SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:28

Buy / Sell

Sell

Quantity

50

Arrival Price

63.3100

Average Total

63.3446

Destination Price

63.3500

Slippage

-0.0346

Slippage Sweep

-0.0626

Sweep to Fill

63.2820

Algo Diagnostics

{ "customState": { "daily_vol_normal": { "asDouble": 0.5467505444982189 }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 3167.23 }, "slippage_vwap": { "asDouble": 1349.6554000000003 }, "total_drift": { "asDouble": -0.03999999999999915 }, "last_tactical_qty": { "asInt32": 4 }, "curr_liq_cost": { "asDouble": 1.2199999999999491 }, "seconds_spent": { "asDouble": 30.416 }, "slippage_sweep": { "asDouble": -0.06260000000000332 }, "init_opt_t_minutes": { "asDouble": 23.836639834062893 }, "last_aggressive_qty": { "asInt32": 3 }, "market_vwap": { "asDouble": 1413.0000000000002 }, "slippage_vwap_pct": { "asDouble": 2130.6558096507047 }, "init_half_min_move": { "asDouble": 0.0057350276240768746 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 0.545514996840682 }, "sweep_to_fill": { "asDouble": 63.282 }, "total_sent": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 1.3999999999999488 }, "impact_model": { "asInt32": 2 }, "worst_opt_t_minutes": { "asDouble": 0 }, "ready": { "asBool": true }, "n_kids": { "asInt32": 15 }, "destination_price": { "asDouble": 63.349999999999994 }, "total_filled": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 0.6627593707837285 }, "curr_cost_per_share": { "asDouble": 0.02439999999999898 }, "sweep_residual": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 63.309999999999995 }, "drift": { "asDouble": -0.03999999999999915 }, "order_time_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": -0 }, "slippage": { "asDouble": -0.03460000000000463 }, "avg_total": { "asDouble": 63.3446 }, "algo_status": { "asInt32": 4 }, "model_size": { "asDouble": 4 }, "init_cost_per_share": { "asDouble": 0.027999999999998977 }, "curr_half_min_move": { "asDouble": 0.005748017001065362 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:28:05.393","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.31,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:16.265","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:18.534","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.32,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:28:19.84","Security":"SIM:CLM5","Side":"Sell","LastShares":5.0,"LastPrice":63.35,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:19.84","Security":"SIM:CLM5","Side":"Sell","LastShares":4.0,"LastPrice":63.34,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:20.155","Security":"SIM:CLM5","Side":"Sell","LastShares":4.0,"LastPrice":63.35,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:20.155","Security":"SIM:CLM5","Side":"Sell","LastShares":5.0,"LastPrice":63.34,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:21.92","Security":"SIM:CLM5","Side":"Sell","LastShares":4.0,"LastPrice":63.35,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:21.92","Security":"SIM:CLM5","Side":"Sell","LastShares":5.0,"LastPrice":63.34,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:22.112","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.35,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:23.645","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.35,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:25.954","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.35,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:25.954","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.35,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:28:34.517","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.35,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:34.518","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.34,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:34.518","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.35,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:28:34.518","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.35,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:28:34.518","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.35,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:28:34.518","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.35,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.31<br />avg_total: 63.3446<br />curr_cost_per_share: 0.024399999999999<br />curr_half_min_move: 0.0057480170010654<br />curr_liq_cost: 1.2199999999999<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.54675054449822<br />destination_price: 63.35<br />drift: -0.039999999999999<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.027999999999999<br />init_drift: 0<br />init_half_min_move: 0.0057350276240769<br />init_liq_cost: 1.3999999999999<br />init_min_duration: 0<br />init_opt_t_minutes: 23.836639834063<br />init_vol_normal: 0.54551499684068<br />last_aggressive_qty: 3<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 30.416<br />slip_toler: 0<br />slippage: -0.034600000000005<br />slippage_sweep: -0.062600000000003<br />sweep_residual: 0<br />sweep_to_fill: 63.282<br />total_dollar: 3167.23<br />total_drift: -0.039999999999999<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66275937078373<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.31<br />avg_total: 63.3446<br />destination_price: 63.35<br />market_vwap: 1413<br />n_kids: 15<br />slippage: -0.034600000000005<br />slippage_vwap: 1349.6554<br />slippage_vwap_pct: 2130.6558096507<br />total_dollar: 3167.23<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>2025-04-20T17:28:05.393</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:16.265</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:18.534</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.32</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:19.84</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:19.84</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:20.155</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:20.155</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:21.92</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:21.92</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:22.112</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:23.645</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:25.954</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:25.954</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.517</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</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>2025-04-20T17:28:05.393</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.31</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:16.265</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.32</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:18.534</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.32</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:19.84</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:19.84</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:20.155</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:20.155</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:21.92</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:21.92</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:22.112</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:23.645</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:25.954</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:25.954</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.517</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.34</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:28:34.518</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.35</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

63.34

Computed VWAP Slippage

1349.66

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.03

Computed Drift

-0.04

Computed Seconds Spent

30.42

Computed Volatility

0.55