SIM:ZCH4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ZCH4

Algo CQG Symbol

ZCE

Date - Time

01/31/2024 - 11:18

Buy / Sell

Sell

Quantity

500

Arrival Price

447.3750

Market VWAP

447.4567

Destination Price

447.6250

Slippage

0.0997

SlippagePct

0.0223

AggressivePct

50.6329

Algo Diagnostics

{ "customState": { "slippage_vwap": { "asDouble": 0.09974542682925858 }, "n_kids": { "asInt32": 73 }, "market_vwap": { "asDouble": 447.4567454268293 }, "slippage": { "asDouble": 0.01799999999997226 }, "destination_price": { "asDouble": 447.625 }, "total_dollar": { "asDouble": 223678.5 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 50.63291139240506 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.02229660580459422 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 447.375 }, "avg_total": { "asDouble": 447.357 } } }

Fills Array

Source URL

Static

Computed diagnostics AP

algo_status: 4<br />arrival_price: 447.375<br />avg_total: 447.357<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: 447.625<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: 73<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.017999999999972<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 223678.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 50.632911392405<br />algo_status: 4<br />arrival_price: 447.375<br />avg_total: 447.357<br />destination_price: 447.625<br />market_vwap: 447.45674542683<br />n_kids: 73<br />slippage: 0.017999999999972<br />slippage_vwap: 0.099745426829259<br />slippage_vwap_pct: 0.022296605804594<br />total_dollar: 223678.5<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>2024-01-31T11:08:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:09:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>55</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:09:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:10:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:10:23.575</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>18</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>52</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:41.091</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:41.091</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:53.514</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:12:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:12:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:12:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:07.008</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:46.077</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:17.622</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>20</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>20</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>20</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>17</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:10.596</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:07.008</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:33.679</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</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>2024-01-31T11:08:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:09:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>55</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:09:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:10:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:10:23.575</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>18</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>52</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:41.091</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:41.091</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>11</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:11:53.514</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:12:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:12:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:12:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:13:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:07.008</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:14:46.077</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:17.622</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>20</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>20</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:15:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>20</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:07.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>17</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:10.596</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:37.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:16:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>13</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:07.008</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>12</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:22.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:33.679</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>10</td>
<td>447.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T11:17:52.009</td>
<td>SIM:ZCH4</td>
<td>Sell</td>
<td>9</td>
<td>447.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

447.36

Computed VWAP Slippage

0.10

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