SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 03:06

Buy / Sell

Buy

Quantity

50

Arrival Price

70.4800

Average Total

70.4830

Destination Price

70.4650

Slippage

0.0030

Slippage Sweep

-0.0148

Sweep to Fill

70.4978

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.4978 }, "init_half_min_move": { "asDouble": 0.0077567229279048916 }, "init_vol_normal": { "asDouble": 0.7378183612831651 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.266031436707879 }, "init_liq_cost": { "asDouble": 0.8900000000004553 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010678726837940633 }, "curr_cost_per_share": { "asDouble": 0.02199999999999136 }, "init_cost_per_share": { "asDouble": 0.017800000000009107 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 4.527355465894856 }, "drift": { "asDouble": -0.0014583969921158721 }, "slippage": { "asDouble": 0.0030000000000001137 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.465 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3524.1499999999996 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7378183612831651 }, "seconds_spent": { "asDouble": 44 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.099999999999568 }, "arrival_price": { "asDouble": 70.47999999999999 }, "avg_total": { "asDouble": 70.48299999999999 }, "daily_vol_normal": { "asDouble": 1.0157589499317128 }, "slippage_sweep": { "asDouble": -0.01480000000000814 }, "last_aggressive_qty": { "asInt32": 3 }, "total_drift": { "asDouble": -0.18956964892412 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

[{"Timestamp":"2023-07-03T03:05:35.009","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.49,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:05:35.009","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.5,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:35.029","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.49,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:35.478","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.5,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:35.479","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.5,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:35.479","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.5,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:35.479","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.5,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:37.092","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.48,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:05:37.092","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.48,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:05:37.093","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.48,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:05:39.777","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.5,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:47.81","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.49,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:05:59.476","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.48,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:06:00.091","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:00.098","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:00.109","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:00.176","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:10.104","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:10.109","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:10.12","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:10.477","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:11.087","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:11.097","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:11.109","Security":"SIM:CLQ3","Side":"Buy","LastShares":6.0,"LastPrice":70.47,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:06:11.119","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.47,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:06:11.119","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.48,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:06:11.187","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":70.47,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.48<br />avg_total: 70.483<br />curr_cost_per_share: 0.021999999999991<br />curr_half_min_move: 0.010678726837941<br />curr_liq_cost: 1.0999999999996<br />curr_opt_t_minutes: 4.5273554658949<br />daily_vol_normal: 1.0157589499317<br />destination_price: 70.465<br />drift: -0.0014583969921159<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017800000000009<br />init_drift: 0<br />init_half_min_move: 0.0077567229279049<br />init_liq_cost: 0.89000000000046<br />init_min_duration: 0<br />init_opt_t_minutes: 5.2660314367079<br />init_vol_normal: 0.73781836128317<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: 25<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 44<br />slip_toler: 0<br />slippage: 0.0030000000000001<br />slippage_sweep: -0.014800000000008<br />sweep_residual: 0<br />sweep_to_fill: 70.4978<br />total_dollar: 3524.15<br />total_drift: -0.18956964892412<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73781836128317<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.48<br />avg_total: 70.483<br />destination_price: 70.465<br />market_vwap: <br />n_kids: 25<br />slippage: 0.0030000000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3524.15<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>2023-07-03T03:05:35.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:35.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.029</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:37.092</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:37.092</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:37.093</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:39.777</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:47.81</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:59.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:00.091</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:00.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:00.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:00.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.104</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.12</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.097</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.119</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.47</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:11.119</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:11.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.47</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>2023-07-03T03:05:35.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:35.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.029</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:35.479</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:37.092</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:37.092</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:37.093</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:05:39.777</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.5</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:47.81</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.49</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:05:59.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:00.091</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:00.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:00.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:00.176</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.104</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.12</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:10.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.097</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.109</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>70.47</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:06:11.119</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.47</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:11.119</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.48</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:06:11.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>70.47</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.48

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

44.00

Computed Volatility

1.02