SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 04:02

Buy / Sell

Sell

Quantity

50

Arrival Price

76.7950

Average Total

76.7906

Destination Price

76.7950

Slippage

0.0044

Slippage Sweep

-0.0144

Sweep to Fill

76.7762

Algo Diagnostics

{ "customState": { "n_kids": { "asInt32": 10 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 76.7762 }, "init_half_min_move": { "asDouble": 0.00845172442179989 }, "init_vol_normal": { "asDouble": 0.8039268027063091 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9399999999994861 }, "init_opt_t_minutes": { "asDouble": 4.947947041201939 }, "worst_opt_t_minutes": { "asDouble": 0.8978904240550861 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.01149524995043446 }, "curr_cost_per_share": { "asDouble": 0.011799999999989269 }, "init_cost_per_share": { "asDouble": 0.018799999999989724 }, "pov_agg_limit": { "asInt32": 18 }, "slippage": { "asDouble": 0.004399999999975535 }, "drift": { "asDouble": -0.013055660138250033 }, "curr_opt_t_minutes": { "asDouble": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.79499999999999 }, "total_dollar": { "asDouble": 3839.5300000000007 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 4 }, "total_vol": { "asDouble": 1.6322104916823952 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.5899999999994634 }, "arrival_price": { "asDouble": 76.79499999999999 }, "avg_total": { "asDouble": 76.79060000000001 }, "daily_vol_normal": { "asDouble": 1.0934265101126648 }, "total_drift": { "asDouble": 0.009868285787706264 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.014400000000009072 }, "economic_model": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2024-01-31T04:02:28.087","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:28.62","Security":"SIM:CLH4","Side":"Sell","LastShares":3.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:28.62","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:28.778","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.8,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:02:30.288","Security":"SIM:CLH4","Side":"Sell","LastShares":5.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:30.288","Security":"SIM:CLH4","Side":"Sell","LastShares":11.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:30.317","Security":"SIM:CLH4","Side":"Sell","LastShares":16.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:30.318","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:30.318","Security":"SIM:CLH4","Side":"Sell","LastShares":7.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:30.318","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:02:31.076","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.8,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:02:31.076","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.8,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.795<br />avg_total: 76.7906<br />curr_cost_per_share: 0.011799999999989<br />curr_half_min_move: 0.011495249950434<br />curr_liq_cost: 0.58999999999946<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 1.0934265101127<br />destination_price: 76.795<br />drift: -0.01305566013825<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01879999999999<br />init_drift: 0<br />init_half_min_move: 0.0084517244217999<br />init_liq_cost: 0.93999999999949<br />init_min_duration: 0<br />init_opt_t_minutes: 4.9479470412019<br />init_vol_normal: 0.80392680270631<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 2<br />n_kids: 10<br />order_time_minutes: 10<br />pov_agg_limit: 18<br />ready: 1<br />seconds_spent: 4<br />slip_toler: 0<br />slippage: 0.0043999999999755<br />slippage_sweep: -0.014400000000009<br />sweep_residual: 0<br />sweep_to_fill: 76.7762<br />total_dollar: 3839.53<br />total_drift: 0.0098682857877063<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6322104916824<br />worst_opt_t_minutes: 0.89789042405509

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.795<br />avg_total: 76.7906<br />destination_price: 76.795<br />market_vwap: <br />n_kids: 10<br />slippage: 0.0043999999999755<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3839.53<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>2024-01-31T04:02:28.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:28.62</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:28.62</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:28.778</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.8</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:02:30.288</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.288</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>11</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>16</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:31.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.8</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:02:31.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.8</td>
<td>Passive</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>2024-01-31T04:02:28.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:28.62</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:28.62</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:28.778</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.8</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:02:30.288</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.288</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>11</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>16</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:30.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:02:31.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.8</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:02:31.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.8</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.79

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

-0.01

Computed Seconds Spent

4.00

Computed Volatility

1.09