SIM:CLQ3 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLQ3

Algo CQG Symbol

CLE

Date - Time

07/03/2023 - 05:50

Buy / Sell

Buy

Quantity

50

Arrival Price

71.2800

Average Total

71.2744

Destination Price

71.2650

Slippage

-0.0056

Slippage Sweep

-0.0260

Sweep to Fill

71.3004

Algo Diagnostics

{ "customState": { "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 71.3004 }, "init_half_min_move": { "asDouble": 0.007844767456030941 }, "init_vol_normal": { "asDouble": 0.7461931440446087 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 6.7623895737948905 }, "init_liq_cost": { "asDouble": 1.0199999999998113 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.0162868758695664 }, "curr_cost_per_share": { "asDouble": 0.020000000000009663 }, "init_cost_per_share": { "asDouble": 0.020399999999996227 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.00560000000000116 }, "drift": { "asDouble": 0.005311509241735181 }, "curr_opt_t_minutes": { "asDouble": 1.1170883079065377 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 71.26499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3563.7200000000003 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 63 }, "total_vol": { "asDouble": 0.7461931440446087 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0000000000004832 }, "arrival_price": { "asDouble": 71.28 }, "avg_total": { "asDouble": 71.2744 }, "daily_vol_normal": { "asDouble": 1.5492052734377555 }, "total_drift": { "asDouble": -0.19172140430350848 }, "slippage_sweep": { "asDouble": -0.02599999999999625 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 26 } } }

Fills Array

[{"Timestamp":"2023-07-03T05:50:02.187","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":71.29,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:50:02.187","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.29,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:50:10.978","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:11.498","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:12.509","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:12.509","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:12.576","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:57.187","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:57.198","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.27,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:50:57.198","Security":"SIM:CLQ3","Side":"Buy","LastShares":5.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:57.309","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:57.386","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:57.687","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:57.787","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:57.887","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.187","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.197","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.297","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.409","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.486","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.586","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.609","Security":"SIM:CLQ3","Side":"Buy","LastShares":1.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.686","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.786","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.886","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":71.27,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:58.986","Security":"SIM:CLQ3","Side":"Buy","LastShares":3.0,"LastPrice":71.27,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T05:50:58.987","Security":"SIM:CLQ3","Side":"Buy","LastShares":4.0,"LastPrice":71.28,"Aggressor":"Passive"},{"Timestamp":"2023-07-03T05:50:59.086","Security":"SIM:CLQ3","Side":"Buy","LastShares":2.0,"LastPrice":71.27,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 71.28<br />avg_total: 71.2744<br />curr_cost_per_share: 0.02000000000001<br />curr_half_min_move: 0.016286875869566<br />curr_liq_cost: 1.0000000000005<br />curr_opt_t_minutes: 1.1170883079065<br />daily_vol_normal: 1.5492052734378<br />destination_price: 71.265<br />drift: 0.0053115092417352<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020399999999996<br />init_drift: 0<br />init_half_min_move: 0.0078447674560309<br />init_liq_cost: 1.0199999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 6.7623895737949<br />init_vol_normal: 0.74619314404461<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: 26<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 63<br />slip_toler: 0<br />slippage: -0.0056000000000012<br />slippage_sweep: -0.025999999999996<br />sweep_residual: 0<br />sweep_to_fill: 71.3004<br />total_dollar: 3563.72<br />total_drift: -0.19172140430351<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74619314404461<br />worst_opt_t_minutes: 10

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.28<br />avg_total: 71.2744<br />destination_price: 71.265<br />market_vwap: <br />n_kids: 26<br />slippage: -0.0056000000000012<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3563.72<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>2023-07-03T05:50:02.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:02.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:10.978</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:11.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:12.509</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:12.509</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:12.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.198</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:57.198</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.309</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.386</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.197</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.297</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.486</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.586</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.609</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.686</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.786</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.986</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:58.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:59.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</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>2023-07-03T05:50:02.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:02.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.29</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:10.978</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:11.498</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:12.509</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:12.509</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:12.576</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.198</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:57.198</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>5</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.309</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.386</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.687</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.787</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:57.887</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.187</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.197</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.297</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.409</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.486</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.586</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.609</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>1</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.686</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.786</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.886</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>71.27</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:58.986</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>3</td>
<td>71.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T05:50:58.987</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>4</td>
<td>71.28</td>
<td>Passive</td>
</tr><tr>
<td>2023-07-03T05:50:59.086</td>
<td>SIM:CLQ3</td>
<td>Buy</td>
<td>2</td>
<td>71.27</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

71.27

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.01

Computed Seconds Spent

63.00

Computed Volatility

1.55