SIM:CLV4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLV4

Algo CQG Symbol

CLE

Date - Time

09/18/2024 - 13:58

Buy / Sell

Buy

Quantity

50

Arrival Price

70.6000

Average Total

70.5804

Destination Price

70.5700

Slippage

-0.0196

Slippage Sweep

-0.0382

Sweep to Fill

70.6186

Algo Diagnostics

{ "customState": { "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 0.9299999999999784 }, "n_kids": { "asInt32": 7 }, "init_opt_t_minutes": { "asDouble": 5.730489484262104 }, "destination_price": { "asDouble": 70.57 }, "curr_half_min_move": { "asDouble": 0.0077699296071238 }, "arrival_price": { "asDouble": 70.6 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "model_size": { "asDouble": 5 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.0077699296071238 }, "total_filled": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 0.7390745786973817 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": -0.03819999999998913 }, "last_aggressive_qty": { "asInt32": 5 }, "daily_vol_normal": { "asDouble": 0.7390745786973817 }, "avg_total": { "asDouble": 70.58040000000001 }, "last_tactical_qty": { "asInt32": 1 }, "impact_model": { "asInt32": 2 }, "curr_liq_cost": { "asDouble": 0.819999999999979 }, "curr_cost_per_share": { "asDouble": 0.025624999999999343 }, "drift": { "asDouble": 0.030000000000001137 }, "algo_status": { "asInt32": 4 }, "total_vol": { "asDouble": 0.7390745786973817 }, "total_drift": { "asDouble": 0.030000000000001137 }, "slippage": { "asDouble": -0.019599999999982742 }, "total_dollar": { "asDouble": 3529.0200000000004 }, "init_cost_per_share": { "asDouble": 0.01859999999999957 }, "seconds_spent": { "asDouble": 9.519 }, "sweep_to_fill": { "asDouble": 70.6186 }, "total_sent": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2024-09-18T13:58:25.255","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:26.175","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:27.182","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:27.183","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:28.19","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:28.191","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:28.192","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:28.193","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:28.194","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:29.19","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:29.191","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:29.192","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:29.194","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:29.195","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:30.202","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:30.203","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:30.204","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:30.246","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:31.207","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:31.246","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T13:58:31.247","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.6<br />avg_total: 70.5804<br />curr_cost_per_share: 0.025624999999999<br />curr_half_min_move: 0.0077699296071238<br />curr_liq_cost: 0.81999999999998<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.73907457869738<br />destination_price: 70.57<br />drift: 0.030000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0186<br />init_drift: 0<br />init_half_min_move: 0.0077699296071238<br />init_liq_cost: 0.92999999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 5.7304894842621<br />init_vol_normal: 0.73907457869738<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 7<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 9.519<br />slip_toler: 0<br />slippage: -0.019599999999983<br />slippage_sweep: -0.038199999999989<br />sweep_residual: 0<br />sweep_to_fill: 70.6186<br />total_dollar: 3529.02<br />total_drift: 0.030000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73907457869738<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.6<br />avg_total: 70.5804<br />destination_price: 70.57<br />market_vwap: <br />n_kids: 7<br />slippage: -0.019599999999983<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3529.02<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>2024-09-18T13:58:25.255</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:26.175</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:27.182</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:27.183</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.19</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.191</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.192</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.193</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.194</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.19</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.191</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.192</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.194</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.195</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.202</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.203</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.204</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.246</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:31.207</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:31.246</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:31.247</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.58</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>2024-09-18T13:58:25.255</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:26.175</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:27.182</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:27.183</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.19</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.191</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.192</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.193</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:28.194</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.19</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.191</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.192</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.194</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:29.195</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.202</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.203</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.204</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:30.246</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:31.207</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:31.246</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T13:58:31.247</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.58

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.03

Computed Seconds Spent

9.52

Computed Volatility

0.74