SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:35

Buy / Sell

Sell

Quantity

50

Arrival Price

63.2400

Average Total

63.2602

Destination Price

63.2700

Slippage

-0.0202

Slippage Sweep

-0.0514

Sweep to Fill

63.2088

Algo Diagnostics

{ "customState": { "curr_cost_per_share": { "asDouble": 0.029800000000000607 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 28.48055860127048 }, "init_drift": { "asDouble": -0 }, "init_min_duration": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 1 }, "init_vol_normal": { "asDouble": 0.5560982427443156 }, "seconds_spent": { "asDouble": 43.564 }, "drift": { "asDouble": -0.030000000000001137 }, "sweep_to_fill": { "asDouble": 63.2088 }, "slippage": { "asDouble": -0.020200000000009766 }, "slippage_vwap": { "asDouble": 1967.9682276729561 }, "impact_model": { "asInt32": 2 }, "market_vwap": { "asDouble": 2031.228427672956 }, "init_liq_cost": { "asDouble": 1.5599999999998957 }, "curr_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "total_filled": { "asInt32": 50 }, "avg_total": { "asDouble": 63.260200000000005 }, "order_time_minutes": { "asDouble": 10 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 0.6620265772921022 }, "total_drift": { "asDouble": -0.030000000000001137 }, "total_dollar": { "asDouble": 3163.01 }, "ready": { "asBool": true }, "curr_half_min_move": { "asDouble": 0.005859033818017074 }, "model_size": { "asDouble": 1 }, "slippage_vwap_pct": { "asDouble": 3110.91053723029 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 63.269999999999996 }, "daily_vol_normal": { "asDouble": 0.5573104480450521 }, "slip_toler": { "asDouble": 0 }, "init_cost_per_share": { "asDouble": 0.031199999999997913 }, "curr_liq_cost": { "asDouble": 1.4900000000000304 }, "worst_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 19 }, "slippage_sweep": { "asDouble": -0.051400000000008106 }, "init_half_min_move": { "asDouble": 0.005846289840443518 }, "arrival_price": { "asDouble": 63.239999999999995 }, "last_aggressive_qty": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:34:52.53","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.230000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:02.324","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.230000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:07.967","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:17.559","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:17.559","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:17.559","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:18.52","Security":"SIM:CLM5","Side":"Sell","LastShares":6.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:20.136","Security":"SIM:CLM5","Side":"Sell","LastShares":5.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:20.136","Security":"SIM:CLM5","Side":"Sell","LastShares":5.0,"LastPrice":63.27,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:21.412","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:21.412","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:21.413","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.27,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:22.513","Security":"SIM:CLM5","Side":"Sell","LastShares":4.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:25.219","Security":"SIM:CLM5","Side":"Sell","LastShares":4.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:25.219","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.27,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:25.219","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.26,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:35:25.219","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.26,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:35:26.112","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:29.825","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:29.825","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:29.825","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.26,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:35:29.825","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.26,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:35:29.825","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.26,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.24<br />avg_total: 63.2602<br />curr_cost_per_share: 0.029800000000001<br />curr_half_min_move: 0.0058590338180171<br />curr_liq_cost: 1.49<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.55731044804505<br />destination_price: 63.27<br />drift: -0.030000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.031199999999998<br />init_drift: 0<br />init_half_min_move: 0.0058462898404435<br />init_liq_cost: 1.5599999999999<br />init_min_duration: 0<br />init_opt_t_minutes: 28.48055860127<br />init_vol_normal: 0.55609824274432<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 43.564<br />slip_toler: 0<br />slippage: -0.02020000000001<br />slippage_sweep: -0.051400000000008<br />sweep_residual: 0<br />sweep_to_fill: 63.2088<br />total_dollar: 3163.01<br />total_drift: -0.030000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.6620265772921<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.24<br />avg_total: 63.2602<br />destination_price: 63.27<br />market_vwap: 2031.228427673<br />n_kids: 19<br />slippage: -0.02020000000001<br />slippage_vwap: 1967.968227673<br />slippage_vwap_pct: 3110.9105372303<br />total_dollar: 3163.01<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>2025-04-20T17:34:52.53</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.23</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:02.324</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.23</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:07.967</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:17.559</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:17.559</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:17.559</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:18.52</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:20.136</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:20.136</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:21.412</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:21.412</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:21.413</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:22.513</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:26.112</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</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>2025-04-20T17:34:52.53</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.23</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:02.324</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.23</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:07.967</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:17.559</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:17.559</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:17.559</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:18.52</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:20.136</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:20.136</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:21.412</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:21.412</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:21.413</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:22.513</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:25.219</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:26.112</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:29.825</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.26</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

63.26

Computed VWAP Slippage

1967.97

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.03

Computed Drift

-0.03

Computed Seconds Spent

43.56

Computed Volatility

0.56