******************************************************************************** Trades report produced on 24/03/2026 23:48 from 23/03/2026 23:48 to 24/03/2026 23:48 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 21855 COTTON2 caleb_strategy_v3 [20260700] 2026-03-24 14:51:44.000 [1] 69.300000 21853 COTTON2 caleb_strategy_v3 [20260700] 2026-03-24 14:29:21.000 [1] 69.250000 21848 COTTON2 caleb_strategy_v3 [20260700] 2026-03-24 19:45:21.903 [0] NaN 21854 COTTON2 caleb_strategy_v3 [20260700] 2026-03-24 19:45:21.948 [0] NaN 21859 EUR caleb_strategy_v3 [20260600] 2026-03-24 15:02:57.000 [1] 1.163850 21845 EUROSTX caleb_strategy_v3 [20260600] 2026-03-24 08:00:31.000 [-1] 5517.000000 21851 GASOLINE _ROLL_PSEUDO_STRATEGY [20260600, 20260700] 2026-03-24 14:13:44.000 [-1, 1] 0.098200 21847 GAS_US_mini caleb_strategy_v3 [20260500] 2026-03-24 14:03:36.000 [-1] 2.895000 21849 GOLD_micro caleb_strategy_v3 [20260600] 2026-03-24 14:13:37.000 [-1] 4417.100000 21846 HEATOIL caleb_strategy_v3 [20260600] 2026-03-24 14:02:15.000 [-1] 3.561400 21857 NASDAQ_micro caleb_strategy_v3 [20260600] 2026-03-24 15:02:54.000 [-1] 24293.500000 21861 NASDAQ_micro caleb_strategy_v3 [20260600] 2026-03-24 15:19:21.000 [-1] 24328.250000 21862 NASDAQ_micro caleb_strategy_v3 [20260600] 2026-03-24 15:20:22.000 [-1] 24319.750000 21844 NIKKEI caleb_strategy_v3 [20260600] 2026-03-24 03:01:18.000 [1] 51615.000000 21852 OJ _ROLL_PSEUDO_STRATEGY [20260500, 20260700] 2026-03-24 14:13:45.000 [1, -1] 1.350000 21856 RUSSELL caleb_strategy_v3 [20260600] 2026-03-24 15:02:22.000 [1] 2518.200000 21863 SOYBEAN caleb_strategy_v3 [20261100] 2026-03-24 15:30:25.000 [-1] 1147.750000 21850 SUGAR11 caleb_strategy_v3 [20260700] 2026-03-24 14:13:38.000 [1] 15.900000 21858 US5 caleb_strategy_v3 [20260600] 2026-03-24 15:02:56.000 [-1] 107.843750 21860 US5 caleb_strategy_v3 [20260600] 2026-03-24 15:10:19.000 [-1] 107.835938 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 21844 NIKKEI caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 03:01:17.661000 2026-03-24 03:01:18 97277.661 0.339 21845 EUROSTX caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 08:00:31.041000 2026-03-24 08:00:31 115231.041 NaN 21846 HEATOIL caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:00:40.362000 2026-03-24 14:02:15 136840.362 94.638 21847 GAS_US_mini caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:02:16.073000 2026-03-24 14:03:36 136936.073 79.927 21849 GOLD_micro caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:13:37.705000 2026-03-24 14:13:37 137617.705 NaN 21850 SUGAR11 caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:13:38.594000 2026-03-24 14:13:38 137618.594 NaN 21851 GASOLINE _ROLL_PSEUDO_STRATEGY 2026-03-23 20:00:00 2026-03-24 14:13:40.394000 2026-03-24 14:13:44 65620.394 3.606 21852 OJ _ROLL_PSEUDO_STRATEGY 2026-03-23 17:00:00 2026-03-24 14:13:45.821000 2026-03-24 14:13:45 76425.821 NaN 21856 RUSSELL caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:00:05.261000 2026-03-24 15:02:22 140405.261 136.739 21859 EUR caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:02:56.913000 2026-03-24 15:02:57 140576.913 0.087 21858 US5 caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:02:55.102000 2026-03-24 15:02:56 140575.102 0.898 21860 US5 caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:10:19.782000 2026-03-24 15:10:19 141019.782 NaN 21857 NASDAQ_micro caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:02:23.597000 2026-03-24 15:02:54 140543.597 30.403 21861 NASDAQ_micro caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:19:21.877000 2026-03-24 15:19:21 141561.877 NaN 21862 NASDAQ_micro caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:20:22.149000 2026-03-24 15:20:22 141622.149 NaN 21863 SOYBEAN caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 15:30:25.437000 2026-03-24 15:30:25 142225.437 NaN 21848 COTTON2 caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:03:36.986000 2026-03-24 19:45:21.903000 137016.986 20504.917 21853 COTTON2 caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:28:54.310000 2026-03-24 14:29:21 138534.31 26.69 21854 COTTON2 caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:33:55.842000 2026-03-24 19:45:21.948000 138835.842 18686.106 21855 COTTON2 caleb_strategy_v3 2026-03-23 00:00:00 2026-03-24 14:51:02.337000 2026-03-24 14:51:44 139862.337 41.663 =========================================================================================================================================================================================================================================== 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 21844 NIKKEI caleb_strategy_v3 [1] 53015.0 None 51687.5 51690.0 51685.0 51685.0 51615.0 1327.5 -2.5 75.0 70.0 NaN 72.5 21845 EUROSTX caleb_strategy_v3 [-1] 5543.0 None 5515.5 5515.0 5516.0 5516.0 5517.0 -27.5 -0.5 2.0 1.0 NaN 1.5 21846 HEATOIL caleb_strategy_v3 [-1] 3.4092 None 3.56055 3.5597 3.5614 3.5614 3.5614 0.15135 -0.00085 0.0017 -0.0 NaN 0.00085 21847 GAS_US_mini caleb_strategy_v3 [-1] 2.9 None 2.9025 2.9 2.905 2.905 2.895 0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 21849 GOLD_micro caleb_strategy_v3 [-1] 4440.9 None 4392.2 4392.0 4392.4 4392.4 4417.1 -48.7 -0.2 25.1 24.7 NaN 24.9 21850 SUGAR11 caleb_strategy_v3 [1] 15.69 None 15.905 15.91 15.9 NaN 15.9 -0.215 -0.005 0.01 NaN NaN 0.005 21851 GASOLINE _ROLL_PSEUDO_STRATEGY [-1, 1] 0.0877 None 0.0971 0.0959 0.0983 0.0983 0.0982 0.0094 -0.0012 0.0023 -0.0001 NaN 0.0011 21852 OJ _ROLL_PSEUDO_STRATEGY [1, -1] 1.5 None -0.35 -1.0 0.3 NaN 1.35 1.85 0.65 -2.35 NaN NaN -1.7 21856 RUSSELL caleb_strategy_v3 [1] 2515.4 None 2499.5 2499.6 2499.4 2499.4 2518.2 15.9 -0.1 -18.6 -18.8 NaN -18.7 21859 EUR caleb_strategy_v3 [1] 1.16595 None 1.16485 1.1649 1.1648 1.1648 1.16385 0.0011 -0.00005 0.00105 0.00095 NaN 0.001 21858 US5 caleb_strategy_v3 [-1] 108.0 None 107.839844 107.835938 107.84375 107.84375 107.84375 -0.160156 -0.003906 0.007812 -0.0 NaN 0.003906 21860 US5 caleb_strategy_v3 [-1] 108.0 None 107.824219 107.820312 107.828125 107.828125 107.835938 -0.175781 -0.003906 0.015625 0.007813 NaN 0.011719 21857 NASDAQ_micro caleb_strategy_v3 [-1] 24407.75 None 24341.75 24341.5 24342.0 24342.0 24293.5 -66.0 -0.25 -48.0 -48.5 NaN -48.25 21861 NASDAQ_micro caleb_strategy_v3 [-1] 24407.75 None 24299.75 24299.5 24300.0 24300.0 24328.25 -108.0 -0.25 28.75 28.25 NaN 28.5 21862 NASDAQ_micro caleb_strategy_v3 [-1] 24407.75 None 24299.75 24299.5 24300.0 24300.0 24319.75 -108.0 -0.25 20.25 19.75 NaN 20.0 21863 SOYBEAN caleb_strategy_v3 [-1] 1148.5 None 1147.625 1147.5 1147.75 1147.75 1147.75 -0.875 -0.125 0.25 -0.0 NaN 0.125 21848 COTTON2 caleb_strategy_v3 [1] 69.38 None 69.09 69.1 69.08 69.08 NaN 0.29 -0.01 NaN NaN NaN NaN 21853 COTTON2 caleb_strategy_v3 [1] 69.38 None 69.235 69.25 69.22 69.22 69.25 0.145 -0.015 0.0 -0.03 NaN -0.015 21854 COTTON2 caleb_strategy_v3 [1] 69.38 None 69.2 69.21 69.19 69.19 NaN 0.18 -0.01 NaN NaN NaN NaN 21855 COTTON2 caleb_strategy_v3 [1] 69.38 None 69.26 69.27 69.25 69.25 69.3 0.12 -0.01 -0.03 -0.05 NaN -0.04 ====================================================================================================================================================================== 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 21844 NIKKEI caleb_strategy_v3 [1] 15967.468538 831.377871 -1.565683 46.970501 43.839134 NaN 45.404818 21845 EUROSTX caleb_strategy_v3 [-1] 1091.900567 -251.854435 -4.579172 18.316686 9.158343 NaN 13.737515 21846 HEATOIL caleb_strategy_v3 [-1] 1.981869 763.673101 -4.288881 8.577762 -0.0 NaN 4.288881 21847 GAS_US_mini caleb_strategy_v3 [-1] 2.480156 10.08001 -10.08001 -20.16002 -40.32004 NaN -30.24003 21849 GOLD_micro caleb_strategy_v3 [-1] 1480.817267 -328.872448 -1.350606 169.500995 166.799784 NaN 168.150389 21850 SUGAR11 caleb_strategy_v3 [1] 3.838973 -560.045648 -13.024317 26.048635 NaN NaN 13.024317 21851 GASOLINE _ROLL_PSEUDO_STRATEGY [-1, 1] 1.306072 71.971536 -9.187856 17.610057 -0.765655 NaN 8.422201 21852 OJ _ROLL_PSEUDO_STRATEGY [1, -1] 140.17097 131.981679 46.371941 -167.652403 NaN NaN -121.280462 21856 RUSSELL caleb_strategy_v3 [1] 532.41848 298.637267 -1.878222 -349.349256 -353.1057 NaN -351.227478 21859 EUR caleb_strategy_v3 [1] 0.091824 119.794431 -5.445201 114.349229 103.458827 NaN 108.904028 21858 US5 caleb_strategy_v3 [-1] 3.922184 -408.33436 -9.959375 19.918749 -0.0 NaN 9.959375 21860 US5 caleb_strategy_v3 [-1] 3.922184 -448.171859 -9.959375 39.838773 19.920024 NaN 29.879399 21857 NASDAQ_micro caleb_strategy_v3 [-1] 4297.913076 -153.562901 -0.581678 -111.68211 -112.845465 NaN -112.263787 21861 NASDAQ_micro caleb_strategy_v3 [-1] 4297.913076 -251.284747 -0.581678 66.89293 65.729575 NaN 66.311253 21862 NASDAQ_micro caleb_strategy_v3 [-1] 4297.913076 -251.284747 -0.581678 47.11589 45.952535 NaN 46.534212 21863 SOYBEAN caleb_strategy_v3 [-1] 153.208945 -57.111548 -8.158793 16.317585 -0.0 NaN 8.158793 21848 COTTON2 caleb_strategy_v3 [1] 10.95697 264.671712 -9.126611 NaN NaN NaN NaN 21853 COTTON2 caleb_strategy_v3 [1] 10.95697 132.335856 -13.689916 0.0 -27.379832 NaN -13.689916 21854 COTTON2 caleb_strategy_v3 [1] 10.95697 164.278994 -9.126611 NaN NaN NaN NaN 21855 COTTON2 caleb_strategy_v3 [1] 10.95697 109.519329 -9.126611 -27.379832 -45.633054 NaN -36.506443 ================================================================================================================================================================================ 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 21844 NIKKEI caleb_strategy_v3 [1] 0.630563 837.072045 -1.576407 47.292206 44.139392 NaN 45.715799 21845 EUROSTX caleb_strategy_v3 [-1] 11.59655 -318.905125 -5.798275 23.1931 11.59655 NaN 17.394825 21846 HEATOIL caleb_strategy_v3 [-1] 42000.0 6356.7 -35.7 71.4 -0.0 NaN 35.7 21847 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 6.25 -6.25 -12.5 -25.0 NaN -18.75 21849 GOLD_micro caleb_strategy_v3 [-1] 10.0 -487.0 -2.0 251.0 247.0 NaN 249.0 21850 SUGAR11 caleb_strategy_v3 [1] 1120.0 -240.8 -5.6 11.2 NaN NaN 5.6 21851 GASOLINE _ROLL_PSEUDO_STRATEGY [-1, 1] 42000.0 394.8 -50.4 96.6 -4.2 NaN 46.2 21852 OJ _ROLL_PSEUDO_STRATEGY [1, -1] 150.0 277.5 97.5 -352.5 NaN NaN -255.0 21856 RUSSELL caleb_strategy_v3 [1] 5.0 79.5 -0.5 -93.0 -94.0 NaN -93.5 21859 EUR caleb_strategy_v3 [1] 125000.0 137.5 -6.25 131.25 118.75 NaN 125.0 21858 US5 caleb_strategy_v3 [-1] 1000.0 -160.15625 -3.90625 7.8125 -0.0 NaN 3.90625 21860 US5 caleb_strategy_v3 [-1] 1000.0 -175.78125 -3.90625 15.6255 7.813 NaN 11.71925 21857 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -132.0 -0.5 -96.0 -97.0 NaN -96.5 21861 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -216.0 -0.5 57.5 56.5 NaN 57.0 21862 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -216.0 -0.5 40.5 39.5 NaN 40.0 21863 SOYBEAN caleb_strategy_v3 [-1] 50.0 -43.75 -6.25 12.5 -0.0 NaN 6.25 21848 COTTON2 caleb_strategy_v3 [1] 500.0 145.0 -5.0 NaN NaN NaN NaN 21853 COTTON2 caleb_strategy_v3 [1] 500.0 72.5 -7.5 0.0 -15.0 NaN -7.5 21854 COTTON2 caleb_strategy_v3 [1] 500.0 90.0 -5.0 NaN NaN NaN NaN 21855 COTTON2 caleb_strategy_v3 [1] 500.0 60.0 -5.0 -15.0 -25.0 NaN -20.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 394.8 OJ 277.5 caleb_strategy_v3 COTTON2 367.5 EUR 137.5 EUROSTX -318.905125 GAS_US_mini 6.25 GOLD_micro -487.0 HEATOIL 6356.7 NASDAQ_micro -564.0 NIKKEI 837.072045 RUSSELL 79.5 SOYBEAN -43.75 SUGAR11 -240.8 US5 -335.9375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 672.3 caleb_strategy_v3 5794.12942 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -50.4 OJ 97.5 caleb_strategy_v3 COTTON2 -22.5 EUR -6.25 EUROSTX -5.798275 GAS_US_mini -6.25 GOLD_micro -2.0 HEATOIL -35.7 NASDAQ_micro -1.5 NIKKEI -1.576407 RUSSELL -0.5 SOYBEAN -6.25 SUGAR11 -5.6 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY 47.1 caleb_strategy_v3 -101.737182 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 96.6 OJ -352.5 caleb_strategy_v3 COTTON2 -15.0 EUR 131.25 EUROSTX 23.1931 GAS_US_mini -12.5 GOLD_micro 251.0 HEATOIL 71.4 NASDAQ_micro 2.0 NIKKEI 47.292206 RUSSELL -93.0 SOYBEAN 12.5 SUGAR11 11.2 US5 23.438 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -255.9 caleb_strategy_v3 452.773306 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -4.2 OJ 0 caleb_strategy_v3 COTTON2 -40.0 EUR 118.75 EUROSTX 11.59655 GAS_US_mini -25.0 GOLD_micro 247.0 HEATOIL -0.0 NASDAQ_micro -1.0 NIKKEI 44.139392 RUSSELL -94.0 SOYBEAN -0.0 SUGAR11 0 US5 7.813 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -4.2 caleb_strategy_v3 269.298942 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 0 OJ 0 caleb_strategy_v3 COTTON2 0 EUR 0 EUROSTX 0 GAS_US_mini 0 GOLD_micro 0 HEATOIL 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 0 SOYBEAN 0 SUGAR11 0 US5 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 GASOLINE 46.2 OJ -255.0 caleb_strategy_v3 COTTON2 -27.5 EUR 125.0 EUROSTX 17.394825 GAS_US_mini -18.75 GOLD_micro 249.0 HEATOIL 35.7 NASDAQ_micro 0.5 NIKKEI 45.715799 RUSSELL -93.5 SOYBEAN 6.25 SUGAR11 5.6 US5 15.6255 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -208.8 caleb_strategy_v3 361.036124 ******************************************************************************** END OF REPORT ********************************************************************************