SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/02/2023 - 22:56

Buy / Sell

Buy

Quantity

25

Arrival Price

15349.7500

Average Total

15351.5700

Destination Price

15351.7500

Slippage

1.8200

Slippage Sweep

-0.2700

Sweep to Fill

15351.8400

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 160.68852711558264 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.2111783825357404 }, "init_liq_cost": { "asDouble": 14.75 }, "worst_opt_t_minutes": { "asDouble": 2.955916469027583 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.457916186869033 }, "curr_cost_per_share": { "asDouble": 0.8375 }, "init_cost_per_share": { "asDouble": 0.7763157894736842 }, "curr_opt_t_minutes": { "asDouble": 3.468226597450941 }, "drift": { "asDouble": -0.030747121643422325 }, "slippage": { "asDouble": 1.820000000001528 }, "pov_agg_limit": { "asInt32": 1 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15351.749999999998 }, "sweep_residual": { "asDouble": 6 }, "total_dollar": { "asDouble": 383789.25 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.68852711558264 }, "seconds_spent": { "asDouble": 249 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 16.75 }, "arrival_price": { "asDouble": 15349.749999999998 }, "avg_total": { "asDouble": 15351.57 }, "daily_vol_normal": { "asDouble": 43.55692136240865 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.26999999999861757 }, "total_drift": { "asDouble": -6.004987937667079 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15351.839999999998 }, "init_half_min_move": { "asDouble": 1.6893268695035206 } } }

Fills Array

[{"Timestamp":"2023-07-02T22:52:41.987","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15349.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:52:50.221","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15350.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:52:50.476","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15350.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:52:50.828","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15350.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:52:50.829","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15349.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:53:01.416","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15349.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:53:14.776","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15351.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:53:24.32","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:53:24.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:36.79","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:36.79","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:37.202","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:37.202","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:38.18","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:38.18","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:41.283","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:41.283","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:47.678","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:47.678","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:50.176","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:50.176","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:50.176","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:51.576","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:51.576","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:56:51.576","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15349.75<br />avg_total: 15351.57<br />curr_cost_per_share: 0.8375<br />curr_half_min_move: 0.45791618686903<br />curr_liq_cost: 16.75<br />curr_opt_t_minutes: 3.4682265974509<br />daily_vol_normal: 43.556921362409<br />destination_price: 15351.75<br />drift: -0.030747121643422<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.77631578947368<br />init_drift: 0<br />init_half_min_move: 1.6893268695035<br />init_liq_cost: 14.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.21117838253574<br />init_vol_normal: 160.68852711558<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: 1<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 249<br />slip_toler: 0<br />slippage: 1.8200000000015<br />slippage_sweep: -0.26999999999862<br />sweep_residual: 6<br />sweep_to_fill: 15351.84<br />total_dollar: 383789.25<br />total_drift: -6.0049879376671<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.68852711558<br />worst_opt_t_minutes: 2.9559164690276

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15349.75<br />avg_total: 15351.57<br />destination_price: 15351.75<br />market_vwap: <br />n_kids: 25<br />slippage: 1.8200000000015<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383789.25<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>2023-07-02T22:52:41.987</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15349.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.221</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15350</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.476</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15350</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.828</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15350</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.829</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15349.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:01.416</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15349.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:14.776</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15351.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:24.32</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:24.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:36.79</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:36.79</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:37.202</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:37.202</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:38.18</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:38.18</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:41.283</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:41.283</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:47.678</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:47.678</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:50.176</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:50.176</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:50.176</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:51.576</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:51.576</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:51.576</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</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>2023-07-02T22:52:41.987</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15349.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.221</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15350</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.476</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15350</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.828</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15350</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:52:50.829</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15349.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:01.416</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15349.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:14.776</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15351.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:24.32</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:53:24.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:36.79</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:36.79</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:37.202</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:37.202</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:38.18</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:38.18</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:41.283</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:41.283</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:47.678</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:47.678</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:50.176</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:50.176</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:50.176</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:51.576</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:51.576</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:56:51.576</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15351.57

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.78

Computed Drift

-0.03

Computed Seconds Spent

249.00

Computed Volatility

43.56