SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 18:03

Buy / Sell

Buy

Quantity

50

Arrival Price

63.1950

Average Total

63.1790

Destination Price

63.1700

Slippage

-0.0160

Slippage Sweep

-0.0374

Sweep to Fill

63.2164

Algo Diagnostics

{ "customState": { "destination_price": { "asDouble": 63.17 }, "slip_toler": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 8 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "init_min_duration": { "asDouble": 0 }, "total_drift": { "asDouble": 0.024999999999991473 }, "n_kids": { "asInt32": 16 }, "curr_cost_per_share": { "asDouble": 0.023999999999995227 }, "curr_half_min_move": { "asDouble": 0.00614359562403251 }, "slippage_vwap_pct": { "asDouble": -2029.9441973510886 }, "init_liq_cost": { "asDouble": 1.0700000000001921 }, "sweep_residual": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 0.5843779258123412 }, "init_cost_per_share": { "asDouble": 0.021400000000003843 }, "impact_model": { "asInt32": 2 }, "arrival_price": { "asDouble": 63.19499999999999 }, "init_opt_t_minutes": { "asDouble": 12.136059797218671 }, "sweep_to_fill": { "asDouble": 63.2164 }, "market_vwap": { "asDouble": 1345.6774444444443 }, "slippage_sweep": { "asDouble": -0.03740000000000521 }, "curr_liq_cost": { "asDouble": 1.1999999999997613 }, "total_filled": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage": { "asDouble": -0.015999999999998238 }, "model_size": { "asDouble": 4 }, "avg_total": { "asDouble": 63.178999999999995 }, "total_vol": { "asDouble": 0.6615554957617711 }, "total_sent": { "asInt32": 50 }, "drift": { "asDouble": 0.024999999999991473 }, "seconds_spent": { "asDouble": 36.52 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.006142920849180696 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_dollar": { "asDouble": 3158.95 }, "slippage_vwap": { "asDouble": -1282.4984444444442 }, "order_time_minutes": { "asDouble": 10 }, "init_vol_normal": { "asDouble": 0.5843137413261827 }, "last_tactical_qty": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:02:44.956","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.17,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:02:44.956","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.17,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:44.956","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.190000000000005,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:44.956","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.17,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:02:44.956","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.17,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:02:47.457","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:49.724","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:53.556","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:55.226","Security":"SIM:CLM5","Side":"Buy","LastShares":6.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:57.253","Security":"SIM:CLM5","Side":"Buy","LastShares":8.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:00.028","Security":"SIM:CLM5","Side":"Buy","LastShares":8.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:48.516","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.17,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:48.516","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:48.516","Security":"SIM:CLM5","Side":"Buy","LastShares":5.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:48.516","Security":"SIM:CLM5","Side":"Buy","LastShares":5.0,"LastPrice":63.18,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:48.516","Security":"SIM:CLM5","Side":"Buy","LastShares":2.0,"LastPrice":63.18,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:03:48.516","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.18,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:03:48.516","Security":"SIM:CLM5","Side":"Buy","LastShares":4.0,"LastPrice":63.18,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:03:48.518","Security":"SIM:CLM5","Side":"Buy","LastShares":1.0,"LastPrice":63.17,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.195<br />avg_total: 63.179<br />curr_cost_per_share: 0.023999999999995<br />curr_half_min_move: 0.0061435956240325<br />curr_liq_cost: 1.1999999999998<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.58437792581234<br />destination_price: 63.17<br />drift: 0.024999999999991<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.021400000000004<br />init_drift: 0<br />init_half_min_move: 0.0061429208491807<br />init_liq_cost: 1.0700000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 12.136059797219<br />init_vol_normal: 0.58431374132618<br />last_aggressive_qty: 8<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 36.52<br />slip_toler: 0<br />slippage: -0.015999999999998<br />slippage_sweep: -0.037400000000005<br />sweep_residual: 0<br />sweep_to_fill: 63.2164<br />total_dollar: 3158.95<br />total_drift: 0.024999999999991<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66155549576177<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.195<br />avg_total: 63.179<br />destination_price: 63.17<br />market_vwap: 1345.6774444444<br />n_kids: 16<br />slippage: -0.015999999999998<br />slippage_vwap: -1282.4984444444<br />slippage_vwap_pct: -2029.9441973511<br />total_dollar: 3158.95<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>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:47.457</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:49.724</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:53.556</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.226</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>6</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:57.253</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>8</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:00.028</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>8</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>5</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>5</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:48.518</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</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>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:44.956</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:47.457</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:49.724</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:53.556</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.226</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>6</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:57.253</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>8</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:00.028</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>8</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>5</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>5</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>2</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:48.516</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>4</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:48.518</td>
<td>SIM:CLM5</td>
<td>Buy</td>
<td>1</td>
<td>63.17</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.18

Computed VWAP Slippage

-1282.50

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.03

Computed Seconds Spent

36.52

Computed Volatility

0.58