SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:24

Buy / Sell

Buy

Quantity

50

Arrival Price

63.3300

Average Total

63.3172

Destination Price

63.3050

Slippage

-0.0128

Slippage Sweep

-0.0398

Sweep to Fill

63.3570

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 3 }, "slippage_vwap_pct": { "asDouble": -4329.488493229792 }, "init_min_duration": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "arrival_price": { "asDouble": 63.33 }, "init_cost_per_share": { "asDouble": 0.027045454545452395 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_vol": { "asDouble": 0.6629687403527647 }, "daily_vol_normal": { "asDouble": 0.5424915710129271 }, "slippage": { "asDouble": -0.012800000000005696 }, "init_liq_cost": { "asDouble": 1.1899999999999054 }, "total_sent": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.02380000000000379 }, "drift": { "asDouble": 0.025000000000005684 }, "sweep_residual": { "asDouble": 6 }, "init_opt_t_minutes": { "asDouble": 22.495329022975906 }, "init_half_min_move": { "asDouble": 0.0057022743717697255 }, "slippage_sweep": { "asDouble": -0.03984545454545696 }, "market_vwap": { "asDouble": 2804.6280882352935 }, "curr_liq_cost": { "asDouble": 1.1900000000001896 }, "order_time_minutes": { "asDouble": 10 }, "sweep_to_fill": { "asDouble": 63.35704545454545 }, "slip_toler": { "asDouble": 0 }, "destination_price": { "asDouble": 63.30499999999999 }, "init_vol_normal": { "asDouble": 0.5423995122257789 }, "init_drift": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "ready": { "asBool": true }, "last_aggressive_qty": { "asInt32": 1 }, "total_drift": { "asDouble": 0.025000000000005684 }, "avg_total": { "asDouble": 63.31719999999999 }, "slippage_vwap": { "asDouble": -2741.3108882352935 }, "economic_model": { "asInt32": 0 }, "total_dollar": { "asDouble": 3165.8599999999997 }, "seconds_spent": { "asDouble": 60.666 }, "curr_half_min_move": { "asDouble": 0.00570324219060219 }, "n_kids": { "asInt32": 26 }, "impact_model": { "asInt32": 2 }, "total_filled": { "asInt32": 50 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.33<br />avg_total: 63.3172<br />curr_cost_per_share: 0.023800000000004<br />curr_half_min_move: 0.0057032421906022<br />curr_liq_cost: 1.1900000000002<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.54249157101293<br />destination_price: 63.305<br />drift: 0.025000000000006<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.027045454545452<br />init_drift: 0<br />init_half_min_move: 0.0057022743717697<br />init_liq_cost: 1.1899999999999<br />init_min_duration: 0<br />init_opt_t_minutes: 22.495329022976<br />init_vol_normal: 0.54239951222578<br />last_aggressive_qty: 1<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 60.666<br />slip_toler: 0<br />slippage: -0.012800000000006<br />slippage_sweep: -0.039845454545457<br />sweep_residual: 6<br />sweep_to_fill: 63.357045454545<br />total_dollar: 3165.86<br />total_drift: 0.025000000000006<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66296874035276<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.33<br />avg_total: 63.3172<br />destination_price: 63.305<br />market_vwap: 2804.6280882353<br />n_kids: 26<br />slippage: -0.012800000000006<br />slippage_vwap: -2741.3108882353<br />slippage_vwap_pct: -4329.4884932298<br />total_dollar: 3165.86<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>2025-04-20T17:22:18.089</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:28.12</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:37.217</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:55.408</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:00.654</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:00.654</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:00.654</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:01.894</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:06.067</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:06.067</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:06.067</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.375</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:12.728</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:20.113</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:20.114</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:20.114</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</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>2025-04-20T17:22:18.089</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:28.12</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:37.217</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:55.408</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.33</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:58.339</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:00.654</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:00.654</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:00.654</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:01.894</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:06.067</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:06.067</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:06.067</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.1</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:08.375</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:12.728</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:20.113</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:20.114</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:20.114</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:01.857</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

-2741.31

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.03

Computed Drift

0.03

Computed Seconds Spent

60.67

Computed Volatility

0.54