SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 18:56

Buy / Sell

Buy

Quantity

50

Arrival Price

70.3600

Average Total

70.4012

Destination Price

70.4100

Slippage

0.0412

Slippage Sweep

-0.0178

Sweep to Fill

70.4190

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 8 }, "sweep_to_fill": { "asDouble": 70.41900000000001 }, "init_half_min_move": { "asDouble": 0.007743516248685985 }, "init_vol_normal": { "asDouble": 0.7365621438689486 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 15.873177057108718 }, "init_liq_cost": { "asDouble": 1.4500000000004434 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.0047204107759687836 }, "curr_cost_per_share": { "asDouble": 0.02460000000000065 }, "init_cost_per_share": { "asDouble": 0.030851063829796667 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.04120000000004609 }, "drift": { "asDouble": 0.0007602468864906102 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 3 }, "destination_price": { "asDouble": 70.41 }, "total_dollar": { "asDouble": 3520.0600000000013 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7365621438689486 }, "seconds_spent": { "asDouble": 595 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.2300000000000324 }, "arrival_price": { "asDouble": 70.35999999999999 }, "avg_total": { "asDouble": 70.40120000000003 }, "daily_vol_normal": { "asDouble": 0.44900478922345566 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.017799999999979832 }, "total_drift": { "asDouble": -0.18924688561721173 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 41 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.36<br />avg_total: 70.4012<br />curr_cost_per_share: 0.024600000000001<br />curr_half_min_move: 0.0047204107759688<br />curr_liq_cost: 1.23<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.44900478922346<br />destination_price: 70.41<br />drift: 0.00076024688649061<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.030851063829797<br />init_drift: 0<br />init_half_min_move: 0.007743516248686<br />init_liq_cost: 1.4500000000004<br />init_min_duration: 0<br />init_opt_t_minutes: 15.873177057109<br />init_vol_normal: 0.73656214386895<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: 8<br />n_kids: 41<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 595<br />slip_toler: 0<br />slippage: 0.041200000000046<br />slippage_sweep: -0.01779999999998<br />sweep_residual: 3<br />sweep_to_fill: 70.419<br />total_dollar: 3520.06<br />total_drift: -0.18924688561721<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73656214386895<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.36<br />avg_total: 70.4012<br />destination_price: 70.41<br />market_vwap: <br />n_kids: 41<br />slippage: 0.041200000000046<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3520.06<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>2023-07-02T18:46:58.22</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:47:30.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:47:30.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.83</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.831</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.831</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.832</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.832</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:54:31.395</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.395</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.395</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.075</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:56:28.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>8</td>
<td>70.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:56:28.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.43</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>2023-07-02T18:46:58.22</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:47:30.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:47:30.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.83</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.831</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.831</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.832</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:49:09.832</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T18:54:31.395</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.395</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.395</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.396</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:31.397</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:32.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.075</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:54:33.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:56:28.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>8</td>
<td>70.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T18:56:28.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.40

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.03

Computed Drift

0.00

Computed Seconds Spent

595.00

Computed Volatility

0.45