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

Sell

Quantity

25

Arrival Price

15355.5000

Average Total

15356.2100

Destination Price

15356.6250

Slippage

-0.7100

Slippage Sweep

-1.9300

Sweep to Fill

15354.2800

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6025773773420244 }, "curr_cost_per_share": { "asDouble": 0.9619565217391305 }, "init_cost_per_share": { "asDouble": 0.782608695652174 }, "curr_opt_t_minutes": { "asDouble": 2.4574499189543717 }, "drift": { "asDouble": -0.03448131728256703 }, "slippage": { "asDouble": -0.7100000000009459 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 2 }, "destination_price": { "asDouble": 15356.624999999998 }, "total_dollar": { "asDouble": 383905.25 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.74872086668051 }, "seconds_spent": { "asDouble": 18 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 22.125 }, "arrival_price": { "asDouble": 15355.499999999998 }, "avg_total": { "asDouble": 15356.21 }, "daily_vol_normal": { "asDouble": 57.317072844947596 }, "slippage_sweep": { "asDouble": -1.930000000000291 }, "last_aggressive_qty": { "asInt32": 3 }, "total_drift": { "asDouble": -6.007237399752233 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 12 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15354.279999999999 }, "init_half_min_move": { "asDouble": 1.6899596895494264 }, "init_vol_normal": { "asDouble": 160.74872086668051 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.21445523249962914 }, "init_liq_cost": { "asDouble": 18 } } }

Fills Array

[{"Timestamp":"2023-07-03T02:57:11.01","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:11.587","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15355.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:19.076","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:19.098","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:19.998","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:20.009","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:20.187","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:20.59","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:21.676","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:21.886","Security":"SIM:NQU3","Side":"Sell","LastShares":4.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:21.987","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15356.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:22.287","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15356.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T02:57:22.287","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15356.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15355.5<br />avg_total: 15356.21<br />curr_cost_per_share: 0.96195652173913<br />curr_half_min_move: 0.60257737734202<br />curr_liq_cost: 22.125<br />curr_opt_t_minutes: 2.4574499189544<br />daily_vol_normal: 57.317072844948<br />destination_price: 15356.625<br />drift: -0.034481317282567<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.78260869565217<br />init_drift: 0<br />init_half_min_move: 1.6899596895494<br />init_liq_cost: 18<br />init_min_duration: 0<br />init_opt_t_minutes: 0.21445523249963<br />init_vol_normal: 160.74872086668<br />last_aggressive_qty: 3<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: 18<br />slip_toler: 0<br />slippage: -0.71000000000095<br />slippage_sweep: -1.9300000000003<br />sweep_residual: 2<br />sweep_to_fill: 15354.28<br />total_dollar: 383905.25<br />total_drift: -6.0072373997522<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.74872086668<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15355.5<br />avg_total: 15356.21<br />destination_price: 15356.625<br />market_vwap: <br />n_kids: 12<br />slippage: -0.71000000000095<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383905.25<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>2023-07-03T02:57:11.01</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:11.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:19.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:19.098</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:19.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:20.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:20.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:20.59</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:21.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:21.886</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:21.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:22.287</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:22.287</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</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>2023-07-03T02:57:11.01</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:11.587</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15355.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:19.076</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:19.098</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:19.998</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:20.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:20.187</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:20.59</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:21.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:21.886</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>4</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:21.987</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:22.287</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15356.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T02:57:22.287</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15356.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15356.21

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.78

Computed Drift

-0.03

Computed Seconds Spent

18.00

Computed Volatility

57.32