SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 03:48

Buy / Sell

Sell

Quantity

50

Arrival Price

70.2950

Average Total

70.3260

Destination Price

70.3350

Slippage

-0.0310

Slippage Sweep

-0.0504

Sweep to Fill

70.2756

Algo Diagnostics

{ "customState": { "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 15 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.2756 }, "init_half_min_move": { "asDouble": 0.007736362630775743 }, "init_vol_normal": { "asDouble": 0.7358816927695814 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9699999999994731 }, "init_opt_t_minutes": { "asDouble": 6.2882503391462485 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.011938022910133017 }, "curr_cost_per_share": { "asDouble": 0.018199999999995952 }, "init_cost_per_share": { "asDouble": 0.01939999999998946 }, "curr_opt_t_minutes": { "asDouble": 2.39500678431409 }, "drift": { "asDouble": 0.0005527455388731392 }, "slippage": { "asDouble": -0.031000000000020123 }, "pov_agg_limit": { "asInt32": 9 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.335 }, "total_dollar": { "asDouble": 3516.3 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 17 }, "total_vol": { "asDouble": 0.7358816927695813 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9099999999997976 }, "arrival_price": { "asDouble": 70.29499999999999 }, "avg_total": { "asDouble": 70.32600000000001 }, "daily_vol_normal": { "asDouble": 1.1355430099002273 }, "total_drift": { "asDouble": -0.18907205549263645 }, "slippage_sweep": { "asDouble": -0.050400000000010436 }, "last_aggressive_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2023-07-03T03:48:01.277","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.29,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:06.576","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.3,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:48:07.127","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.29,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:10.576","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.3,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:48:10.577","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.3,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:48:12.109","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.29,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.276","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.3,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:48:18.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.33,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.32000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.289","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:48:18.289","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:48:18.387","Security":"SIM:CLQ3","Side":"Sell","LastShares":7.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.398","Security":"SIM:CLQ3","Side":"Sell","LastShares":9.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.401","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.487","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.33,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.487","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.32000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:48:18.498","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:48:18.587","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.33,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.295<br />avg_total: 70.326<br />curr_cost_per_share: 0.018199999999996<br />curr_half_min_move: 0.011938022910133<br />curr_liq_cost: 0.9099999999998<br />curr_opt_t_minutes: 2.3950067843141<br />daily_vol_normal: 1.1355430099002<br />destination_price: 70.335<br />drift: 0.00055274553887314<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019399999999989<br />init_drift: 0<br />init_half_min_move: 0.0077363626307757<br />init_liq_cost: 0.96999999999947<br />init_min_duration: 0<br />init_opt_t_minutes: 6.2882503391462<br />init_vol_normal: 0.73588169276958<br />last_aggressive_qty: 3<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: 15<br />order_time_minutes: 10<br />pov_agg_limit: 9<br />ready: 1<br />seconds_spent: 17<br />slip_toler: 0<br />slippage: -0.03100000000002<br />slippage_sweep: -0.05040000000001<br />sweep_residual: 0<br />sweep_to_fill: 70.2756<br />total_dollar: 3516.3<br />total_drift: -0.18907205549264<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73588169276958<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.295<br />avg_total: 70.326<br />destination_price: 70.335<br />market_vwap: <br />n_kids: 15<br />slippage: -0.03100000000002<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3516.3<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>2023-07-03T03:48:01.277</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:06.576</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:07.127</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:10.576</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:10.577</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:12.109</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.289</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.289</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.398</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.401</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.498</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.33</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>2023-07-03T03:48:01.277</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:06.576</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:07.127</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:10.576</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:10.577</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:12.109</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.276</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.3</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.289</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.289</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.398</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.401</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:48:18.498</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:48:18.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.33</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.33

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

17.00

Computed Volatility

1.14