SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:42

Buy / Sell

Sell

Quantity

50

Arrival Price

63.2100

Average Total

63.1752

Destination Price

63.1800

Slippage

0.0348

Slippage Sweep

0.0114

Sweep to Fill

63.1866

Algo Diagnostics

{ "customState": { "init_drift": { "asDouble": -0 }, "curr_liq_cost": { "asDouble": 1.2299999999997766 }, "n_kids": { "asInt32": 11 }, "ready": { "asBool": true }, "worst_opt_t_minutes": { "asDouble": 0 }, "arrival_price": { "asDouble": 63.209999999999994 }, "market_vwap": { "asDouble": 737.5931999999993 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 3 }, "curr_cost_per_share": { "asDouble": 0.02459999999999553 }, "init_opt_t_minutes": { "asDouble": 15.813167156571609 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "model_size": { "asDouble": 3 }, "total_vol": { "asDouble": 0.6617125229385481 }, "slippage_sweep": { "asDouble": 0.011400000000001853 }, "total_sent": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.005884457445621823 }, "avg_total": { "asDouble": 63.1752 }, "sweep_residual": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 0.5601527400748154 }, "total_drift": { "asDouble": -0.030000000000001137 }, "sweep_to_fill": { "asDouble": 63.1866 }, "init_cost_per_share": { "asDouble": 0.023399999999995487 }, "destination_price": { "asDouble": 63.17999999999999 }, "slip_toler": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "drift": { "asDouble": -0.030000000000001137 }, "slippage": { "asDouble": 0.034799999999997056 }, "total_dollar": { "asDouble": 3158.7599999999998 }, "impact_model": { "asInt32": 2 }, "init_liq_cost": { "asDouble": 1.1699999999997743 }, "seconds_spent": { "asDouble": 45.549 }, "curr_half_min_move": { "asDouble": 0.005888914982422801 }, "init_vol_normal": { "asDouble": 0.5597287398200138 }, "slippage_vwap_pct": { "asDouble": 1067.5359951373314 }, "slippage_vwap": { "asDouble": 674.4179999999993 }, "curr_opt_t_minutes": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:42:16.915","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.2,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:26.229","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.2,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:39.735","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.2,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:39.735","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.2,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:42.239","Security":"SIM:CLM5","Side":"Sell","LastShares":6.0,"LastPrice":63.190000000000005,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:42.239","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:42.882","Security":"SIM:CLM5","Side":"Sell","LastShares":6.0,"LastPrice":63.190000000000005,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:42.882","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:45.852","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.190000000000005,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:47.898","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.190000000000005,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:48.745","Security":"SIM:CLM5","Side":"Sell","LastShares":11.0,"LastPrice":63.160000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:48.745","Security":"SIM:CLM5","Side":"Sell","LastShares":5.0,"LastPrice":63.15,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:50.046","Security":"SIM:CLM5","Side":"Sell","LastShares":5.0,"LastPrice":63.17,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:50.046","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.160000000000004,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:51.182","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.17,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.21<br />avg_total: 63.1752<br />curr_cost_per_share: 0.024599999999996<br />curr_half_min_move: 0.0058889149824228<br />curr_liq_cost: 1.2299999999998<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.56015274007482<br />destination_price: 63.18<br />drift: -0.030000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.023399999999995<br />init_drift: 0<br />init_half_min_move: 0.0058844574456218<br />init_liq_cost: 1.1699999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 15.813167156572<br />init_vol_normal: 0.55972873982001<br />last_aggressive_qty: <br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 11<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 45.549<br />slip_toler: 0<br />slippage: 0.034799999999997<br />slippage_sweep: 0.011400000000002<br />sweep_residual: 0<br />sweep_to_fill: 63.1866<br />total_dollar: 3158.76<br />total_drift: -0.030000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66171252293855<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.21<br />avg_total: 63.1752<br />destination_price: 63.18<br />market_vwap: 737.5932<br />n_kids: 11<br />slippage: 0.034799999999997<br />slippage_vwap: 674.418<br />slippage_vwap_pct: 1067.5359951373<br />total_dollar: 3158.76<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>2025-04-20T17:42:16.915</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:26.229</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:39.735</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:39.735</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.239</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.239</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.882</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.882</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:45.852</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:47.898</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:48.745</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>11</td>
<td>63.16</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:48.745</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.15</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:50.046</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:50.046</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.16</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:51.182</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.17</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>2025-04-20T17:42:16.915</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:26.229</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:39.735</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:39.735</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.239</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.239</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.882</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:42.882</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:45.852</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:47.898</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:48.745</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>11</td>
<td>63.16</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:48.745</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.15</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:50.046</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:50.046</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.16</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:51.182</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.17</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.18

Computed VWAP Slippage

674.42

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

-0.03

Computed Seconds Spent

45.55

Computed Volatility

0.56