SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 22:21

Buy / Sell

Buy

Quantity

50

Arrival Price

70.5950

Average Total

70.5824

Destination Price

70.5750

Slippage

-0.0126

Slippage Sweep

-0.0336

Sweep to Fill

70.6160

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0400000000002336 }, "arrival_price": { "asDouble": 70.595 }, "avg_total": { "asDouble": 70.5824 }, "daily_vol_normal": { "asDouble": 0.6723097076163388 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.03359999999999275 }, "total_drift": { "asDouble": -0.18987896375990712 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 20 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.616 }, "init_half_min_move": { "asDouble": 0.007769379328823013 }, "init_vol_normal": { "asDouble": 0.7390222363051228 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 7.305769028962898 }, "init_liq_cost": { "asDouble": 1.0499999999997556 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007068027033986039 }, "curr_cost_per_share": { "asDouble": 0.020800000000004672 }, "init_cost_per_share": { "asDouble": 0.020999999999995113 }, "curr_opt_t_minutes": { "asDouble": 8.864464706211947 }, "drift": { "asDouble": -0.0004894402081797251 }, "slippage": { "asDouble": -0.012599999999991951 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.57499999999999 }, "total_dollar": { "asDouble": 3529.1200000000003 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7390222363051226 }, "seconds_spent": { "asDouble": 37 } } }

Fills Array

[{"Timestamp":"2023-07-02T22:20:39.276","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.61,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:20:52.23","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.60000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:04.488","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:04.488","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:04.488","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:07.402","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:07.409","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:07.409","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:07.431","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:08.02","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:08.183","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:08.298","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:09.198","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:09.987","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:09.987","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:09.997","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:10.087","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:10.377","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:10.377","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:21:10.475","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:10.587","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:10.709","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.58,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:21:10.786","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.58,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.595<br />avg_total: 70.5824<br />curr_cost_per_share: 0.020800000000005<br />curr_half_min_move: 0.007068027033986<br />curr_liq_cost: 1.0400000000002<br />curr_opt_t_minutes: 8.8644647062119<br />daily_vol_normal: 0.67230970761634<br />destination_price: 70.575<br />drift: -0.00048944020817973<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020999999999995<br />init_drift: 0<br />init_half_min_move: 0.007769379328823<br />init_liq_cost: 1.0499999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 7.3057690289629<br />init_vol_normal: 0.73902223630512<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: 20<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 37<br />slip_toler: 0<br />slippage: -0.012599999999992<br />slippage_sweep: -0.033599999999993<br />sweep_residual: 0<br />sweep_to_fill: 70.616<br />total_dollar: 3529.12<br />total_drift: -0.18987896375991<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73902223630512<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.595<br />avg_total: 70.5824<br />destination_price: 70.575<br />market_vwap: <br />n_kids: 20<br />slippage: -0.012599999999992<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3529.12<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>2023-07-02T22:20:39.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:20:52.23</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:04.488</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:04.488</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:04.488</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:07.402</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:07.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:07.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:07.431</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:08.02</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:08.183</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:08.298</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:09.198</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:09.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:09.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:09.997</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:10.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:10.475</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.786</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</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>2023-07-02T22:20:39.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:20:52.23</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:04.488</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:04.488</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:04.488</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:07.402</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:07.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:07.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:07.431</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:08.02</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:08.183</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:08.298</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:09.198</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:09.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:09.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:09.997</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:10.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:21:10.475</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:21:10.786</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.58</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.58

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

37.00

Computed Volatility

0.67