SIM:NQU3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQU3

Algo CQG Symbol

ENQ

Date - Time

07/03/2023 - 04:50

Buy / Sell

Buy

Quantity

25

Arrival Price

15374.5000

Average Total

15374.2600

Destination Price

15374.0000

Slippage

-0.2400

Slippage Sweep

-1.5100

Sweep to Fill

15375.7700

Algo Diagnostics

{ "customState": { "init_half_min_move": { "asDouble": 1.69205074709242 }, "init_vol_normal": { "asDouble": 160.9476219572648 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 19.25 }, "init_opt_t_minutes": { "asDouble": 0.2446690454336835 }, "worst_opt_t_minutes": { "asDouble": 2.774456257449976 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6883562976014966 }, "curr_cost_per_share": { "asDouble": 0.775 }, "init_cost_per_share": { "asDouble": 0.8369565217391305 }, "slippage": { "asDouble": -0.23999999999796273 }, "drift": { "asDouble": 0.0175135224847875 }, "curr_opt_t_minutes": { "asDouble": 1.238998040383313 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15373.999999999998 }, "sweep_residual": { "asDouble": 2 }, "total_dollar": { "asDouble": 384356.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 5 }, "total_vol": { "asDouble": 160.9476219572648 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 15.5 }, "arrival_price": { "asDouble": 15374.499999999998 }, "avg_total": { "asDouble": 15374.26 }, "daily_vol_normal": { "asDouble": 65.47635131431245 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -1.5099999999983993 }, "total_drift": { "asDouble": -6.014670404903175 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 7 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15375.769999999999 } } }

Fills Array

[{"Timestamp":"2023-07-03T04:50:19.575","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15374.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:19.609","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15374.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:20.187","Security":"SIM:NQU3","Side":"Buy","LastShares":4.0,"LastPrice":15374.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:20.587","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15374.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:20.587","Security":"SIM:NQU3","Side":"Buy","LastShares":3.0,"LastPrice":15374.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:21.087","Security":"SIM:NQU3","Side":"Buy","LastShares":5.0,"LastPrice":15374.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:21.087","Security":"SIM:NQU3","Side":"Buy","LastShares":2.0,"LastPrice":15374.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:21.187","Security":"SIM:NQU3","Side":"Buy","LastShares":5.0,"LastPrice":15374.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T04:50:21.398","Security":"SIM:NQU3","Side":"Buy","LastShares":1.0,"LastPrice":15374.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 15374.5<br />avg_total: 15374.26<br />curr_cost_per_share: 0.775<br />curr_half_min_move: 0.6883562976015<br />curr_liq_cost: 15.5<br />curr_opt_t_minutes: 1.2389980403833<br />daily_vol_normal: 65.476351314312<br />destination_price: 15374<br />drift: 0.017513522484787<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.83695652173913<br />init_drift: 0<br />init_half_min_move: 1.6920507470924<br />init_liq_cost: 19.25<br />init_min_duration: 0<br />init_opt_t_minutes: 0.24466904543368<br />init_vol_normal: 160.94762195726<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: 0<br />n_kids: 7<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 5<br />slip_toler: 0<br />slippage: -0.23999999999796<br />slippage_sweep: -1.5099999999984<br />sweep_residual: 2<br />sweep_to_fill: 15375.77<br />total_dollar: 384356.5<br />total_drift: -6.0146704049032<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.94762195726<br />worst_opt_t_minutes: 2.77445625745

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 15374.5<br />avg_total: 15374.26<br />destination_price: 15374<br />market_vwap: <br />n_kids: 7<br />slippage: -0.23999999999796<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 384356.5<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>2023-07-03T04:50:19.575</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:19.609</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:20.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:20.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15374</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:20.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>5</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15374.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>5</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.398</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15374.25</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>2023-07-03T04:50:19.575</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:19.609</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:20.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>4</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:20.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15374</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:20.587</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>3</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>5</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.087</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>2</td>
<td>15374.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.187</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>5</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T04:50:21.398</td>
<td>SIM:NQU3</td>
<td>Buy</td>
<td>1</td>
<td>15374.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

15374.26

Computed VWAP Slippage

0.00

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.84

Computed Drift

0.02

Computed Seconds Spent

5.00

Computed Volatility

65.48