SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 18:46

Buy / Sell

Buy

Quantity

50

Arrival Price

70.3000

Average Total

70.3766

Destination Price

70.3600

Slippage

0.0766

Slippage Sweep

0.0498

Sweep to Fill

70.3268

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 17 }, "sweep_to_fill": { "asDouble": 70.32679999999999 }, "init_half_min_move": { "asDouble": 0.007736912909076532 }, "init_vol_normal": { "asDouble": 0.7359340351618404 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 11.998699355429249 }, "init_liq_cost": { "asDouble": 1.3399999999999181 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.004689720025626292 }, "curr_cost_per_share": { "asDouble": 0.025200000000011186 }, "init_cost_per_share": { "asDouble": 0.026799999999998363 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.07659999999999911 }, "drift": { "asDouble": 0.0002102953820017695 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 3 }, "destination_price": { "asDouble": 70.35999999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3518.83 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7359340351618404 }, "seconds_spent": { "asDouble": 598 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.2600000000005593 }, "arrival_price": { "asDouble": 70.3 }, "avg_total": { "asDouble": 70.3766 }, "daily_vol_normal": { "asDouble": 0.44608548949666194 }, "total_drift": { "asDouble": -0.18908550396375765 }, "slippage_sweep": { "asDouble": 0.04980000000000473 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 33 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.3<br />avg_total: 70.3766<br />curr_cost_per_share: 0.025200000000011<br />curr_half_min_move: 0.0046897200256263<br />curr_liq_cost: 1.2600000000006<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.44608548949666<br />destination_price: 70.36<br />drift: 0.00021029538200177<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.026799999999998<br />init_drift: 0<br />init_half_min_move: 0.0077369129090765<br />init_liq_cost: 1.3399999999999<br />init_min_duration: 0<br />init_opt_t_minutes: 11.998699355429<br />init_vol_normal: 0.73593403516184<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 3<br />mbo_min: 1<br />model_size: 17<br />n_kids: 33<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 598<br />slip_toler: 0<br />slippage: 0.076599999999999<br />slippage_sweep: 0.049800000000005<br />sweep_residual: 0<br />sweep_to_fill: 70.3268<br />total_dollar: 3518.83<br />total_drift: -0.18908550396376<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73593403516184<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.3<br />avg_total: 70.3766<br />destination_price: 70.36<br />market_vwap: <br />n_kids: 33<br />slippage: 0.076599999999999<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3518.83<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>2023-07-02T18:36:31.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.788</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.789</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.789</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.789</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:39:11.775</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:42:18.107</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:46:12.131</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>9</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:46:12.131</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:46:13.075</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.37</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>2023-07-02T18:36:31.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.788</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.789</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.789</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:37:13.789</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:39:11.775</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:42:18.107</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.108</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:18.999</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:42:19.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:46:12.131</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>9</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:46:12.131</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:46:13.075</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.37</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.38

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.03

Computed Drift

0.00

Computed Seconds Spent

598.00

Computed Volatility

0.45