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

Sell

Quantity

25

Arrival Price

15343.7500

Average Total

15344.3100

Destination Price

15344.6250

Slippage

-0.5600

Slippage Sweep

-1.3100

Sweep to Fill

15343.0000

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.4268233658639488 }, "curr_cost_per_share": { "asDouble": 0.9144736842105263 }, "init_cost_per_share": { "asDouble": 0.75 }, "slippage": { "asDouble": -0.5600000000013097 }, "drift": { "asDouble": -0.059739107734230724 }, "curr_opt_t_minutes": { "asDouble": 4.2922615017712715 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15344.624999999998 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 383607.75 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 4 }, "total_vol": { "asDouble": 160.62571624487182 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 17.375 }, "arrival_price": { "asDouble": 15343.749999999998 }, "avg_total": { "asDouble": 15344.31 }, "daily_vol_normal": { "asDouble": 40.599376732431985 }, "last_aggressive_qty": { "asInt32": 1 }, "total_drift": { "asDouble": -6.002640672882571 }, "slippage_sweep": { "asDouble": -1.3100000000013097 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 13 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15342.999999999998 }, "init_half_min_move": { "asDouble": 1.6886665355425752 }, "init_vol_normal": { "asDouble": 160.62571624487182 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.19725804871945465 }, "init_liq_cost": { "asDouble": 18.75 } } }

Fills Array

[{"Timestamp":"2023-07-02T21:23:43.576","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:43.676","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:43.676","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:43.987","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:44.276","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:44.487","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15344.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:44.587","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:44.587","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:44.609","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:44.609","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:44.687","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:45.731","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:45.909","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:46.231","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:46.487","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15344.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T21:23:46.62","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15344.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15343.75<br />avg_total: 15344.31<br />curr_cost_per_share: 0.91447368421053<br />curr_half_min_move: 0.42682336586395<br />curr_liq_cost: 17.375<br />curr_opt_t_minutes: 4.2922615017713<br />daily_vol_normal: 40.599376732432<br />destination_price: 15344.625<br />drift: -0.059739107734231<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.75<br />init_drift: 0<br />init_half_min_move: 1.6886665355426<br />init_liq_cost: 18.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.19725804871945<br />init_vol_normal: 160.62571624487<br />last_aggressive_qty: 1<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: 13<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 4<br />slip_toler: 0<br />slippage: -0.56000000000131<br />slippage_sweep: -1.3100000000013<br />sweep_residual: 0<br />sweep_to_fill: 15343<br />total_dollar: 383607.75<br />total_drift: -6.0026406728826<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.62571624487<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15343.75<br />avg_total: 15344.31<br />destination_price: 15344.625<br />market_vwap: <br />n_kids: 13<br />slippage: -0.56000000000131<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383607.75<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>2023-07-02T21:23:43.576</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:43.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:43.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:43.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.609</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.609</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.687</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:45.731</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:45.909</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:46.231</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:46.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:46.62</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</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>2023-07-02T21:23:43.576</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:43.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:43.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:43.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.609</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.609</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:44.687</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:45.731</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:45.909</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:46.231</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:46.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15344.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:23:46.62</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15344.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15344.31

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.75

Computed Drift

-0.06

Computed Seconds Spent

4.00

Computed Volatility

40.60