SIM:CLZ4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLZ4

Algo CQG Symbol

CLE

Date - Time

10/30/2024 - 04:20

Buy / Sell

Sell

Quantity

50

Arrival Price

67.8250

Average Total

67.8036

Destination Price

67.7900

Slippage

0.0214

Slippage Sweep

0.0018

Sweep to Fill

67.8054

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 3390.18 }, "init_opt_t_minutes": { "asDouble": 6.894579304774407 }, "slippage_vwap_pct": { "asDouble": -44.93701876551712 }, "init_cost_per_share": { "asDouble": 0.019599999999990132 }, "drift": { "asDouble": -0.03499999999999659 }, "curr_liq_cost": { "asDouble": 1.0299999999998164 }, "slippage": { "asDouble": 0.021399999999985653 }, "daily_vol_normal": { "asDouble": 0.7100245509936248 }, "last_aggressive_qty": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 0.9799999999995066 }, "economic_model": { "asInt32": 0 }, "sweep_to_fill": { "asDouble": 67.80539999999999 }, "model_size": { "asDouble": 7 }, "curr_cost_per_share": { "asDouble": 0.02059999999999633 }, "market_vwap": { "asDouble": 37.334683544303836 }, "impact_model": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 0.0074645251501865685 }, "total_drift": { "asDouble": -0.03499999999999659 }, "arrival_price": { "asDouble": 67.82499999999999 }, "avg_total": { "asDouble": 67.8036 }, "order_time_minutes": { "asDouble": 10 }, "slippage_vwap": { "asDouble": -30.468916455696167 }, "total_sent": { "asInt32": 50 }, "init_drift": { "asDouble": -0 }, "total_vol": { "asDouble": 0.7100245509936247 }, "slip_toler": { "asDouble": 0 }, "seconds_spent": { "asDouble": 63.466 }, "init_half_min_move": { "asDouble": 0.0074645251501865685 }, "destination_price": { "asDouble": 67.78999999999999 }, "worst_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "sweep_residual": { "asDouble": 0 }, "n_kids": { "asInt32": 9 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.0017999999999886995 }, "last_tactical_qty": { "asInt32": 3 }, "init_vol_normal": { "asDouble": 0.7100245509936248 }, "ready": { "asBool": true }, "curr_opt_t_minutes": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2024-10-30T04:19:34.79","Security":"SIM:CLZ4","Side":"Sell","LastShares":9.0,"LastPrice":67.8,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:19:34.791","Security":"SIM:CLZ4","Side":"Sell","LastShares":1.0,"LastPrice":67.8,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:19:37.814","Security":"SIM:CLZ4","Side":"Sell","LastShares":8.0,"LastPrice":67.8,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:19:39.326","Security":"SIM:CLZ4","Side":"Sell","LastShares":4.0,"LastPrice":67.8,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:19:39.327","Security":"SIM:CLZ4","Side":"Sell","LastShares":3.0,"LastPrice":67.81,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:19:41.411","Security":"SIM:CLZ4","Side":"Sell","LastShares":1.0,"LastPrice":67.82000000000001,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:19:58.961","Security":"SIM:CLZ4","Side":"Sell","LastShares":1.0,"LastPrice":67.85,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:19:58.961","Security":"SIM:CLZ4","Side":"Sell","LastShares":9.0,"LastPrice":67.84,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:20:34.271","Security":"SIM:CLZ4","Side":"Sell","LastShares":3.0,"LastPrice":67.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:20:34.271","Security":"SIM:CLZ4","Side":"Sell","LastShares":4.0,"LastPrice":67.78,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:20:35.285","Security":"SIM:CLZ4","Side":"Sell","LastShares":4.0,"LastPrice":67.78,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:20:55.103","Security":"SIM:CLZ4","Side":"Sell","LastShares":1.0,"LastPrice":67.77,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:20:55.104","Security":"SIM:CLZ4","Side":"Sell","LastShares":2.0,"LastPrice":67.77,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 67.825<br />avg_total: 67.8036<br />curr_cost_per_share: 0.020599999999996<br />curr_half_min_move: 0.0074645251501866<br />curr_liq_cost: 1.0299999999998<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.71002455099362<br />destination_price: 67.79<br />drift: -0.034999999999997<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.01959999999999<br />init_drift: 0<br />init_half_min_move: 0.0074645251501866<br />init_liq_cost: 0.97999999999951<br />init_min_duration: 0<br />init_opt_t_minutes: 6.8945793047744<br />init_vol_normal: 0.71002455099362<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 7<br />n_kids: 9<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 63.466<br />slip_toler: 0<br />slippage: 0.021399999999986<br />slippage_sweep: 0.0017999999999887<br />sweep_residual: 0<br />sweep_to_fill: 67.8054<br />total_dollar: 3390.18<br />total_drift: -0.034999999999997<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.71002455099362<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 67.825<br />avg_total: 67.8036<br />destination_price: 67.79<br />market_vwap: 37.334683544304<br />n_kids: 9<br />slippage: 0.021399999999986<br />slippage_vwap: -30.468916455696<br />slippage_vwap_pct: -44.937018765517<br />total_dollar: 3390.18<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>2024-10-30T04:19:34.79</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>9</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:34.791</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:37.814</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>8</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:39.326</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>4</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:39.327</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>3</td>
<td>67.81</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:19:41.411</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.82</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:19:58.961</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:58.961</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>9</td>
<td>67.84</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:34.271</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>3</td>
<td>67.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:34.271</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>4</td>
<td>67.78</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:35.285</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>4</td>
<td>67.78</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:55.103</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.77</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:20:55.104</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>2</td>
<td>67.77</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>2024-10-30T04:19:34.79</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>9</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:34.791</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:37.814</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>8</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:39.326</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>4</td>
<td>67.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:39.327</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>3</td>
<td>67.81</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:19:41.411</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.82</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:19:58.961</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.85</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:19:58.961</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>9</td>
<td>67.84</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:34.271</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>3</td>
<td>67.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:34.271</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>4</td>
<td>67.78</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:35.285</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>4</td>
<td>67.78</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:20:55.103</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>1</td>
<td>67.77</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:20:55.104</td>
<td>SIM:CLZ4</td>
<td>Sell</td>
<td>2</td>
<td>67.77</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

67.80

Computed VWAP Slippage

-30.47

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

-0.04

Computed Seconds Spent

63.47

Computed Volatility

0.71