SIM:ZCH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 08:57

Buy / Sell

Sell

Quantity

50

Arrival Price

446.1250

Average Total

445.9600

Destination Price

446.1250

Slippage

0.1650

Slippage Sweep

0.0400

Sweep to Fill

446.0000

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 446 }, "init_half_min_move": { "asDouble": 0.04909858138779186 }, "init_vol_normal": { "asDouble": 4.670249949311182 }, "last_tactical_qty": { "asInt32": 15 }, "init_liq_cost": { "asDouble": 6.25 }, "init_opt_t_minutes": { "asDouble": 6.481598684128647 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.07528869785096817 }, "curr_cost_per_share": { "asDouble": 0.125 }, "init_cost_per_share": { "asDouble": 0.125 }, "curr_opt_t_minutes": { "asDouble": 3.4799401374974073 }, "drift": { "asDouble": 0.032060016979755246 }, "slippage": { "asDouble": 0.16500000000002046 }, "pov_agg_limit": { "asInt32": 2 }, "mbo_max": { "asInt32": 21 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 446.125 }, "total_dollar": { "asDouble": 22298 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 3 }, "seconds_spent": { "asDouble": 135 }, "total_vol": { "asDouble": 11.000301564041228 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 6.25 }, "arrival_price": { "asDouble": 446.125 }, "avg_total": { "asDouble": 445.96 }, "daily_vol_normal": { "asDouble": 7.1614500334548765 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": 0.040000000000020464 }, "total_drift": { "asDouble": -0.3736390284757119 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 7 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 5 } } }

Fills Array

[{"Timestamp":"2024-01-31T08:54:10.779","Security":"SIM:ZCH4","Side":"Sell","LastShares":2.0,"LastPrice":446.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:54:46.316","Security":"SIM:ZCH4","Side":"Sell","LastShares":14.0,"LastPrice":445.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:55:18.409","Security":"SIM:ZCH4","Side":"Sell","LastShares":2.0,"LastPrice":445.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:55:22.383","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:55:59.279","Security":"SIM:ZCH4","Side":"Sell","LastShares":5.0,"LastPrice":446.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T08:55:59.279","Security":"SIM:ZCH4","Side":"Sell","LastShares":4.0,"LastPrice":445.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:56:07.877","Security":"SIM:ZCH4","Side":"Sell","LastShares":10.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:57:20.097","Security":"SIM:ZCH4","Side":"Sell","LastShares":5.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T08:57:20.098","Security":"SIM:ZCH4","Side":"Sell","LastShares":7.0,"LastPrice":446.25,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 446.125<br />avg_total: 445.96<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.075288697850968<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 3.4799401374974<br />daily_vol_normal: 7.1614500334549<br />destination_price: 446.125<br />drift: 0.032060016979755<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: 0.049098581387792<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 6.4815986841286<br />init_vol_normal: 4.6702499493112<br />last_aggressive_qty: 2<br />last_tactical_qty: 15<br />level_tactical_limit: 3<br />mbo_max: 21<br />mbo_min: 5<br />model_size: 0<br />n_kids: 7<br />order_time_minutes: 10<br />pov_agg_limit: 2<br />ready: 1<br />seconds_spent: 135<br />slip_toler: 0<br />slippage: 0.16500000000002<br />slippage_sweep: 0.04000000000002<br />sweep_residual: 0<br />sweep_to_fill: 446<br />total_dollar: 22298<br />total_drift: -0.37363902847571<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.000301564041<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 446.125<br />avg_total: 445.96<br />destination_price: 446.125<br />market_vwap: <br />n_kids: 7<br />slippage: 0.16500000000002<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22298<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>2024-01-31T08:54:10.779</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>2</td>
<td>446</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:54:46.316</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>14</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:55:18.409</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>2</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:55:22.383</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:55:59.279</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>5</td>
<td>446</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:55:59.279</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>4</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:56:07.877</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:57:20.097</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>5</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:57:20.098</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</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>2024-01-31T08:54:10.779</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>2</td>
<td>446</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:54:46.316</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>14</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:55:18.409</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>2</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:55:22.383</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:55:59.279</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>5</td>
<td>446</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T08:55:59.279</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>4</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:56:07.877</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:57:20.097</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>5</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T08:57:20.098</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</td>
<td>446.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

445.96

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.13

Computed Drift

0.03

Computed Seconds Spent

135.00

Computed Volatility

7.16