SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 04:13

Buy / Sell

Buy

Quantity

25

Arrival Price

15377.8750

Average Total

15379.2200

Destination Price

15379.1250

Slippage

1.3450

Slippage Sweep

-1.2900

Sweep to Fill

15380.5100

Algo Diagnostics

{ "customState": { "destination_price": { "asDouble": 15379.124999999998 }, "sweep_residual": { "asDouble": 8 }, "total_dollar": { "asDouble": 384480.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.98295307203963 }, "seconds_spent": { "asDouble": 109 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 18 }, "arrival_price": { "asDouble": 15377.874999999998 }, "avg_total": { "asDouble": 15379.22 }, "daily_vol_normal": { "asDouble": 63.91453616646307 }, "total_drift": { "asDouble": -6.015990741344461 }, "slippage_sweep": { "asDouble": -1.2899999999990541 }, "last_aggressive_qty": { "asInt32": 1 }, "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": 15380.509999999998 }, "init_half_min_move": { "asDouble": 1.692422184945452 }, "init_vol_normal": { "asDouble": 160.98295307203963 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 15.875 }, "init_opt_t_minutes": { "asDouble": 0.3044473554598726 }, "worst_opt_t_minutes": { "asDouble": 3.1308119832601387 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6719368534643196 }, "curr_cost_per_share": { "asDouble": 0.9 }, "init_cost_per_share": { "asDouble": 0.9338235294117647 }, "curr_opt_t_minutes": { "asDouble": 1.7086824375739704 }, "drift": { "asDouble": 0.042999227937460534 }, "slippage": { "asDouble": 1.3450000000011642 }, "pov_agg_limit": { "asInt32": 1 }, "mbo_max": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2023-07-03T04:11:56.714","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:12:01.696","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:12:07.489","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:12:09.487","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:12:20.503","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15378.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:12:21.188","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:37.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:37.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:37.287","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:37.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:37.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:37.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:38.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:38.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:38.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:38.376","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.186","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.186","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.186","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.186","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.378","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.378","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.378","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.378","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:13:39.378","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15379.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15377.875<br />avg_total: 15379.22<br />curr_cost_per_share: 0.9<br />curr_half_min_move: 0.67193685346432<br />curr_liq_cost: 18<br />curr_opt_t_minutes: 1.708682437574<br />daily_vol_normal: 63.914536166463<br />destination_price: 15379.125<br />drift: 0.042999227937461<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.93382352941176<br />init_drift: 0<br />init_half_min_move: 1.6924221849455<br />init_liq_cost: 15.875<br />init_min_duration: 0<br />init_opt_t_minutes: 0.30444735545987<br />init_vol_normal: 160.98295307204<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: 109<br />slip_toler: 0<br />slippage: 1.3450000000012<br />slippage_sweep: -1.2899999999991<br />sweep_residual: 8<br />sweep_to_fill: 15380.51<br />total_dollar: 384480.5<br />total_drift: -6.0159907413445<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.98295307204<br />worst_opt_t_minutes: 3.1308119832601

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15377.875<br />avg_total: 15379.22<br />destination_price: 15379.125<br />market_vwap: <br />n_kids: 25<br />slippage: 1.3450000000012<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 384480.5<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>2023-07-03T04:11:56.714</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:01.696</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:07.489</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:09.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:20.503</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:21.188</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</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>2023-07-03T04:11:56.714</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:01.696</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:07.489</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:09.487</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:20.503</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15378</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:12:21.188</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.287</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:37.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:38.376</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.186</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:13:39.378</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15379.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15379.22

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.93

Computed Drift

0.04

Computed Seconds Spent

109.00

Computed Volatility

63.91