SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:06

Buy / Sell

Buy

Quantity

50

Arrival Price

70.2550

Average Total

70.3178

Destination Price

70.3550

Slippage

0.0628

Slippage Sweep

0.0472

Sweep to Fill

70.2706

Algo Diagnostics

{ "customState": { "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 70.2706 }, "init_half_min_move": { "asDouble": 0.007731960404369443 }, "init_vol_normal": { "asDouble": 0.7354629536315093 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.7800000000000438 }, "init_opt_t_minutes": { "asDouble": 4.070708031590549 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.009250717827047122 }, "curr_cost_per_share": { "asDouble": 0.013200000000005048 }, "init_cost_per_share": { "asDouble": 0.015600000000000875 }, "curr_opt_t_minutes": { "asDouble": 3.0723095339385402 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": 0.06280000000000996 }, "drift": { "asDouble": -0.006434920479672031 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.35499999999999 }, "total_dollar": { "asDouble": 3515.8900000000003 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7354629536315093 }, "seconds_spent": { "asDouble": 294 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.6600000000002524 }, "arrival_price": { "asDouble": 70.255 }, "avg_total": { "asDouble": 70.3178 }, "daily_vol_normal": { "asDouble": 0.879926939673274 }, "slippage_sweep": { "asDouble": 0.04720000000000368 }, "total_drift": { "asDouble": -0.18896446772366704 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 47 }, "init_min_duration": { "asDouble": 0 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.255<br />avg_total: 70.3178<br />curr_cost_per_share: 0.013200000000005<br />curr_half_min_move: 0.0092507178270471<br />curr_liq_cost: 0.66000000000025<br />curr_opt_t_minutes: 3.0723095339385<br />daily_vol_normal: 0.87992693967327<br />destination_price: 70.355<br />drift: -0.006434920479672<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.015600000000001<br />init_drift: 0<br />init_half_min_move: 0.0077319604043694<br />init_liq_cost: 0.78000000000004<br />init_min_duration: 0<br />init_opt_t_minutes: 4.0707080315905<br />init_vol_normal: 0.73546295363151<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: 1<br />n_kids: 47<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 294<br />slip_toler: 0<br />slippage: 0.06280000000001<br />slippage_sweep: 0.047200000000004<br />sweep_residual: 0<br />sweep_to_fill: 70.2706<br />total_dollar: 3515.89<br />total_drift: -0.18896446772367<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73546295363151<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.255<br />avg_total: 70.3178<br />destination_price: 70.355<br />market_vwap: <br />n_kids: 47<br />slippage: 0.06280000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3515.89<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>2023-07-03T02:02:05.385</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:08.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:15.22</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:16.03</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:18.52</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:21.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:22.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:22.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:22.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:37.906</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:18.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:23.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:23.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:35.731</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:03:35.733</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:03:35.733</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:03:35.733</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:04:05.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.088</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.088</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.088</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.089</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.089</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.29</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:27.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:06:27.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:06:27.788</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:06:59.631</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.631</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.631</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.632</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.632</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.632</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.633</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.633</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.633</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.634</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</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>2023-07-03T02:02:05.385</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:08.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:15.22</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:16.03</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:18.52</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:21.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:22.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:22.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:22.277</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:37.906</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:18.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:23.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:23.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:03:35.731</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:03:35.733</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:03:35.733</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:03:35.733</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:04:05.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.088</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.088</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.088</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.089</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:04:05.089</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.288</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.289</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:05:13.29</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:27.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:06:27.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:06:27.788</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:06:59.631</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.631</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.631</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.632</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.632</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.632</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.633</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.633</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.633</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:06:59.634</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.32

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.02

Computed Drift

-0.01

Computed Seconds Spent

294.00

Computed Volatility

0.88