SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 04:48

Buy / Sell

Buy

Quantity

50

Arrival Price

71.6000

Average Total

71.5924

Destination Price

71.5850

Slippage

-0.0076

Slippage Sweep

-0.0238

Sweep to Fill

71.6162

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7700000000000387 }, "arrival_price": { "asDouble": 71.6 }, "avg_total": { "asDouble": 71.59240000000001 }, "daily_vol_normal": { "asDouble": 1.471439557483288 }, "total_drift": { "asDouble": -0.19258210645526383 }, "slippage_sweep": { "asDouble": -0.02379999999998006 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 12 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 71.61619999999999 }, "init_half_min_move": { "asDouble": 0.007879985267281361 }, "init_vol_normal": { "asDouble": 0.749543057149186 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8099999999999739 }, "init_opt_t_minutes": { "asDouble": 4.226483891243454 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015469320840304319 }, "curr_cost_per_share": { "asDouble": 0.015400000000000772 }, "init_cost_per_share": { "asDouble": 0.01619999999999948 }, "slippage": { "asDouble": -0.007599999999982288 }, "drift": { "asDouble": -0.0012787063905191922 }, "curr_opt_t_minutes": { "asDouble": 1.073968639495986 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 71.585 }, "total_dollar": { "asDouble": 3579.620000000001 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 5 }, "total_vol": { "asDouble": 0.749543057149186 } } }

Fills Array

[{"Timestamp":"2023-07-03T04:48:50.011","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.60000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:53.303","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:53.304","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.60000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.076","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.087","Security":"SIM:CLQ3","Side":"Buy","LastShares":9.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.276","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.287","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.376","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.477","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.587","Security":"SIM:CLQ3","Side":"Buy","LastShares":9.0,"LastPrice":71.60000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.812","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.886","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:54.987","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:55.316","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:55.32","Security":"SIM:CLQ3","Side":"Buy","LastShares":7.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:55.322","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.59,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:48:55.387","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.59,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 71.6<br />avg_total: 71.5924<br />curr_cost_per_share: 0.015400000000001<br />curr_half_min_move: 0.015469320840304<br />curr_liq_cost: 0.77000000000004<br />curr_opt_t_minutes: 1.073968639496<br />daily_vol_normal: 1.4714395574833<br />destination_price: 71.585<br />drift: -0.0012787063905192<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016199999999999<br />init_drift: 0<br />init_half_min_move: 0.0078799852672814<br />init_liq_cost: 0.80999999999997<br />init_min_duration: 0<br />init_opt_t_minutes: 4.2264838912435<br />init_vol_normal: 0.74954305714919<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: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 5<br />slip_toler: 0<br />slippage: -0.0075999999999823<br />slippage_sweep: -0.02379999999998<br />sweep_residual: 0<br />sweep_to_fill: 71.6162<br />total_dollar: 3579.62<br />total_drift: -0.19258210645526<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74954305714919<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.6<br />avg_total: 71.5924<br />destination_price: 71.585<br />market_vwap: <br />n_kids: 12<br />slippage: -0.0075999999999823<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3579.62<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>2023-07-03T04:48:50.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:53.303</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:53.304</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>9</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.376</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>9</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.812</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.316</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.32</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.322</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</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>2023-07-03T04:48:50.011</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:53.303</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:53.304</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.076</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>9</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.276</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.376</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>9</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.812</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:54.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.316</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.32</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>7</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.322</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:55.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.59</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

71.59

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

5.00

Computed Volatility

1.47