SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 01:25

Buy / Sell

Buy

Quantity

50

Arrival Price

70.4050

Average Total

70.3824

Destination Price

70.3750

Slippage

-0.0226

Slippage Sweep

-0.0418

Sweep to Fill

70.4242

Algo Diagnostics

{ "customState": { "sweep_to_fill": { "asDouble": 70.4242 }, "init_half_min_move": { "asDouble": 0.007748468753393077 }, "init_vol_normal": { "asDouble": 0.73703322539928 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 6.140032717907847 }, "init_liq_cost": { "asDouble": 0.9599999999997806 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.008516441326355683 }, "curr_cost_per_share": { "asDouble": 0.018799999999995123 }, "init_cost_per_share": { "asDouble": 0.019199999999995613 }, "slippage": { "asDouble": -0.022599999999997067 }, "drift": { "asDouble": -0.0012866951580395218 }, "curr_opt_t_minutes": { "asDouble": 5.208622956925445 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.375 }, "total_dollar": { "asDouble": 3519.12 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.73703322539928 }, "seconds_spent": { "asDouble": 9 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9399999999997561 }, "arrival_price": { "asDouble": 70.405 }, "avg_total": { "asDouble": 70.3824 }, "daily_vol_normal": { "asDouble": 0.8100826652929302 }, "last_aggressive_qty": { "asInt32": 7 }, "total_drift": { "asDouble": -0.1893679218573024 }, "slippage_sweep": { "asDouble": -0.04179999999999495 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 9 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2023-07-03T01:25:41.677","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.4,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:25:45.112","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T01:25:45.12","Security":"SIM:CLQ3","Side":"Buy","LastShares":6.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T01:25:45.176","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.38,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:25:45.176","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.39,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T01:25:45.277","Security":"SIM:CLQ3","Side":"Buy","LastShares":6.0,"LastPrice":70.38,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T01:25:45.52","Security":"SIM:CLQ3","Side":"Buy","LastShares":7.0,"LastPrice":70.38,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T01:25:45.676","Security":"SIM:CLQ3","Side":"Buy","LastShares":7.0,"LastPrice":70.38,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T01:25:45.876","Security":"SIM:CLQ3","Side":"Buy","LastShares":7.0,"LastPrice":70.38,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T01:25:45.976","Security":"SIM:CLQ3","Side":"Buy","LastShares":7.0,"LastPrice":70.38,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.3824<br />curr_cost_per_share: 0.018799999999995<br />curr_half_min_move: 0.0085164413263557<br />curr_liq_cost: 0.93999999999976<br />curr_opt_t_minutes: 5.2086229569254<br />daily_vol_normal: 0.81008266529293<br />destination_price: 70.375<br />drift: -0.0012866951580395<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019199999999996<br />init_drift: 0<br />init_half_min_move: 0.0077484687533931<br />init_liq_cost: 0.95999999999978<br />init_min_duration: 0<br />init_opt_t_minutes: 6.1400327179078<br />init_vol_normal: 0.73703322539928<br />last_aggressive_qty: 7<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: 9<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 9<br />slip_toler: 0<br />slippage: -0.022599999999997<br />slippage_sweep: -0.041799999999995<br />sweep_residual: 0<br />sweep_to_fill: 70.4242<br />total_dollar: 3519.12<br />total_drift: -0.1893679218573<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73703322539928<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.3824<br />destination_price: 70.375<br />market_vwap: <br />n_kids: 9<br />slippage: -0.022599999999997<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3519.12<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>2023-07-03T01:25:41.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:25:45.112</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.12</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.38</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:25:45.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.52</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</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>2023-07-03T01:25:41.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:25:45.112</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.12</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.38</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:25:45.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.52</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T01:25:45.976</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.38

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

9.00

Computed Volatility

0.81