SIM:CLG4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLG4

Algo CQG Symbol

CLE

Date - Time

01/17/2024 - 08:14

Buy / Sell

Buy

Quantity

50

Arrival Price

70.6650

Average Total

70.6550

Destination Price

70.6350

Slippage

-0.0100

Slippage Sweep

-0.0308

Sweep to Fill

70.6858

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 7.153081559788262 }, "init_liq_cost": { "asDouble": 1.0400000000001626 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.016651415397667443 }, "curr_cost_per_share": { "asDouble": 0.016000000000001933 }, "init_cost_per_share": { "asDouble": 0.02080000000000325 }, "pov_agg_limit": { "asInt32": 9 }, "slippage": { "asDouble": -0.009999999999990905 }, "drift": { "asDouble": 0.002961639929876277 }, "curr_opt_t_minutes": { "asDouble": 0.7552541503328642 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.63499999999999 }, "total_dollar": { "asDouble": 3532.75 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6120106517383748 }, "seconds_spent": { "asDouble": 19 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8000000000000966 }, "arrival_price": { "asDouble": 70.66499999999999 }, "avg_total": { "asDouble": 70.655 }, "daily_vol_normal": { "asDouble": 1.5838802205444584 }, "total_drift": { "asDouble": -0.39041436464087564 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.030799999999999272 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 20 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.6858 }, "init_half_min_move": { "asDouble": 0.0077770832250340415 }, "init_vol_normal": { "asDouble": 0.739755029796749 }, "last_tactical_qty": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2024-01-17T08:13:51.222","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.67,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:13:51.776","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.68,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:13:53.787","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.69,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:13:55.287","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.68,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:13:56.877","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.68,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:13:57.987","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.67,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:14:00.087","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.67,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:14:01.079","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.67,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:14:04.078","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:05.098","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:14:05.098","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:14:08.988","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:14:08.988","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T08:14:09.605","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:09.605","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:09.605","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:09.606","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:09.606","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:09.61","Security":"SIM:CLG4","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:09.61","Security":"SIM:CLG4","Side":"Buy","LastShares":29.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T08:14:09.687","Security":"SIM:CLG4","Side":"Buy","LastShares":2.0,"LastPrice":70.65,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.665<br />avg_total: 70.655<br />curr_cost_per_share: 0.016000000000002<br />curr_half_min_move: 0.016651415397667<br />curr_liq_cost: 0.8000000000001<br />curr_opt_t_minutes: 0.75525415033286<br />daily_vol_normal: 1.5838802205445<br />destination_price: 70.635<br />drift: 0.0029616399298763<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020800000000003<br />init_drift: 0<br />init_half_min_move: 0.007777083225034<br />init_liq_cost: 1.0400000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 7.1530815597883<br />init_vol_normal: 0.73975502979675<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 0<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: 9<br />ready: 1<br />seconds_spent: 19<br />slip_toler: 0<br />slippage: -0.0099999999999909<br />slippage_sweep: -0.030799999999999<br />sweep_residual: 0<br />sweep_to_fill: 70.6858<br />total_dollar: 3532.75<br />total_drift: -0.39041436464088<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6120106517384<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.665<br />avg_total: 70.655<br />destination_price: 70.635<br />market_vwap: <br />n_kids: 20<br />slippage: -0.0099999999999909<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3532.75<br />total_filled: 50<br />total_sent: 50

Computed Fills Array AP

<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2024-01-17T08:13:51.222</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:13:51.776</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.68</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:13:53.787</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.69</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:13:55.287</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.68</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:13:56.877</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.68</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:13:57.987</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:00.087</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:01.079</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:04.078</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:05.098</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:05.098</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:08.988</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:08.988</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:09.605</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.605</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.605</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.606</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.606</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.61</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.61</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>29</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.687</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>2</td>
<td>70.65</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Fills Array VWAP

<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2024-01-17T08:13:51.222</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:13:51.776</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.68</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:13:53.787</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.69</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:13:55.287</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.68</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:13:56.877</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.68</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:13:57.987</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:00.087</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:01.079</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:04.078</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:05.098</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:05.098</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:08.988</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:08.988</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T08:14:09.605</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.605</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.605</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.606</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.606</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.61</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.61</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>29</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T08:14:09.687</td>
<td>SIM:CLG4</td>
<td>Buy</td>
<td>2</td>
<td>70.65</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.66

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

19.00

Computed Volatility

1.58