SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 07:07

Buy / Sell

Buy

Quantity

50

Arrival Price

76.7150

Average Total

76.7190

Destination Price

76.6950

Slippage

0.0040

Slippage Sweep

-0.0092

Sweep to Fill

76.7282

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.72819999999999 }, "init_half_min_move": { "asDouble": 0.008442919968987286 }, "init_vol_normal": { "asDouble": 0.8030893244301649 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 2.444345079388131 }, "init_liq_cost": { "asDouble": 0.6599999999994992 }, "worst_opt_t_minutes": { "asDouble": 0.9155362889082277 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.014615212213266716 }, "curr_cost_per_share": { "asDouble": 0.02180000000000348 }, "init_cost_per_share": { "asDouble": 0.013199999999989984 }, "curr_opt_t_minutes": { "asDouble": 2.590669805881174 }, "drift": { "asDouble": -0.0035323936769028684 }, "slippage": { "asDouble": 0.003999999999990678 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.695 }, "total_dollar": { "asDouble": 3835.9499999999994 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6305101617216613 }, "seconds_spent": { "asDouble": 46 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.090000000000174 }, "arrival_price": { "asDouble": 76.715 }, "avg_total": { "asDouble": 76.719 }, "daily_vol_normal": { "asDouble": 1.3901968686034736 }, "total_drift": { "asDouble": 0.009858005654064538 }, "slippage_sweep": { "asDouble": -0.00919999999999277 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 29 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.715<br />avg_total: 76.719<br />curr_cost_per_share: 0.021800000000003<br />curr_half_min_move: 0.014615212213267<br />curr_liq_cost: 1.0900000000002<br />curr_opt_t_minutes: 2.5906698058812<br />daily_vol_normal: 1.3901968686035<br />destination_price: 76.695<br />drift: -0.0035323936769029<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01319999999999<br />init_drift: 0<br />init_half_min_move: 0.0084429199689873<br />init_liq_cost: 0.6599999999995<br />init_min_duration: 0<br />init_opt_t_minutes: 2.4443450793881<br />init_vol_normal: 0.80308932443016<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: 0<br />n_kids: 29<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 46<br />slip_toler: 0<br />slippage: 0.0039999999999907<br />slippage_sweep: -0.0091999999999928<br />sweep_residual: 0<br />sweep_to_fill: 76.7282<br />total_dollar: 3835.95<br />total_drift: 0.0098580056540645<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6305101617217<br />worst_opt_t_minutes: 0.91553628890823

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.715<br />avg_total: 76.719<br />destination_price: 76.695<br />market_vwap: <br />n_kids: 29<br />slippage: 0.0039999999999907<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3835.95<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>2024-01-31T07:06:22.714</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:23.578</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:29.531</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:29.533</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:29.534</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:29.896</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:31.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:32.831</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:33.579</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:36.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.73</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:36.278</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.73</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:43.131</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.73</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:45.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>7</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:52.186</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:52.188</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:52.188</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:03.987</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:05.176</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:05.209</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:06.678</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.178</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.186</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:08.32</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:09.209</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:09.279</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</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>2024-01-31T07:06:22.714</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:23.578</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:29.531</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:29.533</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:29.534</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:29.896</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:31.776</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:32.831</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:33.579</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:36.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.73</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:36.278</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.73</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:43.131</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.73</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:06:45.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>7</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:52.186</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:52.188</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:06:52.188</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.74</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:03.987</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:05.176</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:05.209</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:06.678</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.178</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.186</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:08.32</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:08.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>5</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:09.209</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:09.279</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.7</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

76.72

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.01

Computed Drift

0.00

Computed Seconds Spent

46.00

Computed Volatility

1.39