SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/02/2023 - 19:12

Buy / Sell

Buy

Quantity

25

Arrival Price

15342.8750

Average Total

15343.5000

Destination Price

15342.2500

Slippage

0.6250

Slippage Sweep

-0.2600

Sweep to Fill

15343.7600

Algo Diagnostics

{ "customState": { "daily_vol_normal": { "asDouble": 32.09956764135532 }, "slippage_sweep": { "asDouble": -0.2599999999983993 }, "total_drift": { "asDouble": -6.00229836343483 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 23 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15343.759999999998 }, "init_half_min_move": { "asDouble": 1.6885702368399371 }, "init_vol_normal": { "asDouble": 160.6165563262265 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 22.125 }, "init_opt_t_minutes": { "asDouble": 0.27469343574121946 }, "worst_opt_t_minutes": { "asDouble": 1.621593744278441 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.3374644294112066 }, "curr_cost_per_share": { "asDouble": 0.36 }, "init_cost_per_share": { "asDouble": 0.885 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.625000000001819 }, "drift": { "asDouble": -0.10095420693311519 }, "curr_opt_t_minutes": { "asDouble": 1.4652570962075684 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15342.249999999998 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 383587.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 116 }, "total_vol": { "asDouble": 160.6165563262265 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 9 }, "arrival_price": { "asDouble": 15342.874999999998 }, "avg_total": { "asDouble": 15343.5 } } }

Fills Array

[{"Timestamp":"2023-07-02T19:10:48.876","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:10:53.816","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:00.787","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:21.809","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:29.691","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:29.697","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.082","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.102","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.102","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.102","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:11:57.102","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:03.776","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15342.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:08.603","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:21.385","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15342.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:29.625","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15342.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:29.631","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15341.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15342.875<br />avg_total: 15343.5<br />curr_cost_per_share: 0.36<br />curr_half_min_move: 0.33746442941121<br />curr_liq_cost: 9<br />curr_opt_t_minutes: 1.4652570962076<br />daily_vol_normal: 32.099567641355<br />destination_price: 15342.25<br />drift: -0.10095420693312<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.885<br />init_drift: 0<br />init_half_min_move: 1.6885702368399<br />init_liq_cost: 22.125<br />init_min_duration: 0<br />init_opt_t_minutes: 0.27469343574122<br />init_vol_normal: 160.61655632623<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: 1<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 116<br />slip_toler: 0<br />slippage: 0.62500000000182<br />slippage_sweep: -0.2599999999984<br />sweep_residual: 0<br />sweep_to_fill: 15343.76<br />total_dollar: 383587.5<br />total_drift: -6.0022983634348<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.61655632623<br />worst_opt_t_minutes: 1.6215937442784

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15342.875<br />avg_total: 15343.5<br />destination_price: 15342.25<br />market_vwap: <br />n_kids: 23<br />slippage: 0.62500000000182<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383587.5<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>2023-07-02T19:10:48.876</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:10:53.816</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:00.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:21.809</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:29.691</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:29.697</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:03.776</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15342.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:08.603</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:21.385</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15342.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:29.625</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15342</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:29.631</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15341.5</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>2023-07-02T19:10:48.876</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:10:53.816</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:00.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:21.809</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:29.691</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:29.697</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.082</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:11:57.102</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:03.776</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15342.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:08.603</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:21.385</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15342.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:29.625</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15342</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:29.631</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15341.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15343.50

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.89

Computed Drift

-0.10

Computed Seconds Spent

116.00

Computed Volatility

32.10