SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 22:32

Buy / Sell

Sell

Quantity

50

Arrival Price

70.6050

Average Total

70.6136

Destination Price

70.6250

Slippage

-0.0086

Slippage Sweep

-0.0302

Sweep to Fill

70.5834

Algo Diagnostics

{ "customState": { "daily_vol_normal": { "asDouble": 0.6818229856778641 }, "total_drift": { "asDouble": -0.18990586070214946 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.030199999999979354 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.5834 }, "init_half_min_move": { "asDouble": 0.007770479885424589 }, "init_vol_normal": { "asDouble": 0.7391269210896407 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 7.727016171483287 }, "init_liq_cost": { "asDouble": 1.0799999999997993 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007168040622602938 }, "curr_cost_per_share": { "asDouble": 0.02100000000000449 }, "init_cost_per_share": { "asDouble": 0.021599999999995987 }, "curr_opt_t_minutes": { "asDouble": 8.399504187031292 }, "drift": { "asDouble": -0.0004497656358145097 }, "slippage": { "asDouble": -0.008599999999987062 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.625 }, "total_dollar": { "asDouble": 3530.679999999999 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 38 }, "total_vol": { "asDouble": 0.7391269210896406 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0500000000002245 }, "arrival_price": { "asDouble": 70.60499999999999 }, "avg_total": { "asDouble": 70.61359999999998 } } }

Fills Array

[{"Timestamp":"2023-07-02T22:31:37.276","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.61,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:31:41.61","Security":"SIM:CLQ3","Side":"Sell","LastShares":11.0,"LastPrice":70.60000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:03.475","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.61,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:32:05.475","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.61,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:32:05.476","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.61,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:32:12.312","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:12.32","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:12.32","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.61,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T22:32:12.409","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:12.42","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:12.498","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:12.62","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:13.792","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:14.187","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:14.609","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:16.787","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:18.787","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:20.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:22.377","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:23.009","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:24.931","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:26.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:26.387","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:26.486","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:27.72","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:28.576","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:28.687","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:28.987","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.62,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:32:29.077","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.62,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.605<br />avg_total: 70.6136<br />curr_cost_per_share: 0.021000000000004<br />curr_half_min_move: 0.0071680406226029<br />curr_liq_cost: 1.0500000000002<br />curr_opt_t_minutes: 8.3995041870313<br />daily_vol_normal: 0.68182298567786<br />destination_price: 70.625<br />drift: -0.00044976563581451<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.021599999999996<br />init_drift: 0<br />init_half_min_move: 0.0077704798854246<br />init_liq_cost: 1.0799999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 7.7270161714833<br />init_vol_normal: 0.73912692108964<br />last_aggressive_qty: 2<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: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 38<br />slip_toler: 0<br />slippage: -0.0085999999999871<br />slippage_sweep: -0.030199999999979<br />sweep_residual: 0<br />sweep_to_fill: 70.5834<br />total_dollar: 3530.68<br />total_drift: -0.18990586070215<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73912692108964<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.605<br />avg_total: 70.6136<br />destination_price: 70.625<br />market_vwap: <br />n_kids: 25<br />slippage: -0.0085999999999871<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3530.68<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>2023-07-02T22:31:37.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:31:41.61</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>11</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:03.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:05.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:05.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:12.312</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.32</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.32</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:12.409</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.42</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.498</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.62</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:13.792</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:14.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:14.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:16.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:18.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:20.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:22.377</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:23.009</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:24.931</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:26.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:26.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:26.486</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:27.72</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:28.576</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:28.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:28.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:29.077</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.62</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>2023-07-02T22:31:37.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:31:41.61</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>11</td>
<td>70.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:03.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:05.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:05.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:12.312</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.32</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.32</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T22:32:12.409</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.42</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.498</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:12.62</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:13.792</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:14.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:14.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:16.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:18.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:20.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:22.377</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:23.009</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:24.931</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:26.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:26.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:26.486</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:27.72</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:28.576</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:28.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:28.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:32:29.077</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.62</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.61

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

38.00

Computed Volatility

0.68