SIM:CLV4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLV4

Algo CQG Symbol

CLE

Date - Time

09/18/2024 - 15:08

Buy / Sell

Buy

Quantity

50

Arrival Price

69.9800

Average Total

69.9829

Destination Price

69.9600

Slippage

0.0029

Slippage Sweep

-0.0149

Sweep to Fill

69.9978

Algo Diagnostics

{ "customState": { "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007701695097826112 }, "total_drift": { "asDouble": 0.01999999999998181 }, "model_size": { "asDouble": 4 }, "init_cost_per_share": { "asDouble": 0.01780000000000797 }, "total_dollar": { "asDouble": 2169.47 }, "last_tactical_qty": { "asInt32": 4 }, "init_drift": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 5.341550786048096 }, "drift": { "asDouble": 0.01999999999998181 }, "curr_opt_t_minutes": { "asDouble": 0.865637486486962 }, "ready": { "asBool": true }, "total_filled": { "asInt32": 31 }, "arrival_price": { "asDouble": 69.97999999999999 }, "worst_opt_t_minutes": { "asDouble": 0.865637486486962 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.014896774193559281 }, "slippage": { "asDouble": 0.0029032258064489724 }, "curr_liq_cost": { "asDouble": 1.059999999999249 }, "n_kids": { "asInt32": 20 }, "slippage_vwap": { "asDouble": 14.000903225806447 }, "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 0.732584122057263 }, "seconds_spent": { "asDouble": 113.652 }, "slippage_vwap_pct": { "asDouble": 20.006176623783684 }, "init_vol_normal": { "asDouble": 0.732584122057263 }, "sweep_to_fill": { "asDouble": 69.9978 }, "init_half_min_move": { "asDouble": 0.007701695097826112 }, "sweep_residual": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 0.8900000000003985 }, "market_vwap": { "asDouble": 49.678709677419356 }, "daily_vol_normal": { "asDouble": 0.732584122057263 }, "avg_total": { "asDouble": 69.98290322580644 }, "curr_cost_per_share": { "asDouble": 0.02119999999998498 }, "algo_status": { "asInt32": 2 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 69.96000000000001 }, "total_sent": { "asInt32": 50 }, "impact_model": { "asInt32": 2 } } }

Fills Array

[{"Timestamp":"2024-09-18T15:01:14.7","Security":"SIM:CLV4","Side":"Buy","LastShares":4.0,"LastPrice":69.99,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:01:14.701","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":69.99,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:01:17.093","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":69.98,"Aggressor":"Passive"},{"Timestamp":"2024-09-18T15:01:19.764","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":69.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:01:20.774","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":69.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:02.123","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":69.99,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:30.284","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":69.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:30.284","Security":"SIM:CLV4","Side":"Buy","LastShares":4.0,"LastPrice":69.99,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:30.284","Security":"SIM:CLV4","Side":"Buy","LastShares":2.0,"LastPrice":69.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:30.285","Security":"SIM:CLV4","Side":"Buy","LastShares":4.0,"LastPrice":69.99,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:30.286","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":69.98,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:39.326","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":69.97,"Aggressor":"Passive"},{"Timestamp":"2024-09-18T15:02:39.326","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":69.97,"Aggressor":"Passive"},{"Timestamp":"2024-09-18T15:02:42.275","Security":"SIM:CLV4","Side":"Buy","LastShares":3.0,"LastPrice":69.97,"Aggressor":"Aggressive"},{"Timestamp":"2024-09-18T15:02:42.276","Security":"SIM:CLV4","Side":"Buy","LastShares":1.0,"LastPrice":69.97,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 2<br />arrival_price: 69.98<br />avg_total: 69.982903225806<br />curr_cost_per_share: 0.021199999999985<br />curr_half_min_move: 0.0077016950978261<br />curr_liq_cost: 1.0599999999992<br />curr_opt_t_minutes: 0.86563748648696<br />daily_vol_normal: 0.73258412205726<br />destination_price: 69.96<br />drift: 0.019999999999982<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.017800000000008<br />init_drift: 0<br />init_half_min_move: 0.0077016950978261<br />init_liq_cost: 0.8900000000004<br />init_min_duration: 0<br />init_opt_t_minutes: 5.3415507860481<br />init_vol_normal: 0.73258412205726<br />last_aggressive_qty: <br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 113.652<br />slip_toler: 0<br />slippage: 0.002903225806449<br />slippage_sweep: -0.014896774193559<br />sweep_residual: 0<br />sweep_to_fill: 69.9978<br />total_dollar: 2169.47<br />total_drift: 0.019999999999982<br />total_filled: 31<br />total_sent: 50<br />total_vol: 0.73258412205726<br />worst_opt_t_minutes: 0.86563748648696

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 2<br />arrival_price: 69.98<br />avg_total: 69.982903225806<br />destination_price: 69.96<br />market_vwap: 49.678709677419<br />n_kids: 20<br />slippage: 0.002903225806449<br />slippage_vwap: 14.000903225806<br />slippage_vwap_pct: 20.006176623784<br />total_dollar: 2169.47<br />total_filled: 31<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>2024-09-18T15:01:14.7</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>4</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:01:14.701</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:01:17.093</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.98</td>
<td>Passive</td>
</tr><tr>
<td>2024-09-18T15:01:19.764</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:01:20.774</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:02.123</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.284</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.284</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>4</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.284</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.285</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>4</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.286</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:39.326</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-09-18T15:02:39.326</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-09-18T15:02:42.275</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>69.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:42.276</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.97</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>2024-09-18T15:01:14.7</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>4</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:01:14.701</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:01:17.093</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.98</td>
<td>Passive</td>
</tr><tr>
<td>2024-09-18T15:01:19.764</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:01:20.774</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:02.123</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.284</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.284</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>4</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.284</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>2</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.285</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>4</td>
<td>69.99</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:30.286</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:39.326</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-09-18T15:02:39.326</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-09-18T15:02:42.275</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>3</td>
<td>69.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-09-18T15:02:42.276</td>
<td>SIM:CLV4</td>
<td>Buy</td>
<td>1</td>
<td>69.97</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

69.98

Computed VWAP Slippage

14.00

Computed Total Filled

31.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.02

Computed Seconds Spent

113.65

Computed Volatility

0.73