SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 05:44

Buy / Sell

Sell

Quantity

50

Arrival Price

76.9950

Average Total

77.0064

Destination Price

77.0150

Slippage

-0.0114

Slippage Sweep

-0.0280

Sweep to Fill

76.9784

Algo Diagnostics

{ "customState": { "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 77.01499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3850.3199999999997 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 33 }, "total_vol": { "asDouble": 1.6364613165842314 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9299999999995094 }, "arrival_price": { "asDouble": 76.995 }, "avg_total": { "asDouble": 77.0064 }, "daily_vol_normal": { "asDouble": 1.2660652093683404 }, "total_drift": { "asDouble": 0.009893986121810586 }, "slippage_sweep": { "asDouble": -0.028000000000005798 }, "last_aggressive_qty": { "asInt32": 5 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 15 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.9784 }, "init_half_min_move": { "asDouble": 0.008473735553831404 }, "init_vol_normal": { "asDouble": 0.8060204983966701 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8300000000005241 }, "init_opt_t_minutes": { "asDouble": 3.8376588294223635 }, "worst_opt_t_minutes": { "asDouble": 1.8203865565596813 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.013310209603148012 }, "curr_cost_per_share": { "asDouble": 0.01859999999999019 }, "init_cost_per_share": { "asDouble": 0.01660000000001048 }, "drift": { "asDouble": -0.0001510191580000941 }, "slippage": { "asDouble": -0.011399999999994748 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 1.9369488715536844 } } }

Fills Array

[{"Timestamp":"2024-01-31T05:44:32.577","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:44:32.587","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:44:35.02","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T05:44:36.103","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:44:36.104","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:44:36.105","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:44:36.476","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:44:52.687","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:44:57.198","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T05:44:57.287","Security":"SIM:CLH4","Side":"Sell","LastShares":7.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T05:44:57.298","Security":"SIM:CLH4","Side":"Sell","LastShares":7.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T05:44:57.787","Security":"SIM:CLH4","Side":"Sell","LastShares":7.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T05:44:57.887","Security":"SIM:CLH4","Side":"Sell","LastShares":7.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T05:44:58.377","Security":"SIM:CLH4","Side":"Sell","LastShares":7.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T05:44:58.698","Security":"SIM:CLH4","Side":"Sell","LastShares":5.0,"LastPrice":77.01,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.995<br />avg_total: 77.0064<br />curr_cost_per_share: 0.01859999999999<br />curr_half_min_move: 0.013310209603148<br />curr_liq_cost: 0.92999999999951<br />curr_opt_t_minutes: 1.9369488715537<br />daily_vol_normal: 1.2660652093683<br />destination_price: 77.015<br />drift: -0.00015101915800009<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01660000000001<br />init_drift: 0<br />init_half_min_move: 0.0084737355538314<br />init_liq_cost: 0.83000000000052<br />init_min_duration: 0<br />init_opt_t_minutes: 3.8376588294224<br />init_vol_normal: 0.80602049839667<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 0<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 33<br />slip_toler: 0<br />slippage: -0.011399999999995<br />slippage_sweep: -0.028000000000006<br />sweep_residual: 0<br />sweep_to_fill: 76.9784<br />total_dollar: 3850.32<br />total_drift: 0.0098939861218106<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6364613165842<br />worst_opt_t_minutes: 1.8203865565597

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.995<br />avg_total: 77.0064<br />destination_price: 77.015<br />market_vwap: <br />n_kids: 15<br />slippage: -0.011399999999995<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3850.32<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>2024-01-31T05:44:32.577</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:32.587</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:35.02</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:36.103</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:36.104</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:36.105</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:36.476</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:52.687</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:57.198</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.287</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.298</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:58.377</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:58.698</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>77.01</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>2024-01-31T05:44:32.577</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:32.587</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:35.02</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:36.103</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:36.104</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:36.105</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:36.476</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:52.687</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:44:57.198</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.287</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.298</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:57.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:58.377</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T05:44:58.698</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>77.01</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

77.01

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

33.00

Computed Volatility

1.27