SIM:ZCH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 09:06

Buy / Sell

Sell

Quantity

50

Arrival Price

445.6250

Average Total

445.4500

Destination Price

445.5000

Slippage

0.1750

Slippage Sweep

-0.1450

Sweep to Fill

445.3050

Algo Diagnostics

{ "customState": { "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 11 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 5 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 445.305 }, "init_half_min_move": { "asDouble": 0.04904355355771308 }, "init_vol_normal": { "asDouble": 4.66501571008528 }, "last_tactical_qty": { "asInt32": 6 }, "init_liq_cost": { "asDouble": 16 }, "init_opt_t_minutes": { "asDouble": 42.57318047566488 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.0776650560084202 }, "curr_cost_per_share": { "asDouble": 0.25 }, "init_cost_per_share": { "asDouble": 0.32 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.004331919236030305 }, "slippage": { "asDouble": 0.17500000000001137 }, "pov_agg_limit": { "asInt32": 1 }, "mbo_max": { "asInt32": 22 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 445.5 }, "total_dollar": { "asDouble": 22272.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 14 }, "seconds_spent": { "asDouble": 299 }, "total_vol": { "asDouble": 10.987972842759032 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 12.5 }, "arrival_price": { "asDouble": 445.625 }, "avg_total": { "asDouble": 445.45 }, "daily_vol_normal": { "asDouble": 7.387488877158517 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.1449999999999818 }, "total_drift": { "asDouble": -0.37322026800670016 }, "economic_model": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2024-01-31T09:02:51.776","Security":"SIM:ZCH4","Side":"Sell","LastShares":5.0,"LastPrice":445.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:02:51.776","Security":"SIM:ZCH4","Side":"Sell","LastShares":7.0,"LastPrice":445.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:02:51.776","Security":"SIM:ZCH4","Side":"Sell","LastShares":14.0,"LastPrice":445.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:03:29.676","Security":"SIM:ZCH4","Side":"Sell","LastShares":9.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:03:29.677","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.487","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.487","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.487","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.488","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.488","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.488","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.488","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:05:14.489","Security":"SIM:ZCH4","Side":"Sell","LastShares":1.0,"LastPrice":445.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:06:30.187","Security":"SIM:ZCH4","Side":"Sell","LastShares":6.0,"LastPrice":445.5,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 445.625<br />avg_total: 445.45<br />curr_cost_per_share: 0.25<br />curr_half_min_move: 0.07766505600842<br />curr_liq_cost: 12.5<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 7.3874888771585<br />destination_price: 445.5<br />drift: 0.0043319192360303<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.32<br />init_drift: 0<br />init_half_min_move: 0.049043553557713<br />init_liq_cost: 16<br />init_min_duration: 0<br />init_opt_t_minutes: 42.573180475665<br />init_vol_normal: 4.6650157100853<br />last_aggressive_qty: 1<br />last_tactical_qty: 6<br />level_tactical_limit: 14<br />mbo_max: 22<br />mbo_min: 5<br />model_size: 0<br />n_kids: 11<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 299<br />slip_toler: 0<br />slippage: 0.17500000000001<br />slippage_sweep: -0.14499999999998<br />sweep_residual: 0<br />sweep_to_fill: 445.305<br />total_dollar: 22272.5<br />total_drift: -0.3732202680067<br />total_filled: 50<br />total_sent: 50<br />total_vol: 10.987972842759<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 445.625<br />avg_total: 445.45<br />destination_price: 445.5<br />market_vwap: <br />n_kids: 11<br />slippage: 0.17500000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22272.5<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>2024-01-31T09:02:51.776</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>5</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:02:51.776</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:02:51.776</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>14</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:03:29.676</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:03:29.677</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.487</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.487</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.487</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.489</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:06:30.187</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>6</td>
<td>445.5</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>2024-01-31T09:02:51.776</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>5</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:02:51.776</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:02:51.776</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>14</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:03:29.676</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:03:29.677</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.487</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.487</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.487</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.488</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:05:14.489</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>1</td>
<td>445</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:06:30.187</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>6</td>
<td>445.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

445.45

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.32

Computed Drift

0.00

Computed Seconds Spent

299.00

Computed Volatility

7.39