SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 20:00

Buy / Sell

Sell

Quantity

50

Arrival Price

70.4050

Average Total

70.4206

Destination Price

70.4350

Slippage

-0.0156

Slippage Sweep

-0.0438

Sweep to Fill

70.3768

Algo Diagnostics

{ "customState": { "curr_cost_per_share": { "asDouble": 0.025600000000007412 }, "init_cost_per_share": { "asDouble": 0.028200000000007604 }, "drift": { "asDouble": -0.0004996080035361932 }, "slippage": { "asDouble": -0.015600000000006276 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 70.435 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3521.0300000000007 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.73703322539928 }, "seconds_spent": { "asDouble": 211 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.2800000000003706 }, "arrival_price": { "asDouble": 70.405 }, "avg_total": { "asDouble": 70.42060000000001 }, "daily_vol_normal": { "asDouble": 0.49968479967375545 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_sweep": { "asDouble": -0.04380000000001871 }, "total_drift": { "asDouble": -0.1893679218573024 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 20 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.37679999999999 }, "init_half_min_move": { "asDouble": 0.007748468753393077 }, "init_vol_normal": { "asDouble": 0.73703322539928 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 13.245441673703073 }, "init_liq_cost": { "asDouble": 1.4100000000003803 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.005253212370066588 } } }

Fills Array

[{"Timestamp":"2023-07-02T19:57:49.087","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T19:57:56.717","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:56.718","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T19:57:56.718","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:00:24.509","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:24.519","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:24.531","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:24.787","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:24.82","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:25.087","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.42,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:00:25.087","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:25.119","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:26.487","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:26.509","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:26.687","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:27.476","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-02T20:00:41.912","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:00:41.931","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:00:42.02","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:00:42.087","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T20:00:42.097","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.43,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.4206<br />curr_cost_per_share: 0.025600000000007<br />curr_half_min_move: 0.0052532123700666<br />curr_liq_cost: 1.2800000000004<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.49968479967376<br />destination_price: 70.435<br />drift: -0.00049960800353619<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.028200000000008<br />init_drift: 0<br />init_half_min_move: 0.0077484687533931<br />init_liq_cost: 1.4100000000004<br />init_min_duration: 0<br />init_opt_t_minutes: 13.245441673703<br />init_vol_normal: 0.73703322539928<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<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: 211<br />slip_toler: 0<br />slippage: -0.015600000000006<br />slippage_sweep: -0.043800000000019<br />sweep_residual: 0<br />sweep_to_fill: 70.3768<br />total_dollar: 3521.03<br />total_drift: -0.1893679218573<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73703322539928<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.4206<br />destination_price: 70.435<br />market_vwap: <br />n_kids: 20<br />slippage: -0.015600000000006<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3521.03<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>2023-07-02T19:57:49.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:56.717</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:56.718</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:56.718</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:24.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.519</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.531</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.82</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:25.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:25.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:25.119</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:26.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:26.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:26.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:27.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:41.912</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:41.931</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:42.02</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:42.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:42.097</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.43</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>2023-07-02T19:57:49.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T19:57:56.717</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:56.718</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T19:57:56.718</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:24.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.519</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.531</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:24.82</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:25.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:25.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:25.119</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:26.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:26.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:26.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:27.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T20:00:41.912</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:41.931</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:42.02</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:42.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T20:00:42.097</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.43</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.42

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

211.00

Computed Volatility

0.50