SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 21:02

Buy / Sell

Buy

Quantity

50

Arrival Price

70.5750

Average Total

70.5650

Destination Price

70.5650

Slippage

-0.0100

Slippage Sweep

-0.0246

Sweep to Fill

70.5896

Algo Diagnostics

{ "customState": { "mbo_min": { "asInt32": 12 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.58959999999999 }, "init_half_min_move": { "asDouble": 0.007767178215619861 }, "init_vol_normal": { "asDouble": 0.7388128667360866 }, "last_tactical_qty": { "asInt32": 12 }, "init_liq_cost": { "asDouble": 0.730000000000274 }, "init_opt_t_minutes": { "asDouble": 3.533289082730966 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.0063285677954356785 }, "curr_cost_per_share": { "asDouble": 0.016199999999997203 }, "init_cost_per_share": { "asDouble": 0.01460000000000548 }, "curr_opt_t_minutes": { "asDouble": 7.040856724704525 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.009999999999976694 }, "drift": { "asDouble": -0.0011988396659512578 }, "mbo_max": { "asInt32": 24 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.565 }, "total_dollar": { "asDouble": 3528.2500000000005 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7388128667360865 }, "seconds_spent": { "asDouble": 281 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8099999999998602 }, "arrival_price": { "asDouble": 70.57499999999999 }, "avg_total": { "asDouble": 70.56500000000001 }, "daily_vol_normal": { "asDouble": 0.6019724519616124 }, "total_drift": { "asDouble": -0.1898251698754224 }, "slippage_sweep": { "asDouble": -0.024599999999978195 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 24 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.575<br />avg_total: 70.565<br />curr_cost_per_share: 0.016199999999997<br />curr_half_min_move: 0.0063285677954357<br />curr_liq_cost: 0.80999999999986<br />curr_opt_t_minutes: 7.0408567247045<br />daily_vol_normal: 0.60197245196161<br />destination_price: 70.565<br />drift: -0.0011988396659513<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.014600000000005<br />init_drift: 0<br />init_half_min_move: 0.0077671782156199<br />init_liq_cost: 0.73000000000027<br />init_min_duration: 0<br />init_opt_t_minutes: 3.533289082731<br />init_vol_normal: 0.73881286673609<br />last_aggressive_qty: 2<br />last_tactical_qty: 12<br />level_tactical_limit: 0<br />mbo_max: 24<br />mbo_min: 12<br />model_size: 0<br />n_kids: 24<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 281<br />slip_toler: 0<br />slippage: -0.0099999999999767<br />slippage_sweep: -0.024599999999978<br />sweep_residual: 0<br />sweep_to_fill: 70.5896<br />total_dollar: 3528.25<br />total_drift: -0.18982516987542<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73881286673609<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.575<br />avg_total: 70.565<br />destination_price: 70.565<br />market_vwap: <br />n_kids: 24<br />slippage: -0.0099999999999767<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3528.25<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>2023-07-02T20:58:25.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:47.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:47.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:55.114</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:55.115</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:01.708</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:01.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:01.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:23.301</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:59.339</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:59.503</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:14.504</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:14.635</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:14.675</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:14.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.309</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.775</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:30.994</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:30.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.298</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.386</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.809</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:32.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:43.326</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:48.097</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:56.595</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</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>2023-07-02T20:58:25.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:47.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:47.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:55.114</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:58:55.115</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:01.708</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:01.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:01.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:23.301</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:59.339</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:59:59.503</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:14.504</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:14.635</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:14.675</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:14.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.309</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.775</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:15.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:30.994</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:30.998</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.298</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.386</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.809</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:31.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:02:32.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:43.326</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:48.097</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:02:56.595</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.57

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.01

Computed Drift

0.00

Computed Seconds Spent

281.00

Computed Volatility

0.60