SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:08

Buy / Sell

Sell

Quantity

50

Arrival Price

70.3550

Average Total

70.3734

Destination Price

70.3850

Slippage

-0.0184

Slippage Sweep

-0.0346

Sweep to Fill

70.3388

Algo Diagnostics

{ "customState": { "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0099999999997635 }, "arrival_price": { "asDouble": 70.35499999999999 }, "avg_total": { "asDouble": 70.3734 }, "daily_vol_normal": { "asDouble": 0.885723575048474 }, "last_aggressive_qty": { "asInt32": 4 }, "total_drift": { "asDouble": -0.1892334371460906 }, "slippage_sweep": { "asDouble": -0.03460000000001173 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 8 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.33879999999999 }, "init_half_min_move": { "asDouble": 0.007742965970385198 }, "init_vol_normal": { "asDouble": 0.7365098014766897 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8099999999998175 }, "init_opt_t_minutes": { "asDouble": 4.377390871527584 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.009311658157186537 }, "curr_cost_per_share": { "asDouble": 0.02019999999999527 }, "init_cost_per_share": { "asDouble": 0.01619999999999635 }, "slippage": { "asDouble": -0.01840000000001396 }, "drift": { "asDouble": -0.004533343254718297 }, "curr_opt_t_minutes": { "asDouble": 3.671306048897567 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 70.38499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3518.67 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7365098014766895 }, "seconds_spent": { "asDouble": 6 }, "total_filled": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2023-07-03T02:08:39.391","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.36,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:08:43.976","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.36,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:08:44.216","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.37,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:08:44.22","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.37,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:08:44.276","Security":"SIM:CLQ3","Side":"Sell","LastShares":10.0,"LastPrice":70.37,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:08:44.378","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.38,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:08:44.378","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.37,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:08:44.509","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.38,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:08:44.587","Security":"SIM:CLQ3","Side":"Sell","LastShares":7.0,"LastPrice":70.38,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:08:44.687","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.38,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.355<br />avg_total: 70.3734<br />curr_cost_per_share: 0.020199999999995<br />curr_half_min_move: 0.0093116581571865<br />curr_liq_cost: 1.0099999999998<br />curr_opt_t_minutes: 3.6713060488976<br />daily_vol_normal: 0.88572357504847<br />destination_price: 70.385<br />drift: -0.0045333432547183<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016199999999996<br />init_drift: 0<br />init_half_min_move: 0.0077429659703852<br />init_liq_cost: 0.80999999999982<br />init_min_duration: 0<br />init_opt_t_minutes: 4.3773908715276<br />init_vol_normal: 0.73650980147669<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 0<br />n_kids: 8<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.018400000000014<br />slippage_sweep: -0.034600000000012<br />sweep_residual: 0<br />sweep_to_fill: 70.3388<br />total_dollar: 3518.67<br />total_drift: -0.18923343714609<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73650980147669<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.355<br />avg_total: 70.3734<br />destination_price: 70.385<br />market_vwap: <br />n_kids: 8<br />slippage: -0.018400000000014<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3518.67<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>2023-07-03T02:08:39.391</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:43.976</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:44.216</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.22</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>10</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.378</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.38</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.378</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:44.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:44.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</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>2023-07-03T02:08:39.391</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:43.976</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:44.216</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.22</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>10</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.378</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.38</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.378</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:44.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:44.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:44.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.38</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.37

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

6.00

Computed Volatility

0.89