SIM:CLQ4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:CLQ4

Algo CQG Symbol

CLE

Date - Time

07/15/2024 - 00:19

Buy / Sell

Sell

Quantity

500

Arrival Price

82.4150

Market VWAP

82.4300

Destination Price

82.4350

Slippage

0.0138

SlippagePct

0.0168

AggressivePct

45.8333

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 2 }, "slippage": { "asDouble": -0.0011780104712215689 }, "arrival_price": { "asDouble": 82.41499999999999 }, "avg_total": { "asDouble": 82.41617801047121 }, "market_vwap": { "asDouble": 82.43 }, "total_dollar": { "asDouble": 15741.490000000002 }, "slippage_vwap_pct": { "asDouble": 0.01677096640787818 }, "slippage_vwap": { "asDouble": 0.01382198952879321 }, "n_kids": { "asInt32": 24 }, "aggressive_pct": { "asDouble": 45.833333333333336 }, "total_sent": { "asInt32": 206 }, "destination_price": { "asDouble": 82.435 }, "total_filled": { "asInt32": 191 } } }

Fills Array

[{"Timestamp":"2024-07-15T00:16:11.414","Security":"SIM:CLQ4","Side":"Sell","LastShares":8.0,"LastPrice":82.41,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:16:11.414","Security":"SIM:CLQ4","Side":"Sell","LastShares":3.0,"LastPrice":82.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:16:26.411","Security":"SIM:CLQ4","Side":"Sell","LastShares":9.0,"LastPrice":82.41,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:16:26.411","Security":"SIM:CLQ4","Side":"Sell","LastShares":6.0,"LastPrice":82.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:16:41.416","Security":"SIM:CLQ4","Side":"Sell","LastShares":10.0,"LastPrice":82.41,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:16:41.416","Security":"SIM:CLQ4","Side":"Sell","LastShares":5.0,"LastPrice":82.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:16:56.404","Security":"SIM:CLQ4","Side":"Sell","LastShares":10.0,"LastPrice":82.41,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:16:56.404","Security":"SIM:CLQ4","Side":"Sell","LastShares":5.0,"LastPrice":82.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:11.397","Security":"SIM:CLQ4","Side":"Sell","LastShares":9.0,"LastPrice":82.41,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:11.397","Security":"SIM:CLQ4","Side":"Sell","LastShares":9.0,"LastPrice":82.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:26.413","Security":"SIM:CLQ4","Side":"Sell","LastShares":9.0,"LastPrice":82.41,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:26.413","Security":"SIM:CLQ4","Side":"Sell","LastShares":9.0,"LastPrice":82.4,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:31.86","Security":"SIM:CLQ4","Side":"Sell","LastShares":9.0,"LastPrice":82.42,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:31.861","Security":"SIM:CLQ4","Side":"Sell","LastShares":9.0,"LastPrice":82.42,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:31.862","Security":"SIM:CLQ4","Side":"Sell","LastShares":1.0,"LastPrice":82.42,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:56.402","Security":"SIM:CLQ4","Side":"Sell","LastShares":14.0,"LastPrice":82.42,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:17:56.402","Security":"SIM:CLQ4","Side":"Sell","LastShares":5.0,"LastPrice":82.41,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:18:11.403","Security":"SIM:CLQ4","Side":"Sell","LastShares":16.0,"LastPrice":82.43,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:18:26.414","Security":"SIM:CLQ4","Side":"Sell","LastShares":15.0,"LastPrice":82.43,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:18:41.4","Security":"SIM:CLQ4","Side":"Sell","LastShares":15.0,"LastPrice":82.43,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:18:56.416","Security":"SIM:CLQ4","Side":"Sell","LastShares":2.0,"LastPrice":82.43,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T00:18:57.257","Security":"SIM:CLQ4","Side":"Sell","LastShares":13.0,"LastPrice":82.43,"Aggressor":"Aggressive"}]

Source URL

UncertBands

Computed diagnostics AP

algo_status: 2<br />arrival_price: 82.415<br />avg_total: 82.416178010471<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 82.435<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 24<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.0011780104712216<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 15741.49<br />total_drift: <br />total_filled: 191<br />total_sent: 206<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 45.833333333333<br />algo_status: 2<br />arrival_price: 82.415<br />avg_total: 82.416178010471<br />destination_price: 82.435<br />market_vwap: 82.43<br />n_kids: 24<br />slippage: -0.0011780104712216<br />slippage_vwap: 0.013821989528793<br />slippage_vwap_pct: 0.016770966407878<br />total_dollar: 15741.49<br />total_filled: 191<br />total_sent: 206

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>2024-07-15T00:16:11.414</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>8</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:11.414</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>3</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:26.411</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:26.411</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>6</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:41.416</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>10</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:41.416</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>5</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:56.404</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>10</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:56.404</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>5</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:11.397</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:11.397</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:26.413</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:26.413</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:31.86</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:31.861</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:31.862</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>1</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:56.402</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>14</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:56.402</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>5</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:11.403</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>16</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:26.414</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>15</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:41.4</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>15</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:56.416</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>2</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:57.257</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>13</td>
<td>82.43</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>2024-07-15T00:16:11.414</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>8</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:11.414</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>3</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:26.411</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:26.411</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>6</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:41.416</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>10</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:41.416</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>5</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:56.404</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>10</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:16:56.404</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>5</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:11.397</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:11.397</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:26.413</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:26.413</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.4</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:31.86</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:31.861</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>9</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:31.862</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>1</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:56.402</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>14</td>
<td>82.42</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:17:56.402</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>5</td>
<td>82.41</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:11.403</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>16</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:26.414</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>15</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:41.4</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>15</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:56.416</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>2</td>
<td>82.43</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:18:57.257</td>
<td>SIM:CLQ4</td>
<td>Sell</td>
<td>13</td>
<td>82.43</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

82.42

Computed VWAP Slippage

0.01

Computed Total Filled

191.00

Algo Model

UncertBands

Computed Liquidity Cost

0.00

Computed Drift

0.00

Computed Seconds Spent

0.00

Computed Volatility

0.00