SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 05:42

Buy / Sell

Sell

Quantity

50

Arrival Price

71.2750

Average Total

71.3128

Destination Price

71.3450

Slippage

-0.0378

Slippage Sweep

-0.0568

Sweep to Fill

71.2560

Algo Diagnostics

{ "customState": { "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.01619384030149786 }, "curr_cost_per_share": { "asDouble": -0.04959999999998985 }, "init_cost_per_share": { "asDouble": 0.01900000000000972 }, "slippage": { "asDouble": -0.037800000000004275 }, "pov_agg_limit": { "asInt32": 0 }, "drift": { "asDouble": 0.0005116933886130077 }, "curr_opt_t_minutes": { "asDouble": 0 }, "mbo_max": { "asInt32": 2 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 71.345 }, "total_dollar": { "asDouble": 3565.6400000000003 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7461408016523497 }, "seconds_spent": { "asDouble": 36 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": -2.4799999999994924 }, "arrival_price": { "asDouble": 71.275 }, "avg_total": { "asDouble": 71.31280000000001 }, "daily_vol_normal": { "asDouble": 1.5403557436799715 }, "total_drift": { "asDouble": -0.1917079558323873 }, "slippage_sweep": { "asDouble": -0.05680000000000973 }, "last_aggressive_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 15 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 3 }, "sweep_to_fill": { "asDouble": 71.256 }, "init_half_min_move": { "asDouble": 0.007844217177730156 }, "init_vol_normal": { "asDouble": 0.7461408016523497 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.950000000000486 }, "init_opt_t_minutes": { "asDouble": 5.866890512584738 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2023-07-03T05:42:19.509","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:23.509","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:27.02","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:28.887","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.26,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:32.078","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:42:32.078","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:42:32.078","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:42:50.187","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.29,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:50.209","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":71.29,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:50.286","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:42:51.288","Security":"SIM:CLQ3","Side":"Sell","LastShares":1.0,"LastPrice":71.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:51.387","Security":"SIM:CLQ3","Side":"Sell","LastShares":5.0,"LastPrice":71.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:42:51.4","Security":"SIM:CLQ3","Side":"Sell","LastShares":7.0,"LastPrice":71.33,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:51.4","Security":"SIM:CLQ3","Side":"Sell","LastShares":8.0,"LastPrice":71.32000000000001,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:51.486","Security":"SIM:CLQ3","Side":"Sell","LastShares":4.0,"LastPrice":71.34,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:42:51.487","Security":"SIM:CLQ3","Side":"Sell","LastShares":6.0,"LastPrice":71.33,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:42:51.586","Security":"SIM:CLQ3","Side":"Sell","LastShares":3.0,"LastPrice":71.34,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 71.275<br />avg_total: 71.3128<br />curr_cost_per_share: -0.04959999999999<br />curr_half_min_move: 0.016193840301498<br />curr_liq_cost: -2.4799999999995<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 1.54035574368<br />destination_price: 71.345<br />drift: 0.00051169338861301<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01900000000001<br />init_drift: 0<br />init_half_min_move: 0.0078442171777302<br />init_liq_cost: 0.95000000000049<br />init_min_duration: 0<br />init_opt_t_minutes: 5.8668905125847<br />init_vol_normal: 0.74614080165235<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 3<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 36<br />slip_toler: 0<br />slippage: -0.037800000000004<br />slippage_sweep: -0.05680000000001<br />sweep_residual: 0<br />sweep_to_fill: 71.256<br />total_dollar: 3565.64<br />total_drift: -0.19170795583239<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74614080165235<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.275<br />avg_total: 71.3128<br />destination_price: 71.345<br />market_vwap: <br />n_kids: 15<br />slippage: -0.037800000000004<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3565.64<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>2023-07-03T05:42:19.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:23.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:27.02</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:28.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:32.078</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:32.078</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:32.078</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:50.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:50.209</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:50.286</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:51.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:51.4</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>71.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.4</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>8</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.486</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:51.586</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>71.34</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>2023-07-03T05:42:19.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:23.509</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:27.02</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:28.887</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:32.078</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:32.078</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:32.078</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:50.187</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:50.209</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:50.286</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:51.288</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>1</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.387</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>5</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:51.4</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>7</td>
<td>71.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.4</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>8</td>
<td>71.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.486</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>4</td>
<td>71.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:42:51.487</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>6</td>
<td>71.33</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:42:51.586</td>
<td>SIM:CLQ3</td>
<td>Sell</td>
<td>3</td>
<td>71.34</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

71.31

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

36.00

Computed Volatility

1.54