SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 03:13

Buy / Sell

Sell

Quantity

50

Arrival Price

70.2000

Average Total

70.1800

Destination Price

70.2350

Slippage

0.0200

Slippage Sweep

-0.0020

Sweep to Fill

70.1780

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010913282677731326 }, "curr_cost_per_share": { "asDouble": 0.02959999999998672 }, "init_cost_per_share": { "asDouble": 0.021999999999991075 }, "drift": { "asDouble": -0.01079685197881525 }, "curr_opt_t_minutes": { "asDouble": 4.761241864341195 }, "slippage": { "asDouble": 0.01999999999998181 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.23499999999999 }, "total_dollar": { "asDouble": 3509 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7348871873166599 }, "seconds_spent": { "asDouble": 11 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.479999999999336 }, "arrival_price": { "asDouble": 70.19999999999999 }, "avg_total": { "asDouble": 70.18 }, "daily_vol_normal": { "asDouble": 1.0380698674354414 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_sweep": { "asDouble": -0.0020000000000095497 }, "total_drift": { "asDouble": -0.18881653454133407 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 16 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.178 }, "init_half_min_move": { "asDouble": 0.007725907343060776 }, "init_vol_normal": { "asDouble": 0.7348871873166599 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 1.0999999999995538 }, "init_opt_t_minutes": { "asDouble": 8.108609221751177 } } }

Fills Array

[{"Timestamp":"2023-07-03T03:13:12.785","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.17,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:15.609","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.17,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:16.487","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.17,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:16.987","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.16,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:18.709","Security":"SIM:CLQ3","Side":"Sell","LastShares":9.0,"LastPrice":70.17,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:13:18.709","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.16,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:18.71","Security":"SIM:CLQ3","Side":"Sell","LastShares":8.0,"LastPrice":70.17,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:13:18.71","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.16,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:19.087","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.2,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:20.684","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.19,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:21.579","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.19,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:22.692","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.2,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:23.414","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.2,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:23.42","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.2,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:23.499","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.21000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:13:23.592","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.2,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:23.776","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:23.787","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.23,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.2<br />avg_total: 70.18<br />curr_cost_per_share: 0.029599999999987<br />curr_half_min_move: 0.010913282677731<br />curr_liq_cost: 1.4799999999993<br />curr_opt_t_minutes: 4.7612418643412<br />daily_vol_normal: 1.0380698674354<br />destination_price: 70.235<br />drift: -0.010796851978815<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.021999999999991<br />init_drift: 0<br />init_half_min_move: 0.0077259073430608<br />init_liq_cost: 1.0999999999996<br />init_min_duration: 0<br />init_opt_t_minutes: 8.1086092217512<br />init_vol_normal: 0.73488718731666<br />last_aggressive_qty: 5<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: 16<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 11<br />slip_toler: 0<br />slippage: 0.019999999999982<br />slippage_sweep: -0.0020000000000095<br />sweep_residual: 0<br />sweep_to_fill: 70.178<br />total_dollar: 3509<br />total_drift: -0.18881653454133<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73488718731666<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.2<br />avg_total: 70.18<br />destination_price: 70.235<br />market_vwap: <br />n_kids: 16<br />slippage: 0.019999999999982<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3509<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>2023-07-03T03:13:12.785</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.17</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:15.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.17</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:16.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.17</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:16.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.16</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:18.709</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:13:18.709</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.16</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:18.71</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>8</td>
<td>70.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:13:18.71</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.16</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:19.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:20.684</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.19</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:21.579</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.19</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:22.692</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.414</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.42</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.499</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.21</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:13:23.592</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.23</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>2023-07-03T03:13:12.785</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.17</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:15.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.17</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:16.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.17</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:16.987</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.16</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:18.709</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:13:18.709</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.16</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:18.71</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>8</td>
<td>70.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:13:18.71</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.16</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:19.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:20.684</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.19</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:21.579</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.19</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:22.692</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.414</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.42</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.499</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.21</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:13:23.592</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.2</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:23.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.23</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.18

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.02

Computed Drift

-0.01

Computed Seconds Spent

11.00

Computed Volatility

1.04