SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 04:58

Buy / Sell

Sell

Quantity

50

Arrival Price

76.9450

Average Total

76.9778

Destination Price

76.9950

Slippage

-0.0328

Slippage Sweep

-0.0482

Sweep to Fill

76.9296

Algo Diagnostics

{ "customState": { "avg_total": { "asDouble": 76.97779999999997 }, "daily_vol_normal": { "asDouble": 1.205937640365237 }, "total_drift": { "asDouble": 0.009887561038284504 }, "slippage_sweep": { "asDouble": -0.04819999999998004 }, "last_aggressive_qty": { "asInt32": 6 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 26 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.9296 }, "init_half_min_move": { "asDouble": 0.008468232770823524 }, "init_vol_normal": { "asDouble": 0.8054970744740798 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.7699999999998965 }, "init_opt_t_minutes": { "asDouble": 3.3071650315975343 }, "worst_opt_t_minutes": { "asDouble": 1.374791451166963 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.012678085333057422 }, "curr_cost_per_share": { "asDouble": 0.015600000000011107 }, "init_cost_per_share": { "asDouble": 0.015399999999997931 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.0327999999999804 }, "drift": { "asDouble": -0.0004990243811254774 }, "curr_opt_t_minutes": { "asDouble": 1.4657637119833904 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.995 }, "total_dollar": { "asDouble": 3848.8899999999985 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 23 }, "total_vol": { "asDouble": 1.635398610358772 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7800000000005554 }, "arrival_price": { "asDouble": 76.945 } } }

Fills Array

[{"Timestamp":"2024-01-31T04:58:29.783","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:29.787","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:29.787","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:29.787","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:39.198","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:40.487","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:42.72","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:45.799","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:45.799","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:46.992","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:46.998","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:46.999","Security":"SIM:CLH4","Side":"Sell","LastShares":3.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:46.999","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:47","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.97,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.011","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:47.076","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.076","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.076","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.077","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.09","Security":"SIM:CLH4","Side":"Sell","LastShares":3.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.176","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":76.99,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:47.22","Security":"SIM:CLH4","Side":"Sell","LastShares":3.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.286","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.298","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.387","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:47.387","Security":"SIM:CLH4","Side":"Sell","LastShares":9.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T04:58:47.487","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T04:58:47.487","Security":"SIM:CLH4","Side":"Sell","LastShares":5.0,"LastPrice":76.98,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.945<br />avg_total: 76.9778<br />curr_cost_per_share: 0.015600000000011<br />curr_half_min_move: 0.012678085333057<br />curr_liq_cost: 0.78000000000056<br />curr_opt_t_minutes: 1.4657637119834<br />daily_vol_normal: 1.2059376403652<br />destination_price: 76.995<br />drift: -0.00049902438112548<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.015399999999998<br />init_drift: 0<br />init_half_min_move: 0.0084682327708235<br />init_liq_cost: 0.7699999999999<br />init_min_duration: 0<br />init_opt_t_minutes: 3.3071650315975<br />init_vol_normal: 0.80549707447408<br />last_aggressive_qty: 6<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: 26<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 23<br />slip_toler: 0<br />slippage: -0.03279999999998<br />slippage_sweep: -0.04819999999998<br />sweep_residual: 0<br />sweep_to_fill: 76.9296<br />total_dollar: 3848.89<br />total_drift: 0.0098875610382845<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6353986103588<br />worst_opt_t_minutes: 1.374791451167

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.945<br />avg_total: 76.9778<br />destination_price: 76.995<br />market_vwap: <br />n_kids: 26<br />slippage: -0.03279999999998<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3848.89<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>2024-01-31T04:58:29.783</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:29.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:29.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:29.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:39.198</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:40.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:42.72</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:45.799</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:45.799</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.992</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.998</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.999</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.999</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.011</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.09</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.176</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.286</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.298</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>9</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.98</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>2024-01-31T04:58:29.783</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:29.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:29.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:29.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:39.198</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:40.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:42.72</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:45.799</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:45.799</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.992</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.998</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.999</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:46.999</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.011</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.09</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.176</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.286</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.298</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>9</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:47.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:47.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.98</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

76.98

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

23.00

Computed Volatility

1.21