SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/02/2023 - 21:10

Buy / Sell

Sell

Quantity

50

Arrival Price

70.5650

Average Total

70.5760

Destination Price

70.5850

Slippage

-0.0110

Slippage Sweep

-0.0342

Sweep to Fill

70.5418

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.5418 }, "init_half_min_move": { "asDouble": 0.007766077659018287 }, "init_vol_normal": { "asDouble": 0.7387081819515686 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 1.1600000000000392 }, "init_opt_t_minutes": { "asDouble": 8.92426610433498 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.006431651384819916 }, "curr_cost_per_share": { "asDouble": 0.022199999999995727 }, "init_cost_per_share": { "asDouble": 0.023200000000000786 }, "pov_agg_limit": { "asInt32": 1 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": -0.001588992685337689 }, "slippage": { "asDouble": -0.010999999999981469 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.585 }, "total_dollar": { "asDouble": 3528.7999999999993 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 70 }, "total_vol": { "asDouble": 0.7387081819515685 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.1099999999997863 }, "arrival_price": { "asDouble": 70.565 }, "avg_total": { "asDouble": 70.57599999999998 }, "daily_vol_normal": { "asDouble": 0.6117777480514147 }, "total_drift": { "asDouble": -0.18979827293318005 }, "slippage_sweep": { "asDouble": -0.03419999999998424 }, "last_aggressive_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 30 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.565<br />avg_total: 70.576<br />curr_cost_per_share: 0.022199999999996<br />curr_half_min_move: 0.0064316513848199<br />curr_liq_cost: 1.1099999999998<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.61177774805141<br />destination_price: 70.585<br />drift: -0.0015889926853377<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.023200000000001<br />init_drift: 0<br />init_half_min_move: 0.0077660776590183<br />init_liq_cost: 1.16<br />init_min_duration: 0<br />init_opt_t_minutes: 8.924266104335<br />init_vol_normal: 0.73870818195157<br />last_aggressive_qty: 3<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: 30<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 70<br />slip_toler: 0<br />slippage: -0.010999999999981<br />slippage_sweep: -0.034199999999984<br />sweep_residual: 0<br />sweep_to_fill: 70.5418<br />total_dollar: 3528.8<br />total_drift: -0.18979827293318<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73870818195157<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.565<br />avg_total: 70.576<br />destination_price: 70.585<br />market_vwap: <br />n_kids: 30<br />slippage: -0.010999999999981<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3528.8<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>2023-07-02T21:09:42.577</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:02.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:02.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:10.678</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:17.583</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:26.926</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:33.817</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.391</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:35.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.598</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.686</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:35.721</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.876</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.125</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.131</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.309</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.408</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.175</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.377</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:47.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:47.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.58</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>2023-07-02T21:09:42.577</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:02.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:02.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.55</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:10.678</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.56</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:17.583</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:26.926</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:33.817</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.391</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:35.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.598</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.686</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:35.721</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.876</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:35.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.125</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.131</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.309</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.408</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:37.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:37.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.175</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.377</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.58</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-02T21:10:47.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.58</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:47.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.57</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-02T21:10:47.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.58</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.58

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

70.00

Computed Volatility

0.61