SIM:ZCH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 10:01

Buy / Sell

Buy

Quantity

50

Arrival Price

446.1250

Average Total

446.4000

Destination Price

446.1250

Slippage

0.2750

Slippage Sweep

0.1500

Sweep to Fill

446.2500

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.125 }, "curr_opt_t_minutes": { "asDouble": 1.6912632835708266 }, "drift": { "asDouble": 0.011994593860414703 }, "slippage": { "asDouble": 0.27499999999997726 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 27 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 446.125 }, "total_dollar": { "asDouble": 4464 }, "algo_status": { "asInt32": 2 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 46 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 58 }, "total_vol": { "asDouble": 11.000301564041228 }, "total_filled": { "asInt32": 10 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 6.25 }, "arrival_price": { "asDouble": 446.125 }, "avg_total": { "asDouble": 446.4 }, "daily_vol_normal": { "asDouble": 8.697028959936677 }, "last_aggressive_qty": { "asInt32": 4 }, "slippage_sweep": { "asDouble": 0.14999999999997726 }, "total_drift": { "asDouble": -0.3736390284757119 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 6 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 6 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 446.25 }, "init_half_min_move": { "asDouble": 0.04909858138779186 }, "init_vol_normal": { "asDouble": 4.670249949311182 }, "last_tactical_qty": { "asInt32": 21 }, "init_opt_t_minutes": { "asDouble": 6.481598684128647 }, "init_liq_cost": { "asDouble": 6.25 }, "worst_opt_t_minutes": { "asDouble": 5.5303474843503375 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.09143231922403083 }, "curr_cost_per_share": { "asDouble": 0.125 } } }

Fills Array

[{"Timestamp":"2024-01-31T10:00:24.587","Security":"SIM:ZCH4","Side":"Buy","LastShares":3.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T10:00:26.576","Security":"SIM:ZCH4","Side":"Buy","LastShares":1.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T10:00:30.931","Security":"SIM:ZCH4","Side":"Buy","LastShares":2.0,"LastPrice":446.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T10:00:42.398","Security":"SIM:ZCH4","Side":"Buy","LastShares":4.0,"LastPrice":446.25,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 2<br />arrival_price: 446.125<br />avg_total: 446.4<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.091432319224031<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 1.6912632835708<br />daily_vol_normal: 8.6970289599367<br />destination_price: 446.125<br />drift: 0.011994593860415<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: 4<br />last_tactical_qty: 21<br />level_tactical_limit: 0<br />mbo_max: 27<br />mbo_min: 6<br />model_size: 0<br />n_kids: 6<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 58<br />slip_toler: 0<br />slippage: 0.27499999999998<br />slippage_sweep: 0.14999999999998<br />sweep_residual: 0<br />sweep_to_fill: 446.25<br />total_dollar: 4464<br />total_drift: -0.37363902847571<br />total_filled: 10<br />total_sent: 46<br />total_vol: 11.000301564041<br />worst_opt_t_minutes: 5.5303474843503

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 2<br />arrival_price: 446.125<br />avg_total: 446.4<br />destination_price: 446.125<br />market_vwap: <br />n_kids: 6<br />slippage: 0.27499999999998<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 4464<br />total_filled: 10<br />total_sent: 46

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>2024-01-31T10:00:24.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>3</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:00:26.576</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:00:30.931</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>2</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:00:42.398</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>4</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>2024-01-31T10:00:24.587</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>3</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:00:26.576</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>1</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:00:30.931</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>2</td>
<td>446.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:00:42.398</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>4</td>
<td>446.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

446.40

Computed VWAP Slippage

0.00

Computed Total Filled

10.00

Algo Model

Optimistic

Computed Liquidity Cost

0.13

Computed Drift

0.01

Computed Seconds Spent

58.00

Computed Volatility

8.70