SIM:NQH6 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQH6

Algo CQG Symbol

ENQ

Date - Time

12/19/2025 - 02:29

Buy / Sell

Buy

Quantity

25

Arrival Price

25348.3750

Average Total

25347.4700

Destination Price

25345.8750

Slippage

0.9050

Slippage Sweep

1.8737

Sweep to Fill

25349.3438

Algo Diagnostics

{ "customState": { "total_dollar": { "asDouble": 633686.75 }, "avg_total": { "asDouble": 25347.47 }, "slippage_vwap": { "asDouble": -0.08486486486435751 }, "curr_half_min_move": { "asDouble": 1.5382922232657952 }, "total_sent": { "asInt32": 25 }, "slippage_twap_money": { "asDouble": -5.097986495529767 }, "init_opt_t_minutes": { "asDouble": 0.39683692000472576 }, "daily_vol_normal": { "asDouble": 146.32213344394478 }, "interval_twap": { "asDouble": 25347.215100675225 }, "init_liq_cost": { "asDouble": 15.5 }, "total_vol": { "asDouble": 41.40684897595125 }, "n_kids": { "asInt32": 20 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap_ticks": { "asDouble": -0.33945945945743006 }, "slippage_passive_ticks": { "asDouble": 2.1199999999953434 }, "slippage": { "asDouble": 0.9049999999988358 }, "slippage_sweep": { "asDouble": 1.8737499999988358 }, "total_filled": { "asInt32": 25 }, "seconds_spent": { "asDouble": 20.008 }, "participation_rate": { "asDouble": 0.6756756756756757 }, "slippage_twap_ticks": { "asDouble": -1.0195972991059534 }, "arrival_price": { "asDouble": 25348.375 }, "slippage_passive_money": { "asDouble": 10.599999999976717 }, "last_tactical_qty": { "asInt32": 1 }, "sweep_to_fill": { "asDouble": 25349.34375 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep_ticks": { "asDouble": 7.494999999995343 }, "last_aggressive_qty": { "asInt32": 2 }, "interval_market_size": { "asDouble": 37 }, "slippage_twap": { "asDouble": -0.25489932477648836 }, "slip_toler": { "asDouble": 0 }, "slippage_aggressive": { "asDouble": 1.2799999999988358 }, "economic_model": { "asInt32": 0 }, "percentage_passive": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 0 }, "drift": { "asDouble": 2.25 }, "slippage_passive": { "asDouble": 0.5299999999988358 }, "curr_cost_per_share": { "asDouble": 0.9431818181818182 }, "slippage_mid_money": { "asDouble": 18.099999999976717 }, "init_half_min_move": { "asDouble": 1.5378206217841048 }, "init_cost_per_share": { "asDouble": 0.96875 }, "slippage_aggressive_ticks": { "asDouble": 5.119999999995343 }, "slippage_aggressive_money": { "asDouble": 25.599999999976717 }, "market_vwap": { "asDouble": 25347.3375 }, "model_size": { "asDouble": 1 }, "slippage_mid_ticks": { "asDouble": 3.6199999999953434 }, "algo_status": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 146.2772747793214 }, "slippage_sweep_money": { "asDouble": 37.47499999997672 }, "ready": { "asBool": true }, "total_drift": { "asDouble": 2.25 }, "curr_liq_cost": { "asDouble": 10.375 }, "interval_vwap": { "asDouble": 25347.385135135137 }, "slippage_mid": { "asDouble": 0.9049999999988358 }, "sweep_residual": { "asDouble": 9 }, "impact_model": { "asInt32": 2 }, "destination_price": { "asDouble": 25345.875 }, "order_time_minutes": { "asDouble": 5 }, "slippage_vwap_money": { "asDouble": -1.6972972972871503 } } }

Fills Array

[{"Timestamp":"2025-12-19T02:29:41.449","Security":"SIM:NQH6","Side":"Buy","LastShares":2.0,"LastPrice":25347.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:40.525","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:40.525","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:37.377","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25347.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:37.377","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25347.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:36.072","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:34.368","Security":"SIM:NQH6","Side":"Buy","LastShares":2.0,"LastPrice":25348.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:34.253","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:45.115","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:43.449","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:43.449","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:41.466","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:38.446","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:30.137","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:30.136","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.25,"Aggressor":"Passive"},{"Timestamp":"2025-12-19T02:29:30.136","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:26.349","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.25,"Aggressor":"Passive"},{"Timestamp":"2025-12-19T02:29:42.599","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25346.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:36.378","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25347.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:36.378","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25347.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:33.002","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:30.341","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:25.251","Security":"SIM:NQH6","Side":"Buy","LastShares":1.0,"LastPrice":25348.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 25348.375<br />avg_total: 25347.47<br />curr_cost_per_share: 0.94318181818182<br />curr_half_min_move: 1.5382922232658<br />curr_liq_cost: 10.375<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 146.32213344394<br />destination_price: 25345.875<br />drift: 2.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.96875<br />init_drift: 0<br />init_half_min_move: 1.5378206217841<br />init_liq_cost: 15.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.39683692000473<br />init_vol_normal: 146.27727477932<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 20<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 20.008<br />slip_toler: 0<br />slippage: 0.90499999999884<br />slippage_sweep: 1.8737499999988<br />sweep_residual: 9<br />sweep_to_fill: 25349.34375<br />total_dollar: 633686.75<br />total_drift: 2.25<br />total_filled: 25<br />total_sent: 25<br />total_vol: 41.406848975951<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 25348.375<br />avg_total: 25347.47<br />destination_price: 25345.875<br />market_vwap (interval_vwap): 25347.3375<br />n_kids: 20<br />slippage: 0.90499999999884<br />slippage_vwap: -0.084864864864358<br />slippage_vwap_pct: <br />total_dollar: 633686.75<br />total_filled: 25<br />total_sent: 25

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>2025-12-19T02:29:41.449</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>2</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:40.525</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:40.525</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:37.377</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:37.377</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:36.072</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:34.368</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>2</td>
<td>25348.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:34.253</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:45.115</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:43.449</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:43.449</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:41.466</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:38.446</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:30.137</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:30.136</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-12-19T02:29:30.136</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:26.349</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-12-19T02:29:42.599</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:36.378</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:36.378</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:33.002</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:30.341</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:25.251</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.75</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>2025-12-19T02:29:41.449</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>2</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:40.525</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:40.525</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:37.377</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:37.377</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:36.072</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:34.368</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>2</td>
<td>25348.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:34.253</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:45.115</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:43.449</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:43.449</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:41.466</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:38.446</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:30.137</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:30.136</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-12-19T02:29:30.136</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:26.349</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-12-19T02:29:42.599</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:36.378</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:36.378</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:33.002</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:30.341</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:25.251</td>
<td>SIM:NQH6</td>
<td>Buy</td>
<td>1</td>
<td>25348.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

25347.47

Computed VWAP Slippage

-0.08

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

0.97

Computed Drift

2.25

Version

0.20.8

Computed Seconds Spent

20.01

Computed Volatility

146.32