SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/02/2023 - 17:41

Buy / Sell

Buy

Quantity

25

Arrival Price

15339.0000

Average Total

15338.1800

Destination Price

15338.3750

Slippage

-0.8200

Slippage Sweep

-3.8100

Sweep to Fill

15341.9900

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15341.989999999998 }, "init_half_min_move": { "asDouble": 1.6881437711568268 }, "init_vol_normal": { "asDouble": 160.57599097222575 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.23402960412098833 }, "init_liq_cost": { "asDouble": 12.25 }, "worst_opt_t_minutes": { "asDouble": 3.065254618818231 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.2527778635351064 }, "curr_cost_per_share": { "asDouble": 0.875 }, "init_cost_per_share": { "asDouble": 0.8166666666666667 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": -0.26817233822399505 }, "slippage": { "asDouble": -0.81999999999789 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 10 }, "destination_price": { "asDouble": 15338.374999999998 }, "total_dollar": { "asDouble": 383454.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.57599097222575 }, "seconds_spent": { "asDouble": 25 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 21.875 }, "arrival_price": { "asDouble": 15338.999999999998 }, "avg_total": { "asDouble": 15338.18 }, "daily_vol_normal": { "asDouble": 24.04419376270114 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -3.8099999999976717 }, "total_drift": { "asDouble": -6.0007824215948355 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 11 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

[{"Timestamp":"2023-07-02T17:41:31.575","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15338.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:47.527","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15338.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:47.531","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15338.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:47.587","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15338.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:47.786","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15338.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:47.809","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15338.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:48.376","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15338.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:48.887","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15338.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:48.898","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15338.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:49.487","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15338.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T17:41:50.887","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15338.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15339<br />avg_total: 15338.18<br />curr_cost_per_share: 0.875<br />curr_half_min_move: 0.25277786353511<br />curr_liq_cost: 21.875<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 24.044193762701<br />destination_price: 15338.375<br />drift: -0.268172338224<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.81666666666667<br />init_drift: 0<br />init_half_min_move: 1.6881437711568<br />init_liq_cost: 12.25<br />init_min_duration: 0<br />init_opt_t_minutes: 0.23402960412099<br />init_vol_normal: 160.57599097223<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 0<br />n_kids: 11<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25<br />slip_toler: 0<br />slippage: -0.81999999999789<br />slippage_sweep: -3.8099999999977<br />sweep_residual: 10<br />sweep_to_fill: 15341.99<br />total_dollar: 383454.5<br />total_drift: -6.0007824215948<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.57599097223<br />worst_opt_t_minutes: 3.0652546188182

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15339<br />avg_total: 15338.18<br />destination_price: 15338.375<br />market_vwap: <br />n_kids: 11<br />slippage: -0.81999999999789<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383454.5<br />total_filled: 25<br />total_sent: 25

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>2023-07-02T17:41:31.575</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15338.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.527</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15338.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.531</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15338.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.786</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.809</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:48.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:48.887</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:48.898</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:49.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15338.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:50.887</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338.75</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>2023-07-02T17:41:31.575</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15338.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.527</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15338.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.531</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15338.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.786</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:47.809</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:48.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:48.887</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:48.898</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:49.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15338.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T17:41:50.887</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15338.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15338.18

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.82

Computed Drift

-0.27

Computed Seconds Spent

25.00

Computed Volatility

24.04