SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 02:17

Buy / Sell

Buy

Quantity

25

Arrival Price

15356.6250

Average Total

15355.9200

Destination Price

15355.3750

Slippage

-0.7050

Slippage Sweep

-2.7450

Sweep to Fill

15358.6650

Algo Diagnostics

{ "customState": { "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 15 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15358.664999999999 }, "init_half_min_move": { "asDouble": 1.6900835021671037 }, "init_vol_normal": { "asDouble": 160.7604979049388 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 19.75 }, "init_opt_t_minutes": { "asDouble": 0.3413955719501124 }, "worst_opt_t_minutes": { "asDouble": 3.031132410953254 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.5618931439524065 }, "curr_cost_per_share": { "asDouble": 0.8641304347826086 }, "init_cost_per_share": { "asDouble": 0.9875 }, "slippage": { "asDouble": -0.7049999999981083 }, "drift": { "asDouble": 0.02150408993868135 }, "curr_opt_t_minutes": { "asDouble": 2.3063856285643944 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15355.374999999998 }, "sweep_residual": { "asDouble": 5 }, "total_dollar": { "asDouble": 383898 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.7604979049388 }, "seconds_spent": { "asDouble": 9 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 19.875 }, "arrival_price": { "asDouble": 15356.624999999998 }, "avg_total": { "asDouble": 15355.92 }, "daily_vol_normal": { "asDouble": 53.44719445834168 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -2.7449999999989814 }, "total_drift": { "asDouble": -6.007677511899328 }, "economic_model": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2023-07-03T02:17:55.715","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:55.72","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:55.787","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:56.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:56.587","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:57.309","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15356.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:57.52","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:57.686","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15356.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:57.819","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:57.82","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15356.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:58.087","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15356.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:58.087","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:58.187","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:58.187","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15356.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:58.487","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:58.787","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:59.187","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:17:59.287","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15355.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15356.625<br />avg_total: 15355.92<br />curr_cost_per_share: 0.86413043478261<br />curr_half_min_move: 0.56189314395241<br />curr_liq_cost: 19.875<br />curr_opt_t_minutes: 2.3063856285644<br />daily_vol_normal: 53.447194458342<br />destination_price: 15355.375<br />drift: 0.021504089938681<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.9875<br />init_drift: 0<br />init_half_min_move: 1.6900835021671<br />init_liq_cost: 19.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.34139557195011<br />init_vol_normal: 160.76049790494<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: 0<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 9<br />slip_toler: 0<br />slippage: -0.70499999999811<br />slippage_sweep: -2.744999999999<br />sweep_residual: 5<br />sweep_to_fill: 15358.665<br />total_dollar: 383898<br />total_drift: -6.0076775118993<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.76049790494<br />worst_opt_t_minutes: 3.0311324109533

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15356.625<br />avg_total: 15355.92<br />destination_price: 15355.375<br />market_vwap: <br />n_kids: 15<br />slippage: -0.70499999999811<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383898<br />total_filled: 25<br />total_sent: 25

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>2023-07-03T02:17:55.715</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:55.72</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:55.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:56.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:56.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.309</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.52</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.686</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.819</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:59.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:59.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15355.75</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>2023-07-03T02:17:55.715</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:55.72</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:55.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:56.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:56.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.309</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.52</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.686</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.819</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:57.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15356</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:58.787</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:59.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:17:59.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15355.92

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.99

Computed Drift

0.02

Computed Seconds Spent

9.00

Computed Volatility

53.45