SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 19:57

Buy / Sell

Sell

Quantity

50

Arrival Price

70.3900

Average Total

70.3986

Destination Price

70.4050

Slippage

-0.0086

Slippage Sweep

-0.0292

Sweep to Fill

70.3694

Algo Diagnostics

{ "customState": { "curr_cost_per_share": { "asDouble": 0.028200000000007604 }, "init_cost_per_share": { "asDouble": 0.020599999999992635 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": -0.008600000000001273 }, "drift": { "asDouble": -0.00036941342118557727 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 2 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.405 }, "total_dollar": { "asDouble": 3519.9299999999994 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 66 }, "total_vol": { "asDouble": 0.7368761982225027 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.4100000000003803 }, "arrival_price": { "asDouble": 70.38999999999999 }, "avg_total": { "asDouble": 70.39859999999999 }, "daily_vol_normal": { "asDouble": 0.4933599308974562 }, "total_drift": { "asDouble": -0.1893275764439388 }, "slippage_sweep": { "asDouble": -0.02919999999998879 }, "last_aggressive_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 18 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.3694 }, "init_half_min_move": { "asDouble": 0.007746817918490711 }, "init_vol_normal": { "asDouble": 0.7368761982225027 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 7.071112452379283 }, "init_liq_cost": { "asDouble": 1.0299999999996317 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.005186718694620795 } } }

Fills Array

[{"Timestamp":"2023-07-02T19:56:16.783","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.38,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:57:00.188","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:57:00.188","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:57:01.938","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:57:01.938","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:57:02.223","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:57:05.509","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:05.609","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:05.687","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:05.809","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:07.098","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:07.187","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:07.887","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:08.076","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:09.009","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:09.587","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:10.631","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:10.898","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.4,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.39<br />avg_total: 70.3986<br />curr_cost_per_share: 0.028200000000008<br />curr_half_min_move: 0.0051867186946208<br />curr_liq_cost: 1.4100000000004<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.49335993089746<br />destination_price: 70.405<br />drift: -0.00036941342118558<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020599999999993<br />init_drift: 0<br />init_half_min_move: 0.0077468179184907<br />init_liq_cost: 1.0299999999996<br />init_min_duration: 0<br />init_opt_t_minutes: 7.0711124523793<br />init_vol_normal: 0.7368761982225<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 0<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 66<br />slip_toler: 0<br />slippage: -0.0086000000000013<br />slippage_sweep: -0.029199999999989<br />sweep_residual: 0<br />sweep_to_fill: 70.3694<br />total_dollar: 3519.93<br />total_drift: -0.18932757644394<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.7368761982225<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.39<br />avg_total: 70.3986<br />destination_price: 70.405<br />market_vwap: <br />n_kids: 18<br />slippage: -0.0086000000000013<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3519.93<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>2023-07-02T19:56:16.783</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:00.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:00.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:01.938</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:01.938</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:02.223</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:05.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:05.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:05.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:05.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:07.098</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:07.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:07.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:08.076</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:09.009</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:09.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:10.631</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:10.898</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.4</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>2023-07-02T19:56:16.783</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:00.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:00.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:01.938</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:01.938</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:02.223</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:05.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:05.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:05.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:05.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:07.098</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:07.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:07.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:08.076</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:09.009</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:09.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:10.631</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:10.898</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.4</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.40

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

66.00

Computed Volatility

0.49