SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:39

Buy / Sell

Buy

Quantity

50

Arrival Price

70.2450

Average Total

70.3406

Destination Price

70.4750

Slippage

0.0956

Slippage Sweep

0.0762

Sweep to Fill

70.2644

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 70.2644 }, "init_half_min_move": { "asDouble": 0.007730859847767867 }, "init_vol_normal": { "asDouble": 0.7353582688469913 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 6.297205408276008 }, "init_liq_cost": { "asDouble": 0.9699999999995015 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.009978123813820591 }, "curr_cost_per_share": { "asDouble": 0.020600000000003435 }, "init_cost_per_share": { "asDouble": 0.01939999999999003 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": 0.09559999999996194 }, "drift": { "asDouble": 0.002995876552254142 }, "curr_opt_t_minutes": { "asDouble": 3.650548219797671 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.475 }, "total_dollar": { "asDouble": 3517.0299999999984 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7353582688469913 }, "seconds_spent": { "asDouble": 367 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0300000000001717 }, "arrival_price": { "asDouble": 70.245 }, "avg_total": { "asDouble": 70.34059999999997 }, "daily_vol_normal": { "asDouble": 0.949117691764986 }, "total_drift": { "asDouble": -0.1889375707814247 }, "slippage_sweep": { "asDouble": 0.07619999999997162 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 43 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.245<br />avg_total: 70.3406<br />curr_cost_per_share: 0.020600000000003<br />curr_half_min_move: 0.0099781238138206<br />curr_liq_cost: 1.0300000000002<br />curr_opt_t_minutes: 3.6505482197977<br />daily_vol_normal: 0.94911769176499<br />destination_price: 70.475<br />drift: 0.0029958765522541<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01939999999999<br />init_drift: 0<br />init_half_min_move: 0.0077308598477679<br />init_liq_cost: 0.9699999999995<br />init_min_duration: 0<br />init_opt_t_minutes: 6.297205408276<br />init_vol_normal: 0.73535826884699<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: 43<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 367<br />slip_toler: 0<br />slippage: 0.095599999999962<br />slippage_sweep: 0.076199999999972<br />sweep_residual: 0<br />sweep_to_fill: 70.2644<br />total_dollar: 3517.03<br />total_drift: -0.18893757078142<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73535826884699<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.245<br />avg_total: 70.3406<br />destination_price: 70.475<br />market_vwap: <br />n_kids: 43<br />slippage: 0.095599999999962<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3517.03<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>2023-07-03T02:33:45.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:46.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:50.403</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:57.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:59.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:34:01.629</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:14.001</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:14.881</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:14.882</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:21.777</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:24.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:24.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:25.38</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:26.096</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:27.922</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.23</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:34:27.922</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:27.931</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:29.21</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:44.275</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:35:00.385</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:02.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:02.504</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:04.59</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:17.099</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:52.688</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.688</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.688</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.879</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.879</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.879</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.88</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.88</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.88</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</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>2023-07-03T02:33:45.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:46.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:50.403</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:57.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:59.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:34:01.629</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:14.001</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:14.881</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:14.882</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:21.777</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:24.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:24.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:25.38</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:26.096</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:27.922</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.23</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:34:27.922</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:27.931</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:29.21</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:34:44.275</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:35:00.385</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:02.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:02.504</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:04.59</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.24</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:35:17.099</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:52.688</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.688</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.688</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.876</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.879</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.879</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.879</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.88</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.88</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:52.88</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:39:53.002</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.34

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

367.00

Computed Volatility

0.95