SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 06:32

Buy / Sell

Sell

Quantity

50

Arrival Price

76.9900

Average Total

77.0058

Destination Price

77.0150

Slippage

-0.0158

Slippage Sweep

-0.0324

Sweep to Fill

76.9734

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.9734 }, "init_half_min_move": { "asDouble": 0.008473185275530615 }, "init_vol_normal": { "asDouble": 0.8059681560044111 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 3.8381573075889373 }, "init_liq_cost": { "asDouble": 0.8299999999999557 }, "worst_opt_t_minutes": { "asDouble": 1.6344623130062275 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.013864846070006173 }, "curr_cost_per_share": { "asDouble": 0.017399999999989008 }, "init_cost_per_share": { "asDouble": 0.016599999999999112 }, "curr_opt_t_minutes": { "asDouble": 1.633157494342516 }, "pov_agg_limit": { "asInt32": 9 }, "slippage": { "asDouble": -0.015800000000027126 }, "drift": { "asDouble": 0.0006408631320487084 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 77.01499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3850.290000000001 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6363550459616854 }, "seconds_spent": { "asDouble": 6 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8699999999994503 }, "arrival_price": { "asDouble": 76.99 }, "avg_total": { "asDouble": 77.00580000000002 }, "daily_vol_normal": { "asDouble": 1.318822149752661 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.032400000000023965 }, "total_drift": { "asDouble": 0.009893343613457976 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 14 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2024-01-31T06:32:41.622","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:32:41.787","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:32:41.787","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:32:45.015","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:32:45.02","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:32:45.03","Security":"SIM:CLH4","Side":"Sell","LastShares":3.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.03","Security":"SIM:CLH4","Side":"Sell","LastShares":12.0,"LastPrice":77.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.087","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.088","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.118","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.186","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.209","Security":"SIM:CLH4","Side":"Sell","LastShares":3.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.22","Security":"SIM:CLH4","Side":"Sell","LastShares":3.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.277","Security":"SIM:CLH4","Side":"Sell","LastShares":4.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.277","Security":"SIM:CLH4","Side":"Sell","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:32:45.387","Security":"SIM:CLH4","Side":"Sell","LastShares":5.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.486","Security":"SIM:CLH4","Side":"Sell","LastShares":5.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:32:45.787","Security":"SIM:CLH4","Side":"Sell","LastShares":2.0,"LastPrice":77.01,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.99<br />avg_total: 77.0058<br />curr_cost_per_share: 0.017399999999989<br />curr_half_min_move: 0.013864846070006<br />curr_liq_cost: 0.86999999999945<br />curr_opt_t_minutes: 1.6331574943425<br />daily_vol_normal: 1.3188221497527<br />destination_price: 77.015<br />drift: 0.00064086313204871<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016599999999999<br />init_drift: 0<br />init_half_min_move: 0.0084731852755306<br />init_liq_cost: 0.82999999999996<br />init_min_duration: 0<br />init_opt_t_minutes: 3.8381573075889<br />init_vol_normal: 0.80596815600441<br />last_aggressive_qty: 2<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: 14<br />order_time_minutes: 10<br />pov_agg_limit: 9<br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.015800000000027<br />slippage_sweep: -0.032400000000024<br />sweep_residual: 0<br />sweep_to_fill: 76.9734<br />total_dollar: 3850.29<br />total_drift: 0.009893343613458<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6363550459617<br />worst_opt_t_minutes: 1.6344623130062

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.99<br />avg_total: 77.0058<br />destination_price: 77.015<br />market_vwap: <br />n_kids: 14<br />slippage: -0.015800000000027<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3850.29<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>2024-01-31T06:32:41.622</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:41.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:41.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.015</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.02</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.03</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.03</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>12</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.118</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.186</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.209</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.486</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</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>2024-01-31T06:32:41.622</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:41.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:41.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.015</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.02</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.03</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.03</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>12</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.118</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.186</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.209</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:32:45.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.486</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:32:45.787</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</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

6.00

Computed Volatility

1.32