SIM:ZNM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNM5

Algo CQG Symbol

TYA

Date - Time

04/20/2025 - 17:20

Buy / Sell

Buy

Quantity

200

Arrival Price

111.0391

Average Total

111.0591

Destination Price

111.0391

Slippage

0.0200

Slippage Sweep

0.0030

Sweep to Fill

111.0560

Algo Diagnostics

{ "customState": { "sweep_to_fill": { "asDouble": 111.056015625 }, "last_tactical_qty": { "asInt32": 6 }, "impact_model": { "asInt32": 2 }, "curr_cost_per_share": { "asDouble": 0.0078125 }, "arrival_price": { "asDouble": 111.0390625 }, "daily_vol_normal": { "asDouble": 0.22277065919809952 }, "ready": { "asBool": true }, "worst_opt_t_minutes": { "asDouble": 0.4086991377926891 }, "init_cost_per_share": { "asDouble": 0.016953125 }, "curr_opt_t_minutes": { "asDouble": 10 }, "seconds_spent": { "asDouble": 24.766 }, "init_liq_cost": { "asDouble": 3.390625 }, "total_sent": { "asInt32": 200 }, "sweep_residual": { "asDouble": 0 }, "market_vwap": { "asDouble": 11.672452059659092 }, "slippage": { "asDouble": 0.01999999999999602 }, "total_drift": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 89.48986980719462 }, "init_vol_normal": { "asDouble": 0.22277065919809952 }, "order_time_minutes": { "asDouble": 10 }, "total_vol": { "asDouble": 1.1624100330897982 }, "n_kids": { "asInt32": 25 }, "model_size": { "asDouble": 6 }, "algo_status": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 52.399351110864785 }, "drift": { "asDouble": 0 }, "destination_price": { "asDouble": 111.0390625 }, "slippage_vwap": { "asDouble": 99.3866104403409 }, "init_half_min_move": { "asDouble": 0.002341999563227477 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.5625 }, "total_dollar": { "asDouble": 22211.8125 }, "slippage_sweep": { "asDouble": 0.0030468749999954525 }, "total_filled": { "asInt32": 200 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.002341999563227477 }, "avg_total": { "asDouble": 111.0590625 }, "slip_toler": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:19:33.183","Security":"SIM:ZNM5","Side":"Buy","LastShares":44.0,"LastPrice":111.046875,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.065","Security":"SIM:ZNM5","Side":"Buy","LastShares":3.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.065","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.0625,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:05.066","Security":"SIM:ZNM5","Side":"Buy","LastShares":6.0,"LastPrice":111.0625,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:14.017","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:14.017","Security":"SIM:ZNM5","Side":"Buy","LastShares":2.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:14.017","Security":"SIM:ZNM5","Side":"Buy","LastShares":2.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:14.017","Security":"SIM:ZNM5","Side":"Buy","LastShares":2.0,"LastPrice":111.0625,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 111.0390625<br />avg_total: 111.0590625<br />curr_cost_per_share: 0.0078125<br />curr_half_min_move: 0.0023419995632275<br />curr_liq_cost: 1.5625<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.2227706591981<br />destination_price: 111.0390625<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.016953125<br />init_drift: 0<br />init_half_min_move: 0.0023419995632275<br />init_liq_cost: 3.390625<br />init_min_duration: 0<br />init_opt_t_minutes: 52.399351110865<br />init_vol_normal: 0.2227706591981<br />last_aggressive_qty: <br />last_tactical_qty: 6<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 6<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 24.766<br />slip_toler: 0<br />slippage: 0.019999999999996<br />slippage_sweep: 0.0030468749999955<br />sweep_residual: 0<br />sweep_to_fill: 111.056015625<br />total_dollar: 22211.8125<br />total_drift: 0<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.1624100330898<br />worst_opt_t_minutes: 0.40869913779269

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.0390625<br />avg_total: 111.0590625<br />destination_price: 111.0390625<br />market_vwap: 11.672452059659<br />n_kids: 25<br />slippage: 0.019999999999996<br />slippage_vwap: 99.386610440341<br />slippage_vwap_pct: 89.489869807195<br />total_dollar: 22211.8125<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>2025-04-20T17:19:33.183</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>44</td>
<td>111.046875</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.065</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.065</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.0625</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>2025-04-20T17:19:33.183</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>44</td>
<td>111.046875</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.065</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.065</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:05.066</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.0625</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.017</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

111.06

Computed VWAP Slippage

99.39

Computed Total Filled

200.00

Algo Model

Aggressive

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

24.77

Computed Volatility

0.22