SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 00:12

Buy / Sell

Buy

Quantity

50

Arrival Price

70.6350

Average Total

70.6638

Destination Price

70.6400

Slippage

0.0288

Slippage Sweep

0.0074

Sweep to Fill

70.6564

Algo Diagnostics

{ "customState": { "n_kids": { "asInt32": 47 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 4 }, "sweep_to_fill": { "asDouble": 70.65639999999999 }, "init_half_min_move": { "asDouble": 0.007773781555229315 }, "init_vol_normal": { "asDouble": 0.7394409754431949 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 7.578144485027414 }, "init_liq_cost": { "asDouble": 1.0700000000002063 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007637089795017595 }, "curr_cost_per_share": { "asDouble": 0.021000000000010743 }, "init_cost_per_share": { "asDouble": 0.021400000000004128 }, "curr_opt_t_minutes": { "asDouble": 8.308942031157137 }, "drift": { "asDouble": -0.002058823724074504 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.028800000000046566 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.63999999999999 }, "total_dollar": { "asDouble": 3533.190000000002 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 598 }, "total_vol": { "asDouble": 0.7394409754431948 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0500000000005372 }, "arrival_price": { "asDouble": 70.63499999999999 }, "avg_total": { "asDouble": 70.66380000000004 }, "daily_vol_normal": { "asDouble": 0.7264388750126767 }, "total_drift": { "asDouble": -0.18998655152887653 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": 0.0074000000000467026 }, "economic_model": { "asInt32": 0 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.635<br />avg_total: 70.6638<br />curr_cost_per_share: 0.021000000000011<br />curr_half_min_move: 0.0076370897950176<br />curr_liq_cost: 1.0500000000005<br />curr_opt_t_minutes: 8.3089420311571<br />daily_vol_normal: 0.72643887501268<br />destination_price: 70.64<br />drift: -0.0020588237240745<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.021400000000004<br />init_drift: 0<br />init_half_min_move: 0.0077737815552293<br />init_liq_cost: 1.0700000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 7.5781444850274<br />init_vol_normal: 0.73944097544319<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: 4<br />n_kids: 47<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 598<br />slip_toler: 0<br />slippage: 0.028800000000047<br />slippage_sweep: 0.0074000000000467<br />sweep_residual: 0<br />sweep_to_fill: 70.6564<br />total_dollar: 3533.19<br />total_drift: -0.18998655152888<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73944097544319<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.635<br />avg_total: 70.6638<br />destination_price: 70.64<br />market_vwap: <br />n_kids: 47<br />slippage: 0.028800000000047<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3533.19<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>2023-07-03T00:02:22.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:23.884</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:41.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:00.597</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:00.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:00.599</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:54.12</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:09:23.779</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.779</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.779</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.78</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.782</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.708</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.708</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.493</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.493</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.493</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:12:22.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.65</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>2023-07-03T00:02:22.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:23.884</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:02:41.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.64</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:00.597</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:00.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:00.599</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:03:54.12</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.65</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:09:23.779</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.779</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.779</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.78</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.781</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:23.782</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.708</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.708</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.709</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:24.71</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.492</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.493</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.493</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:09:25.493</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.67</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T00:12:22.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.65</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.66

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

598.00

Computed Volatility

0.73