SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:02

Buy / Sell

Buy

Quantity

50

Arrival Price

70.3550

Average Total

70.3466

Destination Price

70.3350

Slippage

-0.0084

Slippage Sweep

-0.0262

Sweep to Fill

70.3728

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 5.284760416613668 }, "init_liq_cost": { "asDouble": 0.8900000000002137 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.00907653163693926 }, "curr_cost_per_share": { "asDouble": 0.020000000000003126 }, "init_cost_per_share": { "asDouble": 0.017800000000004274 }, "curr_opt_t_minutes": { "asDouble": 4.813982522071047 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.008399999999994634 }, "drift": { "asDouble": 0.0001705132870314065 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.335 }, "total_dollar": { "asDouble": 3517.3299999999995 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 59 }, "total_vol": { "asDouble": 0.7365098014766895 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0000000000001563 }, "arrival_price": { "asDouble": 70.35499999999999 }, "avg_total": { "asDouble": 70.3466 }, "daily_vol_normal": { "asDouble": 0.8633583745023825 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_sweep": { "asDouble": -0.026200000000002888 }, "total_drift": { "asDouble": -0.1892334371460906 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 27 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.3728 }, "init_half_min_move": { "asDouble": 0.007742965970385198 }, "init_vol_normal": { "asDouble": 0.7365098014766897 }, "last_tactical_qty": { "asInt32": 1 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.355<br />avg_total: 70.3466<br />curr_cost_per_share: 0.020000000000003<br />curr_half_min_move: 0.0090765316369393<br />curr_liq_cost: 1.0000000000002<br />curr_opt_t_minutes: 4.813982522071<br />daily_vol_normal: 0.86335837450238<br />destination_price: 70.335<br />drift: 0.00017051328703141<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017800000000004<br />init_drift: 0<br />init_half_min_move: 0.0077429659703852<br />init_liq_cost: 0.89000000000021<br />init_min_duration: 0<br />init_opt_t_minutes: 5.2847604166137<br />init_vol_normal: 0.73650980147669<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: 27<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 59<br />slip_toler: 0<br />slippage: -0.0083999999999946<br />slippage_sweep: -0.026200000000003<br />sweep_residual: 0<br />sweep_to_fill: 70.3728<br />total_dollar: 3517.33<br />total_drift: -0.18923343714609<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73650980147669<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.355<br />avg_total: 70.3466<br />destination_price: 70.335<br />market_vwap: <br />n_kids: 27<br />slippage: -0.0083999999999946<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3517.33<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>2023-07-03T02:01:03.202</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:12.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:16.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:20.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:24.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:25.201</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:25.401</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:42.515</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:42.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:47.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:47.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:47.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:50.301</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:00.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:00.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:00.898</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:00.988</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.02</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.083</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.487</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.34</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>2023-07-03T02:01:03.202</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:12.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.38</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:16.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:20.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:24.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:25.201</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:25.401</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:42.515</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:42.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:01:47.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:47.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:47.677</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:01:50.301</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:02:00.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:00.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:00.898</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:00.988</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.02</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:01.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.083</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.487</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:02:02.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.34</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.35

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

59.00

Computed Volatility

0.86