SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 21:09

Buy / Sell

Sell

Quantity

50

Arrival Price

70.5400

Average Total

70.5404

Destination Price

70.5650

Slippage

-0.0004

Slippage Sweep

-0.0178

Sweep to Fill

70.5226

Algo Diagnostics

{ "customState": { "avg_total": { "asDouble": 70.54040000000003 }, "daily_vol_normal": { "asDouble": 0.6090639714264633 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.017800000000036675 }, "total_drift": { "asDouble": -0.18973103057757415 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 41 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.5226 }, "init_half_min_move": { "asDouble": 0.007763326267514346 }, "init_vol_normal": { "asDouble": 0.7384464699902734 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.0234585079209975 }, "init_liq_cost": { "asDouble": 0.8699999999997345 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.006403121309570279 }, "curr_cost_per_share": { "asDouble": 0.0212000000000009 }, "init_cost_per_share": { "asDouble": 0.01739999999999469 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": -0.0015885684387176029 }, "slippage": { "asDouble": -0.00040000000004170033 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.565 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3527.020000000002 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 232 }, "total_vol": { "asDouble": 0.7384464699902734 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.060000000000045 }, "arrival_price": { "asDouble": 70.53999999999999 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.54<br />avg_total: 70.5404<br />curr_cost_per_share: 0.021200000000001<br />curr_half_min_move: 0.0064031213095703<br />curr_liq_cost: 1.06<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.60906397142646<br />destination_price: 70.565<br />drift: -0.0015885684387176<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017399999999995<br />init_drift: 0<br />init_half_min_move: 0.0077633262675143<br />init_liq_cost: 0.86999999999973<br />init_min_duration: 0<br />init_opt_t_minutes: 5.023458507921<br />init_vol_normal: 0.73844646999027<br />last_aggressive_qty: 3<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: 41<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 232<br />slip_toler: 0<br />slippage: -0.0004000000000417<br />slippage_sweep: -0.017800000000037<br />sweep_residual: 0<br />sweep_to_fill: 70.5226<br />total_dollar: 3527.02<br />total_drift: -0.18973103057757<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73844646999027<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.54<br />avg_total: 70.5404<br />destination_price: 70.565<br />market_vwap: <br />n_kids: 41<br />slippage: -0.0004000000000417<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3527.02<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>2023-07-02T21:06:03.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:06:05.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:19.429</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:19.429</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:19.432</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.432</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:44.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.289</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.32</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.425</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.575</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.575</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.81</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.81</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.818</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.818</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:06.676</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:31.086</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.098</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:34.183</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:34.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:34.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:36.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.56</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:36.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:36.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</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>2023-07-02T21:06:03.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:06:05.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:19.429</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:19.429</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:19.432</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.432</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.433</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:19.491</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.53</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:07:44.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.289</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.32</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.425</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.575</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:07:44.575</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.81</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.81</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.818</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:08:15.818</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:06.676</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:31.086</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.098</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:31.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:34.183</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:34.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:34.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.54</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:36.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.56</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:09:36.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:09:36.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.56</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.54

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

232.00

Computed Volatility

0.61