SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:51

Buy / Sell

Buy

Quantity

50

Arrival Price

63.0700

Average Total

63.1230

Destination Price

63.1200

Slippage

0.0530

Slippage Sweep

0.0269

Sweep to Fill

63.0961

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 18.826385408683283 }, "curr_cost_per_share": { "asDouble": 0.0293333333333316 }, "sweep_residual": { "asDouble": 1 }, "curr_liq_cost": { "asDouble": 1.3199999999999221 }, "impact_model": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 0.006045189341084286 }, "market_vwap": { "asDouble": 1213.618450704223 }, "init_vol_normal": { "asDouble": 0.5726662611526128 }, "curr_opt_t_minutes": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 3156.15 }, "slippage_vwap_pct": { "asDouble": -1822.6247971487778 }, "sweep_to_fill": { "asDouble": 63.096122448979585 }, "daily_vol_normal": { "asDouble": 0.5750175344331899 }, "total_drift": { "asDouble": 0.05000000000000426 }, "arrival_price": { "asDouble": 63.06999999999999 }, "init_drift": { "asDouble": 0 }, "total_vol": { "asDouble": 0.6602469359552955 }, "model_size": { "asDouble": 2 }, "order_time_minutes": { "asDouble": 10 }, "slippage_sweep": { "asDouble": 0.026877551020419332 }, "algo_status": { "asInt32": 4 }, "drift": { "asDouble": 0.05000000000000426 }, "init_cost_per_share": { "asDouble": 0.026122448979595342 }, "last_tactical_qty": { "asInt32": 2 }, "slippage": { "asDouble": 0.05300000000001148 }, "economic_model": { "asInt32": 0 }, "avg_total": { "asDouble": 63.123000000000005 }, "seconds_spent": { "asDouble": 79.852 }, "n_kids": { "asInt32": 16 }, "destination_price": { "asDouble": 63.12 }, "ready": { "asBool": true }, "init_liq_cost": { "asDouble": 1.2800000000001717 }, "total_sent": { "asInt32": 50 }, "slippage_vwap": { "asDouble": -1150.495450704223 }, "init_min_duration": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.006020470282407698 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:50:02.787","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.07,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:10.845","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.09,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:16.961","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.09,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:24.82","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.09,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:35.207","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:35.207","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:56.416","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:01.581","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.09,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:03.844","Security":"SIM:CLM5","Side":"Buy","LastShares":4.0,"LastPrice":63.13,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:05.047","Security":"SIM:CLM5","Side":"Buy","LastShares":3.0,"LastPrice":63.13,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:05.047","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.14,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:06.312","Security":"SIM:CLM5","Side":"Buy","LastShares":6.0,"LastPrice":63.13,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:06.89","Security":"SIM:CLM5","Side":"Buy","LastShares":4.0,"LastPrice":63.13,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:06.89","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.14,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:09.021","Security":"SIM:CLM5","Side":"Buy","LastShares":6.0,"LastPrice":63.13,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:09.021","Security":"SIM:CLM5","Side":"Buy","LastShares":5.0,"LastPrice":63.13,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:51:10.475","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.13,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:10.475","Security":"SIM:CLM5","Side":"Buy","LastShares":4.0,"LastPrice":63.13,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:10.475","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.14,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:12.799","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.13,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.07<br />avg_total: 63.123<br />curr_cost_per_share: 0.029333333333332<br />curr_half_min_move: 0.0060451893410843<br />curr_liq_cost: 1.3199999999999<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.57501753443319<br />destination_price: 63.12<br />drift: 0.050000000000004<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.026122448979595<br />init_drift: 0<br />init_half_min_move: 0.0060204702824077<br />init_liq_cost: 1.2800000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 18.826385408683<br />init_vol_normal: 0.57266626115261<br />last_aggressive_qty: <br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 79.852<br />slip_toler: 0<br />slippage: 0.053000000000011<br />slippage_sweep: 0.026877551020419<br />sweep_residual: 1<br />sweep_to_fill: 63.09612244898<br />total_dollar: 3156.15<br />total_drift: 0.050000000000004<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.6602469359553<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.07<br />avg_total: 63.123<br />destination_price: 63.12<br />market_vwap: 1213.6184507042<br />n_kids: 16<br />slippage: 0.053000000000011<br />slippage_vwap: -1150.4954507042<br />slippage_vwap_pct: -1822.6247971488<br />total_dollar: 3156.15<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>2025-04-20T17:50:02.787</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:10.845</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:16.961</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:24.82</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:35.207</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:35.207</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:56.416</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:01.581</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:03.844</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.047</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.047</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.14</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.312</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>6</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.89</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.89</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.14</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:09.021</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>6</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:09.021</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>5</td>
<td>63.13</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:51:10.475</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:10.475</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:10.475</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.14</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:12.799</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.13</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>2025-04-20T17:50:02.787</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:10.845</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:16.961</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:24.82</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:35.207</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:35.207</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:56.416</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:01.581</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:03.844</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.047</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.047</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.14</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.312</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>6</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.89</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.89</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.14</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:09.021</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>6</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:09.021</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>5</td>
<td>63.13</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:51:10.475</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:10.475</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.13</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:10.475</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.14</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:12.799</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.13</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.12

Computed VWAP Slippage

-1150.50

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.03

Computed Drift

0.05

Computed Seconds Spent

79.85

Computed Volatility

0.58