SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 03:27

Buy / Sell

Sell

Quantity

25

Arrival Price

15378.5000

Average Total

15376.6600

Destination Price

15377.3750

Slippage

1.8400

Slippage Sweep

-0.7400

Sweep to Fill

15375.9200

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 17.5 }, "arrival_price": { "asDouble": 15378.499999999998 }, "avg_total": { "asDouble": 15376.66 }, "daily_vol_normal": { "asDouble": 60.82008047344915 }, "total_drift": { "asDouble": -6.016235248092847 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.7400000000016007 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15375.919999999998 }, "init_half_min_move": { "asDouble": 1.6924909697330504 }, "init_vol_normal": { "asDouble": 160.98949587107202 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.2539717674486553 }, "init_liq_cost": { "asDouble": 14.5 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6394046793101785 }, "curr_cost_per_share": { "asDouble": 0.875 }, "init_cost_per_share": { "asDouble": 0.8529411764705882 }, "drift": { "asDouble": -0.024245018427488732 }, "slippage": { "asDouble": 1.8399999999983265 }, "pov_agg_limit": { "asInt32": 1 }, "curr_opt_t_minutes": { "asDouble": 1.8209251128367248 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15377.374999999998 }, "sweep_residual": { "asDouble": 8 }, "total_dollar": { "asDouble": 384416.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.98949587107202 }, "seconds_spent": { "asDouble": 288 } } }

Fills Array

[{"Timestamp":"2023-07-03T03:22:30.777","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:32.787","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:37.598","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:37.599","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:37.721","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15378.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:37.776","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15378.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:45.678","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15378.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:22:52.206","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:23:30.194","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:13.787","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:14.282","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:14.282","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:14.377","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:14.377","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:14.676","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:14.676","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:15.276","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:15.276","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:15.675","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:15.676","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:15.818","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:15.818","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:24:15.82","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:27:13.898","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:27:13.898","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15378.5<br />avg_total: 15376.66<br />curr_cost_per_share: 0.875<br />curr_half_min_move: 0.63940467931018<br />curr_liq_cost: 17.5<br />curr_opt_t_minutes: 1.8209251128367<br />daily_vol_normal: 60.820080473449<br />destination_price: 15377.375<br />drift: -0.024245018427489<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.85294117647059<br />init_drift: 0<br />init_half_min_move: 1.6924909697331<br />init_liq_cost: 14.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.25397176744866<br />init_vol_normal: 160.98949587107<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: 1<br />ready: 1<br />seconds_spent: 288<br />slip_toler: 0<br />slippage: 1.8399999999983<br />slippage_sweep: -0.7400000000016<br />sweep_residual: 8<br />sweep_to_fill: 15375.92<br />total_dollar: 384416.5<br />total_drift: -6.0162352480928<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.98949587107<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15378.5<br />avg_total: 15376.66<br />destination_price: 15377.375<br />market_vwap: <br />n_kids: 25<br />slippage: 1.8399999999983<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 384416.5<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>2023-07-03T03:22:30.777</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:32.787</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.598</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.599</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.721</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15378</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.776</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15378</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:45.678</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15378.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:52.206</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:23:30.194</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:13.787</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.282</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.282</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.377</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.377</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.675</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.818</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.818</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.82</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:27:13.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:27:13.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</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>2023-07-03T03:22:30.777</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:32.787</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.598</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.599</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.721</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15378</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:37.776</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15378</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:45.678</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15378.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:22:52.206</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:23:30.194</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:13.787</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.282</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.282</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.377</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.377</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:14.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.276</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.675</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.676</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.818</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.818</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:24:15.82</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:27:13.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:27:13.898</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15376.66

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.85

Computed Drift

-0.02

Computed Seconds Spent

288.00

Computed Volatility

60.82