SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 03:10

Buy / Sell

Buy

Quantity

50

Arrival Price

70.4750

Average Total

70.4708

Destination Price

70.4450

Slippage

-0.0042

Slippage Sweep

-0.0228

Sweep to Fill

70.4936

Algo Diagnostics

{ "customState": { "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 70.4936 }, "init_half_min_move": { "asDouble": 0.007756172649604106 }, "init_vol_normal": { "asDouble": 0.7377660188909062 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.7508356052556024 }, "init_liq_cost": { "asDouble": 0.9300000000001205 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010765668135669555 }, "curr_cost_per_share": { "asDouble": 0.021200000000003456 }, "init_cost_per_share": { "asDouble": 0.01860000000000241 }, "curr_opt_t_minutes": { "asDouble": 3.923499347131626 }, "drift": { "asDouble": -0.00024935835347287785 }, "slippage": { "asDouble": -0.004200000000025739 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.445 }, "total_dollar": { "asDouble": 3523.5399999999986 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 272 }, "total_vol": { "asDouble": 0.7377660188909061 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0600000000001728 }, "arrival_price": { "asDouble": 70.475 }, "avg_total": { "asDouble": 70.47079999999997 }, "daily_vol_normal": { "asDouble": 1.0240287935775925 }, "total_drift": { "asDouble": -0.18955620045299884 }, "slippage_sweep": { "asDouble": -0.022800000000032128 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 34 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.475<br />avg_total: 70.4708<br />curr_cost_per_share: 0.021200000000003<br />curr_half_min_move: 0.01076566813567<br />curr_liq_cost: 1.0600000000002<br />curr_opt_t_minutes: 3.9234993471316<br />daily_vol_normal: 1.0240287935776<br />destination_price: 70.445<br />drift: -0.00024935835347288<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.018600000000002<br />init_drift: 0<br />init_half_min_move: 0.0077561726496041<br />init_liq_cost: 0.93000000000012<br />init_min_duration: 0<br />init_opt_t_minutes: 5.7508356052556<br />init_vol_normal: 0.73776601889091<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: 34<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 272<br />slip_toler: 0<br />slippage: -0.0042000000000257<br />slippage_sweep: -0.022800000000032<br />sweep_residual: 0<br />sweep_to_fill: 70.4936<br />total_dollar: 3523.54<br />total_drift: -0.189556200453<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73776601889091<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.475<br />avg_total: 70.4708<br />destination_price: 70.445<br />market_vwap: <br />n_kids: 34<br />slippage: -0.0042000000000257<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3523.54<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>2023-07-03T03:06:22.222</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:22.222</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:27.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:27.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:28.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:28.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:37.015</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:37.016</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:55.015</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.575</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.605</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.782</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:05.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:07.313</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:11.679</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:07:12.092</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:12.215</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:19.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.52</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:43.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:59.283</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:08:00.182</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:08:02.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:34.92</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:40.028</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.46</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:10:45.031</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.45</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>2023-07-03T03:06:22.222</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:22.222</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:27.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:27.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:28.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:28.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:37.015</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:37.016</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.51</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:55.015</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.575</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.605</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:02.782</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:05.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:07.313</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:11.679</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:07:12.092</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:12.215</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:19.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.52</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:43.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:07:59.283</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:08:00.182</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:08:02.676</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:34.92</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:40.028</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.46</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:10:45.031</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:45.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.45</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.47

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

272.00

Computed Volatility

1.02