SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 04:10

Buy / Sell

Buy

Quantity

50

Arrival Price

71.3350

Average Total

71.3614

Destination Price

71.3850

Slippage

0.0264

Slippage Sweep

0.0086

Sweep to Fill

71.3528

Algo Diagnostics

{ "customState": { "sweep_to_fill": { "asDouble": 71.3528 }, "init_half_min_move": { "asDouble": 0.007850820517339608 }, "init_vol_normal": { "asDouble": 0.7467689103594578 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.1405537798221435 }, "init_liq_cost": { "asDouble": 0.8900000000001 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.01347985540032429 }, "curr_cost_per_share": { "asDouble": 0.02000000000000398 }, "init_cost_per_share": { "asDouble": 0.017800000000002 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": 0.026399999999995316 }, "drift": { "asDouble": 0.006608521383154624 }, "curr_opt_t_minutes": { "asDouble": 1.4956401019384167 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 71.38499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3568.0699999999997 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 92 }, "total_vol": { "asDouble": 0.7467689103594578 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.000000000000199 }, "arrival_price": { "asDouble": 71.335 }, "avg_total": { "asDouble": 71.36139999999999 }, "daily_vol_normal": { "asDouble": 1.2822018930212893 }, "total_drift": { "asDouble": -0.1918693374858414 }, "slippage_sweep": { "asDouble": 0.008599999999987062 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 41 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 71.335<br />avg_total: 71.3614<br />curr_cost_per_share: 0.020000000000004<br />curr_half_min_move: 0.013479855400324<br />curr_liq_cost: 1.0000000000002<br />curr_opt_t_minutes: 1.4956401019384<br />daily_vol_normal: 1.2822018930213<br />destination_price: 71.385<br />drift: 0.0066085213831546<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017800000000002<br />init_drift: 0<br />init_half_min_move: 0.0078508205173396<br />init_liq_cost: 0.8900000000001<br />init_min_duration: 0<br />init_opt_t_minutes: 5.1405537798221<br />init_vol_normal: 0.74676891035946<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 1<br />n_kids: 41<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 92<br />slip_toler: 0<br />slippage: 0.026399999999995<br />slippage_sweep: 0.0085999999999871<br />sweep_residual: 0<br />sweep_to_fill: 71.3528<br />total_dollar: 3568.07<br />total_drift: -0.19186933748584<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74676891035946<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.335<br />avg_total: 71.3614<br />destination_price: 71.385<br />market_vwap: <br />n_kids: 41<br />slippage: 0.026399999999995<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3568.07<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>2023-07-03T04:08:32.376</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:31.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:35.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:38.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:38.487</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:38.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:39.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:43.62</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:47.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:59.19</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:59.19</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.003</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:00.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.979</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.979</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:01.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:01.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:01.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:01.279</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:08.784</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:08.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:13.481</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.033</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.033</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.033</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.079</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.2</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.201</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.201</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.279</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.489</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</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>2023-07-03T04:08:32.376</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:31.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:35.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:38.378</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:38.487</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:38.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:39.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:43.62</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>6</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:08:47.287</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:59.19</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:08:59.19</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.003</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.776</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:00.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.979</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:00.979</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:01.009</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:01.087</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:01.098</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:01.279</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:08.784</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.36</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:09:08.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.37</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:09:13.481</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.41</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.033</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.033</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.033</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.078</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.079</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.2</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.201</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.201</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.279</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.28</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:10:04.489</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.39</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

71.36

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.01

Computed Seconds Spent

92.00

Computed Volatility

1.28