SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 07:33

Buy / Sell

Sell

Quantity

50

Arrival Price

76.9400

Average Total

76.9380

Destination Price

76.9550

Slippage

0.0020

Slippage Sweep

-0.0150

Sweep to Fill

76.9230

Algo Diagnostics

{ "customState": { "arrival_price": { "asDouble": 76.94 }, "avg_total": { "asDouble": 76.93799999999996 }, "daily_vol_normal": { "asDouble": 1.4678205234276962 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.014999999999957936 }, "total_drift": { "asDouble": 0.009886918529931897 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 33 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.923 }, "init_half_min_move": { "asDouble": 0.008467682492522737 }, "init_vol_normal": { "asDouble": 0.8054447320818209 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 4.030590829100041 }, "init_liq_cost": { "asDouble": 0.8499999999999375 }, "worst_opt_t_minutes": { "asDouble": 1.1868934280861814 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015431273746454479 }, "curr_cost_per_share": { "asDouble": 0.014199999999988791 }, "init_cost_per_share": { "asDouble": 0.01699999999999875 }, "curr_opt_t_minutes": { "asDouble": 0.941363035499778 }, "drift": { "asDouble": 0.0015702429432187404 }, "slippage": { "asDouble": 0.0020000000000379714 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 2 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.95499999999998 }, "total_dollar": { "asDouble": 3846.899999999998 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 26 }, "total_vol": { "asDouble": 1.6352923397362265 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7099999999994395 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.94<br />avg_total: 76.938<br />curr_cost_per_share: 0.014199999999989<br />curr_half_min_move: 0.015431273746454<br />curr_liq_cost: 0.70999999999944<br />curr_opt_t_minutes: 0.94136303549978<br />daily_vol_normal: 1.4678205234277<br />destination_price: 76.955<br />drift: 0.0015702429432187<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016999999999999<br />init_drift: 0<br />init_half_min_move: 0.0084676824925227<br />init_liq_cost: 0.84999999999994<br />init_min_duration: 0<br />init_opt_t_minutes: 4.0305908291<br />init_vol_normal: 0.80544473208182<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 0<br />n_kids: 33<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 26<br />slip_toler: 0<br />slippage: 0.002000000000038<br />slippage_sweep: -0.014999999999958<br />sweep_residual: 0<br />sweep_to_fill: 76.923<br />total_dollar: 3846.9<br />total_drift: 0.0098869185299319<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6352923397362<br />worst_opt_t_minutes: 1.1868934280862

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.94<br />avg_total: 76.938<br />destination_price: 76.955<br />market_vwap: <br />n_kids: 33<br />slippage: 0.002000000000038<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3846.9<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>2024-01-31T07:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:46.004</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:46.009</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:46.287</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:47.498</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:50.488</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:50.498</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:52.316</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:52.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:56.024</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:33:00.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:00.716</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:00.778</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:03.477</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:04.124</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:04.884</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:33:06.316</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.32</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.42</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.597</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.608</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:33:06.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.187</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.498</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.508</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</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>2024-01-31T07:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.277</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:45.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:46.004</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:46.009</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:46.287</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:47.498</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:50.488</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:50.498</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:52.316</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:32:52.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.92</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:32:56.024</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:33:00.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:00.716</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:00.778</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:03.477</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:04.124</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.93</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:04.884</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:33:06.316</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.32</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.376</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.42</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.597</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.608</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:06.887</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:33:06.987</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.187</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.498</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>76.95</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:33:07.508</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.95</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

76.94

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

26.00

Computed Volatility

1.47