******************************************************************************** Trades report produced on 18/03/2026 21:35 from 17/03/2026 21:35 to 18/03/2026 21:35 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 21785 DOW caleb_strategy_v3 [20260600] 2026-03-18 15:16:19.000 [1] 46969.000000 21786 DOW caleb_strategy_v3 [20260600] 2026-03-18 15:52:17.000 [1] 46878.000000 21779 DOW caleb_strategy_v3 [20260600] 2026-03-18 17:06:14.093 [0] NaN 21781 EUR caleb_strategy_v3 [20260600] 2026-03-18 15:11:04.000 [1] 1.157150 21780 JPY caleb_strategy_v3 [20260600] 2026-03-18 15:10:44.000 [-1] 0.006319 21783 MXP caleb_strategy_v3 [20260600] 2026-03-18 15:11:05.000 [-1] 0.056150 21778 OAT caleb_strategy_v3 [20260600] 2026-03-18 08:08:59.000 [1] 120.560000 21784 RUSSELL caleb_strategy_v3 [20260600] 2026-03-18 15:11:34.000 [-1] 2518.500000 21782 RUSSELL caleb_strategy_v3 [20260600] 2026-03-18 15:11:04.000 [-1] 2517.800000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21778 OAT caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 08:00:32.029000 2026-03-18 08:08:59 115232.029 506.971 21780 JPY caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:10:44.453000 2026-03-18 15:10:44 141044.453 NaN 21781 EUR caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:10:45.141000 2026-03-18 15:11:04 141045.141 18.859 21783 MXP caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:11:05.325000 2026-03-18 15:11:05 141065.325 NaN 21784 RUSSELL caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:11:08.986000 2026-03-18 15:11:34 141068.986 25.014 21782 RUSSELL caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:11:04.598000 2026-03-18 15:11:04 141064.598 NaN 21785 DOW caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:16:09.564000 2026-03-18 15:16:19 141369.564 9.436 21786 DOW caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:52:17.185000 2026-03-18 15:52:17 143537.185 NaN 21779 DOW caleb_strategy_v3 2026-03-17 00:00:00 2026-03-18 15:00:43.913000 2026-03-18 17:06:14.093000 140443.913 7530.18 ================================================================================================================================================================================================================================= 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 21778 OAT caleb_strategy_v3 [1] 120.23 None 120.525 120.53 120.52 120.52 120.56 -0.295 -0.005 -0.03 -0.04 NaN -0.035 21780 JPY caleb_strategy_v3 [-1] 0.006335 None 0.006315 0.006315 0.006315 0.006315 0.006319 -0.00002 -0.0 0.000004 0.000004 NaN 0.000004 21781 EUR caleb_strategy_v3 [1] 1.1584 None 1.156 1.15605 1.15595 1.15595 1.15715 0.0024 -0.00005 -0.0011 -0.0012 NaN -0.00115 21783 MXP caleb_strategy_v3 [-1] 0.05614 None 0.056075 0.05607 0.05608 0.05608 0.05615 -0.000065 -0.000005 0.00008 0.00007 NaN 0.000075 21784 RUSSELL caleb_strategy_v3 [-1] 2538.4 None 2520.75 2520.7 2520.8 2520.8 2518.5 -17.65 -0.05 -2.2 -2.3 NaN -2.25 21782 RUSSELL caleb_strategy_v3 [-1] 2538.4 None 2510.05 2510.0 2510.1 2510.1 2517.8 -28.35 -0.05 7.8 7.7 NaN 7.75 21785 DOW caleb_strategy_v3 [1] 47315.0 None 46956.5 46957.0 46956.0 46956.0 46969.0 358.5 -0.5 -12.0 -13.0 NaN -12.5 21786 DOW caleb_strategy_v3 [1] 47315.0 None 46885.0 46886.0 46884.0 46884.0 46878.0 430.0 -1.0 8.0 6.0 NaN 7.0 21779 DOW caleb_strategy_v3 [1] 47315.0 None 46874.5 46875.0 46874.0 46874.0 NaN 440.5 -0.5 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 21778 OAT caleb_strategy_v3 [1] 7.784062 -378.979502 -6.423381 -38.540288 -51.387051 NaN -44.96367 21780 JPY caleb_strategy_v3 [-1] 0.000546 -371.085884 -4.581307 73.300915 64.138301 NaN 68.719608 21781 EUR caleb_strategy_v3 [1] 0.085546 280.550444 -5.844801 -128.58562 -140.275222 NaN -134.430421 21783 MXP caleb_strategy_v3 [-1] 0.006742 -96.410753 -7.416212 118.659389 103.826965 NaN 111.243177 21784 RUSSELL caleb_strategy_v3 [-1] 505.371619 -349.247946 -0.989371 -43.532322 -45.511064 NaN -44.521693 21782 RUSSELL caleb_strategy_v3 [-1] 505.371619 -560.97333 -0.989371 154.341869 152.363127 NaN 153.352498 21785 DOW caleb_strategy_v3 [1] 6615.68364 541.89411 -0.75578 -18.138715 -19.650275 NaN -18.894495 21786 DOW caleb_strategy_v3 [1] 6615.68364 649.97062 -1.51156 12.092477 9.069357 NaN 10.580917 21779 DOW caleb_strategy_v3 [1] 6615.68364 665.841996 -0.75578 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 21778 OAT caleb_strategy_v3 [1] 1154.525 -340.584875 -5.772625 -34.63575 -46.181 NaN -40.408375 21780 JPY caleb_strategy_v3 [-1] 12500000.0 -253.125 -3.125 50.0 43.75 NaN 46.875 21781 EUR caleb_strategy_v3 [1] 125000.0 300.0 -6.25 -137.5 -150.0 NaN -143.75 21783 MXP caleb_strategy_v3 [-1] 500000.0 -32.5 -2.5 40.0 35.0 NaN 37.5 21784 RUSSELL caleb_strategy_v3 [-1] 5.0 -88.25 -0.25 -11.0 -11.5 NaN -11.25 21782 RUSSELL caleb_strategy_v3 [-1] 5.0 -141.75 -0.25 39.0 38.5 NaN 38.75 21785 DOW caleb_strategy_v3 [1] 0.5 179.25 -0.25 -6.0 -6.5 NaN -6.25 21786 DOW caleb_strategy_v3 [1] 0.5 215.0 -0.5 4.0 3.0 NaN 3.5 21779 DOW caleb_strategy_v3 [1] 0.5 220.25 -0.25 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 614.5 EUR 300.0 JPY -253.125 MXP -32.5 OAT -340.584875 RUSSELL -230.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 58.290125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.0 EUR -6.25 JPY -3.125 MXP -2.5 OAT -5.772625 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -19.147625 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -2.0 EUR -137.5 JPY 50.0 MXP 40.0 OAT -34.63575 RUSSELL 28.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -56.13575 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -3.5 EUR -150.0 JPY 43.75 MXP 35.0 OAT -46.181 RUSSELL 27.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -93.931 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 EUR 0 JPY 0 MXP 0 OAT 0 RUSSELL 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 -2.75 EUR -143.75 JPY 46.875 MXP 37.5 OAT -40.408375 RUSSELL 27.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -75.033375 ******************************************************************************** END OF REPORT ********************************************************************************