******************************************************************************** Trades report produced on 19/03/2026 21:35 from 18/03/2026 21:35 to 19/03/2026 21:35 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 21787 BTP caleb_strategy_v3 [20260600] 2026-03-19 08:00:30.000 [1] 117.280000 21790 CANOLA caleb_strategy_v3 [20260700] 2026-03-19 14:09:06.000 [-1] 737.700000 21796 DOW caleb_strategy_v3 [20260600] 2026-03-19 15:15:49.000 [1] 46273.000000 21803 DOW caleb_strategy_v3 [20260600] 2026-03-19 15:40:07.000 [1] 46132.000000 21789 GOLD_micro caleb_strategy_v3 [20260600] 2026-03-19 14:09:05.000 [1] 4657.300000 21791 HEATOIL caleb_strategy_v3 [20260700] 2026-03-19 14:11:39.000 [1] 3.382500 21798 JPY caleb_strategy_v3 [20260600] 2026-03-19 15:16:13.000 [-1] 0.006364 21795 JPY caleb_strategy_v3 [20260600] 2026-03-19 15:12:59.000 [-1] 0.006366 21802 LIVECOW caleb_strategy_v3 [20260600] 2026-03-19 19:45:15.738 [0] NaN 21804 LIVECOW caleb_strategy_v3 [20260600] 2026-03-19 16:04:18.000 [1] 232.325000 21793 MXP caleb_strategy_v3 [20260600] 2026-03-19 15:02:56.000 [-1] 0.055570 21797 NASDAQ_micro caleb_strategy_v3 [20260300] 2026-03-19 15:15:56.000 [1] 24341.250000 21800 RUSSELL caleb_strategy_v3 [20260600] 2026-03-19 15:21:02.000 [1] 2488.900000 21801 RUSSELL caleb_strategy_v3 [20260600] 2026-03-19 15:22:02.000 [1] 2487.900000 21794 RUSSELL caleb_strategy_v3 [20260600] 2026-03-19 19:45:15.689 [0] NaN 21799 RUSSELL caleb_strategy_v3 [20260600] 2026-03-19 15:20:02.000 [1] 2490.000000 21792 SP400 caleb_strategy_v3 [20260600] 2026-03-19 15:02:55.000 [-1] 3365.900000 21788 SUGAR11 caleb_strategy_v3 [20260700] 2026-03-19 14:00:37.000 [-1] 15.400000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21787 BTP caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 08:00:29.949000 2026-03-19 08:00:30 115229.949 0.051 21788 SUGAR11 caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 14:00:37.342000 2026-03-19 14:00:37 136837.342 NaN 21789 GOLD_micro caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 14:00:38.113000 2026-03-19 14:09:05 136838.113 506.887 21790 CANOLA caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 14:09:06.053000 2026-03-19 14:09:06 137346.053 NaN 21791 HEATOIL caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 14:09:07.177000 2026-03-19 14:11:39 137347.177 151.823 21792 SP400 caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:00:54.005000 2026-03-19 15:02:55 140454.005 120.995 21793 MXP caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:02:56.357000 2026-03-19 15:02:56 140576.357 NaN 21797 NASDAQ_micro caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:15:50.061000 2026-03-19 15:15:56 141350.061 5.939 21795 JPY caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:12:59.369000 2026-03-19 15:12:59 141179.369 NaN 21798 JPY caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:16:01.261000 2026-03-19 15:16:13 141361.261 11.739 21803 DOW caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:40:07.329000 2026-03-19 15:40:07 142807.329 NaN 21796 DOW caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:13:00.065000 2026-03-19 15:15:49 141180.065 168.935 21800 RUSSELL caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:21:02.476000 2026-03-19 15:21:02 141662.476 NaN 21801 RUSSELL caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:22:02.735000 2026-03-19 15:22:02 141722.735 NaN 21794 RUSSELL caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:02:57.061000 2026-03-19 19:45:15.689000 140577.061 16938.628 21799 RUSSELL caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:20:02.314000 2026-03-19 15:20:02 141602.314 NaN 21802 LIVECOW caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 15:30:05.130000 2026-03-19 19:45:15.738000 142205.13 15310.608 21804 LIVECOW caleb_strategy_v3 2026-03-18 00:00:00 2026-03-19 16:04:18.346000 2026-03-19 16:04:18 144258.346 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 21787 BTP caleb_strategy_v3 [1] 117.96 None 117.355 117.36 117.35 117.35 117.28 0.605 -0.005 0.08 0.07 NaN 0.075 21788 SUGAR11 caleb_strategy_v3 [-1] 14.96 None 15.335 15.33 15.34 15.34 15.4 0.375 -0.005 0.07 0.06 NaN 0.065 21789 GOLD_micro caleb_strategy_v3 [1] 4881.4 None 4600.7 4600.9 4600.5 4600.5 4657.3 280.7 -0.2 -56.4 -56.8 NaN -56.6 21790 CANOLA caleb_strategy_v3 [-1] 738.0 None 735.35 735.2 735.5 735.5 737.7 -2.65 -0.15 2.5 2.2 NaN 2.35 21791 HEATOIL caleb_strategy_v3 [1] 3.3705 None 3.38405 3.3855 3.3826 3.3826 3.3825 -0.01355 -0.00145 0.003 0.0001 NaN 0.00155 21792 SP400 caleb_strategy_v3 [-1] 3385.1 None 3368.3 3367.3 3369.3 3369.3 3365.9 -16.8 -1.0 -1.4 -3.4 NaN -2.4 21793 MXP caleb_strategy_v3 [-1] 0.05563 None 0.055565 0.05556 0.05557 0.05557 0.05557 -0.000065 -0.000005 0.00001 -0.0 NaN 0.000005 21797 NASDAQ_micro caleb_strategy_v3 [1] 24428.5 None 24269.625 24270.25 24269.0 24269.0 24341.25 158.875 -0.625 -71.0 -72.25 NaN -71.625 21795 JPY caleb_strategy_v3 [-1] 0.006303 None 0.006364 0.006364 0.006364 0.006364 0.006366 0.000061 -0.0 0.000002 0.000002 NaN 0.000002 21798 JPY caleb_strategy_v3 [-1] 0.006303 None 0.006363 0.006363 0.006364 0.006364 0.006364 0.00006 -0.0 0.000001 -0.0 NaN 0.000001 21803 DOW caleb_strategy_v3 [1] 46506.0 None 46189.0 46190.0 46188.0 46188.0 46132.0 317.0 -1.0 58.0 56.0 NaN 57.0 21796 DOW caleb_strategy_v3 [1] 46506.0 None 46176.5 46177.0 46176.0 46176.0 46273.0 329.5 -0.5 -96.0 -97.0 NaN -96.5 21800 RUSSELL caleb_strategy_v3 [1] 2495.4 None 2492.2 2492.3 2492.1 2492.1 2488.9 3.2 -0.1 3.4 3.2 NaN 3.3 21801 RUSSELL caleb_strategy_v3 [1] 2495.4 None 2492.2 2492.3 2492.1 2492.1 2487.9 3.2 -0.1 4.4 4.2 NaN 4.3 21794 RUSSELL caleb_strategy_v3 [1] 2495.4 None 2487.1 2487.2 2487.0 2487.0 NaN 8.3 -0.1 NaN NaN NaN NaN 21799 RUSSELL caleb_strategy_v3 [1] 2495.4 None 2492.2 2492.3 2492.1 2492.1 2490.0 3.2 -0.1 2.3 2.1 NaN 2.2 21802 LIVECOW caleb_strategy_v3 [1] 234.225 None 231.9 231.925 231.875 231.875 NaN 2.325 -0.025 NaN NaN NaN NaN 21804 LIVECOW caleb_strategy_v3 [1] 234.225 None 232.35 232.375 232.325 232.325 232.325 1.875 -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 21787 BTP caleb_strategy_v3 [1] 8.292476 729.577046 -6.029562 96.472998 84.413873 NaN 90.443436 21788 SUGAR11 caleb_strategy_v3 [-1] 3.858984 971.758348 -12.956778 181.394892 155.481336 NaN 168.438114 21789 GOLD_micro caleb_strategy_v3 [1] 1528.477929 1836.467473 -1.308491 -368.994533 -371.611516 NaN -370.303024 21790 CANOLA caleb_strategy_v3 [-1] 174.248677 -152.081499 -8.608387 143.473112 126.256338 NaN 134.864725 21791 HEATOIL caleb_strategy_v3 [1] 1.596391 -84.87895 -9.082987 18.792388 0.626413 NaN 9.7094 21792 SP400 caleb_strategy_v3 [-1] 574.367425 -292.495697 -17.410458 -24.374641 -59.195558 NaN -41.7851 21793 MXP caleb_strategy_v3 [-1] 0.006795 -95.651604 -7.357816 14.715631 -0.0 NaN 7.357816 21797 NASDAQ_micro caleb_strategy_v3 [1] 4136.308568 384.09852 -1.511009 -171.650637 -174.672655 NaN -173.161646 21795 JPY caleb_strategy_v3 [-1] 0.000629 965.45234 -3.973055 39.730549 31.784439 NaN 35.757494 21798 JPY caleb_strategy_v3 [-1] 0.000629 961.479285 -7.94611 15.89222 -0.0 NaN 7.94611 21803 DOW caleb_strategy_v3 [1] 6447.185469 491.687422 -1.551064 89.961736 86.859608 NaN 88.410672 21796 DOW caleb_strategy_v3 [1] 6447.185469 511.075727 -0.775532 -148.902184 -150.453249 NaN -149.677717 21800 RUSSELL caleb_strategy_v3 [1] 500.550462 63.929618 -1.997801 67.92522 63.929618 NaN 65.927419 21801 RUSSELL caleb_strategy_v3 [1] 500.550462 63.929618 -1.997801 87.903225 83.907624 NaN 85.905425 21794 RUSSELL caleb_strategy_v3 [1] 500.550462 165.817448 -1.997801 NaN NaN NaN NaN 21799 RUSSELL caleb_strategy_v3 [1] 500.550462 63.929618 -1.997801 45.949413 41.953812 NaN 43.951613 21802 LIVECOW caleb_strategy_v3 [1] 37.063149 627.307741 -6.745245 NaN NaN NaN NaN 21804 LIVECOW caleb_strategy_v3 [1] 37.063149 505.89334 -6.745245 13.490489 0.0 NaN 6.745245 ========================================================================================================================================================================= 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 21787 BTP caleb_strategy_v3 [1] 1145.695 693.145475 -5.728475 91.6556 80.19865 NaN 85.927125 21788 SUGAR11 caleb_strategy_v3 [-1] 1120.0 420.0 -5.6 78.4 67.2 NaN 72.8 21789 GOLD_micro caleb_strategy_v3 [1] 10.0 2807.0 -2.0 -564.0 -568.0 NaN -566.0 21790 CANOLA caleb_strategy_v3 [-1] 14.571365 -38.614117 -2.185705 36.428413 32.057003 NaN 34.242708 21791 HEATOIL caleb_strategy_v3 [1] 42000.0 -569.1 -60.9 126.0 4.2 NaN 65.1 21792 SP400 caleb_strategy_v3 [-1] 100.0 -1680.0 -100.0 -140.0 -340.0 NaN -240.0 21793 MXP caleb_strategy_v3 [-1] 500000.0 -32.5 -2.5 5.0 -0.0 NaN 2.5 21797 NASDAQ_micro caleb_strategy_v3 [1] 2.0 317.75 -1.25 -142.0 -144.5 NaN -143.25 21795 JPY caleb_strategy_v3 [-1] 12500000.0 759.375 -3.125 31.25 25.0 NaN 28.125 21798 JPY caleb_strategy_v3 [-1] 12500000.0 756.25 -6.25 12.5 -0.0 NaN 6.25 21803 DOW caleb_strategy_v3 [1] 0.5 158.5 -0.5 29.0 28.0 NaN 28.5 21796 DOW caleb_strategy_v3 [1] 0.5 164.75 -0.25 -48.0 -48.5 NaN -48.25 21800 RUSSELL caleb_strategy_v3 [1] 5.0 16.0 -0.5 17.0 16.0 NaN 16.5 21801 RUSSELL caleb_strategy_v3 [1] 5.0 16.0 -0.5 22.0 21.0 NaN 21.5 21794 RUSSELL caleb_strategy_v3 [1] 5.0 41.5 -0.5 NaN NaN NaN NaN 21799 RUSSELL caleb_strategy_v3 [1] 5.0 16.0 -0.5 11.5 10.5 NaN 11.0 21802 LIVECOW caleb_strategy_v3 [1] 400.0 930.0 -10.0 NaN NaN NaN NaN 21804 LIVECOW caleb_strategy_v3 [1] 400.0 750.0 -10.0 20.0 0.0 NaN 10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP 693.145475 CANOLA -38.614117 DOW 323.25 GOLD_micro 2807.0 HEATOIL -569.1 JPY 1515.625 LIVECOW 1680.0 MXP -32.5 NASDAQ_micro 317.75 RUSSELL 89.5 SP400 -1680.0 SUGAR11 420.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 5526.056358 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.728475 CANOLA -2.185705 DOW -0.75 GOLD_micro -2.0 HEATOIL -60.9 JPY -9.375 LIVECOW -20.0 MXP -2.5 NASDAQ_micro -1.25 RUSSELL -2.0 SP400 -100.0 SUGAR11 -5.6 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -212.28918 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 91.6556 CANOLA 36.428413 DOW -19.0 GOLD_micro -564.0 HEATOIL 126.0 JPY 43.75 LIVECOW 20.0 MXP 5.0 NASDAQ_micro -142.0 RUSSELL 50.5 SP400 -140.0 SUGAR11 78.4 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -413.265987 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 80.19865 CANOLA 32.057003 DOW -20.5 GOLD_micro -568.0 HEATOIL 4.2 JPY 25.0 LIVECOW 0.0 MXP -0.0 NASDAQ_micro -144.5 RUSSELL 47.5 SP400 -340.0 SUGAR11 67.2 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -816.844347 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 CANOLA 0 DOW 0 GOLD_micro 0 HEATOIL 0 JPY 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 RUSSELL 0 SP400 0 SUGAR11 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 BTP 85.927125 CANOLA 34.242708 DOW -19.75 GOLD_micro -566.0 HEATOIL 65.1 JPY 34.375 LIVECOW 10.0 MXP 2.5 NASDAQ_micro -143.25 RUSSELL 49.0 SP400 -240.0 SUGAR11 72.8 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -615.055167 ******************************************************************************** END OF REPORT 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