SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/02/2023 - 23:04

Buy / Sell

Sell

Quantity

25

Arrival Price

15352.0000

Average Total

15352.2000

Destination Price

15352.5000

Slippage

-0.2000

Slippage Sweep

-1.0700

Sweep to Fill

15351.1300

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 160.7120811920992 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.26514522808193003 }, "init_liq_cost": { "asDouble": 21.75 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.4595062638895565 }, "curr_cost_per_share": { "asDouble": 0.7631578947368421 }, "init_cost_per_share": { "asDouble": 0.87 }, "slippage": { "asDouble": -0.20000000000254659 }, "drift": { "asDouble": -0.056250883485756985 }, "curr_opt_t_minutes": { "asDouble": 2.556378145465618 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 15352.499999999998 }, "total_dollar": { "asDouble": 383805 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 463 }, "total_vol": { "asDouble": 160.7120811920992 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 14.5 }, "arrival_price": { "asDouble": 15351.999999999998 }, "avg_total": { "asDouble": 15352.2 }, "daily_vol_normal": { "asDouble": 43.70816925826633 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_sweep": { "asDouble": -1.070000000003347 }, "total_drift": { "asDouble": -6.00586816196127 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 14 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 5 }, "sweep_to_fill": { "asDouble": 15351.129999999997 }, "init_half_min_move": { "asDouble": 1.6895744947388749 } } }

Fills Array

[{"Timestamp":"2023-07-02T22:57:06.731","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:57:15.889","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:57:15.9","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:57:22.798","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:57:22.808","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:57:32.387","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:57:40.987","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:57:56.409","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:58:02.698","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:58:29.487","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T22:59:43.391","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T23:04:35.087","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T23:04:35.498","Security":"SIM:NQU3","Side":"Sell","LastShares":4.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-02T23:04:35.508","Security":"SIM:NQU3","Side":"Sell","LastShares":5.0,"LastPrice":15352.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15352<br />avg_total: 15352.2<br />curr_cost_per_share: 0.76315789473684<br />curr_half_min_move: 0.45950626388956<br />curr_liq_cost: 14.5<br />curr_opt_t_minutes: 2.5563781454656<br />daily_vol_normal: 43.708169258266<br />destination_price: 15352.5<br />drift: -0.056250883485757<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.87<br />init_drift: 0<br />init_half_min_move: 1.6895744947389<br />init_liq_cost: 21.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.26514522808193<br />init_vol_normal: 160.7120811921<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 5<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 463<br />slip_toler: 0<br />slippage: -0.20000000000255<br />slippage_sweep: -1.0700000000033<br />sweep_residual: 0<br />sweep_to_fill: 15351.13<br />total_dollar: 383805<br />total_drift: -6.0058681619613<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.7120811921<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15352<br />avg_total: 15352.2<br />destination_price: 15352.5<br />market_vwap: <br />n_kids: 14<br />slippage: -0.20000000000255<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383805<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>2023-07-02T22:57:06.731</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:15.889</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:15.9</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:22.798</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:22.808</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:32.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:40.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:56.409</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:58:02.698</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:58:29.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:59:43.391</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T23:04:35.087</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T23:04:35.498</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>4</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T23:04:35.508</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>5</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>2023-07-02T22:57:06.731</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:15.889</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:15.9</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:22.798</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:22.808</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:32.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:40.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:57:56.409</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:58:02.698</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:58:29.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T22:59:43.391</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T23:04:35.087</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T23:04:35.498</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>4</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T23:04:35.508</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>5</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15352.20

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.87

Computed Drift

-0.06

Computed Seconds Spent

463.00

Computed Volatility

43.71