SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 00:56

Buy / Sell

Buy

Quantity

25

Arrival Price

15353.6250

Average Total

15354.0700

Destination Price

15353.0000

Slippage

0.4450

Slippage Sweep

-1.3500

Sweep to Fill

15355.4200

Algo Diagnostics

{ "customState": { "sweep_to_fill": { "asDouble": 15355.419999999998 }, "init_half_min_move": { "asDouble": 1.689753335186631 }, "init_vol_normal": { "asDouble": 160.72909246958338 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.31371050406787604 }, "init_liq_cost": { "asDouble": 19.875 }, "worst_opt_t_minutes": { "asDouble": 2.8483902489475654 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.49227459379624644 }, "curr_cost_per_share": { "asDouble": 0.8 }, "init_cost_per_share": { "asDouble": 0.9464285714285714 }, "curr_opt_t_minutes": { "asDouble": 2.8344901726192124 }, "drift": { "asDouble": -0.058232667587628434 }, "slippage": { "asDouble": 0.44500000000152795 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15352.999999999998 }, "sweep_residual": { "asDouble": 4 }, "total_dollar": { "asDouble": 383851.75 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 226 }, "total_vol": { "asDouble": 160.72909246958338 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 20 }, "arrival_price": { "asDouble": 15353.624999999998 }, "avg_total": { "asDouble": 15354.07 }, "daily_vol_normal": { "asDouble": 46.82508805225378 }, "total_drift": { "asDouble": -6.006503879507074 }, "slippage_sweep": { "asDouble": -1.3499999999985448 }, "last_aggressive_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 16 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 3 } } }

Fills Array

[{"Timestamp":"2023-07-03T00:52:42.109","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15354.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:52:50.998","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15354.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:38.209","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:38.209","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:38.476","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:38.826","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:38.827","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:38.877","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:38.877","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:53:39.925","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:56:15.787","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:56:15.878","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:56:16.02","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:56:16.887","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:56:16.976","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:56:17.387","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T00:56:17.387","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15353.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15353.625<br />avg_total: 15354.07<br />curr_cost_per_share: 0.8<br />curr_half_min_move: 0.49227459379625<br />curr_liq_cost: 20<br />curr_opt_t_minutes: 2.8344901726192<br />daily_vol_normal: 46.825088052254<br />destination_price: 15353<br />drift: -0.058232667587628<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.94642857142857<br />init_drift: 0<br />init_half_min_move: 1.6897533351866<br />init_liq_cost: 19.875<br />init_min_duration: 0<br />init_opt_t_minutes: 0.31371050406788<br />init_vol_normal: 160.72909246958<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: 3<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 226<br />slip_toler: 0<br />slippage: 0.44500000000153<br />slippage_sweep: -1.3499999999985<br />sweep_residual: 4<br />sweep_to_fill: 15355.42<br />total_dollar: 383851.75<br />total_drift: -6.0065038795071<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.72909246958<br />worst_opt_t_minutes: 2.8483902489476

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15353.625<br />avg_total: 15354.07<br />destination_price: 15353<br />market_vwap: <br />n_kids: 16<br />slippage: 0.44500000000153<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383851.75<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>2023-07-03T00:52:42.109</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15354.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:52:50.998</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15354</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.209</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.209</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.476</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.826</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.827</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:39.925</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:15.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:15.878</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:16.02</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:16.887</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:16.976</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:17.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:17.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353.75</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>2023-07-03T00:52:42.109</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15354.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:52:50.998</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15354</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.209</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.209</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.476</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.826</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.827</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:38.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:53:39.925</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:15.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:15.878</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:16.02</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:16.887</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:16.976</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:17.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T00:56:17.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15354.07

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.95

Computed Drift

-0.06

Computed Seconds Spent

226.00

Computed Volatility

46.83