.5 6905.5 6893.0 11.625 -0.125 12.75 12.5 NaN 12.625 21274 SP500_micro caleb_strategy_v3 [1] 6917.25 None 6906.625 6906.75 6906.5 6906.5 6898.25 10.625 -0.125 8.5 8.25 NaN 8.375 =============================================================================================================================================================== 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 21273 SP500_micro caleb_strategy_v3 [1] 861.637266 134.917563 -1.450726 147.974101 145.072648 NaN 146.523375 21274 SP500_micro caleb_strategy_v3 [1] 861.637266 123.311751 -1.450726 98.649401 95.747948 NaN 97.198674 ======================================================================================================================================================================== 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 21273 SP500_micro caleb_strategy_v3 [1] 5.0 58.125 -0.625 63.75 62.5 NaN 63.125 21274 SP500_micro caleb_strategy_v3 [1] 5.0 53.125 -0.625 42.5 41.25 NaN 41.875 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro 111.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 111.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro -1.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -1.25 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro 106.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 106.25 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro 103.75 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 103.75 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 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 SP500_micro 105.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 105.0 ******************************************************************************** END OF REPORT ********************************************************************************