SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 02:18

Buy / Sell

Sell

Quantity

25

Arrival Price

15355.2500

Average Total

15355.6600

Destination Price

15356.1250

Slippage

-0.4100

Slippage Sweep

-2.2800

Sweep to Fill

15353.3800

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15353.379999999997 }, "init_half_min_move": { "asDouble": 1.6899321756343872 }, "init_vol_normal": { "asDouble": 160.74610374706756 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 15.5 }, "init_opt_t_minutes": { "asDouble": 0.2103123883551613 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.5619933990655046 }, "curr_cost_per_share": { "asDouble": 0.9083333333333333 }, "init_cost_per_share": { "asDouble": 0.775 }, "slippage": { "asDouble": -0.41000000000167347 }, "drift": { "asDouble": 0.007755368241463881 }, "curr_opt_t_minutes": { "asDouble": 2.6346516489384286 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15356.124999999998 }, "sweep_residual": { "asDouble": 5 }, "total_dollar": { "asDouble": 383891.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.74610374706756 }, "seconds_spent": { "asDouble": 6 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.625 }, "arrival_price": { "asDouble": 15355.249999999998 }, "avg_total": { "asDouble": 15355.66 }, "daily_vol_normal": { "asDouble": 53.45673071017686 }, "slippage_sweep": { "asDouble": -2.280000000002474 }, "total_drift": { "asDouble": -6.007139597052879 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 20 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2023-07-03T02:18:02.218","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:02.221","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:03.12","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:03.187","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:03.209","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:03.209","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:03.486","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:03.509","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:04.087","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:04.119","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:04.287","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:04.487","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:04.686","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:04.987","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:05.097","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:05.587","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:06.887","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:06.897","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:06.897","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:06.998","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:07.087","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:18:07.319","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15356.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15355.25<br />avg_total: 15355.66<br />curr_cost_per_share: 0.90833333333333<br />curr_half_min_move: 0.5619933990655<br />curr_liq_cost: 13.625<br />curr_opt_t_minutes: 2.6346516489384<br />daily_vol_normal: 53.456730710177<br />destination_price: 15356.125<br />drift: 0.0077553682414639<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.775<br />init_drift: 0<br />init_half_min_move: 1.6899321756344<br />init_liq_cost: 15.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.21031238835516<br />init_vol_normal: 160.74610374707<br />last_aggressive_qty: 1<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: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.41000000000167<br />slippage_sweep: -2.2800000000025<br />sweep_residual: 5<br />sweep_to_fill: 15353.38<br />total_dollar: 383891.5<br />total_drift: -6.0071395970529<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.74610374707<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15355.25<br />avg_total: 15355.66<br />destination_price: 15356.125<br />market_vwap: <br />n_kids: 20<br />slippage: -0.41000000000167<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383891.5<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>2023-07-03T02:18:02.218</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:02.221</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.12</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.209</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.209</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.486</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.509</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.087</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.119</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.287</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.686</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:05.097</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:05.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.887</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.897</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.897</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:07.087</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:07.319</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356</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>2023-07-03T02:18:02.218</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:02.221</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.12</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.209</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.209</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.486</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:03.509</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.087</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.119</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.287</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.686</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:04.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:05.097</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:05.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.887</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.897</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.897</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:06.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:07.087</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:18:07.319</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15355.66

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.78

Computed Drift

0.01

Computed Seconds Spent

6.00

Computed Volatility

53.46