SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 09:50

Buy / Sell

Buy

Quantity

50

Arrival Price

76.4050

Average Total

76.4002

Destination Price

76.3950

Slippage

-0.0048

Slippage Sweep

-0.0220

Sweep to Fill

76.4222

Algo Diagnostics

{ "customState": { "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.020545690831092384 }, "curr_cost_per_share": { "asDouble": 0.005999999999995964 }, "init_cost_per_share": { "asDouble": 0.017199999999995157 }, "pov_agg_limit": { "asInt32": 49 }, "slippage": { "asDouble": -0.004800000000003024 }, "drift": { "asDouble": 0.0032224957429341063 }, "curr_opt_t_minutes": { "asDouble": 0.041653478741919894 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.395 }, "total_dollar": { "asDouble": 3820.01 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6239213831238157 }, "seconds_spent": { "asDouble": 3 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.2999999999997982 }, "arrival_price": { "asDouble": 76.405 }, "avg_total": { "asDouble": 76.4002 }, "daily_vol_normal": { "asDouble": 1.9543031356570073 }, "slippage_sweep": { "asDouble": -0.02199999999999136 }, "last_aggressive_qty": { "asInt32": 1 }, "total_drift": { "asDouble": 0.009818170136202842 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 13 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 76.42219999999999 }, "init_half_min_move": { "asDouble": 0.00840880271433844 }, "init_vol_normal": { "asDouble": 0.7998440961101055 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 4.183970051985219 }, "init_liq_cost": { "asDouble": 0.8599999999997578 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2024-01-31T09:50:34.718","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.41,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:50:34.719","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.41,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:50:34.777","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.41,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:50:35.778","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.789","Security":"SIM:CLH4","Side":"Buy","LastShares":12.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.79","Security":"SIM:CLH4","Side":"Buy","LastShares":10.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.79","Security":"SIM:CLH4","Side":"Buy","LastShares":2.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.791","Security":"SIM:CLH4","Side":"Buy","LastShares":9.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.791","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.791","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.791","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.792","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.792","Security":"SIM:CLH4","Side":"Buy","LastShares":3.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.792","Security":"SIM:CLH4","Side":"Buy","LastShares":4.0,"LastPrice":76.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T09:50:35.794","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.39,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T09:50:35.794","Security":"SIM:CLH4","Side":"Buy","LastShares":1.0,"LastPrice":76.39,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 76.405<br />avg_total: 76.4002<br />curr_cost_per_share: 0.005999999999996<br />curr_half_min_move: 0.020545690831092<br />curr_liq_cost: 0.2999999999998<br />curr_opt_t_minutes: 0.04165347874192<br />daily_vol_normal: 1.954303135657<br />destination_price: 76.395<br />drift: 0.0032224957429341<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017199999999995<br />init_drift: 0<br />init_half_min_move: 0.0084088027143384<br />init_liq_cost: 0.85999999999976<br />init_min_duration: 0<br />init_opt_t_minutes: 4.1839700519852<br />init_vol_normal: 0.79984409611011<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 1<br />n_kids: 13<br />order_time_minutes: 10<br />pov_agg_limit: 49<br />ready: 1<br />seconds_spent: 3<br />slip_toler: 0<br />slippage: -0.004800000000003<br />slippage_sweep: -0.021999999999991<br />sweep_residual: 0<br />sweep_to_fill: 76.4222<br />total_dollar: 3820.01<br />total_drift: 0.0098181701362028<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6239213831238<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.405<br />avg_total: 76.4002<br />destination_price: 76.395<br />market_vwap: <br />n_kids: 13<br />slippage: -0.004800000000003<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3820.01<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>2024-01-31T09:50:34.718</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.41</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:34.719</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.41</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:34.777</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.41</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:35.778</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.789</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>12</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.79</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>10</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.79</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>9</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.792</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.792</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.792</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.794</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.39</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:35.794</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.39</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>2024-01-31T09:50:34.718</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.41</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:34.719</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.41</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:34.777</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.41</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:35.778</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.789</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>12</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.79</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>10</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.79</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>2</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>9</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.791</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.792</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.792</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>3</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.792</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>4</td>
<td>76.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T09:50:35.794</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.39</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T09:50:35.794</td>
<td>SIM:CLH4</td>
<td>Buy</td>
<td>1</td>
<td>76.39</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.40

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

1.95