SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 19:55

Buy / Sell

Buy

Quantity

50

Arrival Price

70.4300

Average Total

70.4206

Destination Price

70.4100

Slippage

-0.0094

Slippage Sweep

-0.0354

Sweep to Fill

70.4560

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.456 }, "init_half_min_move": { "asDouble": 0.007751220144897016 }, "init_vol_normal": { "asDouble": 0.7372949373605752 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 11.25139969217609 }, "init_liq_cost": { "asDouble": 1.2999999999995993 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.005176594801952678 }, "curr_cost_per_share": { "asDouble": 0.01899999999999949 }, "init_cost_per_share": { "asDouble": 0.025999999999991984 }, "slippage": { "asDouble": -0.00940000000001362 }, "drift": { "asDouble": -0.0008097405851001481 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.41 }, "total_dollar": { "asDouble": 3521.0299999999997 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 38 }, "total_vol": { "asDouble": 0.737294937360575 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9499999999999744 }, "arrival_price": { "asDouble": 70.43 }, "avg_total": { "asDouble": 70.4206 }, "daily_vol_normal": { "asDouble": 0.4923969476933863 }, "last_aggressive_qty": { "asInt32": 10 }, "slippage_sweep": { "asDouble": -0.03540000000000987 }, "total_drift": { "asDouble": -0.1894351642129083 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 12 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2023-07-02T19:55:05.013","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:05.021","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:05.032","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:05.087","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:05.187","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:05.287","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:05.387","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:06.231","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:06.798","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:09.909","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:29.875","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:55:29.887","Security":"SIM:CLQ3","Side":"Buy","LastShares":10.0,"LastPrice":70.42,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.43<br />avg_total: 70.4206<br />curr_cost_per_share: 0.018999999999999<br />curr_half_min_move: 0.0051765948019527<br />curr_liq_cost: 0.94999999999997<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.49239694769339<br />destination_price: 70.41<br />drift: -0.00080974058510015<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.025999999999992<br />init_drift: 0<br />init_half_min_move: 0.007751220144897<br />init_liq_cost: 1.2999999999996<br />init_min_duration: 0<br />init_opt_t_minutes: 11.251399692176<br />init_vol_normal: 0.73729493736058<br />last_aggressive_qty: 10<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: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 38<br />slip_toler: 0<br />slippage: -0.0094000000000136<br />slippage_sweep: -0.03540000000001<br />sweep_residual: 0<br />sweep_to_fill: 70.456<br />total_dollar: 3521.03<br />total_drift: -0.18943516421291<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73729493736058<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.43<br />avg_total: 70.4206<br />destination_price: 70.41<br />market_vwap: <br />n_kids: 12<br />slippage: -0.0094000000000136<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3521.03<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>2023-07-02T19:55:05.013</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.021</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.032</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:06.231</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:06.798</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:09.909</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:29.875</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:29.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>10</td>
<td>70.42</td>
<td>Passive</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>2023-07-02T19:55:05.013</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.021</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.032</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:05.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:06.231</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:06.798</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:09.909</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:29.875</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:55:29.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>10</td>
<td>70.42</td>
<td>Passive</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

0.03

Computed Drift

0.00

Computed Seconds Spent

38.00

Computed Volatility

0.49