SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 07:32

Buy / Sell

Buy

Quantity

50

Arrival Price

76.9400

Average Total

76.9558

Destination Price

76.9450

Slippage

0.0158

Slippage Sweep

-0.0042

Sweep to Fill

76.9600

Algo Diagnostics

{ "customState": { "curr_cost_per_share": { "asDouble": 0.017200000000001693 }, "init_cost_per_share": { "asDouble": 0.01999999999999602 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 1.0919127710720582 }, "drift": { "asDouble": 0.0021199648639882614 }, "slippage": { "asDouble": 0.015799999999998704 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.945 }, "total_dollar": { "asDouble": 3847.7899999999995 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 69 }, "total_vol": { "asDouble": 1.6352923397362265 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8600000000000847 }, "arrival_price": { "asDouble": 76.94 }, "avg_total": { "asDouble": 76.9558 }, "daily_vol_normal": { "asDouble": 1.4671816025451847 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.004199999999997317 }, "total_drift": { "asDouble": 0.009886918529931897 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 36 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 76.96 }, "init_half_min_move": { "asDouble": 0.008467682492522737 }, "init_vol_normal": { "asDouble": 0.8054447320818209 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.578672427818728 }, "init_liq_cost": { "asDouble": 0.999999999999801 }, "worst_opt_t_minutes": { "asDouble": 0.45463177691418666 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015424556737880886 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.94<br />avg_total: 76.9558<br />curr_cost_per_share: 0.017200000000002<br />curr_half_min_move: 0.015424556737881<br />curr_liq_cost: 0.86000000000008<br />curr_opt_t_minutes: 1.0919127710721<br />daily_vol_normal: 1.4671816025452<br />destination_price: 76.945<br />drift: 0.0021199648639883<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019999999999996<br />init_drift: 0<br />init_half_min_move: 0.0084676824925227<br />init_liq_cost: 0.9999999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 5.5786724278187<br />init_vol_normal: 0.80544473208182<br />last_aggressive_qty: 1<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: 36<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 69<br />slip_toler: 0<br />slippage: 0.015799999999999<br />slippage_sweep: -0.0041999999999973<br />sweep_residual: 0<br />sweep_to_fill: 76.96<br />total_dollar: 3847.79<br />total_drift: 0.0098869185299319<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6352923397362<br />worst_opt_t_minutes: 0.45463177691419

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.94<br />avg_total: 76.9558<br />destination_price: 76.945<br />market_vwap: <br />n_kids: 36<br />slippage: 0.015799999999999<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3847.79<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>2024-01-31T07:31:29.388</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:29.679</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:34.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:35.576</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:36.487</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:37.1</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:40.277</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:40.278</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:42.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:42.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:46.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:46.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:46.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:48.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:51.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:58.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:07.579</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:14.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:14.878</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:15.598</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:21.293</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.294</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.296</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.296</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.296</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.377</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:23.678</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:23.678</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:23.875</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:28.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:28.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:33.924</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:33.925</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:34.003</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:37.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:38.177</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:38.186</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</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>2024-01-31T07:31:29.388</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:29.679</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:34.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:35.576</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:36.487</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:37.1</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:40.277</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:40.278</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:42.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:42.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:46.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:46.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:46.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:31:48.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:51.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:31:58.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:07.579</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:14.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:14.878</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:15.598</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:21.293</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.294</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.296</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.296</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.296</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:21.377</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:23.678</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:23.678</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:23.875</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:28.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:28.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:33.924</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:33.925</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:34.003</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:37.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:38.177</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:38.186</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.96

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

69.00

Computed Volatility

1.47