SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 03:47

Buy / Sell

Buy

Quantity

50

Arrival Price

70.3350

Average Total

70.3254

Destination Price

70.3150

Slippage

-0.0096

Slippage Sweep

-0.0272

Sweep to Fill

70.3526

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 5.169607677104095 }, "init_liq_cost": { "asDouble": 0.8800000000000949 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.011919550240806459 }, "curr_cost_per_share": { "asDouble": 0.009399999999997704 }, "init_cost_per_share": { "asDouble": 0.0176000000000019 }, "slippage": { "asDouble": -0.009599999999977626 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 0.39159223511476526 }, "drift": { "asDouble": 0.0036055903612184498 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.315 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3516.270000000001 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7363004319076536 }, "seconds_spent": { "asDouble": 21 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.4699999999998852 }, "arrival_price": { "asDouble": 70.335 }, "avg_total": { "asDouble": 70.32540000000002 }, "daily_vol_normal": { "asDouble": 1.133785892269789 }, "total_drift": { "asDouble": -0.18917964326160588 }, "slippage_sweep": { "asDouble": -0.02719999999997924 }, "last_aggressive_qty": { "asInt32": 25 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 17 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 19 }, "sweep_to_fill": { "asDouble": 70.3526 }, "init_half_min_move": { "asDouble": 0.007740764857182047 }, "init_vol_normal": { "asDouble": 0.7363004319076536 }, "last_tactical_qty": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2023-07-03T03:47:20.477","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:20.087","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:21.8","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:21.987","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:22.575","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:25.478","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:26.009","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:26.009","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.35000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:27.496","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:31.419","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:34.026","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:38.486","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:38.503","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:41.576","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:41.576","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:41.577","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":70.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:41.587","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.32000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:41.598","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":70.31,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:41.687","Security":"SIM:CLQ3","Side":"Buy","LastShares":11.0,"LastPrice":70.31,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:41.687","Security":"SIM:CLQ3","Side":"Buy","LastShares":14.0,"LastPrice":70.32000000000001,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.335<br />avg_total: 70.3254<br />curr_cost_per_share: 0.0093999999999977<br />curr_half_min_move: 0.011919550240806<br />curr_liq_cost: 0.46999999999989<br />curr_opt_t_minutes: 0.39159223511477<br />daily_vol_normal: 1.1337858922698<br />destination_price: 70.315<br />drift: 0.0036055903612184<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017600000000002<br />init_drift: 0<br />init_half_min_move: 0.007740764857182<br />init_liq_cost: 0.88000000000009<br />init_min_duration: 0<br />init_opt_t_minutes: 5.1696076771041<br />init_vol_normal: 0.73630043190765<br />last_aggressive_qty: 25<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 19<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 21<br />slip_toler: 0<br />slippage: -0.0095999999999776<br />slippage_sweep: -0.027199999999979<br />sweep_residual: 0<br />sweep_to_fill: 70.3526<br />total_dollar: 3516.27<br />total_drift: -0.18917964326161<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73630043190765<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.335<br />avg_total: 70.3254<br />destination_price: 70.315<br />market_vwap: <br />n_kids: 17<br />slippage: -0.0095999999999776<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3516.27<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>2023-07-03T03:47:20.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:20.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:21.8</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:21.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:22.575</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:25.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:26.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:26.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:27.496</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:31.419</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:34.026</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:38.486</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:38.503</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.577</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:41.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:41.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>11</td>
<td>70.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:41.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>14</td>
<td>70.32</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>2023-07-03T03:47:20.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:20.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:21.8</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:21.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:22.575</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:25.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:26.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:26.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:27.496</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:31.419</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:34.026</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:38.486</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:38.503</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.577</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>70.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:41.587</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:41.598</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>70.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:41.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>11</td>
<td>70.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:41.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>14</td>
<td>70.32</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

70.33

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

21.00

Computed Volatility

1.13