SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 17:54

Buy / Sell

Sell

Quantity

50

Arrival Price

63.1100

Average Total

63.1166

Destination Price

63.1300

Slippage

-0.0066

Slippage Sweep

-0.0393

Sweep to Fill

63.0773

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 1 }, "slippage_vwap_pct": { "asDouble": 2693.186796254764 }, "avg_total": { "asDouble": 63.11659999999998 }, "curr_half_min_move": { "asDouble": 0.006073636175470132 }, "total_vol": { "asDouble": 0.6606656750933677 }, "init_liq_cost": { "asDouble": 1.4700000000001836 }, "market_vwap": { "asDouble": 1762.9645374449337 }, "init_min_duration": { "asDouble": 0 }, "drift": { "asDouble": -0.01999999999999602 }, "last_tactical_qty": { "asInt32": 1 }, "slippage": { "asDouble": -0.006599999999977513 }, "init_vol_normal": { "asDouble": 0.5766195169553462 }, "daily_vol_normal": { "asDouble": 0.5777233931992355 }, "init_cost_per_share": { "asDouble": 0.03266666666667074 }, "ready": { "asBool": true }, "n_kids": { "asInt32": 33 }, "curr_liq_cost": { "asDouble": 1.239999999999938 }, "worst_opt_t_minutes": { "asDouble": 3.135579604075823 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.039266666666648575 }, "order_time_minutes": { "asDouble": 10 }, "arrival_price": { "asDouble": 63.11 }, "init_half_min_move": { "asDouble": 0.006062031066923288 }, "destination_price": { "asDouble": 63.129999999999995 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 5 }, "impact_model": { "asInt32": 2 }, "slippage_vwap": { "asDouble": 1699.8479374449337 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": -0 }, "seconds_spent": { "asDouble": 193.896 }, "curr_opt_t_minutes": { "asDouble": 4.100543385959389 }, "slip_toler": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.02479999999999876 }, "total_drift": { "asDouble": -0.01999999999999602 }, "init_opt_t_minutes": { "asDouble": 29.038443006280744 }, "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 3155.829999999999 }, "total_sent": { "asInt32": 50 }, "sweep_to_fill": { "asDouble": 63.07733333333333 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.11<br />avg_total: 63.1166<br />curr_cost_per_share: 0.024799999999999<br />curr_half_min_move: 0.0060736361754701<br />curr_liq_cost: 1.2399999999999<br />curr_opt_t_minutes: 4.1005433859594<br />daily_vol_normal: 0.57772339319924<br />destination_price: 63.13<br />drift: -0.019999999999996<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.032666666666671<br />init_drift: 0<br />init_half_min_move: 0.0060620310669233<br />init_liq_cost: 1.4700000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 29.038443006281<br />init_vol_normal: 0.57661951695535<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 33<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 193.896<br />slip_toler: 0<br />slippage: -0.0065999999999775<br />slippage_sweep: -0.039266666666649<br />sweep_residual: 5<br />sweep_to_fill: 63.077333333333<br />total_dollar: 3155.83<br />total_drift: -0.019999999999996<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66066567509337<br />worst_opt_t_minutes: 3.1355796040758

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.11<br />avg_total: 63.1166<br />destination_price: 63.13<br />market_vwap: 1762.9645374449<br />n_kids: 33<br />slippage: -0.0065999999999775<br />slippage_vwap: 1699.8479374449<br />slippage_vwap_pct: 2693.1867962548<br />total_dollar: 3155.83<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>2025-04-20T17:51:24.327</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:32.994</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:41.726</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:43.721</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:45.616</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:45.616</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:45.616</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:05.115</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:08.893</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.643</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.643</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.644</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.644</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.024</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:39.043</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:39.146</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:23.697</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:23.697</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:24.391</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:28.245</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:28.245</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:28.347</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:28.347</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:34.965</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:34.965</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:35.577</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:37.5</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.457</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:59.374</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:31.295</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</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>2025-04-20T17:51:24.327</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:32.994</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:41.726</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:43.721</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:45.616</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:45.616</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:45.616</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.1</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:05.115</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:08.893</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.643</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.643</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.644</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:28.644</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.024</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:39.043</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:39.146</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:23.697</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:23.697</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:24.391</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:28.245</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:28.245</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:28.347</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:28.347</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.11</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:34.965</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:34.965</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:35.577</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>5</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:37.5</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.457</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.12</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:39.459</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:59.374</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:31.295</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.12</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.12

Computed VWAP Slippage

1699.85

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.03

Computed Drift

-0.02

Computed Seconds Spent

193.90

Computed Volatility

0.58