SIM:ZCH4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 11:08

Buy / Sell

Buy

Quantity

500

Arrival Price

446.8750

Market VWAP

447.0433

Destination Price

447.3750

Slippage

0.1392

SlippagePct

0.0311

AggressivePct

58.9474

Algo Diagnostics

{ "customState": { "destination_price": { "asDouble": 447.375 }, "total_dollar": { "asDouble": 223591.25 }, "aggressive_pct": { "asDouble": 58.94736842105263 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.031138363320290845 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 446.875 }, "avg_total": { "asDouble": 447.1825 }, "slippage_vwap": { "asDouble": 0.1392453115547596 }, "n_kids": { "asInt32": 76 }, "market_vwap": { "asDouble": 447.04325468844524 }, "slippage": { "asDouble": 0.30750000000000455 } } }

Fills Array

[{"Timestamp":"2024-01-31T10:59:27.817","Security":"SIM:ZCH4","Side":"Buy","LastShares":21.0,"LastPrice":446.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T10:59:27.817","Security":"SIM:ZCH4","Side":"Buy","LastShares":60.0,"LastPrice":447.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T10:59:27.818","Security":"SIM:ZCH4","Side":"Buy","LastShares":14.0,"LastPrice":446.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T10:59:49.42","Security":"SIM:ZCH4","Side":"Buy","LastShares":14.0,"LastPrice":446.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:00:04.476","Security":"SIM:ZCH4","Side":"Buy","LastShares":14.0,"LastPrice":446.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:00:19.42","Security":"SIM:ZCH4","Side":"Buy","LastShares":15.0,"LastPrice":446.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:02:04.479","Security":"SIM:ZCH4","Side":"Buy","LastShares":93.0,"LastPrice":447.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:02:45.392","Security":"SIM:ZCH4","Side":"Buy","LastShares":14.0,"LastPrice":447.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:02:45.392","Security":"SIM:ZCH4","Side":"Buy","LastShares":28.0,"LastPrice":447.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:02:56.693","Security":"SIM:ZCH4","Side":"Buy","LastShares":14.0,"LastPrice":447.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:04:04.42","Security":"SIM:ZCH4","Side":"Buy","LastShares":52.0,"LastPrice":447.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:04:19.42","Security":"SIM:ZCH4","Side":"Buy","LastShares":12.0,"LastPrice":447.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:04:34.42","Security":"SIM:ZCH4","Side":"Buy","LastShares":12.0,"LastPrice":447.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:05:04.42","Security":"SIM:ZCH4","Side":"Buy","LastShares":24.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:05:19.477","Security":"SIM:ZCH4","Side":"Buy","LastShares":13.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:05:34.419","Security":"SIM:ZCH4","Side":"Buy","LastShares":13.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:05:49.476","Security":"SIM:ZCH4","Side":"Buy","LastShares":13.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:06:04.42","Security":"SIM:ZCH4","Side":"Buy","LastShares":12.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:06:19.476","Security":"SIM:ZCH4","Side":"Buy","LastShares":10.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:06:34.476","Security":"SIM:ZCH4","Side":"Buy","LastShares":10.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:07:48.408","Security":"SIM:ZCH4","Side":"Buy","LastShares":34.0,"LastPrice":447.5,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T11:07:48.408","Security":"SIM:ZCH4","Side":"Buy","LastShares":8.0,"LastPrice":447.5,"Aggressor":"Passive"}]

Source URL

Static

Computed diagnostics AP

algo_status: 4<br />arrival_price: 446.875<br />avg_total: 447.1825<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: 447.375<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: 76<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.3075<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 223591.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 58.947368421053<br />algo_status: 4<br />arrival_price: 446.875<br />avg_total: 447.1825<br />destination_price: 447.375<br />market_vwap: 447.04325468845<br />n_kids: 76<br />slippage: 0.3075<br />slippage_vwap: 0.13924531155476<br />slippage_vwap_pct: 0.031138363320291<br />total_dollar: 223591.25<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>2024-01-31T10:59:27.817</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>21</td>
<td>446.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T10:59:27.817</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>60</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:59:27.818</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:59:49.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:00:04.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:00:19.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>15</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:04.479</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>93</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:45.392</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:45.392</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>28</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:56.693</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:04:04.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>52</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:04:19.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>12</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:04:34.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>12</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:04.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>24</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:19.477</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:34.419</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:49.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:06:04.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>12</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:06:19.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:06:34.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:07:48.408</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>34</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:07:48.408</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>8</td>
<td>447.5</td>
<td>Passive</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>2024-01-31T10:59:27.817</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>21</td>
<td>446.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T10:59:27.817</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>60</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:59:27.818</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T10:59:49.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:00:04.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:00:19.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>15</td>
<td>446.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:04.479</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>93</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:45.392</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:45.392</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>28</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:02:56.693</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>14</td>
<td>447</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:04:04.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>52</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:04:19.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>12</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:04:34.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>12</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:04.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>24</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:19.477</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:34.419</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:05:49.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:06:04.42</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>12</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:06:19.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:06:34.476</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:07:48.408</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>34</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:07:48.408</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>8</td>
<td>447.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

447.18

Computed VWAP Slippage

0.14

Computed Total Filled

500.00

Algo Model

Static

Computed Liquidity Cost

0.00

Computed Drift

0.00

Computed Seconds Spent

0.00

Computed Volatility

0.00