SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 02:44

Buy / Sell

Sell

Quantity

50

Arrival Price

70.4800

Average Total

70.4310

Destination Price

70.4850

Slippage

0.0490

Slippage Sweep

0.0320

Sweep to Fill

70.4630

Algo Diagnostics

{ "customState": { "init_liq_cost": { "asDouble": 0.8499999999997243 }, "init_opt_t_minutes": { "asDouble": 4.803317400599773 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010084350044968368 }, "curr_cost_per_share": { "asDouble": 0.014599999999990131 }, "init_cost_per_share": { "asDouble": 0.016999999999994485 }, "drift": { "asDouble": 0.0029657016989760483 }, "slippage": { "asDouble": 0.04899999999996396 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 2.5297136612385596 }, "mbo_max": { "asInt32": 3 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.48499999999999 }, "total_dollar": { "asDouble": 3521.5500000000015 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 289 }, "total_vol": { "asDouble": 0.7378183612831651 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7299999999995066 }, "arrival_price": { "asDouble": 70.47999999999999 }, "avg_total": { "asDouble": 70.43100000000003 }, "daily_vol_normal": { "asDouble": 0.9592219154841009 }, "last_aggressive_qty": { "asInt32": 9 }, "slippage_sweep": { "asDouble": 0.031999999999968054 }, "total_drift": { "asDouble": -0.18956964892412 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 36 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 3 }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 70.463 }, "init_half_min_move": { "asDouble": 0.0077567229279048916 }, "init_vol_normal": { "asDouble": 0.7378183612831651 }, "last_tactical_qty": { "asInt32": 3 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.48<br />avg_total: 70.431<br />curr_cost_per_share: 0.01459999999999<br />curr_half_min_move: 0.010084350044968<br />curr_liq_cost: 0.72999999999951<br />curr_opt_t_minutes: 2.5297136612386<br />daily_vol_normal: 0.9592219154841<br />destination_price: 70.485<br />drift: 0.002965701698976<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016999999999994<br />init_drift: 0<br />init_half_min_move: 0.0077567229279049<br />init_liq_cost: 0.84999999999972<br />init_min_duration: 0<br />init_opt_t_minutes: 4.8033174005998<br />init_vol_normal: 0.73781836128317<br />last_aggressive_qty: 9<br />last_tactical_qty: 3<br />level_tactical_limit: 0<br />mbo_max: 3<br />mbo_min: 3<br />model_size: 2<br />n_kids: 36<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 289<br />slip_toler: 0<br />slippage: 0.048999999999964<br />slippage_sweep: 0.031999999999968<br />sweep_residual: 0<br />sweep_to_fill: 70.463<br />total_dollar: 3521.55<br />total_drift: -0.18956964892412<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73781836128317<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.48<br />avg_total: 70.431<br />destination_price: 70.485<br />market_vwap: <br />n_kids: 36<br />slippage: 0.048999999999964<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3521.55<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>2023-07-03T02:40:01.675</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:40:01.901</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:40:14.798</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.46</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:40:42.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.61</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.676</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:41.478</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:41.493</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:41.928</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:42.001</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:43:27.599</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.599</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:44:48.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:44:48.209</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:44:49.177</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.49</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>2023-07-03T02:40:01.675</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:40:01.901</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:40:14.798</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.46</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:40:42.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.587</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.609</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.61</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:40.676</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:41.478</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:41.493</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:41.928</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:41:42.001</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:43:27.599</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.599</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.614</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:43:27.689</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:44:48.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T02:44:48.209</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:44:49.177</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.49</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.43

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

289.00

Computed Volatility

0.96