SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 06:29

Buy / Sell

Buy

Quantity

50

Arrival Price

76.9750

Average Total

76.9898

Destination Price

76.9550

Slippage

0.0148

Slippage Sweep

-0.0046

Sweep to Fill

76.9944

Algo Diagnostics

{ "customState": { "curr_cost_per_share": { "asDouble": 0.015400000000011573 }, "init_cost_per_share": { "asDouble": 0.019400000000002818 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.01480000000002235 }, "drift": { "asDouble": -0.00015951044255744078 }, "curr_opt_t_minutes": { "asDouble": 1.2624674425274411 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.95499999999998 }, "total_dollar": { "asDouble": 3849.490000000001 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 190 }, "total_vol": { "asDouble": 1.6360362340940475 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7700000000005787 }, "arrival_price": { "asDouble": 76.975 }, "avg_total": { "asDouble": 76.98980000000002 }, "daily_vol_normal": { "asDouble": 1.310453170829249 }, "last_aggressive_qty": { "asInt32": 9 }, "slippage_sweep": { "asDouble": -0.004599999999982174 }, "total_drift": { "asDouble": 0.009891416088400152 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 39 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 9 }, "sweep_to_fill": { "asDouble": 76.9944 }, "init_half_min_move": { "asDouble": 0.00847153444062825 }, "init_vol_normal": { "asDouble": 0.805811128827634 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.970000000000141 }, "init_opt_t_minutes": { "asDouble": 5.244200629220614 }, "worst_opt_t_minutes": { "asDouble": 0.31538774960993615 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.013776862557932161 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.975<br />avg_total: 76.9898<br />curr_cost_per_share: 0.015400000000012<br />curr_half_min_move: 0.013776862557932<br />curr_liq_cost: 0.77000000000058<br />curr_opt_t_minutes: 1.2624674425274<br />daily_vol_normal: 1.3104531708292<br />destination_price: 76.955<br />drift: -0.00015951044255744<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019400000000003<br />init_drift: 0<br />init_half_min_move: 0.0084715344406283<br />init_liq_cost: 0.97000000000014<br />init_min_duration: 0<br />init_opt_t_minutes: 5.2442006292206<br />init_vol_normal: 0.80581112882763<br />last_aggressive_qty: 9<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 9<br />n_kids: 39<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 190<br />slip_toler: 0<br />slippage: 0.014800000000022<br />slippage_sweep: -0.0045999999999822<br />sweep_residual: 0<br />sweep_to_fill: 76.9944<br />total_dollar: 3849.49<br />total_drift: 0.0098914160884002<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.636036234094<br />worst_opt_t_minutes: 0.31538774960994

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.975<br />avg_total: 76.9898<br />destination_price: 76.955<br />market_vwap: <br />n_kids: 39<br />slippage: 0.014800000000022<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3849.49<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>2024-01-31T06:26:20.978</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:22.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:24.316</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:34.389</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.59</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:29:25.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:25.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:29.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:29.809</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:30.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:29:30.298</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>9</td>
<td>76.97</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>2024-01-31T06:26:20.978</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:22.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:24.316</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:34.389</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.589</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.59</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.68</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.681</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:27:48.977</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:29:25.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:25.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:29.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:29.809</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:29:30.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:29:30.298</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>9</td>
<td>76.97</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.99

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

190.00

Computed Volatility

1.31