SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 00:02

Buy / Sell

Buy

Quantity

50

Arrival Price

70.6550

Average Total

70.6448

Destination Price

70.6400

Slippage

-0.0102

Slippage Sweep

-0.0292

Sweep to Fill

70.6740

Algo Diagnostics

{ "customState": { "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 127 }, "total_vol": { "asDouble": 0.7396503450122309 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8700000000004451 }, "arrival_price": { "asDouble": 70.655 }, "avg_total": { "asDouble": 70.64480000000002 }, "daily_vol_normal": { "asDouble": 0.7181827782174182 }, "slippage_sweep": { "asDouble": -0.02919999999997458 }, "last_aggressive_qty": { "asInt32": 1 }, "total_drift": { "asDouble": -0.19004034541336126 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 28 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.67399999999999 }, "init_half_min_move": { "asDouble": 0.007775982668432467 }, "init_vol_normal": { "asDouble": 0.739650345012231 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9499999999998039 }, "init_opt_t_minutes": { "asDouble": 5.970306593189127 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007550293018646499 }, "curr_cost_per_share": { "asDouble": 0.0174000000000089 }, "init_cost_per_share": { "asDouble": 0.01899999999999608 }, "curr_opt_t_minutes": { "asDouble": 5.877768212072857 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.010199999999983334 }, "drift": { "asDouble": -0.0018394400019042002 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.63999999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3532.2400000000007 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2023-07-03T00:00:14.597","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:00:27.976","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:00:27.976","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:00:27.976","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:00:56.482","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:01:21.077","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:01:21.077","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:01:21.078","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:01:21.078","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:01:32.177","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.66,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:16.087","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:16.109","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.64,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:02:16.109","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:02:16.176","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:16.276","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:16.387","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:16.398","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:02:20.202","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.209","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.286","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.32","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.387","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.509","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.619","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:02:20.62","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.65,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:02:20.698","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.719","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:20.778","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:21.009","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T00:02:22.009","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.64,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.655<br />avg_total: 70.6448<br />curr_cost_per_share: 0.017400000000009<br />curr_half_min_move: 0.0075502930186465<br />curr_liq_cost: 0.87000000000045<br />curr_opt_t_minutes: 5.8777682120729<br />daily_vol_normal: 0.71818277821742<br />destination_price: 70.64<br />drift: -0.0018394400019042<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.018999999999996<br />init_drift: 0<br />init_half_min_move: 0.0077759826684325<br />init_liq_cost: 0.9499999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 5.9703065931891<br />init_vol_normal: 0.73965034501223<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: 0<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 127<br />slip_toler: 0<br />slippage: -0.010199999999983<br />slippage_sweep: -0.029199999999975<br />sweep_residual: 0<br />sweep_to_fill: 70.674<br />total_dollar: 3532.24<br />total_drift: -0.19004034541336<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73965034501223<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.655<br />avg_total: 70.6448<br />destination_price: 70.64<br />market_vwap: <br />n_kids: 28<br />slippage: -0.010199999999983<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3532.24<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>2023-07-03T00:00:14.597</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:00:27.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:00:27.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:00:27.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:00:56.482</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.077</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.077</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:32.177</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:16.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:16.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.398</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:20.202</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.286</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.32</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.509</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.619</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:20.62</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:20.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.719</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.778</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:21.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:22.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</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>2023-07-03T00:00:14.597</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:00:27.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:00:27.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:00:27.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:00:56.482</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.077</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.077</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:21.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:01:32.177</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.66</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:16.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:16.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:16.398</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:20.202</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.286</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.32</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.509</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.619</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:20.62</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:02:20.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.719</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:20.778</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:21.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:22.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.64

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

127.00

Computed Volatility

0.72