SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 18:39

Buy / Sell

Sell

Quantity

50

Arrival Price

63.0150

Average Total

63.0206

Destination Price

63.0250

Slippage

-0.0056

Slippage Sweep

-0.0188

Sweep to Fill

63.0018

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "seconds_spent": { "asDouble": 40.56 }, "daily_vol_normal": { "asDouble": 0.5988345400010271 }, "curr_cost_per_share": { "asDouble": 0.010199999999994418 }, "order_time_minutes": { "asDouble": 10 }, "model_size": { "asDouble": 36 }, "worst_opt_t_minutes": { "asDouble": 0.14863940865588846 }, "total_dollar": { "asDouble": 3151.0299999999997 }, "impact_model": { "asInt32": 2 }, "curr_liq_cost": { "asDouble": 0.5099999999997209 }, "sweep_residual": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 1896.5304441980545 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 63.015 }, "curr_half_min_move": { "asDouble": 0.006295578763273225 }, "total_filled": { "asInt32": 50 }, "init_min_duration": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 4.400177843951224 }, "n_kids": { "asInt32": 12 }, "avg_total": { "asDouble": 63.020599999999995 }, "init_vol_normal": { "asDouble": 0.5985631776971094 }, "total_drift": { "asDouble": -0.009999999999990905 }, "last_tactical_qty": { "asInt32": 14 }, "slippage_vwap": { "asDouble": 1195.204865116279 }, "slippage": { "asDouble": -0.005599999999994054 }, "destination_price": { "asDouble": 63.02499999999999 }, "economic_model": { "asInt32": 0 }, "drift": { "asDouble": -0.009999999999990905 }, "slippage_sweep": { "asDouble": -0.018799999999998818 }, "last_aggressive_qty": { "asInt32": 22 }, "init_cost_per_share": { "asDouble": 0.013200000000006753 }, "total_sent": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.006292725917213787 }, "market_vwap": { "asDouble": 1258.225465116279 }, "curr_opt_t_minutes": { "asDouble": 0.1803745634682709 }, "sweep_to_fill": { "asDouble": 63.001799999999996 }, "total_vol": { "asDouble": 0.6596711696404464 }, "init_liq_cost": { "asDouble": 0.6600000000003376 }, "init_drift": { "asDouble": -0 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:38:15.374","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.02,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:38:15.375","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.02,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:38:15.375","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.02,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:38:15.715","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.02,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:38:18.141","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.01,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:38:22.341","Security":"SIM:CLM5","Side":"Sell","LastShares":3.0,"LastPrice":63.02,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:38:31.127","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.02,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:38:32.345","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.02,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:38:40.144","Security":"SIM:CLM5","Side":"Sell","LastShares":2.0,"LastPrice":63.02,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:38:40.144","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.02,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:38:41.312","Security":"SIM:CLM5","Side":"Sell","LastShares":22.0,"LastPrice":63.02,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:30.727","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.03,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:39:30.728","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.03,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:39:30.728","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.03,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:39:30.728","Security":"SIM:CLM5","Side":"Sell","LastShares":1.0,"LastPrice":63.03,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:30.728","Security":"SIM:CLM5","Side":"Sell","LastShares":10.0,"LastPrice":63.02,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.015<br />avg_total: 63.0206<br />curr_cost_per_share: 0.010199999999994<br />curr_half_min_move: 0.0062955787632732<br />curr_liq_cost: 0.50999999999972<br />curr_opt_t_minutes: 0.18037456346827<br />daily_vol_normal: 0.59883454000103<br />destination_price: 63.025<br />drift: -0.0099999999999909<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.013200000000007<br />init_drift: 0<br />init_half_min_move: 0.0062927259172138<br />init_liq_cost: 0.66000000000034<br />init_min_duration: 0<br />init_opt_t_minutes: 4.4001778439512<br />init_vol_normal: 0.59856317769711<br />last_aggressive_qty: 22<br />last_tactical_qty: 14<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 36<br />n_kids: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 40.56<br />slip_toler: 0<br />slippage: -0.0055999999999941<br />slippage_sweep: -0.018799999999999<br />sweep_residual: 0<br />sweep_to_fill: 63.0018<br />total_dollar: 3151.03<br />total_drift: -0.0099999999999909<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.65967116964045<br />worst_opt_t_minutes: 0.14863940865589

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.015<br />avg_total: 63.0206<br />destination_price: 63.025<br />market_vwap: 1258.2254651163<br />n_kids: 12<br />slippage: -0.0055999999999941<br />slippage_vwap: 1195.2048651163<br />slippage_vwap_pct: 1896.5304441981<br />total_dollar: 3151.03<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>2025-04-20T18:38:15.374</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:38:15.375</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:15.375</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:38:15.715</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:18.141</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:22.341</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.02</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:38:31.127</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:32.345</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:40.144</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:40.144</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:41.312</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>22</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:30.727</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>10</td>
<td>63.02</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>2025-04-20T18:38:15.374</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:38:15.375</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:15.375</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:38:15.715</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:18.141</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:22.341</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.02</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:38:31.127</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:32.345</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:40.144</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:40.144</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:38:41.312</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>22</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:30.727</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.03</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:30.728</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>10</td>
<td>63.02</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.02

Computed VWAP Slippage

1195.20

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.01

Computed Drift

-0.01

Computed Seconds Spent

40.56

Computed Volatility

0.60