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

Sell

Quantity

50

Arrival Price

70.2650

Average Total

70.2776

Destination Price

70.2900

Slippage

-0.0126

Slippage Sweep

-0.0318

Sweep to Fill

70.2458

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.011928646878395807 }, "curr_cost_per_share": { "asDouble": 0.016599999999994283 }, "init_cost_per_share": { "asDouble": 0.019199999999989927 }, "curr_opt_t_minutes": { "asDouble": 1.9461761107329103 }, "drift": { "asDouble": 8.228166434482654e-05 }, "slippage": { "asDouble": -0.012600000000020373 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.28999999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3513.88 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7355676384160271 }, "seconds_spent": { "asDouble": 5 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8299999999997141 }, "arrival_price": { "asDouble": 70.26499999999999 }, "avg_total": { "asDouble": 70.2776 }, "daily_vol_normal": { "asDouble": 1.134651163119572 }, "slippage_sweep": { "asDouble": -0.03180000000000405 }, "last_aggressive_qty": { "asInt32": 9 }, "total_drift": { "asDouble": -0.18899136466590938 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 18 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.2458 }, "init_half_min_move": { "asDouble": 0.007733060960971017 }, "init_vol_normal": { "asDouble": 0.7355676384160272 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9599999999994964 }, "init_opt_t_minutes": { "asDouble": 6.164524597023058 } } }

Fills Array

[{"Timestamp":"2023-07-03T03:47:49.379","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T03:47:52.218","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.278","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.397","Security":"SIM:CLQ3","Side":"Sell","LastShares":9.0,"LastPrice":70.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.681","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.686","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.787","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.797","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.809","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.909","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:53.919","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:54.02","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:54.082","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:54.195","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:54.287","Security":"SIM:CLQ3","Side":"Sell","LastShares":2.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:54.376","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":70.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T03:47:54.487","Security":"SIM:CLQ3","Side":"Sell","LastShares":9.0,"LastPrice":70.28,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.265<br />avg_total: 70.2776<br />curr_cost_per_share: 0.016599999999994<br />curr_half_min_move: 0.011928646878396<br />curr_liq_cost: 0.82999999999971<br />curr_opt_t_minutes: 1.9461761107329<br />daily_vol_normal: 1.1346511631196<br />destination_price: 70.29<br />drift: 8.2281664344827E-5<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01919999999999<br />init_drift: 0<br />init_half_min_move: 0.007733060960971<br />init_liq_cost: 0.9599999999995<br />init_min_duration: 0<br />init_opt_t_minutes: 6.1645245970231<br />init_vol_normal: 0.73556763841603<br />last_aggressive_qty: 9<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: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 5<br />slip_toler: 0<br />slippage: -0.01260000000002<br />slippage_sweep: -0.031800000000004<br />sweep_residual: 0<br />sweep_to_fill: 70.2458<br />total_dollar: 3513.88<br />total_drift: -0.18899136466591<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73556763841603<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.265<br />avg_total: 70.2776<br />destination_price: 70.29<br />market_vwap: <br />n_kids: 18<br />slippage: -0.01260000000002<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3513.88<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>2023-07-03T03:47:49.379</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:52.218</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.278</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.397</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.681</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.686</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.797</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.909</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.919</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.02</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.082</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.28</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>2023-07-03T03:47:49.379</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T03:47:52.218</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.278</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.397</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.681</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.686</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.787</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.797</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.809</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.909</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:53.919</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.02</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.082</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.195</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.287</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>2</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.376</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>70.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T03:47:54.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>9</td>
<td>70.28</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.28

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

5.00

Computed Volatility

1.13