SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 04:01

Buy / Sell

Buy

Quantity

25

Arrival Price

15379.3750

Average Total

15378.7500

Destination Price

15378.6250

Slippage

-0.6250

Slippage Sweep

-3.4150

Sweep to Fill

15382.1650

Algo Diagnostics

{ "customState": { "total_vol": { "asDouble": 160.99865578971736 }, "seconds_spent": { "asDouble": 23 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 3.125 }, "arrival_price": { "asDouble": 15379.374999999998 }, "avg_total": { "asDouble": 15378.75 }, "daily_vol_normal": { "asDouble": 63.27610454593882 }, "total_drift": { "asDouble": -6.016577557540588 }, "slippage_sweep": { "asDouble": -3.414999999999054 }, "last_aggressive_qty": { "asInt32": 19 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 6 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 19 }, "sweep_to_fill": { "asDouble": 15382.164999999999 }, "init_half_min_move": { "asDouble": 1.6925872684356884 }, "init_vol_normal": { "asDouble": 160.99865578971733 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.24849945011962937 }, "init_liq_cost": { "asDouble": 13.5 }, "worst_opt_t_minutes": { "asDouble": 0.9191981819593162 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6652249885275248 }, "curr_cost_per_share": { "asDouble": 0.125 }, "init_cost_per_share": { "asDouble": 0.84375 }, "slippage": { "asDouble": -0.624999999998181 }, "drift": { "asDouble": -0.12146947946016794 }, "curr_opt_t_minutes": { "asDouble": 0.07258559589108471 }, "pov_agg_limit": { "asInt32": 1 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 15378.624999999998 }, "sweep_residual": { "asDouble": 9 }, "total_dollar": { "asDouble": 384468.75 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2023-07-03T04:01:20.23","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:25.521","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:25.521","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:35.32","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:39.124","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:39.124","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:39.131","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:39.131","Security":"SIM:NQU3","Side":"Buy","LastShares":4.0,"LastPrice":15378.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:01:39.131","Security":"SIM:NQU3","Side":"Buy","LastShares":14.0,"LastPrice":15378.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15379.375<br />avg_total: 15378.75<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.66522498852752<br />curr_liq_cost: 3.125<br />curr_opt_t_minutes: 0.072585595891085<br />daily_vol_normal: 63.276104545939<br />destination_price: 15378.625<br />drift: -0.12146947946017<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.84375<br />init_drift: 0<br />init_half_min_move: 1.6925872684357<br />init_liq_cost: 13.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.24849945011963<br />init_vol_normal: 160.99865578972<br />last_aggressive_qty: 19<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 19<br />n_kids: 6<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 23<br />slip_toler: 0<br />slippage: -0.62499999999818<br />slippage_sweep: -3.4149999999991<br />sweep_residual: 9<br />sweep_to_fill: 15382.165<br />total_dollar: 384468.75<br />total_drift: -6.0165775575406<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.99865578972<br />worst_opt_t_minutes: 0.91919818195932

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15379.375<br />avg_total: 15378.75<br />destination_price: 15378.625<br />market_vwap: <br />n_kids: 6<br />slippage: -0.62499999999818<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 384468.75<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>2023-07-03T04:01:20.23</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:25.521</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:25.521</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:35.32</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.124</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.124</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>14</td>
<td>15378.75</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>2023-07-03T04:01:20.23</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:25.521</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:25.521</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:35.32</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.124</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.124</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:01:39.131</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>14</td>
<td>15378.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15378.75

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.84

Computed Drift

-0.12

Computed Seconds Spent

23.00

Computed Volatility

63.28