SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:49

Buy / Sell

Sell

Quantity

50

Arrival Price

70.4950

Average Total

70.4644

Destination Price

70.5200

Slippage

0.0306

Slippage Sweep

0.0098

Sweep to Fill

70.4742

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.02080000000000922 }, "slippage": { "asDouble": 0.030600000000049477 }, "pov_agg_limit": { "asInt32": 0 }, "drift": { "asDouble": 0.0006013832774203745 }, "curr_opt_t_minutes": { "asDouble": 3.155138373182899 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 70.52 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3523.2199999999975 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 269 }, "total_vol": { "asDouble": 0.7379753884599424 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8899999999999153 }, "arrival_price": { "asDouble": 70.495 }, "avg_total": { "asDouble": 70.46439999999996 }, "daily_vol_normal": { "asDouble": 0.9692124650793623 }, "total_drift": { "asDouble": -0.1896099943374836 }, "slippage_sweep": { "asDouble": 0.00980000000004111 }, "last_aggressive_qty": { "asInt32": 6 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 35 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 6 }, "sweep_to_fill": { "asDouble": 70.4742 }, "init_half_min_move": { "asDouble": 0.007758373762807257 }, "init_vol_normal": { "asDouble": 0.7379753884599424 }, "last_tactical_qty": { "asInt32": 3 }, "init_opt_t_minutes": { "asDouble": 7.187622735683345 }, "init_liq_cost": { "asDouble": 1.040000000000461 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010189381214121116 }, "curr_cost_per_share": { "asDouble": 0.017799999999998307 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.495<br />avg_total: 70.4644<br />curr_cost_per_share: 0.017799999999998<br />curr_half_min_move: 0.010189381214121<br />curr_liq_cost: 0.88999999999992<br />curr_opt_t_minutes: 3.1551383731829<br />daily_vol_normal: 0.96921246507936<br />destination_price: 70.52<br />drift: 0.00060138327742037<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020800000000009<br />init_drift: 0<br />init_half_min_move: 0.0077583737628073<br />init_liq_cost: 1.0400000000005<br />init_min_duration: 0<br />init_opt_t_minutes: 7.1876227356833<br />init_vol_normal: 0.73797538845994<br />last_aggressive_qty: 6<br />last_tactical_qty: 3<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 6<br />n_kids: 35<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 269<br />slip_toler: 0<br />slippage: 0.030600000000049<br />slippage_sweep: 0.0098000000000411<br />sweep_residual: 0<br />sweep_to_fill: 70.4742<br />total_dollar: 3523.22<br />total_drift: -0.18960999433748<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73797538845994<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.495<br />avg_total: 70.4644<br />destination_price: 70.52<br />market_vwap: <br />n_kids: 35<br />slippage: 0.030600000000049<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3523.22<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>2023-07-03T02:44:49.483</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:45:04.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:45:04.598</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:45:04.598</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:46:10.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.189</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.191</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.191</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.193</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.193</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.193</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.196</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.021</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:49:18.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.305</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.478</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.51</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>2023-07-03T02:44:49.483</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:45:04.476</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:45:04.598</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:45:04.598</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:46:10.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.188</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.189</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.19</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.191</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.191</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.192</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.193</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.193</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.193</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.194</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:46:10.196</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.021</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:49:18.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.305</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:49:18.478</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.51</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.46

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

269.00

Computed Volatility

0.97