SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 01:40

Buy / Sell

Sell

Quantity

25

Arrival Price

15352.5000

Average Total

15352.1000

Destination Price

15353.5000

Slippage

0.4000

Slippage Sweep

-2.1400

Sweep to Fill

15349.9600

Algo Diagnostics

{ "customState": { "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15353.499999999998 }, "sweep_residual": { "asDouble": 8 }, "total_dollar": { "asDouble": 383802.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 292 }, "total_vol": { "asDouble": 160.71731543132512 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.25 }, "arrival_price": { "asDouble": 15352.499999999998 }, "avg_total": { "asDouble": 15352.1 }, "daily_vol_normal": { "asDouble": 50.02623483411758 }, "total_drift": { "asDouble": -6.006063767359978 }, "slippage_sweep": { "asDouble": -2.140000000003056 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 22 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 15349.959999999997 }, "init_half_min_move": { "asDouble": 1.6896295225689537 }, "init_vol_normal": { "asDouble": 160.7173154313251 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 13.5 }, "init_opt_t_minutes": { "asDouble": 0.22089542219435182 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.5259284169340829 }, "curr_cost_per_share": { "asDouble": 0.7794117647058824 }, "init_cost_per_share": { "asDouble": 0.7941176470588235 }, "curr_opt_t_minutes": { "asDouble": 2.364399008914725 }, "drift": { "asDouble": 0.05926611874651734 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.3999999999978172 } } }

Fills Array

[{"Timestamp":"2023-07-03T01:36:11.988","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:17.487","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:31.098","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:33.976","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:39.175","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:36:39.175","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:51.978","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:51.978","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.476","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.476","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.48","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.48","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.482","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.482","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.482","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.482","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:37:52.576","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:39:15.415","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15351.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:40:47.32","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15352.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:40:47.387","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15352.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:40:53.41","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15353.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T01:40:53.487","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15353.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15352.5<br />avg_total: 15352.1<br />curr_cost_per_share: 0.77941176470588<br />curr_half_min_move: 0.52592841693408<br />curr_liq_cost: 13.25<br />curr_opt_t_minutes: 2.3643990089147<br />daily_vol_normal: 50.026234834118<br />destination_price: 15353.5<br />drift: 0.059266118746517<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.79411764705882<br />init_drift: 0<br />init_half_min_move: 1.689629522569<br />init_liq_cost: 13.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.22089542219435<br />init_vol_normal: 160.71731543133<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: 2<br />n_kids: 22<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 292<br />slip_toler: 0<br />slippage: 0.39999999999782<br />slippage_sweep: -2.1400000000031<br />sweep_residual: 8<br />sweep_to_fill: 15349.96<br />total_dollar: 383802.5<br />total_drift: -6.00606376736<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.71731543133<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15352.5<br />avg_total: 15352.1<br />destination_price: 15353.5<br />market_vwap: <br />n_kids: 22<br />slippage: 0.39999999999782<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383802.5<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>2023-07-03T01:36:11.988</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:17.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:31.098</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:33.976</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:39.175</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:39.175</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:51.978</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:51.978</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.476</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.476</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.48</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.48</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.576</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:39:15.415</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:47.32</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:47.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:53.41</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:53.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15353.25</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>2023-07-03T01:36:11.988</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:17.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:31.098</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:33.976</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:39.175</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:36:39.175</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:51.978</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:51.978</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.476</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.476</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.48</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.48</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.482</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:37:52.576</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:39:15.415</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15351</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:47.32</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15352.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:47.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15352.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:53.41</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T01:40:53.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15353.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15352.10

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.79

Computed Drift

0.06

Computed Seconds Spent

292.00

Computed Volatility

50.03