SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 03:22

Buy / Sell

Buy

Quantity

25

Arrival Price

15379.1250

Average Total

15380.1400

Destination Price

15378.5000

Slippage

1.0150

Slippage Sweep

-1.6000

Sweep to Fill

15381.7400

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15381.739999999998 }, "init_half_min_move": { "asDouble": 1.6925597545206488 }, "init_vol_normal": { "asDouble": 160.99603867010438 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 15.375 }, "init_opt_t_minutes": { "asDouble": 0.2855251616075236 }, "worst_opt_t_minutes": { "asDouble": 2.6115198981131345 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6360456449868438 }, "curr_cost_per_share": { "asDouble": 0.717391304347826 }, "init_cost_per_share": { "asDouble": 0.9044117647058824 }, "curr_opt_t_minutes": { "asDouble": 1.3139327650668113 }, "drift": { "asDouble": -0.023496801822046772 }, "slippage": { "asDouble": 1.015000000001237 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15378.499999999998 }, "sweep_residual": { "asDouble": 8 }, "total_dollar": { "asDouble": 384503.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.99603867010438 }, "seconds_spent": { "asDouble": 182 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 16.5 }, "arrival_price": { "asDouble": 15379.124999999998 }, "avg_total": { "asDouble": 15380.14 }, "daily_vol_normal": { "asDouble": 60.50056961519472 }, "total_drift": { "asDouble": -6.016479754841233 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -1.5999999999985448 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 25 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

[{"Timestamp":"2023-07-03T03:19:13.078","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:19:22.276","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:19:28.098","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:19:34.076","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:19:34.076","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:19:35.587","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:19:39.91","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:19:39.917","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:04.61","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15381.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:41.82","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:41.82","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:41.821","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:41.821","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.718","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.718","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:20:42.719","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15380.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:21:55.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:14.298","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:25.518","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15379.125<br />avg_total: 15380.14<br />curr_cost_per_share: 0.71739130434783<br />curr_half_min_move: 0.63604564498684<br />curr_liq_cost: 16.5<br />curr_opt_t_minutes: 1.3139327650668<br />daily_vol_normal: 60.500569615195<br />destination_price: 15378.5<br />drift: -0.023496801822047<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.90441176470588<br />init_drift: 0<br />init_half_min_move: 1.6925597545206<br />init_liq_cost: 15.375<br />init_min_duration: 0<br />init_opt_t_minutes: 0.28552516160752<br />init_vol_normal: 160.9960386701<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: 25<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 182<br />slip_toler: 0<br />slippage: 1.0150000000012<br />slippage_sweep: -1.5999999999985<br />sweep_residual: 8<br />sweep_to_fill: 15381.74<br />total_dollar: 384503.5<br />total_drift: -6.0164797548412<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.9960386701<br />worst_opt_t_minutes: 2.6115198981131

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15379.125<br />avg_total: 15380.14<br />destination_price: 15378.5<br />market_vwap: <br />n_kids: 25<br />slippage: 1.0150000000012<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 384503.5<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>2023-07-03T03:19:13.078</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:22.276</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:28.098</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:34.076</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:34.076</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:35.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:39.91</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:39.917</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:04.61</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15381.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.821</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.821</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.718</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.718</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.719</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:21:55.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:14.298</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:25.518</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</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>2023-07-03T03:19:13.078</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:22.276</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:28.098</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:34.076</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:34.076</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:35.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:39.91</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:19:39.917</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:04.61</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15381.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.82</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.821</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:41.821</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.718</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.718</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:20:42.719</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15380.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:21:55.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:14.298</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:25.518</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15380.14

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.90

Computed Drift

-0.02

Computed Seconds Spent

182.00

Computed Volatility

60.50