SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:33

Buy / Sell

Buy

Quantity

50

Arrival Price

70.2650

Average Total

70.2526

Destination Price

70.2500

Slippage

-0.0124

Slippage Sweep

-0.0304

Sweep to Fill

70.2830

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.283 }, "init_half_min_move": { "asDouble": 0.007733060960971017 }, "init_vol_normal": { "asDouble": 0.7355676384160272 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9000000000005173 }, "init_opt_t_minutes": { "asDouble": 5.41803919661421 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.009849122842367764 }, "curr_cost_per_share": { "asDouble": 0.0181999999999951 }, "init_cost_per_share": { "asDouble": 0.018000000000010345 }, "slippage": { "asDouble": -0.012399999999985312 }, "drift": { "asDouble": -0.0032072533661030994 }, "curr_opt_t_minutes": { "asDouble": 4.026023967304589 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.25 }, "total_dollar": { "asDouble": 3512.63 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7355676384160271 }, "seconds_spent": { "asDouble": 6 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.909999999999755 }, "arrival_price": { "asDouble": 70.26499999999999 }, "avg_total": { "asDouble": 70.2526 }, "daily_vol_normal": { "asDouble": 0.9368471380471455 }, "last_aggressive_qty": { "asInt32": 2 }, "total_drift": { "asDouble": -0.18899136466590938 }, "slippage_sweep": { "asDouble": -0.030400000000000205 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 21 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

[{"Timestamp":"2023-07-03T02:33:37.59","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:37.987","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:38.086","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:38.086","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:38.098","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:38.279","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:38.287","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:38.297","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:38.298","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:38.309","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:38.398","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:38.476","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:38.586","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:38.687","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:38.886","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:39.187","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:39.209","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:39.329","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:39.38","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:39.41","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:39.678","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T02:33:39.698","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:39.698","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:33:42.195","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.25,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.265<br />avg_total: 70.2526<br />curr_cost_per_share: 0.018199999999995<br />curr_half_min_move: 0.0098491228423678<br />curr_liq_cost: 0.90999999999976<br />curr_opt_t_minutes: 4.0260239673046<br />daily_vol_normal: 0.93684713804715<br />destination_price: 70.25<br />drift: -0.0032072533661031<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01800000000001<br />init_drift: 0<br />init_half_min_move: 0.007733060960971<br />init_liq_cost: 0.90000000000052<br />init_min_duration: 0<br />init_opt_t_minutes: 5.4180391966142<br />init_vol_normal: 0.73556763841603<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: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.012399999999985<br />slippage_sweep: -0.0304<br />sweep_residual: 0<br />sweep_to_fill: 70.283<br />total_dollar: 3512.63<br />total_drift: -0.18899136466591<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73556763841603<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.265<br />avg_total: 70.2526<br />destination_price: 70.25<br />market_vwap: <br />n_kids: 21<br />slippage: -0.012399999999985<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3512.63<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>2023-07-03T02:33:37.59</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:37.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.279</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.297</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.298</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.309</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.398</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.586</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:39.329</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.38</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.41</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.678</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:39.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:42.195</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</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>2023-07-03T02:33:37.59</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:37.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.279</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.297</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.298</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.309</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.398</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:38.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.586</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:38.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.209</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:39.329</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.38</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.41</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.678</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:33:39.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:39.698</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:33:42.195</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.25

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

6.00

Computed Volatility

0.94