SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 07:09

Buy / Sell

Sell

Quantity

50

Arrival Price

76.7250

Average Total

76.6678

Destination Price

76.6350

Slippage

0.0572

Slippage Sweep

0.0414

Sweep to Fill

76.7092

Algo Diagnostics

{ "customState": { "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 76.7092 }, "init_half_min_move": { "asDouble": 0.00844402052558886 }, "init_vol_normal": { "asDouble": 0.8031940092146829 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.7900000000000489 }, "init_opt_t_minutes": { "asDouble": 3.5011894671601524 }, "worst_opt_t_minutes": { "asDouble": 1.3532067227361613 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.014703256778657593 }, "curr_cost_per_share": { "asDouble": 0.015399999999999067 }, "init_cost_per_share": { "asDouble": 0.015800000000000976 }, "slippage": { "asDouble": 0.05719999999998038 }, "pov_agg_limit": { "asInt32": 1 }, "curr_opt_t_minutes": { "asDouble": 1.06791612871329 }, "drift": { "asDouble": -0.00040954394749269173 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 76.63499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3833.390000000001 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 140 }, "total_vol": { "asDouble": 1.6307227029667528 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7699999999999534 }, "arrival_price": { "asDouble": 76.725 }, "avg_total": { "asDouble": 76.66780000000001 }, "daily_vol_normal": { "asDouble": 1.3985716549095422 }, "total_drift": { "asDouble": 0.009859290670769752 }, "slippage_sweep": { "asDouble": 0.041399999999981674 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 37 }, "init_min_duration": { "asDouble": 0 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.725<br />avg_total: 76.6678<br />curr_cost_per_share: 0.015399999999999<br />curr_half_min_move: 0.014703256778658<br />curr_liq_cost: 0.76999999999995<br />curr_opt_t_minutes: 1.0679161287133<br />daily_vol_normal: 1.3985716549095<br />destination_price: 76.635<br />drift: -0.00040954394749269<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.015800000000001<br />init_drift: 0<br />init_half_min_move: 0.0084440205255889<br />init_liq_cost: 0.79000000000005<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5011894671602<br />init_vol_normal: 0.80319400921468<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: 37<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 140<br />slip_toler: 0<br />slippage: 0.05719999999998<br />slippage_sweep: 0.041399999999982<br />sweep_residual: 0<br />sweep_to_fill: 76.7092<br />total_dollar: 3833.39<br />total_drift: 0.0098592906707698<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6307227029668<br />worst_opt_t_minutes: 1.3532067227362

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.725<br />avg_total: 76.6678<br />destination_price: 76.635<br />market_vwap: <br />n_kids: 37<br />slippage: 0.05719999999998<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3833.39<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>2024-01-31T07:07:23.687</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:24.598</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:25.72</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:25.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>6</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.976</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.976</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:25.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.988</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.991</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:28.409</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:31.876</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:37.188</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.189</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.189</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.19</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</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>2024-01-31T07:07:23.687</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:24.598</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:25.72</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:25.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>6</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.976</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.976</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:25.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>76.7</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.988</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:25.991</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:07:28.409</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.72</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:07:31.876</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.71</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:09:37.188</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.189</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.189</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.19</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.307</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.308</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.317</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:09:37.318</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.63</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.67

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

140.00

Computed Volatility

1.40