******************************************************************************** Trades report produced on 25/02/2026 21:37 from 24/02/2026 21:37 to 25/02/2026 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 21281 OAT caleb_strategy_v3 [20260300] 2026-02-25 08:06:31 [1] 123.470000 21283 SP500_micro caleb_strategy_v3 [20260300] 2026-02-25 15:01:46 [1] 6943.250000 21282 US5 caleb_strategy_v3 [20260300] 2026-02-25 15:01:45 [1] 109.585938 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21281 OAT caleb_strategy_v3 2026-02-24 00:00:00 2026-02-25 08:00:28.561000 2026-02-25 08:06:31 115228.561 362.439 21282 US5 caleb_strategy_v3 2026-02-24 00:00:00 2026-02-25 15:00:12.218000 2026-02-25 15:01:45 140412.218 92.782 21283 SP500_micro caleb_strategy_v3 2026-02-24 00:00:00 2026-02-25 15:01:46.620000 2026-02-25 15:01:46 140506.62 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 21281 OAT caleb_strategy_v3 [1] 123.53 None 123.455 123.46 123.45 123.45 123.47 0.075 -0.005 -0.01 -0.02 NaN -0.015 21282 US5 caleb_strategy_v3 [1] 109.71875 None 109.589844 109.59375 109.585938 109.585938 109.585938 0.128906 -0.003906 0.007812 -0.0 NaN 0.003906 21283 SP500_micro caleb_strategy_v3 [1] 6899.75 None 6947.125 6947.25 6947.0 6947.0 6943.25 -47.375 -0.125 4.0 3.75 NaN 3.875 =============================================================================================================================================================== 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 21281 OAT caleb_strategy_v3 [1] 3.93152 190.765921 -12.717728 -25.435456 -50.870912 NaN -38.153184 21282 US5 caleb_strategy_v3 [1] 2.850776 452.179484 -13.702409 27.403063 -0.001754 NaN 13.700655 21283 SP500_micro caleb_strategy_v3 [1] 856.872905 -552.882461 -1.458793 46.681369 43.763783 NaN 45.222576 ======================================================================================================================================================================== 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 21281 OAT caleb_strategy_v3 [1] 1180.605 88.545375 -5.903025 -11.80605 -23.6121 NaN -17.709075 21282 US5 caleb_strategy_v3 [1] 1000.0 128.90625 -3.90625 7.812 -0.0005 NaN 3.90575 21283 SP500_micro caleb_strategy_v3 [1] 5.0 -236.875 -0.625 20.0 18.75 NaN 19.375 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 OAT 88.545375 SP500_micro -236.875 US5 128.90625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -19.423375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 OAT -5.903025 SP500_micro -0.625 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -10.434275 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 OAT -11.80605 SP500_micro 20.0 US5 7.812 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 16.00595 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 OAT -23.6121 SP500_micro 18.75 US5 -0.0005 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -4.8626 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 OAT 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 OAT -17.709075 SP500_micro 19.375 US5 3.90575 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 5.571675 ******************************************************************************** END OF REPORT ********************************************************************************