SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 07:41

Buy / Sell

Buy

Quantity

50

Arrival Price

76.9550

Average Total

76.9454

Destination Price

76.9350

Slippage

-0.0096

Slippage Sweep

-0.0272

Sweep to Fill

76.9726

Algo Diagnostics

{ "customState": { "init_half_min_move": { "asDouble": 0.008469333327425098 }, "init_vol_normal": { "asDouble": 0.8056017592585978 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8800000000004786 }, "init_opt_t_minutes": { "asDouble": 4.318439942835737 }, "worst_opt_t_minutes": { "asDouble": 0.5958804139315867 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015670577388549083 }, "curr_cost_per_share": { "asDouble": 0.01879999999998944 }, "init_cost_per_share": { "asDouble": 0.017600000000009573 }, "drift": { "asDouble": 0.0008912502755186966 }, "pov_agg_limit": { "asInt32": 8 }, "slippage": { "asDouble": -0.009599999999977626 }, "curr_opt_t_minutes": { "asDouble": 1.3713432729427388 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 76.935 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3847.2700000000004 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6356111516038638 }, "seconds_spent": { "asDouble": 13 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9399999999994719 }, "arrival_price": { "asDouble": 76.95499999999998 }, "avg_total": { "asDouble": 76.9454 }, "daily_vol_normal": { "asDouble": 1.4905830511988183 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.02719999999999345 }, "total_drift": { "asDouble": 0.009888846054989719 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 20 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.9726 } } }

Fills Array

[{"Timestamp":"2024-01-31T07:41:21.478","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:21.487","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:22.481","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:24.077","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:24.087","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:24.587","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:24.587","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:26.809","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:26.809","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:26.876","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:27.594","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:27.598","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:27.705","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:28.079","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:32.923","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:32.976","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":76.94,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:32.976","Security":"SIM:CLH4","Side":"Buy","LastShares":8.0,"LastPrice":76.95,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:41:33.087","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:33.187","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:33.22","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:33.309","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:33.32","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.94,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:41:33.586","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.94,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.955<br />avg_total: 76.9454<br />curr_cost_per_share: 0.018799999999989<br />curr_half_min_move: 0.015670577388549<br />curr_liq_cost: 0.93999999999947<br />curr_opt_t_minutes: 1.3713432729427<br />daily_vol_normal: 1.4905830511988<br />destination_price: 76.935<br />drift: 0.0008912502755187<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01760000000001<br />init_drift: 0<br />init_half_min_move: 0.0084693333274251<br />init_liq_cost: 0.88000000000048<br />init_min_duration: 0<br />init_opt_t_minutes: 4.3184399428357<br />init_vol_normal: 0.8056017592586<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 0<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: 8<br />ready: 1<br />seconds_spent: 13<br />slip_toler: 0<br />slippage: -0.0095999999999776<br />slippage_sweep: -0.027199999999993<br />sweep_residual: 0<br />sweep_to_fill: 76.9726<br />total_dollar: 3847.27<br />total_drift: 0.0098888460549897<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6356111516039<br />worst_opt_t_minutes: 0.59588041393159

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.955<br />avg_total: 76.9454<br />destination_price: 76.935<br />market_vwap: <br />n_kids: 20<br />slippage: -0.0095999999999776<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3847.27<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>2024-01-31T07:41:21.478</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:21.487</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:22.481</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:26.809</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:26.809</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:26.876</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:27.594</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:27.598</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:27.705</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:28.079</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:32.923</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:32.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.94</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:32.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:33.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.22</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.309</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.32</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.586</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</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>2024-01-31T07:41:21.478</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:21.487</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:22.481</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.077</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:24.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:26.809</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:26.809</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:26.876</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:27.594</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:27.598</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:27.705</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:28.079</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:32.923</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:32.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.94</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:32.976</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>8</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:41:33.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.22</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.309</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.32</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:41:33.586</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.94</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.95

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

13.00

Computed Volatility

1.49