SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/02/2023 - 21:23

Buy / Sell

Buy

Quantity

25

Arrival Price

15344.2500

Average Total

15343.9800

Destination Price

15343.7500

Slippage

-0.2700

Slippage Sweep

-0.8200

Sweep to Fill

15344.8000

Algo Diagnostics

{ "customState": { "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 18.75 }, "arrival_price": { "asDouble": 15344.249999999998 }, "avg_total": { "asDouble": 15343.98 }, "daily_vol_normal": { "asDouble": 40.59300190938021 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.81999999999789 }, "total_drift": { "asDouble": -6.00283627828128 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 16 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15344.799999999997 }, "init_half_min_move": { "asDouble": 1.688721563372654 }, "init_vol_normal": { "asDouble": 160.63095048409772 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.10607408179804347 }, "init_liq_cost": { "asDouble": 13.75 }, "worst_opt_t_minutes": { "asDouble": 2.999093772380164 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.42675634701659865 }, "curr_cost_per_share": { "asDouble": 0.8522727272727273 }, "init_cost_per_share": { "asDouble": 0.55 }, "drift": { "asDouble": -0.05924097907427943 }, "curr_opt_t_minutes": { "asDouble": 4.267366817951696 }, "slippage": { "asDouble": -0.26999999999861757 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 15343.749999999998 }, "total_dollar": { "asDouble": 383599.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.63095048409772 }, "seconds_spent": { "asDouble": 39 }, "total_filled": { "asInt32": 25 } } }

Fills Array

[{"Timestamp":"2023-07-02T21:23:14.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15345.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:16.721","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:31.401","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:31.777","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:31.777","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:31.894","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:31.919","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:32.82","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:33.098","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:33.12","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:33.876","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:33.876","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:34.587","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:34.687","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15343.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:34.92","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:39.188","Security":"SIM:NQU3","Side":"Buy","LastShares":4.0,"LastPrice":15344.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:39.387","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15344.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15344.25<br />avg_total: 15343.98<br />curr_cost_per_share: 0.85227272727273<br />curr_half_min_move: 0.4267563470166<br />curr_liq_cost: 18.75<br />curr_opt_t_minutes: 4.2673668179517<br />daily_vol_normal: 40.59300190938<br />destination_price: 15343.75<br />drift: -0.059240979074279<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.55<br />init_drift: 0<br />init_half_min_move: 1.6887215633727<br />init_liq_cost: 13.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.10607408179804<br />init_vol_normal: 160.6309504841<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: 16<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 39<br />slip_toler: 0<br />slippage: -0.26999999999862<br />slippage_sweep: -0.81999999999789<br />sweep_residual: 0<br />sweep_to_fill: 15344.8<br />total_dollar: 383599.5<br />total_drift: -6.0028362782813<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.6309504841<br />worst_opt_t_minutes: 2.9990937723802

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15344.25<br />avg_total: 15343.98<br />destination_price: 15343.75<br />market_vwap: <br />n_kids: 16<br />slippage: -0.26999999999862<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383599.5<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>2023-07-02T21:23:14.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15345</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:16.721</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.777</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.777</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.894</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.919</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:32.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.098</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.12</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.876</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.876</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:34.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:34.687</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:34.92</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:39.188</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:39.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15344</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>2023-07-02T21:23:14.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15345</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:16.721</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.401</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.777</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.777</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.894</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:31.919</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:32.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.098</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.12</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.876</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:33.876</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:34.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:34.687</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15343.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:34.92</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:39.188</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15344</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:39.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15344</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15343.98

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.55

Computed Drift

-0.06

Computed Seconds Spent

39.00

Computed Volatility

40.59