SIM:ZCH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 07:21

Buy / Sell

Buy

Quantity

50

Arrival Price

446.3750

Average Total

446.3100

Destination Price

446.3750

Slippage

-0.0650

Slippage Sweep

-0.1900

Sweep to Fill

446.5000

Algo Diagnostics

{ "customState": { "avg_total": { "asDouble": 446.31 }, "daily_vol_normal": { "asDouble": 5.005052332727192 }, "total_drift": { "asDouble": -0.37384840871021774 }, "slippage_sweep": { "asDouble": -0.18999999999999773 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 17 }, "mbo_min": { "asInt32": 5 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 446.5 }, "init_half_min_move": { "asDouble": 0.04912609530283126 }, "init_vol_normal": { "asDouble": 4.672867068924133 }, "last_tactical_qty": { "asInt32": 10 }, "init_opt_t_minutes": { "asDouble": 6.474340455488278 }, "init_liq_cost": { "asDouble": 6.25 }, "worst_opt_t_minutes": { "asDouble": 5.527039150298971 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.05261837631298685 }, "curr_cost_per_share": { "asDouble": 0.125 }, "init_cost_per_share": { "asDouble": 0.125 }, "drift": { "asDouble": 0.03953366955271404 }, "slippage": { "asDouble": -0.06499999999999773 }, "pov_agg_limit": { "asInt32": 1 }, "curr_opt_t_minutes": { "asDouble": 3.909542753036608 }, "mbo_max": { "asInt32": 17 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 446.375 }, "total_dollar": { "asDouble": 22315.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 249 }, "total_vol": { "asDouble": 11.006465924682328 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 6.25 }, "arrival_price": { "asDouble": 446.375 } } }

Fills Array

[{"Timestamp":"2024-01-31T07:19:20.431","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:19:20.431","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:19:26.388","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:19:35.409","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.587","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.587","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.587","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.588","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.588","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.588","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.588","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:20:29.589","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.715","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.716","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.717","Security":"SIM:ZCH4","Side":"Buy","LastShares":8.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.717","Security":"SIM:ZCH4","Side":"Buy","LastShares":6.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.717","Security":"SIM:ZCH4","Side":"Buy","LastShares":3.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.718","Security":"SIM:ZCH4","Side":"Buy","LastShares":5.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.718","Security":"SIM:ZCH4","Side":"Buy","LastShares":5.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.718","Security":"SIM:ZCH4","Side":"Buy","LastShares":7.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:21:14.719","Security":"SIM:ZCH4","Side":"Buy","LastShares":2.0,"LastPrice":446.25,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 446.375<br />avg_total: 446.31<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.052618376312987<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 3.9095427530366<br />daily_vol_normal: 5.0050523327272<br />destination_price: 446.375<br />drift: 0.039533669552714<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: 0.049126095302831<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 6.4743404554883<br />init_vol_normal: 4.6728670689241<br />last_aggressive_qty: 1<br />last_tactical_qty: 10<br />level_tactical_limit: 0<br />mbo_max: 17<br />mbo_min: 5<br />model_size: 1<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 249<br />slip_toler: 0<br />slippage: -0.064999999999998<br />slippage_sweep: -0.19<br />sweep_residual: 0<br />sweep_to_fill: 446.5<br />total_dollar: 22315.5<br />total_drift: -0.37384840871022<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.006465924682<br />worst_opt_t_minutes: 5.527039150299

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 446.375<br />avg_total: 446.31<br />destination_price: 446.375<br />market_vwap: <br />n_kids: 17<br />slippage: -0.064999999999998<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22315.5<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>2024-01-31T07:19:20.431</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:19:20.431</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:19:26.388</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:19:35.409</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.589</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.715</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.716</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.717</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>8</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.717</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>6</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.717</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>3</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.718</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>5</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.718</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>5</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.718</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>7</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.719</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>2</td>
<td>446.25</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>2024-01-31T07:19:20.431</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:19:20.431</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:19:26.388</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:19:35.409</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.588</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:20:29.589</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.715</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.716</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.717</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>8</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.717</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>6</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.717</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>3</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.718</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>5</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.718</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>5</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.718</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>7</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:21:14.719</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>2</td>
<td>446.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

446.31

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.13

Computed Drift

0.04

Computed Seconds Spent

249.00

Computed Volatility

5.01