SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 08:51

Buy / Sell

Buy

Quantity

50

Arrival Price

77.0100

Average Total

77.0014

Destination Price

76.9950

Slippage

-0.0086

Slippage Sweep

-0.0256

Sweep to Fill

77.0270

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0.8170111807835615 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.018202592628395405 }, "curr_cost_per_share": { "asDouble": 0.02099999999998971 }, "init_cost_per_share": { "asDouble": 0.017000000000008696 }, "curr_opt_t_minutes": { "asDouble": 1.320791114716149 }, "drift": { "asDouble": 0.0001608975622727724 }, "slippage": { "asDouble": -0.008599999999987062 }, "pov_agg_limit": { "asInt32": 24 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 76.995 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3850.07 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6367801284518688 }, "seconds_spent": { "asDouble": 3 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0499999999994856 }, "arrival_price": { "asDouble": 77.00999999999999 }, "avg_total": { "asDouble": 77.0014 }, "daily_vol_normal": { "asDouble": 1.731427974031715 }, "total_drift": { "asDouble": 0.009895913646868407 }, "slippage_sweep": { "asDouble": -0.02559999999999718 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 18 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 77.027 }, "init_half_min_move": { "asDouble": 0.008475386388733764 }, "init_vol_normal": { "asDouble": 0.806177525573447 }, "last_tactical_qty": { "asInt32": 2 }, "init_liq_cost": { "asDouble": 0.8500000000004349 }, "init_opt_t_minutes": { "asDouble": 4.023266763954295 } } }

Fills Array

[{"Timestamp":"2024-01-31T08:51:19.278","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:51:21.076","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:51:21.078","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.087","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.088","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.187","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.287","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.309","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":77.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:51:21.309","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:51:21.387","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.398","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.587","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.687","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.698","Security":"SIM:CLH4","Side":"Buy","LastShares":6.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.787","Security":"SIM:CLH4","Side":"Buy","LastShares":6.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.887","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:51:21.887","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":77.01,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:51:21.898","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:21.988","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":77.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:51:22.487","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":77.0,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 77.01<br />avg_total: 77.0014<br />curr_cost_per_share: 0.02099999999999<br />curr_half_min_move: 0.018202592628395<br />curr_liq_cost: 1.0499999999995<br />curr_opt_t_minutes: 1.3207911147161<br />daily_vol_normal: 1.7314279740317<br />destination_price: 76.995<br />drift: 0.00016089756227277<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017000000000009<br />init_drift: 0<br />init_half_min_move: 0.0084753863887338<br />init_liq_cost: 0.85000000000043<br />init_min_duration: 0<br />init_opt_t_minutes: 4.0232667639543<br />init_vol_normal: 0.80617752557345<br />last_aggressive_qty: 1<br />last_tactical_qty: 2<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 0<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: 24<br />ready: 1<br />seconds_spent: 3<br />slip_toler: 0<br />slippage: -0.0085999999999871<br />slippage_sweep: -0.025599999999997<br />sweep_residual: 0<br />sweep_to_fill: 77.027<br />total_dollar: 3850.07<br />total_drift: 0.0098959136468684<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6367801284519<br />worst_opt_t_minutes: 0.81701118078356

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 77.01<br />avg_total: 77.0014<br />destination_price: 76.995<br />market_vwap: <br />n_kids: 18<br />slippage: -0.0085999999999871<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3850.07<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>2024-01-31T08:51:19.278</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.088</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.309</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.309</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.398</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.687</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.698</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.988</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:22.487</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</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>2024-01-31T08:51:19.278</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.076</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.078</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.087</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.088</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.187</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.287</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.309</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.309</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.387</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.398</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.587</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.687</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.698</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.787</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>6</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.887</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:51:21.898</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:21.988</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:51:22.487</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

77.00

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

3.00

Computed Volatility

1.73