SIM:CLZ4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLZ4

Algo CQG Symbol

CLE

Date - Time

10/30/2024 - 04:17

Buy / Sell

Buy

Quantity

50

Arrival Price

67.9350

Average Total

67.9266

Destination Price

67.9100

Slippage

-0.0084

Slippage Sweep

-0.0280

Sweep to Fill

67.9546

Algo Diagnostics

{ "customState": { "seconds_spent": { "asDouble": 25.109 }, "init_liq_cost": { "asDouble": 0.979999999999734 }, "avg_total": { "asDouble": 67.9266 }, "n_kids": { "asInt32": 11 }, "init_min_duration": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 67.9546 }, "total_dollar": { "asDouble": 3396.33 }, "curr_half_min_move": { "asDouble": 0.007476631272803902 }, "impact_model": { "asInt32": 2 }, "order_time_minutes": { "asDouble": 10 }, "total_filled": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.01959999999999468 }, "daily_vol_normal": { "asDouble": 0.7111760836233234 }, "init_drift": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 3 }, "total_vol": { "asDouble": 0.7111760836233234 }, "init_vol_normal": { "asDouble": 0.7111760836233234 }, "slippage_vwap": { "asDouble": 22.90370843373495 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": 33.7183201186795 }, "curr_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_liq_cost": { "asDouble": 0.9799999999999898 }, "market_vwap": { "asDouble": 45.022891566265045 }, "total_sent": { "asInt32": 50 }, "slippage_sweep": { "asDouble": -0.028000000000005798 }, "destination_price": { "asDouble": 67.91 }, "drift": { "asDouble": 0.025000000000005684 }, "last_aggressive_qty": { "asInt32": 6 }, "total_drift": { "asDouble": 0.025000000000005684 }, "arrival_price": { "asDouble": 67.935 }, "curr_cost_per_share": { "asDouble": 0.019599999999999795 }, "worst_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "slippage": { "asDouble": -0.008400000000008845 }, "init_opt_t_minutes": { "asDouble": 6.872270046756386 }, "model_size": { "asDouble": 9 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.007476631272803902 } } }

Fills Array

[{"Timestamp":"2024-10-30T04:16:48.646","Security":"SIM:CLZ4","Side":"Buy","LastShares":1.0,"LastPrice":67.95,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:16:48.646","Security":"SIM:CLZ4","Side":"Buy","LastShares":1.0,"LastPrice":67.95,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:16:49.03","Security":"SIM:CLZ4","Side":"Buy","LastShares":2.0,"LastPrice":67.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:16:49.031","Security":"SIM:CLZ4","Side":"Buy","LastShares":5.0,"LastPrice":67.96000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:01.149","Security":"SIM:CLZ4","Side":"Buy","LastShares":5.0,"LastPrice":67.92,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:02.158","Security":"SIM:CLZ4","Side":"Buy","LastShares":8.0,"LastPrice":67.92,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:02.159","Security":"SIM:CLZ4","Side":"Buy","LastShares":2.0,"LastPrice":67.92,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:02.262","Security":"SIM:CLZ4","Side":"Buy","LastShares":1.0,"LastPrice":67.91,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:17:03.171","Security":"SIM:CLZ4","Side":"Buy","LastShares":11.0,"LastPrice":67.92,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:03.175","Security":"SIM:CLZ4","Side":"Buy","LastShares":3.0,"LastPrice":67.92,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:04.18","Security":"SIM:CLZ4","Side":"Buy","LastShares":6.0,"LastPrice":67.92,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:06.956","Security":"SIM:CLZ4","Side":"Buy","LastShares":2.0,"LastPrice":67.92,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:17:06.956","Security":"SIM:CLZ4","Side":"Buy","LastShares":3.0,"LastPrice":67.92,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 67.935<br />avg_total: 67.9266<br />curr_cost_per_share: 0.0196<br />curr_half_min_move: 0.0074766312728039<br />curr_liq_cost: 0.97999999999999<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.71117608362332<br />destination_price: 67.91<br />drift: 0.025000000000006<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.019599999999995<br />init_drift: 0<br />init_half_min_move: 0.0074766312728039<br />init_liq_cost: 0.97999999999973<br />init_min_duration: 0<br />init_opt_t_minutes: 6.8722700467564<br />init_vol_normal: 0.71117608362332<br />last_aggressive_qty: 6<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 9<br />n_kids: 11<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.109<br />slip_toler: 0<br />slippage: -0.0084000000000088<br />slippage_sweep: -0.028000000000006<br />sweep_residual: 0<br />sweep_to_fill: 67.9546<br />total_dollar: 3396.33<br />total_drift: 0.025000000000006<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.71117608362332<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 67.935<br />avg_total: 67.9266<br />destination_price: 67.91<br />market_vwap: 45.022891566265<br />n_kids: 11<br />slippage: -0.0084000000000088<br />slippage_vwap: 22.903708433735<br />slippage_vwap_pct: 33.71832011868<br />total_dollar: 3396.33<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>2024-10-30T04:16:48.646</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>1</td>
<td>67.95</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:16:48.646</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>1</td>
<td>67.95</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:16:49.03</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>2</td>
<td>67.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:16:49.031</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>5</td>
<td>67.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:01.149</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>5</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:02.158</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>8</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:02.159</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>2</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:02.262</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>1</td>
<td>67.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:17:03.171</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>11</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:03.175</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>3</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:04.18</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>6</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:06.956</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>2</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:06.956</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>3</td>
<td>67.92</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>2024-10-30T04:16:48.646</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>1</td>
<td>67.95</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:16:48.646</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>1</td>
<td>67.95</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:16:49.03</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>2</td>
<td>67.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:16:49.031</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>5</td>
<td>67.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:01.149</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>5</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:02.158</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>8</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:02.159</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>2</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:02.262</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>1</td>
<td>67.91</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:17:03.171</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>11</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:03.175</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>3</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:04.18</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>6</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:06.956</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>2</td>
<td>67.92</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:17:06.956</td>
<td>SIM:CLZ4</td>
<td>Buy</td>
<td>3</td>
<td>67.92</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

67.93

Computed VWAP Slippage

22.90

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.03

Computed Seconds Spent

25.11

Computed Volatility

0.71