SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:49

Buy / Sell

Buy

Quantity

50

Arrival Price

63.1100

Average Total

63.0832

Destination Price

63.0700

Slippage

-0.0268

Slippage Sweep

-0.0508

Sweep to Fill

63.1340

Algo Diagnostics

{ "customState": { "curr_opt_t_minutes": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 0.5685639083303119 }, "ready": { "asBool": true }, "worst_opt_t_minutes": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 0.5730294552297669 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "model_size": { "asDouble": 2 }, "total_sent": { "asInt32": 50 }, "n_kids": { "asInt32": 15 }, "init_min_duration": { "asDouble": 0 }, "seconds_spent": { "asDouble": 44.557 }, "drift": { "asDouble": 0.04000000000000625 }, "curr_liq_cost": { "asDouble": 1.2900000000001768 }, "slippage_vwap_pct": { "asDouble": -1641.7563233951355 }, "sweep_residual": { "asDouble": 0 }, "total_vol": { "asDouble": 0.6606656750933677 }, "avg_total": { "asDouble": 63.08319999999998 }, "sweep_to_fill": { "asDouble": 63.13399999999999 }, "last_aggressive_qty": { "asInt32": 10 }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.006024288560690501 }, "impact_model": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.05080000000001661 }, "curr_cost_per_share": { "asDouble": 0.025800000000003535 }, "init_opt_t_minutes": { "asDouble": 16.121530464094317 }, "slip_toler": { "asDouble": 0 }, "destination_price": { "asDouble": 63.06999999999999 }, "slippage_vwap": { "asDouble": -1035.6724249999997 }, "market_vwap": { "asDouble": 1098.7556249999998 }, "slippage": { "asDouble": -0.026800000000022806 }, "init_liq_cost": { "asDouble": 1.1999999999998252 }, "total_filled": { "asInt32": 50 }, "arrival_price": { "asDouble": 63.11 }, "init_half_min_move": { "asDouble": 0.005977342033146246 }, "total_drift": { "asDouble": 0.04000000000000625 }, "init_drift": { "asDouble": 0 }, "total_dollar": { "asDouble": 3154.159999999999 }, "init_cost_per_share": { "asDouble": 0.023999999999996503 }, "last_tactical_qty": { "asInt32": 2 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:49:15.336","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.120000000000005,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:25.148","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.11,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:34.132","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.11,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:43.021","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.1,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:44.365","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.1,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:46.44","Security":"SIM:CLM5","Side":"Buy","LastShares":7.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:46.44","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:46.44","Security":"SIM:CLM5","Side":"Buy","LastShares":7.0,"LastPrice":63.08,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:49:48.243","Security":"SIM:CLM5","Side":"Buy","LastShares":9.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:48.74","Security":"SIM:CLM5","Side":"Buy","LastShares":10.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:48.744","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:48.744","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:48.744","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:48.744","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:50.606","Security":"SIM:CLM5","Side":"Buy","LastShares":4.0,"LastPrice":63.08,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:50.607","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.08,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.11<br />avg_total: 63.0832<br />curr_cost_per_share: 0.025800000000004<br />curr_half_min_move: 0.0060242885606905<br />curr_liq_cost: 1.2900000000002<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.57302945522977<br />destination_price: 63.07<br />drift: 0.040000000000006<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.023999999999997<br />init_drift: 0<br />init_half_min_move: 0.0059773420331462<br />init_liq_cost: 1.1999999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 16.121530464094<br />init_vol_normal: 0.56856390833031<br />last_aggressive_qty: 10<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 44.557<br />slip_toler: 0<br />slippage: -0.026800000000023<br />slippage_sweep: -0.050800000000017<br />sweep_residual: 0<br />sweep_to_fill: 63.134<br />total_dollar: 3154.16<br />total_drift: 0.040000000000006<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66066567509337<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.11<br />avg_total: 63.0832<br />destination_price: 63.07<br />market_vwap: 1098.755625<br />n_kids: 15<br />slippage: -0.026800000000023<br />slippage_vwap: -1035.672425<br />slippage_vwap_pct: -1641.7563233951<br />total_dollar: 3154.16<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>2025-04-20T17:49:15.336</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:25.148</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:34.132</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:43.021</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:44.365</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:46.44</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:46.44</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:46.44</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.08</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:48.243</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>9</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.74</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>10</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:50.606</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:50.607</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.08</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>2025-04-20T17:49:15.336</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:25.148</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:34.132</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:43.021</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:44.365</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:46.44</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:46.44</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:46.44</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>7</td>
<td>63.08</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:48.243</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>9</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.74</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>10</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:48.744</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:50.606</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:50.607</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.08</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.08

Computed VWAP Slippage

-1035.67

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.04

Computed Seconds Spent

44.56

Computed Volatility

0.57