SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 03:13

Buy / Sell

Sell

Quantity

50

Arrival Price

70.4450

Average Total

70.3044

Destination Price

70.2250

Slippage

0.1406

Slippage Sweep

0.1176

Sweep to Fill

70.4220

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 0.7374519645373521 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 1.1499999999997357 }, "init_opt_t_minutes": { "asDouble": 8.800970366392546 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010924908059984887 }, "curr_cost_per_share": { "asDouble": 0.019599999999994396 }, "init_cost_per_share": { "asDouble": 0.022999999999994712 }, "slippage": { "asDouble": 0.14060000000000628 }, "curr_opt_t_minutes": { "asDouble": 1.7703698402751116 }, "pov_agg_limit": { "asInt32": 4 }, "drift": { "asDouble": -0.009204878347865146 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.225 }, "total_dollar": { "asDouble": 3515.2199999999993 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 143 }, "total_vol": { "asDouble": 0.737451964537352 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9799999999997198 }, "arrival_price": { "asDouble": 70.445 }, "avg_total": { "asDouble": 70.30439999999999 }, "daily_vol_normal": { "asDouble": 1.0391756721113767 }, "total_drift": { "asDouble": -0.18947550962627177 }, "slippage_sweep": { "asDouble": 0.11760000000001014 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 29 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 70.422 }, "init_half_min_move": { "asDouble": 0.007752870979799378 } } }

Fills Array

[{"Timestamp":"2023-07-03T03:10:47.298","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.44,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:10:56.505","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:10:56.506","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.45,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:10:57.385","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:11:02.577","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.43,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:11:04.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:11:04.288","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.387","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.387","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.39","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.39","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.39","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.627","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.42,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.775","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.775","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.775","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.775","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.775","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.776","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.776","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:12:01.776","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.41,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.322","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.322","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.322","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.329","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.329","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.419","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.419","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.419","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.22,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:13:10.475","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":70.22,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.445<br />avg_total: 70.3044<br />curr_cost_per_share: 0.019599999999994<br />curr_half_min_move: 0.010924908059985<br />curr_liq_cost: 0.97999999999972<br />curr_opt_t_minutes: 1.7703698402751<br />daily_vol_normal: 1.0391756721114<br />destination_price: 70.225<br />drift: -0.0092048783478651<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.022999999999995<br />init_drift: 0<br />init_half_min_move: 0.0077528709797994<br />init_liq_cost: 1.1499999999997<br />init_min_duration: 0<br />init_opt_t_minutes: 8.8009703663925<br />init_vol_normal: 0.73745196453735<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: 1<br />n_kids: 29<br />order_time_minutes: 10<br />pov_agg_limit: 4<br />ready: 1<br />seconds_spent: 143<br />slip_toler: 0<br />slippage: 0.14060000000001<br />slippage_sweep: 0.11760000000001<br />sweep_residual: 0<br />sweep_to_fill: 70.422<br />total_dollar: 3515.22<br />total_drift: -0.18947550962627<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73745196453735<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.445<br />avg_total: 70.3044<br />destination_price: 70.225<br />market_vwap: <br />n_kids: 29<br />slippage: 0.14060000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3515.22<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>2023-07-03T03:10:47.298</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:56.505</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:56.506</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:57.385</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:11:02.577</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:11:04.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:11:04.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.39</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.39</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.39</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.627</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.322</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.322</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.322</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.329</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.329</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.419</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.419</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.419</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</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>2023-07-03T03:10:47.298</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.44</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:56.505</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:56.506</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.45</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:10:57.385</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:11:02.577</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:11:04.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:11:04.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.39</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.39</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.39</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.627</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.42</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.775</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:12:01.776</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.322</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.322</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.322</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.329</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.329</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.419</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.419</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.419</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.22</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:13:10.475</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>70.22</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.30

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

-0.01

Computed Seconds Spent

143.00

Computed Volatility

1.04