SIM:CLG4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLG4

Algo CQG Symbol

CLE

Date - Time

01/17/2024 - 07:48

Buy / Sell

Sell

Quantity

50

Arrival Price

70.7750

Average Total

70.7860

Destination Price

70.7950

Slippage

-0.0110

Slippage Sweep

-0.0316

Sweep to Fill

70.7544

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 10 }, "sweep_to_fill": { "asDouble": 70.7544 }, "init_half_min_move": { "asDouble": 0.007789189347651375 }, "init_vol_normal": { "asDouble": 0.7409065624264476 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 1.0300000000004417 }, "init_opt_t_minutes": { "asDouble": 6.994391188301891 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015779173522737503 }, "curr_cost_per_share": { "asDouble": 0.010199999999991008 }, "init_cost_per_share": { "asDouble": 0.020600000000008833 }, "drift": { "asDouble": 0.0021881948575926194 }, "slippage": { "asDouble": -0.01099999999999568 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 0.5092482494177952 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.79499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3539.3 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6145199727840303 }, "seconds_spent": { "asDouble": 33 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.5099999999995504 }, "arrival_price": { "asDouble": 70.775 }, "avg_total": { "asDouble": 70.786 }, "daily_vol_normal": { "asDouble": 1.5009126997518611 }, "total_drift": { "asDouble": -0.39102209944750554 }, "slippage_sweep": { "asDouble": -0.03159999999999741 }, "last_aggressive_qty": { "asInt32": 10 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 23 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }

Fills Array

[{"Timestamp":"2024-01-17T07:47:33.69","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:37.902","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:38.377","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:38.377","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:38.378","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:41.71","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:41.726","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:41.787","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:41.797","Security":"SIM:CLG4","Side":"Sell","LastShares":3.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:41.797","Security":"SIM:CLG4","Side":"Sell","LastShares":3.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:41.887","Security":"SIM:CLG4","Side":"Sell","LastShares":4.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:41.976","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:42.087","Security":"SIM:CLG4","Side":"Sell","LastShares":3.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:42.087","Security":"SIM:CLG4","Side":"Sell","LastShares":3.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:42.887","Security":"SIM:CLG4","Side":"Sell","LastShares":3.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:47:42.891","Security":"SIM:CLG4","Side":"Sell","LastShares":2.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:43.777","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.77,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:47.178","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.77,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:50.125","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:50.204","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:50.711","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:47:59.176","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:48:03.313","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:48:05.003","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:48:05.009","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.78,"Aggressor":"Passive"},{"Timestamp":"2024-01-17T07:48:05.02","Security":"SIM:CLG4","Side":"Sell","LastShares":2.0,"LastPrice":70.8,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:48:05.02","Security":"SIM:CLG4","Side":"Sell","LastShares":8.0,"LastPrice":70.79,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-17T07:48:05.021","Security":"SIM:CLG4","Side":"Sell","LastShares":1.0,"LastPrice":70.8,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 70.775<br />avg_total: 70.786<br />curr_cost_per_share: 0.010199999999991<br />curr_half_min_move: 0.015779173522738<br />curr_liq_cost: 0.50999999999955<br />curr_opt_t_minutes: 0.5092482494178<br />daily_vol_normal: 1.5009126997519<br />destination_price: 70.795<br />drift: 0.0021881948575926<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020600000000009<br />init_drift: 0<br />init_half_min_move: 0.0077891893476514<br />init_liq_cost: 1.0300000000004<br />init_min_duration: 0<br />init_opt_t_minutes: 6.9943911883019<br />init_vol_normal: 0.74090656242645<br />last_aggressive_qty: 10<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 10<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 33<br />slip_toler: 0<br />slippage: -0.010999999999996<br />slippage_sweep: -0.031599999999997<br />sweep_residual: 0<br />sweep_to_fill: 70.7544<br />total_dollar: 3539.3<br />total_drift: -0.39102209944751<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.614519972784<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.775<br />avg_total: 70.786<br />destination_price: 70.795<br />market_vwap: <br />n_kids: 23<br />slippage: -0.010999999999996<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3539.3<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>2024-01-17T07:47:33.69</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:37.902</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:38.377</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:38.377</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:38.378</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:41.71</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.726</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.787</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.797</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.797</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:41.887</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>4</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.976</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:42.087</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:42.087</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:42.887</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:42.891</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>2</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:43.777</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:47.178</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:50.125</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:50.204</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:50.711</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:59.176</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:48:03.313</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:48:05.003</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:48:05.009</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:48:05.02</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>2</td>
<td>70.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:48:05.02</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>8</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:48:05.021</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.8</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>2024-01-17T07:47:33.69</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:37.902</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:38.377</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:38.377</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:38.378</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:41.71</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.726</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.787</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.797</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.797</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:41.887</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>4</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:41.976</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:42.087</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:42.087</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:42.887</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>3</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:47:42.891</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>2</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:43.777</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:47.178</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:50.125</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:50.204</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:50.711</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:47:59.176</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:48:03.313</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:48:05.003</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:48:05.009</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.78</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-17T07:48:05.02</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>2</td>
<td>70.8</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:48:05.02</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>8</td>
<td>70.79</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-17T07:48:05.021</td>
<td>SIM:CLG4</td>
<td>Sell</td>
<td>1</td>
<td>70.8</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

70.79

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

33.00

Computed Volatility

1.50