SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 04:19

Buy / Sell

Sell

Quantity

25

Arrival Price

15376.5000

Average Total

15376.6800

Destination Price

15377.0000

Slippage

-0.1800

Slippage Sweep

-2.7600

Sweep to Fill

15373.9200

Algo Diagnostics

{ "customState": { "arrival_price": { "asDouble": 15376.499999999998 }, "avg_total": { "asDouble": 15376.68 }, "daily_vol_normal": { "asDouble": 64.17362239697471 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -2.7600000000020373 }, "total_drift": { "asDouble": -6.015452826498011 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 16 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15373.919999999998 }, "init_half_min_move": { "asDouble": 1.692270858412735 }, "init_vol_normal": { "asDouble": 160.9685589141684 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.2540378392554582 }, "init_liq_cost": { "asDouble": 14.5 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6746606405235344 }, "curr_cost_per_share": { "asDouble": 0.9411764705882353 }, "init_cost_per_share": { "asDouble": 0.8529411764705882 }, "curr_opt_t_minutes": { "asDouble": 1.9761519565002683 }, "pov_agg_limit": { "asInt32": 0 }, "drift": { "asDouble": 0.014499798931581867 }, "slippage": { "asDouble": -0.18000000000211003 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15376.999999999998 }, "sweep_residual": { "asDouble": 8 }, "total_dollar": { "asDouble": 384417 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 53 }, "total_vol": { "asDouble": 160.9685589141684 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 16 } } }

Fills Array

[{"Timestamp":"2023-07-03T04:18:44.687","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:18:44.687","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:18:56.479","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:18:56.613","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:18:59.777","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:00.309","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15377.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:00.32","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15377.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:00.387","Security":"SIM:NQU3","Side":"Sell","LastShares":3.0,"LastPrice":15377.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:00.487","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15377.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:00.487","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:00.52","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15376.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:01.387","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:01.388","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:01.48","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:22.611","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15374.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:36.325","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:36.401","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15376.75,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:19:36.788","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15376.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15376.5<br />avg_total: 15376.68<br />curr_cost_per_share: 0.94117647058824<br />curr_half_min_move: 0.67466064052353<br />curr_liq_cost: 16<br />curr_opt_t_minutes: 1.9761519565003<br />daily_vol_normal: 64.173622396975<br />destination_price: 15377<br />drift: 0.014499798931582<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.85294117647059<br />init_drift: 0<br />init_half_min_move: 1.6922708584127<br />init_liq_cost: 14.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.25403783925546<br />init_vol_normal: 160.96855891417<br />last_aggressive_qty: 2<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: 16<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 53<br />slip_toler: 0<br />slippage: -0.18000000000211<br />slippage_sweep: -2.760000000002<br />sweep_residual: 8<br />sweep_to_fill: 15373.92<br />total_dollar: 384417<br />total_drift: -6.015452826498<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.96855891417<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15376.5<br />avg_total: 15376.68<br />destination_price: 15377<br />market_vwap: <br />n_kids: 16<br />slippage: -0.18000000000211<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 384417<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>2023-07-03T04:18:44.687</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:44.687</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:56.479</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:56.613</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:59.777</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.309</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.32</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.52</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:01.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:01.388</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:01.48</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:22.611</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15374.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:36.325</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:36.401</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:36.788</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15376.75</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>2023-07-03T04:18:44.687</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:44.687</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:56.479</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:56.613</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:18:59.777</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.309</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.32</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>3</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15377</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.487</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:00.52</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:01.387</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:01.388</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:01.48</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:22.611</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15374.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:36.325</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:36.401</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:19:36.788</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15376.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15376.68

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.85

Computed Drift

0.01

Computed Seconds Spent

53.00

Computed Volatility

64.17