SIM:CLM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLM5

Algo CQG Symbol

CLE

Date - Time

04/20/2025 - 18:37

Buy / Sell

Sell

Quantity

50

Arrival Price

63.1000

Average Total

63.0364

Destination Price

63.0150

Slippage

0.0636

Slippage Sweep

0.0470

Sweep to Fill

63.0834

Algo Diagnostics

{ "customState": { "total_dollar": { "asDouble": 3151.82 }, "slippage_sweep": { "asDouble": 0.046999999999997044 }, "init_vol_normal": { "asDouble": 0.5960825965584116 }, "slippage_vwap": { "asDouble": 706.970111056514 }, "worst_opt_t_minutes": { "asDouble": 5.028387775227979 }, "curr_liq_cost": { "asDouble": 0.6600000000003376 }, "slippage": { "asDouble": 0.06359999999999388 }, "slip_toler": { "asDouble": 0 }, "n_kids": { "asInt32": 33 }, "init_half_min_move": { "asDouble": 0.006266647438278127 }, "total_sent": { "asInt32": 50 }, "drift": { "asDouble": 0.005 }, "arrival_price": { "asDouble": 63.099999999999994 }, "init_liq_cost": { "asDouble": 0.8299999999998775 }, "init_min_duration": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 3 }, "seconds_spent": { "asDouble": 302.368 }, "sweep_residual": { "asDouble": 0 }, "total_drift": { "asDouble": 0.005 }, "total_vol": { "asDouble": 0.6605609903088496 }, "init_drift": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.006301214081983496 }, "init_cost_per_share": { "asDouble": 0.01659999999999755 }, "init_opt_t_minutes": { "asDouble": 7.016905894578769 }, "destination_price": { "asDouble": 63.015 }, "daily_vol_normal": { "asDouble": 0.5993705707004301 }, "model_size": { "asDouble": 3 }, "impact_model": { "asInt32": 2 }, "slippage_vwap_pct": { "asDouble": 1121.5267862005348 }, "order_time_minutes": { "asDouble": 10 }, "avg_total": { "asDouble": 63.0364 }, "curr_cost_per_share": { "asDouble": 0.013200000000006753 }, "ready": { "asBool": true }, "market_vwap": { "asDouble": 770.006511056514 }, "algo_status": { "asInt32": 4 }, "curr_opt_t_minutes": { "asDouble": 6.10750423784241 }, "sweep_to_fill": { "asDouble": 63.0834 }, "last_aggressive_qty": { "asInt32": 4 }, "total_filled": { "asInt32": 50 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 63.1<br />avg_total: 63.0364<br />curr_cost_per_share: 0.013200000000007<br />curr_half_min_move: 0.0063012140819835<br />curr_liq_cost: 0.66000000000034<br />curr_opt_t_minutes: 6.1075042378424<br />daily_vol_normal: 0.59937057070043<br />destination_price: 63.015<br />drift: 0.005<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.016599999999998<br />init_drift: 0<br />init_half_min_move: 0.0062666474382781<br />init_liq_cost: 0.82999999999988<br />init_min_duration: 0<br />init_opt_t_minutes: 7.0169058945788<br />init_vol_normal: 0.59608259655841<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 33<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 302.368<br />slip_toler: 0<br />slippage: 0.063599999999994<br />slippage_sweep: 0.046999999999997<br />sweep_residual: 0<br />sweep_to_fill: 63.0834<br />total_dollar: 3151.82<br />total_drift: 0.005<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66056099030885<br />worst_opt_t_minutes: 5.028387775228

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.1<br />avg_total: 63.0364<br />destination_price: 63.015<br />market_vwap: 770.00651105651<br />n_kids: 33<br />slippage: 0.063599999999994<br />slippage_vwap: 706.97011105651<br />slippage_vwap_pct: 1121.5267862005<br />total_dollar: 3151.82<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>2025-04-20T18:33:03.418</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:07.348</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:17.436</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:19.259</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:19.259</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:25.612</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:29.581</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:39.213</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:40.537</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:40.537</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:40.537</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:41.661</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:55.469</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:55.514</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:33:55.514</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:55.514</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:05.713</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:34:05.713</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:34:32.353</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:32.353</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:25.214</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:40.72</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:43.462</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:43.462</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:56.139</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:56.139</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:37:59.784</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.01</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>2025-04-20T18:33:03.418</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.09</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:07.348</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.08</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:17.436</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:19.259</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:19.259</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:25.612</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:29.581</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:39.213</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:40.537</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:40.537</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:40.537</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:41.661</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:55.469</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:55.514</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:33:55.514</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:33:55.514</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:05.713</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:34:05.713</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.07</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:34:32.353</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:32.353</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.06</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>4</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:34:59.662</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.02</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:25.214</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>6</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:40.72</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>2</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:43.462</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:43.462</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:56.139</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:35:56.139</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>1</td>
<td>63.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:37:59.784</td>
<td>SIM:CLM5</td>
<td>Sell</td>
<td>3</td>
<td>63.01</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

63.04

Computed VWAP Slippage

706.97

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.01

Computed Seconds Spent

302.37

Computed Volatility

0.60