SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 19:01

Buy / Sell

Sell

Quantity

50

Arrival Price

70.4050

Average Total

70.4220

Destination Price

70.4350

Slippage

-0.0170

Slippage Sweep

-0.0392

Sweep to Fill

70.3828

Algo Diagnostics

{ "customState": { "arrival_price": { "asDouble": 70.405 }, "avg_total": { "asDouble": 70.42200000000001 }, "daily_vol_normal": { "asDouble": 0.4520097997919713 }, "total_drift": { "asDouble": -0.1893679218573024 }, "slippage_sweep": { "asDouble": -0.03920000000002233 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 28 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.38279999999999 }, "init_half_min_move": { "asDouble": 0.007748468753393077 }, "init_vol_normal": { "asDouble": 0.73703322539928 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 8.208696084789043 }, "init_liq_cost": { "asDouble": 1.1100000000002836 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.004752002608862268 }, "curr_cost_per_share": { "asDouble": 0.027142857142862232 }, "init_cost_per_share": { "asDouble": 0.022200000000005674 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.000590731614629841 }, "slippage": { "asDouble": -0.017000000000010118 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.435 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3521.100000000001 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.73703322539928 }, "seconds_spent": { "asDouble": 259 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.1400000000002137 } } }

Fills Array

[{"Timestamp":"2023-07-02T18:56:47.111","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T18:57:45.489","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T18:57:45.489","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T18:57:45.49","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T18:57:45.49","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T18:59:28.877","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T18:59:28.877","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T18:59:28.877","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T18:59:28.877","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:00:00.087","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:00:00.187","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:00:00.198","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:00:40.233","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:00:40.233","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:00:57.927","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:00:58.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:02.238","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:02.239","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:02.29","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:02.387","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:02.787","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:02.82","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:02.986","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:03.187","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:03.298","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:03.486","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:04.087","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:04.12","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.43,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.422<br />curr_cost_per_share: 0.027142857142862<br />curr_half_min_move: 0.0047520026088623<br />curr_liq_cost: 1.1400000000002<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.45200979979197<br />destination_price: 70.435<br />drift: 0.00059073161462984<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.022200000000006<br />init_drift: 0<br />init_half_min_move: 0.0077484687533931<br />init_liq_cost: 1.1100000000003<br />init_min_duration: 0<br />init_opt_t_minutes: 8.208696084789<br />init_vol_normal: 0.73703322539928<br />last_aggressive_qty: 1<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: 28<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 259<br />slip_toler: 0<br />slippage: -0.01700000000001<br />slippage_sweep: -0.039200000000022<br />sweep_residual: 0<br />sweep_to_fill: 70.3828<br />total_dollar: 3521.1<br />total_drift: -0.1893679218573<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73703322539928<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.422<br />destination_price: 70.435<br />market_vwap: <br />n_kids: 28<br />slippage: -0.01700000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3521.1<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>2023-07-02T18:56:47.111</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:57:45.489</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:57:45.489</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:57:45.49</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:57:45.49</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:00:00.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:00.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:00.198</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:40.233</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:40.233</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:57.927</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:58.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:02.238</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.239</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.29</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.82</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.986</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:03.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:03.298</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:03.486</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:04.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:04.12</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</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>2023-07-02T18:56:47.111</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:57:45.489</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:57:45.489</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:57:45.49</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:57:45.49</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:59:28.877</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:00:00.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:00.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:00.198</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:40.233</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:40.233</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:57.927</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:00:58.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:02.238</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.239</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.29</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.82</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:02.986</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:03.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:03.298</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:03.486</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:04.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:04.12</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.42

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

259.00

Computed Volatility

0.45