SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:27

Buy / Sell

Buy

Quantity

50

Arrival Price

63.3000

Average Total

63.3180

Destination Price

63.3150

Slippage

0.0180

Slippage Sweep

-0.0092

Sweep to Fill

63.3272

Algo Diagnostics

{ "customState": { "arrival_price": { "asDouble": 63.3 }, "init_liq_cost": { "asDouble": 1.3599999999998857 }, "slip_toler": { "asDouble": 0 }, "slippage": { "asDouble": 0.018000000000007788 }, "last_aggressive_qty": { "asInt32": 7 }, "daily_vol_normal": { "asDouble": 0.5452455307593163 }, "total_filled": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.005714576022806168 }, "init_min_duration": { "asDouble": 0 }, "ready": { "asBool": true }, "last_tactical_qty": { "asInt32": 1 }, "slippage_vwap": { "asDouble": -1867.0863023255815 }, "total_dollar": { "asDouble": 3165.9 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 23 }, "total_drift": { "asDouble": 0.015000000000000568 }, "seconds_spent": { "asDouble": 180.95 }, "total_vol": { "asDouble": 0.6626546859992105 }, "init_opt_t_minutes": { "asDouble": 22.655297982410133 }, "sweep_residual": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "sweep_to_fill": { "asDouble": 63.3272 }, "curr_half_min_move": { "asDouble": 0.00573219471310406 }, "avg_total": { "asDouble": 63.318000000000005 }, "slippage_sweep": { "asDouble": -0.00919999999999277 }, "init_cost_per_share": { "asDouble": 0.027199999999997716 }, "curr_liq_cost": { "asDouble": 0.8899999999999508 }, "total_sent": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -2948.7449103344725 }, "curr_opt_t_minutes": { "asDouble": 2.0518858467868357 }, "impact_model": { "asInt32": 2 }, "init_drift": { "asDouble": 0 }, "model_size": { "asDouble": 1 }, "worst_opt_t_minutes": { "asDouble": 1.3891939327816871 }, "destination_price": { "asDouble": 63.315 }, "drift": { "asDouble": 0.015000000000000568 }, "init_vol_normal": { "asDouble": 0.5435696434903794 }, "market_vwap": { "asDouble": 1930.4043023255815 }, "curr_cost_per_share": { "asDouble": 0.017799999999999018 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:24:12.26","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:24:21.115","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:24:36.336","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:24:41.561","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:24:50.281","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:24:57.66","Security":"SIM:CLM5","Side":"Buy","LastShares":4.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:00.205","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:34.863","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:36.159","Security":"SIM:CLM5","Side":"Buy","LastShares":4.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:50.788","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:55.714","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:55.714","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:12.003","Security":"SIM:CLM5","Side":"Buy","LastShares":3.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:16.67","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:16.67","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:20.863","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:20.863","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:27:00.754","Security":"SIM:CLM5","Side":"Buy","LastShares":7.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:27:02.004","Security":"SIM:CLM5","Side":"Buy","LastShares":7.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:27:48.666","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:27:48.666","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:27:48.666","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:27:48.666","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:27:48.666","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:27:48.667","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:27:55.365","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.3<br />avg_total: 63.318<br />curr_cost_per_share: 0.017799999999999<br />curr_half_min_move: 0.0057321947131041<br />curr_liq_cost: 0.88999999999995<br />curr_opt_t_minutes: 2.0518858467868<br />daily_vol_normal: 0.54524553075932<br />destination_price: 63.315<br />drift: 0.015000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.027199999999998<br />init_drift: 0<br />init_half_min_move: 0.0057145760228062<br />init_liq_cost: 1.3599999999999<br />init_min_duration: 0<br />init_opt_t_minutes: 22.65529798241<br />init_vol_normal: 0.54356964349038<br />last_aggressive_qty: 7<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 180.95<br />slip_toler: 0<br />slippage: 0.018000000000008<br />slippage_sweep: -0.0091999999999928<br />sweep_residual: 0<br />sweep_to_fill: 63.3272<br />total_dollar: 3165.9<br />total_drift: 0.015000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66265468599921<br />worst_opt_t_minutes: 1.3891939327817

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.3<br />avg_total: 63.318<br />destination_price: 63.315<br />market_vwap: 1930.4043023256<br />n_kids: 23<br />slippage: 0.018000000000008<br />slippage_vwap: -1867.0863023256<br />slippage_vwap_pct: -2948.7449103345<br />total_dollar: 3165.9<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>2025-04-20T17:24:12.26</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:21.115</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:36.336</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:41.561</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:50.281</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:57.66</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:00.205</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:34.863</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:36.159</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:50.788</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:55.714</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:55.714</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:12.003</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.67</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.67</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:20.863</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:20.863</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:00.754</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.004</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.667</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:55.365</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</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>2025-04-20T17:24:12.26</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:21.115</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:36.336</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:41.561</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:50.281</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:57.66</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:00.205</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:34.863</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:36.159</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:50.788</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:55.714</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:55.714</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:12.003</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.67</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.67</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:20.863</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:20.863</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:00.754</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.004</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.666</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:48.667</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:55.365</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.32

Computed VWAP Slippage

-1867.09

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.03

Computed Drift

0.02

Computed Seconds Spent

180.95

Computed Volatility

0.55