SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/02/2023 - 20:11

Buy / Sell

Buy

Quantity

25

Arrival Price

15333.3750

Average Total

15333.2800

Destination Price

15332.5000

Slippage

-0.0950

Slippage Sweep

-2.9050

Sweep to Fill

15336.1850

Algo Diagnostics

{ "customState": { "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 111 }, "total_vol": { "asDouble": 160.51710578093434 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 11.25 }, "arrival_price": { "asDouble": 15333.374999999998 }, "avg_total": { "asDouble": 15333.28 }, "daily_vol_normal": { "asDouble": 35.88877342818685 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -2.904999999997017 }, "total_drift": { "asDouble": -5.9985818608593595 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 19 }, "mbo_min": { "asInt32": 2 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15336.184999999998 }, "init_half_min_move": { "asDouble": 1.6875247080684403 }, "init_vol_normal": { "asDouble": 160.51710578093434 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.26885358097843653 }, "init_liq_cost": { "asDouble": 14 }, "worst_opt_t_minutes": { "asDouble": 2.709529881796416 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.3773005475502967 }, "curr_cost_per_share": { "asDouble": 0.75 }, "init_cost_per_share": { "asDouble": 0.875 }, "slippage": { "asDouble": -0.09499999999752617 }, "pov_agg_limit": { "asInt32": 0 }, "drift": { "asDouble": -0.0287485677634015 }, "curr_opt_t_minutes": { "asDouble": 4.10335862537492 }, "mbo_max": { "asInt32": 5 }, "sweep_residual": { "asDouble": 9 }, "destination_price": { "asDouble": 15332.499999999998 }, "total_dollar": { "asDouble": 383332 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 } } }

Fills Array

[{"Timestamp":"2023-07-02T20:09:39.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15334.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:09:49.131","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15334.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:10:29.398","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15334.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.398","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.401","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.401","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.401","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.402","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.402","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.402","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:13.603","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:14.087","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:14.787","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15332.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:14.798","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:14.798","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15333.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:14.909","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15333.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:14.986","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15333.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:15.687","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15332.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:15.787","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15332.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:11:15.92","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15332.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15333.375<br />avg_total: 15333.28<br />curr_cost_per_share: 0.75<br />curr_half_min_move: 0.3773005475503<br />curr_liq_cost: 11.25<br />curr_opt_t_minutes: 4.1033586253749<br />daily_vol_normal: 35.888773428187<br />destination_price: 15332.5<br />drift: -0.028748567763402<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.875<br />init_drift: 0<br />init_half_min_move: 1.6875247080684<br />init_liq_cost: 14<br />init_min_duration: 0<br />init_opt_t_minutes: 0.26885358097844<br />init_vol_normal: 160.51710578093<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 5<br />mbo_min: 2<br />model_size: 0<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 111<br />slip_toler: 0<br />slippage: -0.094999999997526<br />slippage_sweep: -2.904999999997<br />sweep_residual: 9<br />sweep_to_fill: 15336.185<br />total_dollar: 383332<br />total_drift: -5.9985818608594<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.51710578093<br />worst_opt_t_minutes: 2.7095298817964

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15333.375<br />avg_total: 15333.28<br />destination_price: 15332.5<br />market_vwap: <br />n_kids: 19<br />slippage: -0.094999999997526<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383332<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>2023-07-02T20:09:39.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15334.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:09:49.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15334.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:10:29.398</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15334.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.398</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.402</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.402</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.402</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.603</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15332.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.798</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.798</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.909</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.986</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:15.687</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15332.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:15.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15332.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:15.92</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15332.75</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>2023-07-02T20:09:39.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15334.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:09:49.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15334.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:10:29.398</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15334.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.398</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.402</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.402</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.402</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:13.603</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15332.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.798</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.798</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15333.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.909</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:14.986</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15333</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:15.687</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15332.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:15.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15332.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:11:15.92</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15332.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15333.28

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.88

Computed Drift

-0.03

Computed Seconds Spent

111.00

Computed Volatility

35.89