SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 04:49

Buy / Sell

Buy

Quantity

50

Arrival Price

76.8650

Average Total

76.8518

Destination Price

76.8450

Slippage

-0.0132

Slippage Sweep

-0.0322

Sweep to Fill

76.8840

Algo Diagnostics

{ "customState": { "seconds_spent": { "asDouble": 35 }, "total_vol": { "asDouble": 1.6336982803980378 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0499999999997556 }, "arrival_price": { "asDouble": 76.865 }, "avg_total": { "asDouble": 76.85180000000001 }, "daily_vol_normal": { "asDouble": 1.1848036151328902 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.032199999999988904 }, "total_drift": { "asDouble": 0.009877280904642776 }, "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": 76.884 }, "init_half_min_move": { "asDouble": 0.00845942831801092 }, "init_vol_normal": { "asDouble": 0.8046595961979355 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9500000000001307 }, "init_opt_t_minutes": { "asDouble": 5.0445818436590315 }, "worst_opt_t_minutes": { "asDouble": 0.8213145402115087 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.012455902223120218 }, "curr_cost_per_share": { "asDouble": 0.020999999999995113 }, "init_cost_per_share": { "asDouble": 0.019000000000002615 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.013199999999983447 }, "curr_opt_t_minutes": { "asDouble": 2.805843911696049 }, "drift": { "asDouble": 0.0002705413628655583 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.845 }, "total_dollar": { "asDouble": 3842.5900000000006 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2024-01-31T04:48:46.029","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.86,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:48:46.029","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.86,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:48:46.029","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.86,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:48:46.029","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.86,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:48:46.035","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.86,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:48:46.08","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.87,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:48:50.176","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.86,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:48:58.587","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.86,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:49:09.488","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:09.509","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:09.587","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:09.597","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:09.687","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:09.787","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:09.909","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:10.22","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:10.277","Security":"SIM:CLH4","Side":"Buy","LastShares":5.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:10.387","Security":"SIM:CLH4","Side":"Buy","LastShares":5.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:10.687","Security":"SIM:CLH4","Side":"Buy","LastShares":5.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:49:10.787","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.85000000000001,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.865<br />avg_total: 76.8518<br />curr_cost_per_share: 0.020999999999995<br />curr_half_min_move: 0.01245590222312<br />curr_liq_cost: 1.0499999999998<br />curr_opt_t_minutes: 2.805843911696<br />daily_vol_normal: 1.1848036151329<br />destination_price: 76.845<br />drift: 0.00027054136286556<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019000000000003<br />init_drift: 0<br />init_half_min_move: 0.0084594283180109<br />init_liq_cost: 0.95000000000013<br />init_min_duration: 0<br />init_opt_t_minutes: 5.044581843659<br />init_vol_normal: 0.80465959619794<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: 0<br />ready: 1<br />seconds_spent: 35<br />slip_toler: 0<br />slippage: -0.013199999999983<br />slippage_sweep: -0.032199999999989<br />sweep_residual: 0<br />sweep_to_fill: 76.884<br />total_dollar: 3842.59<br />total_drift: 0.0098772809046428<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.633698280398<br />worst_opt_t_minutes: 0.82131454021151

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.865<br />avg_total: 76.8518<br />destination_price: 76.845<br />market_vwap: <br />n_kids: 20<br />slippage: -0.013199999999983<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3842.59<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>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:48:46.035</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:46.08</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.87</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:48:50.176</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:58.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:49:09.488</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.509</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.597</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.687</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.909</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.22</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.277</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.687</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.85</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>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:48:46.029</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:48:46.035</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:46.08</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.87</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:48:50.176</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:48:58.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.86</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:49:09.488</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.509</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.597</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.687</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:09.909</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.22</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.277</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.687</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:49:10.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.85</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

76.85

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

35.00

Computed Volatility

1.18