SIM:CLG6 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLG6

Algo CQG Symbol

CLE

Date - Time

12/19/2025 - 02:34

Buy / Sell

Sell

Quantity

50

Arrival Price

55.8950

Average Total

55.9030

Destination Price

55.9150

Slippage

0.0080

Slippage Sweep

0.0178

Sweep to Fill

55.8852

Algo Diagnostics

{ "customState": { "economic_model": { "asInt32": 0 }, "slippage_passive": { "asDouble": 0.0030000000000143245 }, "sweep_to_fill": { "asDouble": 55.8852 }, "algo_status": { "asInt32": 4 }, "slippage_aggressive_money": { "asDouble": 13.00000000001944 }, "slippage_vwap_money": { "asDouble": -4.407407407391872 }, "percentage_passive": { "asDouble": 0 }, "slippage_aggressive": { "asDouble": 0.01300000000001944 }, "init_vol_normal": { "asDouble": 0.13826337531992403 }, "slippage_twap": { "asDouble": -0.0003344845278832054 }, "total_sent": { "asInt32": 50 }, "model_size": { "asDouble": 9 }, "curr_liq_cost": { "asDouble": 0.9599999999998019 }, "init_drift": { "asDouble": 0 }, "seconds_spent": { "asDouble": 26.84 }, "total_filled": { "asInt32": 50 }, "init_min_duration": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.0014535700786415828 }, "slippage_aggressive_ticks": { "asDouble": 1.300000000001944 }, "n_kids": { "asInt32": 8 }, "slippage_vwap": { "asDouble": -0.004407407407391872 }, "slippage": { "asDouble": 0.008000000000016882 }, "arrival_price": { "asDouble": 55.894999999999996 }, "last_tactical_qty": { "asInt32": 9 }, "slippage_passive_money": { "asDouble": 3.0000000000143245 }, "slippage_passive_ticks": { "asDouble": 0.30000000000143245 }, "participation_rate": { "asDouble": 1.8518518518518519 }, "interval_market_size": { "asDouble": 27 }, "slippage_sweep": { "asDouble": 0.01780000000001536 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "slippage_mid_ticks": { "asDouble": 0.8000000000016882 }, "slippage_sweep_ticks": { "asDouble": 1.780000000001536 }, "curr_cost_per_share": { "asDouble": 0.01919999999999604 }, "market_vwap": { "asDouble": 55.907407407407405 }, "init_half_min_move": { "asDouble": 0.0014535700786415828 }, "slippage_mid": { "asDouble": 0.008000000000016882 }, "interval_vwap": { "asDouble": 55.907407407407405 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_twap_money": { "asDouble": -0.3344845278832054 }, "init_liq_cost": { "asDouble": 0.49000000000008015 }, "destination_price": { "asDouble": 55.91499999999999 }, "interval_twap": { "asDouble": 55.903334484527896 }, "slippage_mid_money": { "asDouble": 8.000000000016882 }, "slippage_vwap_ticks": { "asDouble": -0.44074074073918723 }, "slippage_twap_ticks": { "asDouble": -0.03344845278832054 }, "total_drift": { "asDouble": -0.01999999999999602 }, "total_vol": { "asDouble": 0.13826337531992403 }, "drift": { "asDouble": -0.01999999999999602 }, "init_cost_per_share": { "asDouble": 0.009800000000001603 }, "slippage_sweep_money": { "asDouble": 17.80000000001536 }, "daily_vol_normal": { "asDouble": 0.13826337531992403 }, "total_dollar": { "asDouble": 2795.1500000000005 }, "sweep_residual": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 5 }, "avg_total": { "asDouble": 55.90300000000001 }, "init_opt_t_minutes": { "asDouble": 45.45484720923465 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-12-19T02:34:57.081","Security":"SIM:CLG6","Side":"Sell","LastShares":6.0,"LastPrice":55.9,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:57.081","Security":"SIM:CLG6","Side":"Sell","LastShares":5.0,"LastPrice":55.910000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:56.06","Security":"SIM:CLG6","Side":"Sell","LastShares":10.0,"LastPrice":55.9,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:56.06","Security":"SIM:CLG6","Side":"Sell","LastShares":3.0,"LastPrice":55.910000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:51.23","Security":"SIM:CLG6","Side":"Sell","LastShares":1.0,"LastPrice":55.9,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:51.23","Security":"SIM:CLG6","Side":"Sell","LastShares":1.0,"LastPrice":55.9,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:41.902","Security":"SIM:CLG6","Side":"Sell","LastShares":1.0,"LastPrice":55.9,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:59.093","Security":"SIM:CLG6","Side":"Sell","LastShares":6.0,"LastPrice":55.9,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:59.092","Security":"SIM:CLG6","Side":"Sell","LastShares":3.0,"LastPrice":55.910000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:58.084","Security":"SIM:CLG6","Side":"Sell","LastShares":9.0,"LastPrice":55.9,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:58.084","Security":"SIM:CLG6","Side":"Sell","LastShares":4.0,"LastPrice":55.910000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:34:36.851","Security":"SIM:CLG6","Side":"Sell","LastShares":1.0,"LastPrice":55.9,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 55.895<br />avg_total: 55.903<br />curr_cost_per_share: 0.019199999999996<br />curr_half_min_move: 0.0014535700786416<br />curr_liq_cost: 0.9599999999998<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.13826337531992<br />destination_price: 55.915<br />drift: -0.019999999999996<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0098000000000016<br />init_drift: 0<br />init_half_min_move: 0.0014535700786416<br />init_liq_cost: 0.49000000000008<br />init_min_duration: 0<br />init_opt_t_minutes: 45.454847209235<br />init_vol_normal: 0.13826337531992<br />last_aggressive_qty: <br />last_tactical_qty: 9<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 9<br />n_kids: 8<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 26.84<br />slip_toler: 0<br />slippage: 0.0080000000000169<br />slippage_sweep: 0.017800000000015<br />sweep_residual: 0<br />sweep_to_fill: 55.8852<br />total_dollar: 2795.15<br />total_drift: -0.019999999999996<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.13826337531992<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 55.895<br />avg_total: 55.903<br />destination_price: 55.915<br />market_vwap (interval_vwap): 55.907407407407<br />n_kids: 8<br />slippage: 0.0080000000000169<br />slippage_vwap: -0.0044074074073919<br />slippage_vwap_pct: <br />total_dollar: 2795.15<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>2025-12-19T02:34:57.081</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>6</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:57.081</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>5</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:56.06</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>10</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:56.06</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>3</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:51.23</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:51.23</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:41.902</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:59.093</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>6</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:59.092</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>3</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:58.084</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>9</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:58.084</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>4</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:36.851</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</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>2025-12-19T02:34:57.081</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>6</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:57.081</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>5</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:56.06</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>10</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:56.06</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>3</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:51.23</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:51.23</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:41.902</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:59.093</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>6</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:59.092</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>3</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:58.084</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>9</td>
<td>55.9</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:58.084</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>4</td>
<td>55.91</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:34:36.851</td>
<td>SIM:CLG6</td>
<td>Sell</td>
<td>1</td>
<td>55.9</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

55.90

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.01

Computed Drift

-0.02

Version

0.20.8

Computed Seconds Spent

26.84

Computed Volatility

0.14