SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:08

Buy / Sell

Sell

Quantity

50

Arrival Price

70.3350

Average Total

70.3402

Destination Price

70.3550

Slippage

-0.0052

Slippage Sweep

-0.0222

Sweep to Fill

70.3180

Algo Diagnostics

{ "customState": { "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7363004319076536 }, "seconds_spent": { "asDouble": 93 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9599999999997522 }, "arrival_price": { "asDouble": 70.335 }, "avg_total": { "asDouble": 70.34019999999998 }, "daily_vol_normal": { "asDouble": 0.8849774929765079 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.022199999999983788 }, "total_drift": { "asDouble": -0.18917964326160588 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 35 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.318 }, "init_half_min_move": { "asDouble": 0.007740764857182047 }, "init_vol_normal": { "asDouble": 0.7363004319076536 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 4.823142493162422 }, "init_liq_cost": { "asDouble": 0.8499999999997812 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.009303814557437062 }, "curr_cost_per_share": { "asDouble": 0.019199999999995044 }, "init_cost_per_share": { "asDouble": 0.016999999999995623 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.005199999999987881 }, "drift": { "asDouble": -0.0059222088394652326 }, "curr_opt_t_minutes": { "asDouble": 2.9817103375318292 }, "mbo_max": { "asInt32": 6 }, "destination_price": { "asDouble": 70.35499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3517.009999999999 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.335<br />avg_total: 70.3402<br />curr_cost_per_share: 0.019199999999995<br />curr_half_min_move: 0.0093038145574371<br />curr_liq_cost: 0.95999999999975<br />curr_opt_t_minutes: 2.9817103375318<br />daily_vol_normal: 0.88497749297651<br />destination_price: 70.355<br />drift: -0.0059222088394652<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016999999999996<br />init_drift: 0<br />init_half_min_move: 0.007740764857182<br />init_liq_cost: 0.84999999999978<br />init_min_duration: 0<br />init_opt_t_minutes: 4.8231424931624<br />init_vol_normal: 0.73630043190765<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 6<br />mbo_min: 1<br />model_size: 0<br />n_kids: 35<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 93<br />slip_toler: 0<br />slippage: -0.0051999999999879<br />slippage_sweep: -0.022199999999984<br />sweep_residual: 0<br />sweep_to_fill: 70.318<br />total_dollar: 3517.01<br />total_drift: -0.18917964326161<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73630043190765<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.335<br />avg_total: 70.3402<br />destination_price: 70.355<br />market_vwap: <br />n_kids: 35<br />slippage: -0.0051999999999879<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3517.01<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>2023-07-03T02:07:04.403</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:06.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:11.4</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:07:12.89</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:13.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:20.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:07:20.676</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:07:21.488</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.209</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.088</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.109</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.186</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.798</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.898</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:15.898</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:16.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:17.409</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:17.508</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:17.52</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:18.009</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:18.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:18.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:21.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:26.176</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:33.291</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:34.875</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:35.921</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:35.931</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:37.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:37.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.35</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>2023-07-03T02:07:04.403</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:06.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:11.4</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:07:12.89</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:13.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.31</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:07:20.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:07:20.676</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:07:21.488</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.209</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:08.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.088</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.109</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.186</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.687</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.798</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:14.898</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:15.898</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:16.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:17.409</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:17.508</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:17.52</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:18.009</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:18.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:18.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:21.087</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:08:26.176</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:33.291</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:34.875</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:35.921</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:35.931</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:37.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:08:37.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.35</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.34

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

-0.01

Computed Seconds Spent

93.00

Computed Volatility

0.89