SIM:CLH4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 12:02

Buy / Sell

Sell

Quantity

500

Arrival Price

76.0150

Market VWAP

75.9285

Destination Price

75.8950

Slippage

0.0031

SlippagePct

0.0041

AggressivePct

0.0000

Algo Diagnostics

{ "customState": { "n_kids": { "asInt32": 5 }, "market_vwap": { "asDouble": 75.92847250509162 }, "slippage": { "asDouble": 0.0896666666666448 }, "destination_price": { "asDouble": 75.895 }, "total_dollar": { "asDouble": 5694.400000000001 }, "algo_status": { "asInt32": 2 }, "aggressive_pct": { "asDouble": 0 }, "total_sent": { "asInt32": 75 }, "slippage_vwap_pct": { "asDouble": 0.004134551170814078 }, "total_filled": { "asInt32": 75 }, "arrival_price": { "asDouble": 76.01499999999999 }, "avg_total": { "asDouble": 75.92533333333334 }, "slippage_vwap": { "asDouble": 0.0031391717582778256 } } }

Fills Array

Source URL

Static

Computed diagnostics AP

algo_status: 2<br />arrival_price: 76.015<br />avg_total: 75.925333333333<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 75.895<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 5<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.089666666666645<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 5694.4<br />total_drift: <br />total_filled: 75<br />total_sent: 75<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 0<br />algo_status: 2<br />arrival_price: 76.015<br />avg_total: 75.925333333333<br />destination_price: 75.895<br />market_vwap: 75.928472505092<br />n_kids: 5<br />slippage: 0.089666666666645<br />slippage_vwap: 0.0031391717582778<br />slippage_vwap_pct: 0.0041345511708141<br />total_dollar: 5694.4<br />total_filled: 75<br />total_sent: 75

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>2024-01-31T12:01:01.191</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.192</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.194</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.195</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.196</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:19.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:19.078</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.104</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.105</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.106</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.114</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.115</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:27.014</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>75.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:27.015</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>75.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:30.985</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:32.592</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:32.593</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:32.594</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:47.677</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>75.87</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:47.678</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>8</td>
<td>75.87</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:01.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:01.084</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:01.102</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:01.109</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:02.592</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.594</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.595</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.596</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.597</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.598</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</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>2024-01-31T12:01:01.191</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.192</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.194</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.195</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:01.196</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>76</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:19.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:19.078</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.104</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.105</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.106</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.114</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:20.115</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:27.014</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>75.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:27.015</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>75.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:30.985</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:32.592</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:32.593</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:32.594</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>5</td>
<td>75.89</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:01:47.677</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>7</td>
<td>75.87</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:01:47.678</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>8</td>
<td>75.87</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:01.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:01.084</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:01.102</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:01.109</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T12:02:02.592</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.594</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.595</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.596</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.597</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>4</td>
<td>75.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T12:02:02.598</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>75.9</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

75.93

Computed VWAP Slippage

0.00

Computed Total Filled

75.00

Algo Model

Static

Computed Liquidity Cost

0.00

Computed Drift

0.00

Computed Seconds Spent

0.00

Computed Volatility

0.00