SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 02:57

Buy / Sell

Buy

Quantity

25

Arrival Price

15356.8750

Average Total

15356.5600

Destination Price

15356.0000

Slippage

-0.3150

Slippage Sweep

-3.7700

Sweep to Fill

15360.3300

Algo Diagnostics

{ "customState": { "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 57 }, "total_vol": { "asDouble": 160.76311502455175 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 9.5 }, "arrival_price": { "asDouble": 15356.874999999998 }, "avg_total": { "asDouble": 15356.56 }, "daily_vol_normal": { "asDouble": 57.31716128214192 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -3.7699999999986176 }, "total_drift": { "asDouble": -6.007775314598683 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 16 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15360.329999999998 }, "init_half_min_move": { "asDouble": 1.690111016082143 }, "init_vol_normal": { "asDouble": 160.76311502455175 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.2680313791934032 }, "init_liq_cost": { "asDouble": 11.375 }, "worst_opt_t_minutes": { "asDouble": 2.6520716110776963 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6025783070868626 }, "curr_cost_per_share": { "asDouble": 0.7307692307692307 }, "init_cost_per_share": { "asDouble": 0.875 }, "curr_opt_t_minutes": { "asDouble": 1.5404326561897563 }, "slippage": { "asDouble": -0.3149999999986903 }, "drift": { "asDouble": -0.034484698005793575 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 12 }, "destination_price": { "asDouble": 15355.999999999998 }, "total_dollar": { "asDouble": 383914 } } }

Fills Array

[{"Timestamp":"2023-07-03T02:56:13.586","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15357.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:56:18.987","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15357.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:56:22.087","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15357.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:56:26.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15357.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:56:33.595","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15357.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:56:35.587","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:56:37.8","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:00.512","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:00.877","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:00.877","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:00.917","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:01.298","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:01.387","Security":"SIM:NQU3","Side":"Buy","LastShares":4.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:01.577","Security":"SIM:NQU3","Side":"Buy","LastShares":4.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:02.487","Security":"SIM:NQU3","Side":"Buy","LastShares":4.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:02.587","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15356.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15356.875<br />avg_total: 15356.56<br />curr_cost_per_share: 0.73076923076923<br />curr_half_min_move: 0.60257830708686<br />curr_liq_cost: 9.5<br />curr_opt_t_minutes: 1.5404326561898<br />daily_vol_normal: 57.317161282142<br />destination_price: 15356<br />drift: -0.034484698005794<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.875<br />init_drift: 0<br />init_half_min_move: 1.6901110160821<br />init_liq_cost: 11.375<br />init_min_duration: 0<br />init_opt_t_minutes: 0.2680313791934<br />init_vol_normal: 160.76311502455<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: 16<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 57<br />slip_toler: 0<br />slippage: -0.31499999999869<br />slippage_sweep: -3.7699999999986<br />sweep_residual: 12<br />sweep_to_fill: 15360.33<br />total_dollar: 383914<br />total_drift: -6.0077753145987<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.76311502455<br />worst_opt_t_minutes: 2.6520716110777

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15356.875<br />avg_total: 15356.56<br />destination_price: 15356<br />market_vwap: <br />n_kids: 16<br />slippage: -0.31499999999869<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383914<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>2023-07-03T02:56:13.586</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:18.987</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:22.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:26.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:33.595</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:35.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:37.8</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.512</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.917</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:01.298</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:01.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:01.577</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:02.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:02.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</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>2023-07-03T02:56:13.586</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:18.987</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:22.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:26.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:33.595</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15357</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:35.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:56:37.8</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.512</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.877</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:00.917</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:01.298</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:01.387</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:01.577</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:02.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:02.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15356.56

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.88

Computed Drift

-0.03

Computed Seconds Spent

57.00

Computed Volatility

57.32