SIM:NQH6 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQH6

Algo CQG Symbol

ENQ

Date - Time

12/19/2025 - 02:30

Buy / Sell

Sell

Quantity

25

Arrival Price

25346.0000

Average Total

25345.9600

Destination Price

25348.0000

Slippage

-0.0400

Slippage Sweep

0.9600

Sweep to Fill

25345.0000

Algo Diagnostics

{ "customState": { "slippage": { "asDouble": -0.040000000000873115 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_passive_ticks": { "asDouble": -2.1600000000034925 }, "slippage_sweep_money": { "asDouble": 19.199999999982538 }, "worst_opt_t_minutes": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_twap": { "asDouble": -0.2958004313550191 }, "slippage_mid_money": { "asDouble": -0.8000000000174623 }, "init_half_min_move": { "asDouble": 1.5381480939466474 }, "interval_vwap": { "asDouble": 25346.203125 }, "slippage_sweep": { "asDouble": 0.9599999999991269 }, "slippage_twap_ticks": { "asDouble": -1.1832017254200764 }, "seconds_spent": { "asDouble": 22.98 }, "interval_market_size": { "asDouble": 48 }, "market_vwap": { "asDouble": 25346.159836065573 }, "slippage_aggressive": { "asDouble": 0.4599999999991269 }, "slippage_sweep_ticks": { "asDouble": 3.8399999999965075 }, "algo_status": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 9 }, "curr_half_min_move": { "asDouble": 1.5394033407996446 }, "daily_vol_normal": { "asDouble": 146.4278227828109 }, "slippage_aggressive_ticks": { "asDouble": 1.8399999999965075 }, "curr_cost_per_share": { "asDouble": 1.0625 }, "total_dollar": { "asDouble": 633649 }, "slippage_twap_money": { "asDouble": -5.916008627100382 }, "init_vol_normal": { "asDouble": 146.30842388398565 }, "last_tactical_qty": { "asInt32": 1 }, "total_vol": { "asDouble": 41.40296938736548 }, "slippage_vwap": { "asDouble": -0.24312500000087311 }, "total_sent": { "asInt32": 25 }, "curr_liq_cost": { "asDouble": 8.5 }, "impact_model": { "asInt32": 2 }, "order_time_minutes": { "asDouble": 5 }, "init_opt_t_minutes": { "asDouble": 0.42267221202748706 }, "interval_twap": { "asDouble": 25346.255800431354 }, "ready": { "asBool": true }, "drift": { "asDouble": -2 }, "slippage_passive": { "asDouble": -0.5400000000008731 }, "sweep_to_fill": { "asDouble": 25345 }, "model_size": { "asDouble": 1 }, "slippage_mid_ticks": { "asDouble": -0.16000000000349246 }, "init_cost_per_share": { "asDouble": 1 }, "total_filled": { "asInt32": 25 }, "total_drift": { "asDouble": -2 }, "init_drift": { "asDouble": 0 }, "percentage_passive": { "asDouble": 0 }, "destination_price": { "asDouble": 25348 }, "sweep_residual": { "asDouble": 16 }, "slippage_vwap_money": { "asDouble": -4.862500000017462 }, "slippage_mid": { "asDouble": -0.040000000000873115 }, "slippage_aggressive_money": { "asDouble": 9.199999999982538 }, "avg_total": { "asDouble": 25345.96 }, "slippage_vwap_ticks": { "asDouble": -0.9725000000034925 }, "participation_rate": { "asDouble": 0.5208333333333334 }, "slippage_passive_money": { "asDouble": -10.800000000017462 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 25346 }, "economic_model": { "asInt32": 0 }, "slip_toler": { "asDouble": 0 }, "n_kids": { "asInt32": 21 } } }

Fills Array

[{"Timestamp":"2025-12-19T02:30:03.124","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.0,"Aggressor":"Passive"},{"Timestamp":"2025-12-19T02:30:02.112","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:07.184","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:06.361","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25347.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:05.168","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:04.146","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25347.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:04.135","Security":"SIM:NQH6","Side":"Sell","LastShares":2.0,"LastPrice":25347.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:58.049","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:08.18","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25347.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:07.184","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:30:01.116","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:59.065","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:56.067","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25344.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:56.049","Security":"SIM:NQH6","Side":"Sell","LastShares":2.0,"LastPrice":25344.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:55.009","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:54.52","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:51.004","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:51.004","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25346.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:50.013","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:48.981","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:47.996","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:46.93","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:29:45.932","Security":"SIM:NQH6","Side":"Sell","LastShares":1.0,"LastPrice":25345.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 25346<br />avg_total: 25345.96<br />curr_cost_per_share: 1.0625<br />curr_half_min_move: 1.5394033407996<br />curr_liq_cost: 8.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 146.42782278281<br />destination_price: 25348<br />drift: -2<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1<br />init_drift: 0<br />init_half_min_move: 1.5381480939466<br />init_liq_cost: 9<br />init_min_duration: 0<br />init_opt_t_minutes: 0.42267221202749<br />init_vol_normal: 146.30842388399<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: 21<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 22.98<br />slip_toler: 0<br />slippage: -0.040000000000873<br />slippage_sweep: 0.95999999999913<br />sweep_residual: 16<br />sweep_to_fill: 25345<br />total_dollar: 633649<br />total_drift: -2<br />total_filled: 25<br />total_sent: 25<br />total_vol: 41.402969387365<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 25346<br />avg_total: 25345.96<br />destination_price: 25348<br />market_vwap (interval_vwap): 25346.159836066<br />n_kids: 21<br />slippage: -0.040000000000873<br />slippage_vwap: -0.24312500000087<br />slippage_vwap_pct: <br />total_dollar: 633649<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>2025-12-19T02:30:03.124</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346</td>
<td>Passive</td>
</tr><tr>
<td>2025-12-19T02:30:02.112</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:07.184</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:06.361</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:05.168</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:04.146</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:04.135</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>2</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:58.049</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:08.18</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:07.184</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:01.116</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:59.065</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:56.067</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:56.049</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>2</td>
<td>25344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:55.009</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:54.52</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:51.004</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:51.004</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:50.013</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:48.981</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:47.996</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:46.93</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:45.932</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.5</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>2025-12-19T02:30:03.124</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346</td>
<td>Passive</td>
</tr><tr>
<td>2025-12-19T02:30:02.112</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:07.184</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:06.361</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:05.168</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:04.146</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:04.135</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>2</td>
<td>25347</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:58.049</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:08.18</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:07.184</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:30:01.116</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:59.065</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:56.067</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:56.049</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>2</td>
<td>25344.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:55.009</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:54.52</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:51.004</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:51.004</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25346.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:50.013</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:48.981</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:47.996</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:46.93</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:29:45.932</td>
<td>SIM:NQH6</td>
<td>Sell</td>
<td>1</td>
<td>25345.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

25345.96

Computed VWAP Slippage

-0.24

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

1.00

Computed Drift

-2.00

Version

0.20.8

Computed Seconds Spent

22.98

Computed Volatility

146.43