******************************************************************************** Trades report produced on 11/03/2026 21:35 from 10/03/2026 21:35 to 11/03/2026 21:35 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 21652 EUR caleb_strategy_v3 [20260600] 2026-03-11 16:39:53.711 [-1] 1.1668 21649 VIX _ROLL_PSEUDO_STRATEGY [20260400, 20260500] 2026-03-11 15:05:20.000 [1, -1] 0.1700 21650 VIX _ROLL_PSEUDO_STRATEGY [20260400, 20260500] 2026-03-11 15:05:24.000 [1, -1] 0.1700 21651 VIX _ROLL_PSEUDO_STRATEGY [20260400, 20260500] 2026-03-11 15:06:25.000 [1, -1] 0.1800 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21649 VIX _ROLL_PSEUDO_STRATEGY 2026-03-10 20:00:00 2026-03-11 15:00:20.534000 2026-03-11 15:05:20 68420.534 299.466 21650 VIX _ROLL_PSEUDO_STRATEGY 2026-03-10 20:00:00 2026-03-11 15:05:23.883000 2026-03-11 15:05:24 68723.883 0.117 21651 VIX _ROLL_PSEUDO_STRATEGY 2026-03-10 20:00:00 2026-03-11 15:06:24.230000 2026-03-11 15:06:25 68784.23 0.77 21652 EUR caleb_strategy_v3 NaT NaT 2026-03-11 16:39:53.711000 NaN 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 21649 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 0.3 None 0.15 0.2 0.1 0.1 0.17 0.15 -0.05 0.03 -0.07 NaN -0.02 21650 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 0.3 None 0.1 0.2 0.0 0.0 0.17 0.2 -0.1 0.03 -0.17 NaN -0.07 21651 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 0.3 None 0.1 0.2 0.0 0.0 0.18 0.2 -0.1 0.02 -0.18 NaN -0.08 21652 EUR caleb_strategy_v3 [-1] NaN None NaN NaN NaN NaN 1.1668 NaN NaN 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 21649 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 14.346366 104.556092 -34.852031 20.911218 -48.792843 NaN -13.940812 21650 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 14.346366 139.408123 -69.704062 20.911218 -118.496905 NaN -48.792843 21651 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 14.346366 139.408123 -69.704062 13.940812 -125.467311 NaN -55.763249 21652 EUR caleb_strategy_v3 [-1] 0.076849 NaN NaN 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 21649 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 150.0 -50.0 30.0 -70.0 NaN -20.0 21650 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 200.0 -100.0 30.0 -170.0 NaN -70.0 21651 VIX _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 200.0 -100.0 20.0 -180.0 NaN -80.0 21652 EUR caleb_strategy_v3 [-1] 125000.0 NaN NaN NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 550.0 caleb_strategy_v3 EUR 0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 550.0 caleb_strategy_v3 0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -250.0 caleb_strategy_v3 EUR 0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -250.0 caleb_strategy_v3 0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 80.0 caleb_strategy_v3 EUR 0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 80.0 caleb_strategy_v3 0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -420.0 caleb_strategy_v3 EUR 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -420.0 caleb_strategy_v3 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 EUR 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -170.0 caleb_strategy_v3 EUR 0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -170.0 caleb_strategy_v3 0 ******************************************************************************** END OF REPORT ********************************************************************************