SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 01:36

Buy / Sell

Buy

Quantity

25

Arrival Price

15353.2500

Average Total

15353.0100

Destination Price

15352.7500

Slippage

-0.2400

Slippage Sweep

-2.1600

Sweep to Fill

15355.1700

Algo Diagnostics

{ "customState": { "sweep_residual": { "asDouble": 5 }, "destination_price": { "asDouble": 15352.749999999998 }, "total_dollar": { "asDouble": 383825.25 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 28 }, "total_vol": { "asDouble": 160.72516679016394 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 21.5 }, "arrival_price": { "asDouble": 15353.249999999998 }, "avg_total": { "asDouble": 15353.01 }, "daily_vol_normal": { "asDouble": 49.893863641359374 }, "total_drift": { "asDouble": -6.006357175458042 }, "slippage_sweep": { "asDouble": -2.1599999999980355 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 14 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15355.169999999998 }, "init_half_min_move": { "asDouble": 1.689712064314072 }, "init_vol_normal": { "asDouble": 160.72516679016397 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.24566552882668272 }, "init_liq_cost": { "asDouble": 16.75 }, "worst_opt_t_minutes": { "asDouble": 3.0198213121541473 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.5245367916781377 }, "curr_cost_per_share": { "asDouble": 0.86 }, "init_cost_per_share": { "asDouble": 0.8375 }, "pov_agg_limit": { "asInt32": 3 }, "slippage": { "asDouble": -0.23999999999796273 }, "curr_opt_t_minutes": { "asDouble": 2.317619883048846 }, "drift": { "asDouble": 0.12004716709919018 }, "mbo_max": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2023-07-03T01:35:46.331","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:51.776","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:54.808","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:54.808","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:54.82","Security":"SIM:NQU3","Side":"Buy","LastShares":5.0,"LastPrice":15353.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:55.078","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:55.977","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15352.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:56.387","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:56.387","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:56.487","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15353.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:35:58.487","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:00.009","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:00.02","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15352.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:00.076","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15353.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:00.187","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15352.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15353.25<br />avg_total: 15353.01<br />curr_cost_per_share: 0.86<br />curr_half_min_move: 0.52453679167814<br />curr_liq_cost: 21.5<br />curr_opt_t_minutes: 2.3176198830488<br />daily_vol_normal: 49.893863641359<br />destination_price: 15352.75<br />drift: 0.12004716709919<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.8375<br />init_drift: 0<br />init_half_min_move: 1.6897120643141<br />init_liq_cost: 16.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.24566552882668<br />init_vol_normal: 160.72516679016<br />last_aggressive_qty: 2<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: 14<br />order_time_minutes: 10<br />pov_agg_limit: 3<br />ready: 1<br />seconds_spent: 28<br />slip_toler: 0<br />slippage: -0.23999999999796<br />slippage_sweep: -2.159999999998<br />sweep_residual: 5<br />sweep_to_fill: 15355.17<br />total_dollar: 383825.25<br />total_drift: -6.006357175458<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.72516679016<br />worst_opt_t_minutes: 3.0198213121541

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15353.25<br />avg_total: 15353.01<br />destination_price: 15352.75<br />market_vwap: <br />n_kids: 14<br />slippage: -0.23999999999796<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383825.25<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>2023-07-03T01:35:46.331</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:51.776</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:54.808</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:54.808</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:54.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>5</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:55.078</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:55.977</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:56.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:56.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:56.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:58.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.009</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.02</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.076</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15352.75</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>2023-07-03T01:35:46.331</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:51.776</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:54.808</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:54.808</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:54.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>5</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:55.078</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:55.977</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:56.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:56.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:56.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:35:58.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.009</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.02</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.076</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15353</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:00.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15353.01

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.84

Computed Drift

0.12

Computed Seconds Spent

28.00

Computed Volatility

49.89