SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 07:10

Buy / Sell

Sell

Quantity

50

Arrival Price

76.6550

Average Total

76.6576

Destination Price

76.6600

Slippage

-0.0026

Slippage Sweep

-0.0132

Sweep to Fill

76.6444

Algo Diagnostics

{ "customState": { "init_half_min_move": { "asDouble": 0.008436316629377832 }, "init_vol_normal": { "asDouble": 0.8024612157230566 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.5300000000002285 }, "init_opt_t_minutes": { "asDouble": 1.5787231890984936 }, "worst_opt_t_minutes": { "asDouble": 0.9937863335398435 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.014712115157559238 }, "curr_cost_per_share": { "asDouble": 0.012600000000002751 }, "init_cost_per_share": { "asDouble": 0.010600000000004571 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 0.6797624182534883 }, "drift": { "asDouble": -0.0009290723416339599 }, "slippage": { "asDouble": -0.002599999999986835 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.66 }, "total_dollar": { "asDouble": 3832.8799999999997 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6292349142511104 }, "seconds_spent": { "asDouble": 43 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.6300000000001376 }, "arrival_price": { "asDouble": 76.655 }, "avg_total": { "asDouble": 76.65759999999999 }, "daily_vol_normal": { "asDouble": 1.3994142626274644 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.013199999999997658 }, "total_drift": { "asDouble": 0.009850295553833242 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 32 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 76.64439999999999 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.655<br />avg_total: 76.6576<br />curr_cost_per_share: 0.012600000000003<br />curr_half_min_move: 0.014712115157559<br />curr_liq_cost: 0.63000000000014<br />curr_opt_t_minutes: 0.67976241825349<br />daily_vol_normal: 1.3994142626275<br />destination_price: 76.66<br />drift: -0.00092907234163396<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.010600000000005<br />init_drift: 0<br />init_half_min_move: 0.0084363166293778<br />init_liq_cost: 0.53000000000023<br />init_min_duration: 0<br />init_opt_t_minutes: 1.5787231890985<br />init_vol_normal: 0.80246121572306<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 1<br />n_kids: 32<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 43<br />slip_toler: 0<br />slippage: -0.0025999999999868<br />slippage_sweep: -0.013199999999998<br />sweep_residual: 0<br />sweep_to_fill: 76.6444<br />total_dollar: 3832.88<br />total_drift: 0.0098502955538332<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6292349142511<br />worst_opt_t_minutes: 0.99378633353984

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.655<br />avg_total: 76.6576<br />destination_price: 76.66<br />market_vwap: <br />n_kids: 32<br />slippage: -0.0025999999999868<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3832.88<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>2024-01-31T07:09:48.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:50.109</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:53.998</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:54.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:54.477</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.497</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.509</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.587</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:55.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.978</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.978</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.979</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.979</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.979</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:23.215</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.215</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:23.216</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.216</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.216</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.217</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:25.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:25.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:25.627</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:27.4</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:27.402</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:31.596</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:35.878</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:35.878</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</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>2024-01-31T07:09:48.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:50.109</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:53.998</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:54.387</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:54.477</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.478</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.497</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.509</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:54.587</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:55.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.978</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.978</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.979</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.979</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:04.979</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:23.215</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.215</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:23.216</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.216</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.216</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:23.217</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:25.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:25.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.66</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:25.627</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:27.4</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:27.402</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.67</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:31.596</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:10:35.878</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:10:35.878</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.64</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.66

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.01

Computed Drift

0.00

Computed Seconds Spent

43.00

Computed Volatility

1.40