SIM:ZNZ4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNZ4

Algo CQG Symbol

TYA

Date - Time

10/30/2024 - 04:15

Buy / Sell

Sell

Quantity

200

Arrival Price

111.0234

Average Total

111.0110

Destination Price

111.0078

Slippage

0.0124

Slippage Sweep

0.0046

Sweep to Fill

111.0156

Algo Diagnostics

{ "customState": { "slippage_vwap_pct": { "asDouble": -92.26509253692586 }, "ready": { "asBool": true }, "slippage": { "asDouble": 0.012421875000001137 }, "slip_toler": { "asDouble": 0 }, "init_drift": { "asDouble": -0 }, "curr_half_min_move": { "asDouble": 0.012218757707024205 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 1.5625 }, "curr_opt_t_minutes": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 1.1622464631139886 }, "total_vol": { "asDouble": 1.1622464631139886 }, "drift": { "asDouble": -0.015625 }, "order_time_minutes": { "asDouble": 10 }, "total_drift": { "asDouble": -0.015625 }, "n_kids": { "asInt32": 18 }, "last_tactical_qty": { "asInt32": 59 }, "init_half_min_move": { "asDouble": 0.012218757707024205 }, "total_sent": { "asInt32": 200 }, "destination_price": { "asDouble": 111.0078125 }, "slippage_sweep": { "asDouble": 0.004609375000001137 }, "seconds_spent": { "asDouble": 17.298 }, "sweep_to_fill": { "asDouble": 111.015625 }, "arrival_price": { "asDouble": 111.0234375 }, "algo_status": { "asInt32": 4 }, "curr_cost_per_share": { "asDouble": 0.0078125 }, "avg_total": { "asDouble": 111.011015625 }, "init_min_duration": { "asDouble": 0 }, "market_vwap": { "asDouble": 8.586599332412524 }, "total_dollar": { "asDouble": 22202.203125 }, "slippage_vwap": { "asDouble": -102.42441629258748 }, "curr_liq_cost": { "asDouble": 1.5625 }, "init_cost_per_share": { "asDouble": 0.0078125 }, "economic_model": { "asInt32": 0 }, "init_vol_normal": { "asDouble": 1.1622464631139886 }, "sweep_residual": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 0.4088141832918501 }, "total_filled": { "asInt32": 200 }, "model_size": { "asDouble": 59 } } }

Fills Array

[{"Timestamp":"2024-10-30T04:15:30.254","Security":"SIM:ZNZ4","Side":"Sell","LastShares":1.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:30.363","Security":"SIM:ZNZ4","Side":"Sell","LastShares":10.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:32.433","Security":"SIM:ZNZ4","Side":"Sell","LastShares":11.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:32.433","Security":"SIM:ZNZ4","Side":"Sell","LastShares":10.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:33.412","Security":"SIM:ZNZ4","Side":"Sell","LastShares":9.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:34.422","Security":"SIM:ZNZ4","Side":"Sell","LastShares":10.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:35.43","Security":"SIM:ZNZ4","Side":"Sell","LastShares":9.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:36.58","Security":"SIM:ZNZ4","Side":"Sell","LastShares":9.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:37.446","Security":"SIM:ZNZ4","Side":"Sell","LastShares":9.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:40.417","Security":"SIM:ZNZ4","Side":"Sell","LastShares":8.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:40.417","Security":"SIM:ZNZ4","Side":"Sell","LastShares":8.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:40.473","Security":"SIM:ZNZ4","Side":"Sell","LastShares":9.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:41.486","Security":"SIM:ZNZ4","Side":"Sell","LastShares":8.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:42.495","Security":"SIM:ZNZ4","Side":"Sell","LastShares":7.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:43.506","Security":"SIM:ZNZ4","Side":"Sell","LastShares":8.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:44.517","Security":"SIM:ZNZ4","Side":"Sell","LastShares":8.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:45.53","Security":"SIM:ZNZ4","Side":"Sell","LastShares":7.0,"LastPrice":111.015625,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:15:53.973","Security":"SIM:ZNZ4","Side":"Sell","LastShares":59.0,"LastPrice":111.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 111.0234375<br />avg_total: 111.011015625<br />curr_cost_per_share: 0.0078125<br />curr_half_min_move: 0.012218757707024<br />curr_liq_cost: 1.5625<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 1.162246463114<br />destination_price: 111.0078125<br />drift: -0.015625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0078125<br />init_drift: 0<br />init_half_min_move: 0.012218757707024<br />init_liq_cost: 1.5625<br />init_min_duration: 0<br />init_opt_t_minutes: 0.40881418329185<br />init_vol_normal: 1.162246463114<br />last_aggressive_qty: <br />last_tactical_qty: 59<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 59<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 17.298<br />slip_toler: 0<br />slippage: 0.012421875000001<br />slippage_sweep: 0.0046093750000011<br />sweep_residual: 0<br />sweep_to_fill: 111.015625<br />total_dollar: 22202.203125<br />total_drift: -0.015625<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.162246463114<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.0234375<br />avg_total: 111.011015625<br />destination_price: 111.0078125<br />market_vwap: 8.5865993324125<br />n_kids: 18<br />slippage: 0.012421875000001<br />slippage_vwap: -102.42441629259<br />slippage_vwap_pct: -92.265092536926<br />total_dollar: 22202.203125<br />total_filled: 200<br />total_sent: 200

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>2024-10-30T04:15:30.254</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>1</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:30.363</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>10</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:32.433</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>11</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:32.433</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>10</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:33.412</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:34.422</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>10</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:35.43</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:36.58</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:37.446</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:40.417</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:40.417</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:40.473</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:41.486</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:42.495</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>7</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:43.506</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:44.517</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:45.53</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>7</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:53.973</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>59</td>
<td>111</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>2024-10-30T04:15:30.254</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>1</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:30.363</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>10</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:32.433</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>11</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:32.433</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>10</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:33.412</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:34.422</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>10</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:35.43</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:36.58</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:37.446</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:40.417</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:40.417</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:40.473</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>9</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:41.486</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:42.495</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>7</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:43.506</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:44.517</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>8</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:45.53</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>7</td>
<td>111.015625</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:15:53.973</td>
<td>SIM:ZNZ4</td>
<td>Sell</td>
<td>59</td>
<td>111</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

111.01

Computed VWAP Slippage

-102.42

Computed Total Filled

200.00

Algo Model

Optimistic

Computed Liquidity Cost

0.01

Computed Drift

-0.02

Computed Seconds Spent

17.30

Computed Volatility

1.16