SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 18:13

Buy / Sell

Sell

Quantity

50

Arrival Price

63.1750

Average Total

63.1936

Destination Price

63.2200

Slippage

-0.0186

Slippage Sweep

-0.0364

Sweep to Fill

63.1572

Algo Diagnostics

{ "customState": { "total_drift": { "asDouble": -0.045000000000001705 }, "order_time_minutes": { "asDouble": 10 }, "last_aggressive_qty": { "asInt32": 2 }, "avg_total": { "asDouble": 63.19359999999996 }, "sweep_to_fill": { "asDouble": 63.157199999999996 }, "slippage_vwap": { "asDouble": 2283.6712461538464 }, "arrival_price": { "asDouble": 63.175 }, "init_min_duration": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.029600000000001216 }, "ready": { "asBool": true }, "init_liq_cost": { "asDouble": 0.8900000000000006 }, "destination_price": { "asDouble": 63.22 }, "slippage": { "asDouble": -0.018599999999963757 }, "init_half_min_move": { "asDouble": 0.006164104075620932 }, "daily_vol_normal": { "asDouble": 0.5874572733669926 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.036399999999964905 }, "curr_liq_cost": { "asDouble": 1.4800000000000608 }, "init_opt_t_minutes": { "asDouble": 8.338733206322374 }, "init_vol_normal": { "asDouble": 0.5863286867566297 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "total_vol": { "asDouble": 0.661346126192735 }, "seconds_spent": { "asDouble": 151.702 }, "algo_status": { "asInt32": 4 }, "init_cost_per_share": { "asDouble": 0.01780000000000001 }, "total_dollar": { "asDouble": 3159.679999999998 }, "model_size": { "asDouble": 2 }, "impact_model": { "asInt32": 2 }, "drift": { "asDouble": -0.045000000000001705 }, "curr_half_min_move": { "asDouble": 0.006175968965539778 }, "market_vwap": { "asDouble": 2346.8648461538464 }, "slip_toler": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "total_sent": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": 3613.7698218709616 }, "last_tactical_qty": { "asInt32": 2 }, "n_kids": { "asInt32": 32 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.175<br />avg_total: 63.1936<br />curr_cost_per_share: 0.029600000000001<br />curr_half_min_move: 0.0061759689655398<br />curr_liq_cost: 1.4800000000001<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.58745727336699<br />destination_price: 63.22<br />drift: -0.045000000000002<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0178<br />init_drift: 0<br />init_half_min_move: 0.0061641040756209<br />init_liq_cost: 0.89<br />init_min_duration: 0<br />init_opt_t_minutes: 8.3387332063224<br />init_vol_normal: 0.58632868675663<br />last_aggressive_qty: 2<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 32<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 151.702<br />slip_toler: 0<br />slippage: -0.018599999999964<br />slippage_sweep: -0.036399999999965<br />sweep_residual: 0<br />sweep_to_fill: 63.1572<br />total_dollar: 3159.68<br />total_drift: -0.045000000000002<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66134612619274<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.175<br />avg_total: 63.1936<br />destination_price: 63.22<br />market_vwap: 2346.8648461538<br />n_kids: 32<br />slippage: -0.018599999999964<br />slippage_vwap: 2283.6712461538<br />slippage_vwap_pct: 3613.769821871<br />total_dollar: 3159.68<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>2025-04-20T18:11:22.816</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:11:25.515</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:32.012</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:32.012</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:42.179</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:49.118</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:49.813</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:06.324</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:39.041</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:13.637</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.562</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.567</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.567</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:47.314</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.21</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:47.314</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>8</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:48.412</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.21</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>2025-04-20T18:11:22.816</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:11:25.515</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:32.012</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:32.012</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:42.179</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:49.118</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:49.813</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:06.324</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:39.041</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:13.637</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.562</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.18</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.563</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.19</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.566</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.567</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:46.567</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.2</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:13:47.314</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.21</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:47.314</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>8</td>
<td>63.2</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:48.412</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.21</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.19

Computed VWAP Slippage

2283.67

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

-0.05

Computed Seconds Spent

151.70

Computed Volatility

0.59