SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/02/2023 - 19:16

Buy / Sell

Sell

Quantity

25

Arrival Price

15341.7500

Average Total

15337.7900

Destination Price

15339.6250

Slippage

3.9600

Slippage Sweep

1.4200

Sweep to Fill

15339.2100

Algo Diagnostics

{ "customState": { "curr_cost_per_share": { "asDouble": 0.635 }, "init_cost_per_share": { "asDouble": 0.7941176470588235 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": 3.959999999997308 }, "drift": { "asDouble": -0.10500279613929597 }, "curr_opt_t_minutes": { "asDouble": 2.831360622604624 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 8 }, "destination_price": { "asDouble": 15339.624999999998 }, "total_dollar": { "asDouble": 383444.75 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.6047792879682 }, "seconds_spent": { "asDouble": 263 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 15.875 }, "arrival_price": { "asDouble": 15341.749999999998 }, "avg_total": { "asDouble": 15337.79 }, "daily_vol_normal": { "asDouble": 32.84290510165502 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": 1.4199999999964348 }, "total_drift": { "asDouble": -6.001858251287735 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15339.209999999997 }, "init_half_min_move": { "asDouble": 1.6884464242222599 }, "init_vol_normal": { "asDouble": 160.6047792879682 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.22120509452527926 }, "init_liq_cost": { "asDouble": 13.5 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.34527917491503174 } } }

Fills Array

[{"Timestamp":"2023-07-02T19:12:34.484","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15340.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:48.395","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15341.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:53.408","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:12:58.32","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:13:03.098","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:13:31.898","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:13:31.898","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:13:52.276","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:13:52.277","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:14:09.187","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:14:09.202","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:14:09.202","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:14:09.203","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:14:09.203","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:14:59.998","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15335.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:15:00.187","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15335.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:15:18.998","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15336.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:15:35.389","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15337.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:15:35.408","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15337.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:16:07.52","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:16:07.52","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:16:07.776","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:16:53.076","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:16:53.076","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:16:53.076","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15339.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15341.75<br />avg_total: 15337.79<br />curr_cost_per_share: 0.635<br />curr_half_min_move: 0.34527917491503<br />curr_liq_cost: 15.875<br />curr_opt_t_minutes: 2.8313606226046<br />daily_vol_normal: 32.842905101655<br />destination_price: 15339.625<br />drift: -0.1050027961393<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.79411764705882<br />init_drift: 0<br />init_half_min_move: 1.6884464242223<br />init_liq_cost: 13.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.22120509452528<br />init_vol_normal: 160.60477928797<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: 25<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 263<br />slip_toler: 0<br />slippage: 3.9599999999973<br />slippage_sweep: 1.4199999999964<br />sweep_residual: 8<br />sweep_to_fill: 15339.21<br />total_dollar: 383444.75<br />total_drift: -6.0018582512877<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.60477928797<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15341.75<br />avg_total: 15337.79<br />destination_price: 15339.625<br />market_vwap: <br />n_kids: 25<br />slippage: 3.9599999999973<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383444.75<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>2023-07-02T19:12:34.484</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15340.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:48.395</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15341.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:53.408</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:58.32</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:03.098</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:31.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:31.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:52.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:52.277</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.202</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.202</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.203</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.203</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:59.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15335.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:00.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15335.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:18.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:35.389</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15337.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:35.408</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15337.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:07.52</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:07.52</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:07.776</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:53.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:53.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:53.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</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>2023-07-02T19:12:34.484</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15340.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:48.395</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15341.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:53.408</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:12:58.32</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:03.098</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:31.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:31.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:52.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:13:52.277</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.202</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.202</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.203</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:09.203</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:14:59.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15335.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:00.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15335.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:18.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15336.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:35.389</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15337.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:15:35.408</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15337.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:07.52</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:07.52</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:07.776</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:53.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:53.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:16:53.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15339.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15337.79

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.79

Computed Drift

-0.11

Computed Seconds Spent

263.00

Computed Volatility

32.84