SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 05:43

Buy / Sell

Buy

Quantity

50

Arrival Price

77.0300

Average Total

77.0202

Destination Price

77.0150

Slippage

-0.0098

Slippage Sweep

-0.0314

Sweep to Fill

77.0516

Algo Diagnostics

{ "customState": { "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6372052109420525 }, "seconds_spent": { "asDouble": 10 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9000000000004746 }, "arrival_price": { "asDouble": 77.03 }, "avg_total": { "asDouble": 77.02019999999999 }, "daily_vol_normal": { "asDouble": 1.2657809200310672 }, "total_drift": { "asDouble": 0.009898483680278842 }, "slippage_sweep": { "asDouble": -0.03140000000000498 }, "last_aggressive_qty": { "asInt32": 4 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 11 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 77.0516 }, "init_half_min_move": { "asDouble": 0.008477587501936919 }, "init_vol_normal": { "asDouble": 0.8063868951424833 }, "last_tactical_qty": { "asInt32": 3 }, "init_opt_t_minutes": { "asDouble": 6.491767243015128 }, "init_liq_cost": { "asDouble": 1.079999999999842 }, "worst_opt_t_minutes": { "asDouble": 0.5214149283759044 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.01330722085451244 }, "curr_cost_per_share": { "asDouble": 0.018000000000009495 }, "init_cost_per_share": { "asDouble": 0.02159999999999684 }, "curr_opt_t_minutes": { "asDouble": 1.607792822479954 }, "drift": { "asDouble": 0.002207270936264012 }, "slippage": { "asDouble": -0.009800000000012687 }, "mbo_max": { "asInt32": 6 }, "destination_price": { "asDouble": 77.01499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3851.0099999999998 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2024-01-31T05:43:50.603","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.03,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.423","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.423","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.424","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.424","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.476","Security":"SIM:CLH4","Side":"Buy","LastShares":8.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.577","Security":"SIM:CLH4","Side":"Buy","LastShares":8.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.909","Security":"SIM:CLH4","Side":"Buy","LastShares":8.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:57.976","Security":"SIM:CLH4","Side":"Buy","LastShares":8.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:58.087","Security":"SIM:CLH4","Side":"Buy","LastShares":9.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T05:43:58.109","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":77.02,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 77.03<br />avg_total: 77.0202<br />curr_cost_per_share: 0.018000000000009<br />curr_half_min_move: 0.013307220854512<br />curr_liq_cost: 0.90000000000047<br />curr_opt_t_minutes: 1.60779282248<br />daily_vol_normal: 1.2657809200311<br />destination_price: 77.015<br />drift: 0.002207270936264<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.021599999999997<br />init_drift: 0<br />init_half_min_move: 0.0084775875019369<br />init_liq_cost: 1.0799999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 6.4917672430151<br />init_vol_normal: 0.80638689514248<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: 0<br />mbo_max: 6<br />mbo_min: 1<br />model_size: 0<br />n_kids: 11<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 10<br />slip_toler: 0<br />slippage: -0.0098000000000127<br />slippage_sweep: -0.031400000000005<br />sweep_residual: 0<br />sweep_to_fill: 77.0516<br />total_dollar: 3851.01<br />total_drift: 0.0098984836802788<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6372052109421<br />worst_opt_t_minutes: 0.5214149283759

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 77.03<br />avg_total: 77.0202<br />destination_price: 77.015<br />market_vwap: <br />n_kids: 11<br />slippage: -0.0098000000000127<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3851.01<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>2024-01-31T05:43:50.603</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.03</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.423</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.423</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.424</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.424</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.476</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.577</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.909</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:58.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>9</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:58.109</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77.02</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>2024-01-31T05:43:50.603</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.03</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.423</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.423</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.424</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.424</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.476</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.577</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.909</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:57.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:58.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>9</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T05:43:58.109</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77.02</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

77.02

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

10.00

Computed Volatility

1.27