SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 06:26

Buy / Sell

Buy

Quantity

50

Arrival Price

77.0150

Average Total

76.9864

Destination Price

76.9750

Slippage

-0.0286

Slippage Sweep

-0.0478

Sweep to Fill

77.0342

Algo Diagnostics

{ "customState": { "init_half_min_move": { "asDouble": 0.008475936667034552 }, "init_vol_normal": { "asDouble": 0.8062298679657061 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.131295807708936 }, "init_liq_cost": { "asDouble": 0.9600000000004627 }, "worst_opt_t_minutes": { "asDouble": 0.5945067267071914 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.01373418918536126 }, "curr_cost_per_share": { "asDouble": 0.018800000000002513 }, "init_cost_per_share": { "asDouble": 0.019200000000009255 }, "curr_opt_t_minutes": { "asDouble": 1.755884729900652 }, "drift": { "asDouble": 0.0011893369844068792 }, "slippage": { "asDouble": -0.02859999999995466 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 2 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.975 }, "total_dollar": { "asDouble": 3849.3200000000015 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6368863990744145 }, "seconds_spent": { "asDouble": 43 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9400000000001256 }, "arrival_price": { "asDouble": 77.01499999999999 }, "avg_total": { "asDouble": 76.98640000000003 }, "daily_vol_normal": { "asDouble": 1.306394085811861 }, "last_aggressive_qty": { "asInt32": 6 }, "slippage_sweep": { "asDouble": -0.04779999999996676 }, "total_drift": { "asDouble": 0.009896556155221016 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 18 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 77.0342 } } }

Fills Array

[{"Timestamp":"2024-01-31T06:25:40.187","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:25:43.887","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.02,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:25:50.776","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:25:50.776","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:25:50.776","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:25:50.776","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:25:50.776","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:00.776","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:00.777","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:16.887","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:16.988","Security":"SIM:CLH4","Side":"Buy","LastShares":5.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:16.988","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:26:17.009","Security":"SIM:CLH4","Side":"Buy","LastShares":5.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:17.019","Security":"SIM:CLH4","Side":"Buy","LastShares":5.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:17.076","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:17.076","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.99,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:26:17.187","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:17.219","Security":"SIM:CLH4","Side":"Buy","LastShares":6.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:17.477","Security":"SIM:CLH4","Side":"Buy","LastShares":6.0,"LastPrice":76.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T06:26:17.787","Security":"SIM:CLH4","Side":"Buy","LastShares":6.0,"LastPrice":76.98,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 77.015<br />avg_total: 76.9864<br />curr_cost_per_share: 0.018800000000003<br />curr_half_min_move: 0.013734189185361<br />curr_liq_cost: 0.94000000000013<br />curr_opt_t_minutes: 1.7558847299007<br />daily_vol_normal: 1.3063940858119<br />destination_price: 76.975<br />drift: 0.0011893369844069<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019200000000009<br />init_drift: 0<br />init_half_min_move: 0.0084759366670346<br />init_liq_cost: 0.96000000000046<br />init_min_duration: 0<br />init_opt_t_minutes: 5.1312958077089<br />init_vol_normal: 0.80622986796571<br />last_aggressive_qty: 6<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: 18<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 43<br />slip_toler: 0<br />slippage: -0.028599999999955<br />slippage_sweep: -0.047799999999967<br />sweep_residual: 0<br />sweep_to_fill: 77.0342<br />total_dollar: 3849.32<br />total_drift: 0.009896556155221<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6368863990744<br />worst_opt_t_minutes: 0.59450672670719

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 77.015<br />avg_total: 76.9864<br />destination_price: 76.975<br />market_vwap: <br />n_kids: 18<br />slippage: -0.028599999999955<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3849.32<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>2024-01-31T06:25:40.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:25:43.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:00.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:00.777</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:16.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:16.988</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:16.988</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:17.009</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.019</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:17.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.219</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.477</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</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>2024-01-31T06:25:40.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:25:43.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:25:50.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:00.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:00.777</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:16.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:16.988</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:16.988</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:17.009</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.019</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.99</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:26:17.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.219</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.477</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T06:26:17.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>76.98</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

76.99

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

43.00

Computed Volatility

1.31