******************************************************************************** Trades report produced on 24/02/2026 21:36 from 23/02/2026 21:36 to 24/02/2026 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 21277 SP500_micro caleb_strategy_v3 [20260300] 2026-02-24 15:06:52.000 [1] 6863.25000 21275 US10U caleb_strategy_v3 [20260300] 2026-02-24 15:01:49.000 [1] 116.09375 21276 VIX caleb_strategy_v3 [20260400] 2026-02-24 15:06:17.000 [1] 21.10000 21278 VIX caleb_strategy_v3 [20260400] 2026-02-24 19:45:05.410 [0] NaN 21279 VIX caleb_strategy_v3 [20260400] 2026-02-24 15:16:58.000 [1] 21.10000 21280 WHEAT caleb_strategy_v3 [20261200] 2026-02-24 15:30:04.000 [1] 613.75000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21275 US10U caleb_strategy_v3 2026-02-23 00:00:00 2026-02-24 15:00:48.514000 2026-02-24 15:01:49 140448.514 60.486 21277 SP500_micro caleb_strategy_v3 2026-02-23 00:00:00 2026-02-24 15:06:18.849000 2026-02-24 15:06:52 140778.849 33.151 21280 WHEAT caleb_strategy_v3 2026-02-23 00:00:00 2026-02-24 15:30:02.100000 2026-02-24 15:30:04 142202.1 1.9 21276 VIX caleb_strategy_v3 2026-02-23 00:00:00 2026-02-24 15:01:50.762000 2026-02-24 15:06:17 140510.762 266.238 21278 VIX caleb_strategy_v3 2026-02-23 00:00:00 2026-02-24 15:06:55.433000 2026-02-24 19:45:05.410000 140815.433 16689.977 21279 VIX caleb_strategy_v3 2026-02-23 00:00:00 2026-02-24 15:16:58.786000 2026-02-24 15:16:58 141418.786 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 21275 US10U caleb_strategy_v3 [1] 116.203125 None 116.054688 116.0625 116.046875 116.046875 116.09375 0.148438 -0.007812 -0.03125 -0.046875 NaN -0.039062 21277 SP500_micro caleb_strategy_v3 [1] 6841.5 None 6863.625 6863.75 6863.5 6863.5 6863.25 -22.125 -0.125 0.5 0.25 NaN 0.375 21280 WHEAT caleb_strategy_v3 [1] 610.75 None 613.625 613.75 613.5 613.5 613.75 -2.875 -0.125 0.0 -0.25 NaN -0.125 21276 VIX caleb_strategy_v3 [1] 21.45 None 20.975 21.0 20.95 20.95 21.1 0.475 -0.025 -0.1 -0.15 NaN -0.125 21278 VIX caleb_strategy_v3 [1] 21.45 None 10.55 21.1 0.0 0.0 NaN 10.9 -10.55 NaN NaN NaN NaN 21279 VIX caleb_strategy_v3 [1] 21.45 None 21.125 21.15 21.1 21.1 21.1 0.325 -0.025 0.05 0.0 NaN 0.025 =================================================================================================================================================================== 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 21275 US10U caleb_strategy_v3 [1] 5.649306 262.753506 -13.829132 -55.316528 -82.974791 NaN -69.14566 21277 SP500_micro caleb_strategy_v3 [1] 851.653963 -259.788611 -1.467732 5.870929 2.935465 NaN 4.403197 21280 WHEAT caleb_strategy_v3 [1] 111.162259 -258.630944 -11.244824 0.0 -22.489647 NaN -11.244824 21276 VIX caleb_strategy_v3 [1] 9.05806 524.394868 -27.59973 -110.39892 -165.598379 NaN -137.99865 21278 VIX caleb_strategy_v3 [1] 9.05806 12033.482242 -11647.086023 NaN NaN NaN NaN 21279 VIX caleb_strategy_v3 [1] 9.05806 358.796489 -27.59973 55.19946 0.0 NaN 27.59973 ======================================================================================================================================================================== 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 21275 US10U caleb_strategy_v3 [1] 1000.0 148.4375 -7.8125 -31.25 -46.875 NaN -39.0625 21277 SP500_micro caleb_strategy_v3 [1] 5.0 -110.625 -0.625 2.5 1.25 NaN 1.875 21280 WHEAT caleb_strategy_v3 [1] 50.0 -143.75 -6.25 0.0 -12.5 NaN -6.25 21276 VIX caleb_strategy_v3 [1] 1000.0 475.0 -25.0 -100.0 -150.0 NaN -125.0 21278 VIX caleb_strategy_v3 [1] 1000.0 10900.0 -10550.0 NaN NaN NaN NaN 21279 VIX caleb_strategy_v3 [1] 1000.0 325.0 -25.0 50.0 0.0 NaN 25.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro -110.625 US10U 148.4375 VIX 11700.0 WHEAT -143.75 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 11594.0625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro -0.625 US10U -7.8125 VIX -10600.0 WHEAT -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -10614.6875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro 2.5 US10U -31.25 VIX -50.0 WHEAT 0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -78.75 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro 1.25 US10U -46.875 VIX -150.0 WHEAT -12.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -208.125 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 SP500_micro 0 US10U 0 VIX 0 WHEAT 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 1.875 US10U -39.0625 VIX -100.0 WHEAT -6.25 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -143.4375 ******************************************************************************** END OF REPORT ********************************************************************************