SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 19:01

Buy / Sell

Sell

Quantity

50

Arrival Price

70.4350

Average Total

70.4496

Destination Price

70.4550

Slippage

-0.0146

Slippage Sweep

-0.1079

Sweep to Fill

70.3417

Algo Diagnostics

{ "customState": { "arrival_price": { "asDouble": 70.435 }, "avg_total": { "asDouble": 70.44959999999999 }, "daily_vol_normal": { "asDouble": 0.45225770908075374 }, "slippage_sweep": { "asDouble": -0.10789999999992972 }, "last_aggressive_qty": { "asInt32": 6 }, "total_drift": { "asDouble": -0.18944861268402946 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 10 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.34170000000006 }, "init_half_min_move": { "asDouble": 0.007751770423197804 }, "init_vol_normal": { "asDouble": 0.7373472797528341 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 1.1650000000002194 }, "init_opt_t_minutes": { "asDouble": 12.215553082613015 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.0047546088921499256 }, "curr_cost_per_share": { "asDouble": 0.02240000000000066 }, "init_cost_per_share": { "asDouble": 0.027093023255819058 }, "slippage": { "asDouble": -0.01459999999998729 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.0006710266599030877 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.455 }, "sweep_residual": { "asDouble": 7 }, "total_dollar": { "asDouble": 3522.4799999999996 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 6 }, "total_vol": { "asDouble": 0.7373472797528341 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.120000000000033 } } }

Fills Array

[{"Timestamp":"2023-07-02T19:01:04.991","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.44,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:08.887","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:08.909","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.45,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:01:08.909","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.44,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:08.986","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:09.083","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:09.587","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:09.62","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:10.331","Security":"SIM:CLQ3","Side":"Sell","LastShares":7.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:11.098","Security":"SIM:CLQ3","Side":"Sell","LastShares":7.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:01:11.176","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.45,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.435<br />avg_total: 70.4496<br />curr_cost_per_share: 0.022400000000001<br />curr_half_min_move: 0.0047546088921499<br />curr_liq_cost: 1.12<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.45225770908075<br />destination_price: 70.455<br />drift: 0.00067102665990309<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.027093023255819<br />init_drift: 0<br />init_half_min_move: 0.0077517704231978<br />init_liq_cost: 1.1650000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 12.215553082613<br />init_vol_normal: 0.73734727975283<br />last_aggressive_qty: 6<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: 10<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.014599999999987<br />slippage_sweep: -0.10789999999993<br />sweep_residual: 7<br />sweep_to_fill: 70.3417<br />total_dollar: 3522.48<br />total_drift: -0.18944861268403<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73734727975283<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.435<br />avg_total: 70.4496<br />destination_price: 70.455<br />market_vwap: <br />n_kids: 10<br />slippage: -0.014599999999987<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3522.48<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>2023-07-02T19:01:04.991</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:08.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:08.909</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.45</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:08.909</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:08.986</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:09.083</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:09.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:09.62</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:10.331</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:11.098</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:11.176</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.45</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>2023-07-02T19:01:04.991</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:08.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:08.909</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.45</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:01:08.909</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:08.986</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:09.083</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:09.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:09.62</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:10.331</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:11.098</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:01:11.176</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.45</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.45

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

6.00

Computed Volatility

0.45