SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:41

Buy / Sell

Buy

Quantity

50

Arrival Price

63.2600

Average Total

63.2584

Destination Price

63.2450

Slippage

-0.0016

Slippage Sweep

-0.0302

Sweep to Fill

63.2886

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "seconds_spent": { "asDouble": 252.475 }, "slippage_sweep": { "asDouble": -0.03019999999997225 }, "slippage_vwap_pct": { "asDouble": -2750.3133776402174 }, "sweep_to_fill": { "asDouble": 63.288599999999995 }, "total_vol": { "asDouble": 0.6622359468611383 }, "init_vol_normal": { "asDouble": 0.5585169471837471 }, "total_dollar": { "asDouble": 3162.920000000001 }, "curr_half_min_move": { "asDouble": 0.005880887716336274 }, "curr_opt_t_minutes": { "asDouble": 5.881927241966481 }, "init_liq_cost": { "asDouble": 1.4300000000003124 }, "init_half_min_move": { "asDouble": 0.0058717178064113685 }, "n_kids": { "asInt32": 30 }, "init_min_duration": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "market_vwap": { "asDouble": 1803.0626376811597 }, "worst_opt_t_minutes": { "asDouble": 4.196838734085185 }, "drift": { "asDouble": 0.015000000000000568 }, "total_sent": { "asInt32": 50 }, "sweep_residual": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "total_drift": { "asDouble": 0.015000000000000568 }, "curr_liq_cost": { "asDouble": 1.15000000000029 }, "impact_model": { "asInt32": 2 }, "slippage": { "asDouble": -0.0015999999999678494 }, "destination_price": { "asDouble": 63.24499999999999 }, "avg_total": { "asDouble": 63.25840000000002 }, "order_time_minutes": { "asDouble": 10 }, "economic_model": { "asInt32": 0 }, "init_cost_per_share": { "asDouble": 0.028600000000006245 }, "model_size": { "asDouble": 1 }, "total_filled": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 0.5593891876874743 }, "curr_cost_per_share": { "asDouble": 0.023000000000005797 }, "slippage_vwap": { "asDouble": -1739.8042376811597 }, "arrival_price": { "asDouble": 63.25999999999999 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 23.72475387394625 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.26<br />avg_total: 63.2584<br />curr_cost_per_share: 0.023000000000006<br />curr_half_min_move: 0.0058808877163363<br />curr_liq_cost: 1.1500000000003<br />curr_opt_t_minutes: 5.8819272419665<br />daily_vol_normal: 0.55938918768747<br />destination_price: 63.245<br />drift: 0.015000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.028600000000006<br />init_drift: 0<br />init_half_min_move: 0.0058717178064114<br />init_liq_cost: 1.4300000000003<br />init_min_duration: 0<br />init_opt_t_minutes: 23.724753873946<br />init_vol_normal: 0.55851694718375<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 30<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 252.475<br />slip_toler: 0<br />slippage: -0.0015999999999678<br />slippage_sweep: -0.030199999999972<br />sweep_residual: 0<br />sweep_to_fill: 63.2886<br />total_dollar: 3162.92<br />total_drift: 0.015000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66223594686114<br />worst_opt_t_minutes: 4.1968387340852

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.26<br />avg_total: 63.2584<br />destination_price: 63.245<br />market_vwap: 1803.0626376812<br />n_kids: 30<br />slippage: -0.0015999999999678<br />slippage_vwap: -1739.8042376812<br />slippage_vwap_pct: -2750.3133776402<br />total_dollar: 3162.92<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>2025-04-20T17:37:16.504</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:27.373</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:36.142</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.569</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:56.569</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.57</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:07.421</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:05.097</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:15.946</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:25.959</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:38.813</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:48.275</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:00.248</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:10.212</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:21.544</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:23.786</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:38.02</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:39.151</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:47.947</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:58.343</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:58.343</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:01.034</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:01.537</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:02.619</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:04.514</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:13.798</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:13.799</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:13.799</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:21.63</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</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>2025-04-20T17:37:16.504</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:27.373</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:36.142</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.568</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.24</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.569</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:56.569</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:56.57</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:07.421</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:05.097</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:15.946</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:25.959</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:38.813</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:48.275</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:00.248</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:10.212</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:21.544</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:23.786</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.27</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:38.02</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:39.151</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:47.947</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:58.343</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:58.343</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:01.034</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:01.537</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:02.619</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:04.514</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:13.798</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:13.799</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:13.799</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>3</td>
<td>63.26</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:21.63</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.26

Computed VWAP Slippage

-1739.80

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.03

Computed Drift

0.02

Computed Seconds Spent

252.48

Computed Volatility

0.56