SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 19:55

Buy / Sell

Buy

Quantity

50

Arrival Price

70.4100

Average Total

70.4000

Destination Price

70.3900

Slippage

-0.0100

Slippage Sweep

-0.0292

Sweep to Fill

70.4292

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.4292 }, "init_half_min_move": { "asDouble": 0.007749019031693863 }, "init_vol_normal": { "asDouble": 0.7370855677915389 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9599999999999795 }, "init_opt_t_minutes": { "asDouble": 6.139160709004281 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.005183925498826922 }, "curr_cost_per_share": { "asDouble": 0.023200000000009026 }, "init_cost_per_share": { "asDouble": 0.019199999999999592 }, "slippage": { "asDouble": -0.009999999999976694 }, "drift": { "asDouble": -0.0009694517290179876 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.38999999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3520.000000000001 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 28 }, "total_vol": { "asDouble": 0.737085567791539 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.1600000000004513 }, "arrival_price": { "asDouble": 70.41 }, "avg_total": { "asDouble": 70.40000000000002 }, "daily_vol_normal": { "asDouble": 0.49309424251815837 }, "last_aggressive_qty": { "asInt32": 15 }, "slippage_sweep": { "asDouble": -0.02919999999997458 }, "total_drift": { "asDouble": -0.18938137032842356 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 9 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

[{"Timestamp":"2023-07-02T19:55:58.175","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.175","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.175","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.199","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.209","Security":"SIM:CLQ3","Side":"Buy","LastShares":6.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.22","Security":"SIM:CLQ3","Side":"Buy","LastShares":6.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.294","Security":"SIM:CLQ3","Side":"Buy","LastShares":8.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.377","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.42","Security":"SIM:CLQ3","Side":"Buy","LastShares":8.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.479","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.587","Security":"SIM:CLQ3","Side":"Buy","LastShares":14.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:55:58.591","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.41<br />avg_total: 70.4<br />curr_cost_per_share: 0.023200000000009<br />curr_half_min_move: 0.0051839254988269<br />curr_liq_cost: 1.1600000000005<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.49309424251816<br />destination_price: 70.39<br />drift: -0.00096945172901799<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.0192<br />init_drift: 0<br />init_half_min_move: 0.0077490190316939<br />init_liq_cost: 0.95999999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 6.1391607090043<br />init_vol_normal: 0.73708556779154<br />last_aggressive_qty: 15<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: 9<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 28<br />slip_toler: 0<br />slippage: -0.0099999999999767<br />slippage_sweep: -0.029199999999975<br />sweep_residual: 0<br />sweep_to_fill: 70.4292<br />total_dollar: 3520<br />total_drift: -0.18938137032842<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73708556779154<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.41<br />avg_total: 70.4<br />destination_price: 70.39<br />market_vwap: <br />n_kids: 9<br />slippage: -0.0099999999999767<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3520<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>2023-07-02T19:55:58.175</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.175</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.175</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.199</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.22</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.294</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>8</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.42</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>8</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>14</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.591</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</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>2023-07-02T19:55:58.175</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.175</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.175</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.199</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.22</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.294</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>8</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.377</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.42</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>8</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>14</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:55:58.591</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</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

0.02

Computed Drift

0.00

Computed Seconds Spent

28.00

Computed Volatility

0.49