SIM:ZCH6 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ZCH6

Algo CQG Symbol

ZCE

Date - Time

12/19/2025 - 02:06

Buy / Sell

Sell

Quantity

500

Arrival Price

443.6250

Market VWAP

443.6072

Destination Price

443.6250

Slippage

-0.1250

Algo Diagnostics

{ "customState": { "n_kids": { "asInt32": 79 }, "percentage_passive": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_ticks": { "asDouble": -0.42896551724129495 }, "slippage_twap": { "asDouble": -0.09518682192901906 }, "slippage_twap_money": { "asDouble": -4.759341096450953 }, "slippage_vwap_money": { "asDouble": -5.362068965516187 }, "slippage_aggressive_ticks": { "asDouble": 0 }, "destination_price": { "asDouble": 443.625 }, "slippage_twap_ticks": { "asDouble": -0.38074728771607624 }, "aggressive_pct": { "asDouble": 51.851851851851855 }, "total_dollar": { "asDouble": 221750 }, "total_sent": { "asInt32": 500 }, "slippage_aggressive_money": { "asDouble": 0 }, "interval_twap": { "asDouble": 443.595186821929 }, "slippage": { "asDouble": -0.125 }, "avg_total": { "asDouble": 443.5 }, "interval_vwap": { "asDouble": 443.6072413793103 }, "slippage_sweep_ticks": { "asDouble": 0.7940000000000964 }, "slippage_vwap": { "asDouble": -0.10724137931032374 }, "slippage_sweep_money": { "asDouble": 9.925000000001205 }, "total_filled": { "asInt32": 500 }, "slippage_mid_ticks": { "asDouble": -0.5 }, "sweep_to_fill": { "asDouble": 443.3015 }, "arrival_price": { "asDouble": 443.625 }, "slippage_mid_money": { "asDouble": -6.25 }, "participation_rate": { "asDouble": 0.6896551724137931 }, "slippage_sweep": { "asDouble": 0.1985000000000241 }, "slippage_mid": { "asDouble": -0.125 }, "slippage_aggressive": { "asDouble": 0 }, "slippage_passive": { "asDouble": -0.25 }, "interval_market_size": { "asDouble": 725 }, "slippage_passive_ticks": { "asDouble": -1 }, "slippage_passive_money": { "asDouble": -12.5 } } }

Fills Array

Source URL

Static

Computed diagnostics AP

algo_status: 4<br />arrival_price: 443.625<br />avg_total: 443.5<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 443.625<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 79<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.125<br />slippage_sweep: 0.19850000000002<br />sweep_residual: <br />sweep_to_fill: 443.3015<br />total_dollar: 221750<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 51.851851851852<br />algo_status: 4<br />arrival_price: 443.625<br />avg_total: 443.5<br />destination_price: 443.625<br />market_vwap (interval_vwap): 443.60724137931<br />n_kids: 79<br />slippage: -0.125<br />slippage_vwap: -0.10724137931032<br />slippage_vwap_pct: <br />total_dollar: 221750<br />total_filled: 500<br />total_sent: 500

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>2025-12-19T02:05:12.161</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:49.461</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>9</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:00.769</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>13</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:12.288</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>15</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:07.572</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:58.523</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:29.295</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:29.302</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>9</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:11.86</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>11</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:48.443</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>14</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:00:29.395</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>38</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:00:12.013</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>30</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:12.32</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>6</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:00.384</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:28.912</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:02:58.628</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:02:12.442</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:00:58.057</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>38</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:00.391</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>3</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:52.834</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>2</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:14.134</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>4</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:00.744</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>6</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:51.496</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:27.68</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:12.31</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:15.552</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:05:36.595</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:05:36.57</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:05:01.146</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>9</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:27.481</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>13</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:02:35.395</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:46.4</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>19</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:12.13</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>23</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:04.046</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>39</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:59.124</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:41.746</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:29.624</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:43.302</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:28.69</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>2</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:00.812</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>6</td>
<td>443.5</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>2025-12-19T02:05:12.161</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:49.461</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>9</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:00.769</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>13</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:12.288</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>15</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:07.572</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:58.523</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:29.295</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:29.302</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>9</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:04:11.86</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>11</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:48.443</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>14</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:00:29.395</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>38</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:00:12.013</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>30</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:12.32</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>6</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:00.384</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:28.912</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:02:58.628</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:02:12.442</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:00:58.057</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>38</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:00.391</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>3</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:52.834</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>2</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:14.134</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>4</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:00.744</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>6</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:51.496</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:27.68</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:12.31</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:15.552</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:05:36.595</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:05:36.57</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>5</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:05:01.146</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>9</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:03:27.481</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>13</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:02:35.395</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>18</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:46.4</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>19</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:12.13</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>23</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:01:04.046</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>39</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:59.124</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:41.746</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:59:29.624</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:58:43.302</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>7</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:57:28.69</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>2</td>
<td>443.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T01:56:00.812</td>
<td>SIM:ZCH6</td>
<td>Sell</td>
<td>6</td>
<td>443.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

443.50

Computed VWAP Slippage

-0.11

Computed Total Filled

500.00

Algo Model

Static

Computed Liquidity Cost

0.00

Computed Drift

0.00

Version

0.20.8

Computed Seconds Spent

0.00

Computed Volatility

0.00