SIM:ZCH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 07:01

Buy / Sell

Sell

Quantity

50

Arrival Price

446.8750

Average Total

446.1000

Destination Price

446.3750

Slippage

0.7750

Slippage Sweep

0.6500

Sweep to Fill

446.7500

Algo Diagnostics

{ "customState": { "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 17 }, "arrival_price": { "asDouble": 446.875 }, "avg_total": { "asDouble": 446.1 }, "daily_vol_normal": { "asDouble": 4.909650589147455 }, "total_drift": { "asDouble": -0.3742671691792295 }, "slippage_sweep": { "asDouble": 0.6499999999999773 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 14 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 4 }, "model_size": { "asDouble": 11 }, "sweep_to_fill": { "asDouble": 446.75 }, "init_half_min_move": { "asDouble": 0.04918112313291004 }, "init_vol_normal": { "asDouble": 4.678101308150035 }, "last_tactical_qty": { "asInt32": 12 }, "init_opt_t_minutes": { "asDouble": 6.459860526096744 }, "init_liq_cost": { "asDouble": 6.25 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.05161541280513911 }, "curr_cost_per_share": { "asDouble": 0.34 }, "init_cost_per_share": { "asDouble": 0.125 }, "curr_opt_t_minutes": { "asDouble": 10 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.7749999999999773 }, "drift": { "asDouble": 0.08514498045416286 }, "mbo_max": { "asInt32": 10 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 446.375 }, "total_dollar": { "asDouble": 22305 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 11.018794645964526 }, "seconds_spent": { "asDouble": 599 }, "total_filled": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2024-01-31T06:54:42.787","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:54:42.787","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:57:09.831","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:57:09.831","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:57:54.798","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:58:10.831","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:58:16.92","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:58:29.876","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:59:18.698","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:59:18.698","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T06:59:18.699","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:01:16.619","Security":"SIM:ZCH4","Side":"Sell","LastShares":7.0,"LastPrice":446.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:01:16.619","Security":"SIM:ZCH4","Side":"Sell","LastShares":8.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:01:16.62","Security":"SIM:ZCH4","Side":"Sell","LastShares":12.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:01:16.631","Security":"SIM:ZCH4","Side":"Sell","LastShares":12.0,"LastPrice":446.0,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 446.875<br />avg_total: 446.1<br />curr_cost_per_share: 0.34<br />curr_half_min_move: 0.051615412805139<br />curr_liq_cost: 17<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 4.9096505891475<br />destination_price: 446.375<br />drift: 0.085144980454163<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.125<br />init_drift: 0<br />init_half_min_move: 0.04918112313291<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 6.4598605260967<br />init_vol_normal: 4.67810130815<br />last_aggressive_qty: 1<br />last_tactical_qty: 12<br />level_tactical_limit: 0<br />mbo_max: 10<br />mbo_min: 4<br />model_size: 11<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 599<br />slip_toler: 0<br />slippage: 0.77499999999998<br />slippage_sweep: 0.64999999999998<br />sweep_residual: 0<br />sweep_to_fill: 446.75<br />total_dollar: 22305<br />total_drift: -0.37426716917923<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.018794645965<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 446.875<br />avg_total: 446.1<br />destination_price: 446.375<br />market_vwap: <br />n_kids: 14<br />slippage: 0.77499999999998<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22305<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>2024-01-31T06:54:42.787</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:54:42.787</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:57:09.831</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:57:09.831</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:57:54.798</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:58:10.831</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:58:16.92</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:58:29.876</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:59:18.698</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:59:18.698</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:59:18.699</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:01:16.619</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</td>
<td>446.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:01:16.619</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>8</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:01:16.62</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:01:16.631</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>446</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>2024-01-31T06:54:42.787</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:54:42.787</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:57:09.831</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:57:09.831</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:57:54.798</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:58:10.831</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:58:16.92</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:58:29.876</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:59:18.698</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:59:18.698</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T06:59:18.699</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:01:16.619</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</td>
<td>446.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:01:16.619</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>8</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:01:16.62</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:01:16.631</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>446</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

446.10

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.13

Computed Drift

0.09

Computed Seconds Spent

599.00

Computed Volatility

4.91