SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 04:48

Buy / Sell

Buy

Quantity

50

Arrival Price

71.6050

Average Total

71.6058

Destination Price

71.6050

Slippage

0.0008

Slippage Sweep

-0.0180

Sweep to Fill

71.6238

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015469686509900186 }, "curr_cost_per_share": { "asDouble": 0.01180000000000348 }, "init_cost_per_share": { "asDouble": 0.018800000000003366 }, "drift": { "asDouble": -0.0009088633987143668 }, "slippage": { "asDouble": 0.0007999999999981355 }, "curr_opt_t_minutes": { "asDouble": 0.6269644272683532 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 71.60499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3580.289999999999 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7495953995414449 }, "seconds_spent": { "asDouble": 74 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.5900000000001739 }, "arrival_price": { "asDouble": 71.60499999999999 }, "avg_total": { "asDouble": 71.60579999999999 }, "daily_vol_normal": { "asDouble": 1.471474339922277 }, "slippage_sweep": { "asDouble": -0.018000000000000682 }, "total_drift": { "asDouble": -0.192595554926385 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 26 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 71.62379999999999 }, "init_half_min_move": { "asDouble": 0.007880535545582148 }, "init_vol_normal": { "asDouble": 0.7495953995414449 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9400000000001683 }, "init_opt_t_minutes": { "asDouble": 5.691205059847019 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 71.605<br />avg_total: 71.6058<br />curr_cost_per_share: 0.011800000000003<br />curr_half_min_move: 0.0154696865099<br />curr_liq_cost: 0.59000000000017<br />curr_opt_t_minutes: 0.62696442726835<br />daily_vol_normal: 1.4714743399223<br />destination_price: 71.605<br />drift: -0.00090886339871437<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.018800000000003<br />init_drift: 0<br />init_half_min_move: 0.0078805355455821<br />init_liq_cost: 0.94000000000017<br />init_min_duration: 0<br />init_opt_t_minutes: 5.691205059847<br />init_vol_normal: 0.74959539954144<br />last_aggressive_qty: <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: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 74<br />slip_toler: 0<br />slippage: 0.00079999999999814<br />slippage_sweep: -0.018000000000001<br />sweep_residual: 0<br />sweep_to_fill: 71.6238<br />total_dollar: 3580.29<br />total_drift: -0.19259555492638<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74959539954144<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.605<br />avg_total: 71.6058<br />destination_price: 71.605<br />market_vwap: <br />n_kids: 26<br />slippage: 0.00079999999999814<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3580.29<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>2023-07-03T04:47:32.006</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:35.383</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:35.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:35.475</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.578</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.578</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.578</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.599</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.679</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:46.188</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.609</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:01.475</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:18.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:39.08</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:40.3</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:48.083</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:48.083</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</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>2023-07-03T04:47:32.006</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:35.383</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:35.387</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:35.475</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.477</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.478</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.578</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.578</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.578</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.599</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:38.679</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.178</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:46.179</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:47:46.188</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:47:46.609</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:01.475</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:18.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.63</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:39.08</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.081</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.62</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:39.476</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:40.3</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.61</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T04:48:48.083</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:48:48.083</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.6</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

71.61

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

74.00

Computed Volatility

1.47