SIM:ZCH6 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZCH6

Algo CQG Symbol

ZCE

Date - Time

12/19/2025 - 02:21

Buy / Sell

Buy

Quantity

50

Arrival Price

443.6250

Average Total

443.9450

Destination Price

443.8750

Slippage

-0.3200

Slippage Sweep

-0.0500

Sweep to Fill

443.8950

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "total_sent": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.27 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 0.6115113054202787 }, "slippage_twap": { "asDouble": -0.10576174309159114 }, "slippage": { "asDouble": -0.3199999999999932 }, "interval_vwap": { "asDouble": 443.765 }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 22197.25 }, "arrival_price": { "asDouble": 443.625 }, "slippage_aggressive": { "asDouble": -0.19499999999999318 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "curr_liq_cost": { "asDouble": 6.25 }, "init_opt_t_minutes": { "asDouble": 159.99386749292728 }, "slippage_passive": { "asDouble": -0.4449999999999932 }, "total_drift": { "asDouble": -0.125 }, "market_vwap": { "asDouble": 443.90225563909775 }, "avg_total": { "asDouble": 443.945 }, "sweep_to_fill": { "asDouble": 443.895 }, "slippage_sweep_ticks": { "asDouble": -0.20000000000004547 }, "order_time_minutes": { "asDouble": 5 }, "last_tactical_qty": { "asInt32": 1 }, "destination_price": { "asDouble": 443.875 }, "curr_half_min_move": { "asDouble": 0.021706727533536765 }, "interval_market_size": { "asDouble": 50 }, "participation_rate": { "asDouble": 1 }, "init_vol_normal": { "asDouble": 2.03040781373115 }, "curr_opt_t_minutes": { "asDouble": 5 }, "percentage_passive": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 13.5 }, "seconds_spent": { "asDouble": 293.058 }, "model_size": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.125 }, "slippage_twap_money": { "asDouble": -5.288087154579557 }, "slippage_mid_money": { "asDouble": -15.999999999999659 }, "slippage_sweep_money": { "asDouble": -2.5000000000005684 }, "worst_opt_t_minutes": { "asDouble": 5 }, "interval_twap": { "asDouble": 443.8392382569084 }, "slippage_aggressive_money": { "asDouble": -9.749999999999659 }, "init_drift": { "asDouble": 0 }, "slippage_twap_ticks": { "asDouble": -0.42304697236636457 }, "slippage_aggressive_ticks": { "asDouble": -0.7799999999999727 }, "slippage_sweep": { "asDouble": -0.05000000000001137 }, "slippage_vwap_money": { "asDouble": -9.000000000000341 }, "slippage_vwap_ticks": { "asDouble": -0.7200000000000273 }, "slippage_passive_ticks": { "asDouble": -1.7799999999999727 }, "slippage_passive_money": { "asDouble": -22.24999999999966 }, "algo_status": { "asInt32": 4 }, "init_half_min_move": { "asDouble": 0.021345783282453817 }, "slippage_mid": { "asDouble": -0.3199999999999932 }, "slippage_mid_ticks": { "asDouble": -1.2799999999999727 }, "slippage_vwap": { "asDouble": -0.18000000000000682 }, "n_kids": { "asInt32": 50 }, "drift": { "asDouble": -0.125 }, "sweep_residual": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 2.0647407786086944 }, "init_min_duration": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-12-19T02:20:55.658","Security":"SIM:ZCH6","Side":"Buy","LastShares":39.0,"LastPrice":444.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:47.905","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:40.066","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:40.065","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:29.682","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:29.682","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:09.457","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:09.457","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:19.457","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:14.462","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:16:01.643","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:15:55.811","Security":"SIM:ZCH6","Side":"Buy","LastShares":1.0,"LastPrice":443.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 443.625<br />avg_total: 443.945<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.021706727533537<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 5<br />daily_vol_normal: 2.0647407786087<br />destination_price: 443.875<br />drift: -0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.27<br />init_drift: 0<br />init_half_min_move: 0.021345783282454<br />init_liq_cost: 13.5<br />init_min_duration: 0<br />init_opt_t_minutes: 159.99386749293<br />init_vol_normal: 2.0304078137311<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 0<br />n_kids: 50<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 293.058<br />slip_toler: 0<br />slippage: -0.31999999999999<br />slippage_sweep: -0.050000000000011<br />sweep_residual: 0<br />sweep_to_fill: 443.895<br />total_dollar: 22197.25<br />total_drift: -0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.61151130542028<br />worst_opt_t_minutes: 5

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 443.625<br />avg_total: 443.945<br />destination_price: 443.875<br />market_vwap (interval_vwap): 443.9022556391<br />n_kids: 50<br />slippage: -0.31999999999999<br />slippage_vwap: -0.18000000000001<br />slippage_vwap_pct: <br />total_dollar: 22197.25<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>2025-12-19T02:20:55.658</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>39</td>
<td>444</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:47.905</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:40.066</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:40.065</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:29.682</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:29.682</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:09.457</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:09.457</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:19.457</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:14.462</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:01.643</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:15:55.811</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</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>2025-12-19T02:20:55.658</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>39</td>
<td>444</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:47.905</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:40.066</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:40.065</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:29.682</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:29.682</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:09.457</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:09.457</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:19.457</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:14.462</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:16:01.643</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:15:55.811</td>
<td>SIM:ZCH6</td>
<td>Buy</td>
<td>1</td>
<td>443.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

443.95

Computed VWAP Slippage

-0.18

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.27

Computed Drift

-0.13

Version

0.20.8

Computed Seconds Spent

293.06

Computed Volatility

2.06