SIM:ZCH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 09:11

Buy / Sell

Sell

Quantity

50

Arrival Price

445.8750

Average Total

446.1750

Destination Price

446.3750

Slippage

-0.3000

Slippage Sweep

-0.4250

Sweep to Fill

445.7500

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.07857199283226955 }, "curr_cost_per_share": { "asDouble": 0.26 }, "init_cost_per_share": { "asDouble": 0.125 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.013591723433832094 }, "slippage": { "asDouble": -0.30000000000001137 }, "mbo_max": { "asInt32": 26 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 446.375 }, "total_dollar": { "asDouble": 22308.75 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 3 }, "total_vol": { "asDouble": 10.99413720340013 }, "seconds_spent": { "asDouble": 30 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13 }, "arrival_price": { "asDouble": 445.875 }, "avg_total": { "asDouble": 446.175 }, "daily_vol_normal": { "asDouble": 7.4737565764665055 }, "slippage_sweep": { "asDouble": -0.42500000000001137 }, "total_drift": { "asDouble": -0.37342964824120606 }, "last_aggressive_qty": { "asInt32": 16 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 5 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 7 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 445.75 }, "init_half_min_move": { "asDouble": 0.04907106747275248 }, "init_vol_normal": { "asDouble": 4.667632829698231 }, "last_tactical_qty": { "asInt32": 16 }, "init_liq_cost": { "asDouble": 6.25 }, "init_opt_t_minutes": { "asDouble": 6.488869125154679 } } }

Fills Array

[{"Timestamp":"2024-01-31T09:11:18.479","Security":"SIM:ZCH4","Side":"Sell","LastShares":8.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:11:18.479","Security":"SIM:ZCH4","Side":"Sell","LastShares":7.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:11:48.489","Security":"SIM:ZCH4","Side":"Sell","LastShares":2.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:11:48.491","Security":"SIM:ZCH4","Side":"Sell","LastShares":4.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:11:48.492","Security":"SIM:ZCH4","Side":"Sell","LastShares":10.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:11:48.498","Security":"SIM:ZCH4","Side":"Sell","LastShares":3.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:11:48.587","Security":"SIM:ZCH4","Side":"Sell","LastShares":16.0,"LastPrice":446.25,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 445.875<br />avg_total: 446.175<br />curr_cost_per_share: 0.26<br />curr_half_min_move: 0.07857199283227<br />curr_liq_cost: 13<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 7.4737565764665<br />destination_price: 446.375<br />drift: 0.013591723433832<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: 0.049071067472752<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 6.4888691251547<br />init_vol_normal: 4.6676328296982<br />last_aggressive_qty: 16<br />last_tactical_qty: 16<br />level_tactical_limit: 3<br />mbo_max: 26<br />mbo_min: 7<br />model_size: 0<br />n_kids: 5<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 30<br />slip_toler: 0<br />slippage: -0.30000000000001<br />slippage_sweep: -0.42500000000001<br />sweep_residual: 0<br />sweep_to_fill: 445.75<br />total_dollar: 22308.75<br />total_drift: -0.37342964824121<br />total_filled: 50<br />total_sent: 50<br />total_vol: 10.9941372034<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 445.875<br />avg_total: 446.175<br />destination_price: 446.375<br />market_vwap: <br />n_kids: 5<br />slippage: -0.30000000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22308.75<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>2024-01-31T09:11:18.479</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>8</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:18.479</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.489</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>2</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.491</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>4</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.492</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.498</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>3</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.587</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>16</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>2024-01-31T09:11:18.479</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>8</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:18.479</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>7</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.489</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>2</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.491</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>4</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.492</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.498</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>3</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:11:48.587</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>16</td>
<td>446.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

446.18

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.13

Computed Drift

0.01

Computed Seconds Spent

30.00

Computed Volatility

7.47