SIM:ZNM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNM5

Algo CQG Symbol

TYA

Date - Time

04/20/2025 - 18:01

Buy / Sell

Sell

Quantity

200

Arrival Price

111.0859

Average Total

111.0781

Destination Price

111.0859

Slippage

0.0078

Slippage Sweep

-0.0110

Sweep to Fill

111.0671

Algo Diagnostics

{ "customState": { "init_liq_cost": { "asDouble": 3.765625 }, "curr_liq_cost": { "asDouble": 1.59375 }, "slippage": { "asDouble": 0.0078125 }, "init_half_min_move": { "asDouble": 0.0031723374230026393 }, "drift": { "asDouble": -0 }, "market_vwap": { "asDouble": 12.887560428176796 }, "ready": { "asBool": true }, "total_dollar": { "asDouble": 22215.625 }, "worst_opt_t_minutes": { "asDouble": 0.42485180594022137 }, "sweep_residual": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 6.309888067818481 }, "total_vol": { "asDouble": 1.1629007430172265 }, "last_aggressive_qty": { "asInt32": 14 }, "curr_cost_per_share": { "asDouble": 0.00796875 }, "algo_status": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 35.22535648471408 }, "total_sent": { "asInt32": 200 }, "n_kids": { "asInt32": 27 }, "avg_total": { "asDouble": 111.078125 }, "total_filled": { "asInt32": 200 }, "seconds_spent": { "asDouble": 25.815 }, "init_vol_normal": { "asDouble": 0.30175227613928324 }, "init_drift": { "asDouble": -0 }, "destination_price": { "asDouble": 111.0859375 }, "economic_model": { "asInt32": 0 }, "total_drift": { "asDouble": -0 }, "model_size": { "asDouble": 5 }, "slip_toler": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.0031723374230026393 }, "sweep_to_fill": { "asDouble": 111.067109375 }, "daily_vol_normal": { "asDouble": 0.30175227613928324 }, "arrival_price": { "asDouble": 111.0859375 }, "slippage_vwap_pct": { "asDouble": -88.39775119702749 }, "last_tactical_qty": { "asInt32": 5 }, "order_time_minutes": { "asDouble": 10 }, "impact_model": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 0.018828125 }, "slippage_vwap": { "asDouble": -98.1905645718232 }, "slippage_sweep": { "asDouble": -0.011015624999998863 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 111.0859375<br />avg_total: 111.078125<br />curr_cost_per_share: 0.00796875<br />curr_half_min_move: 0.0031723374230026<br />curr_liq_cost: 1.59375<br />curr_opt_t_minutes: 6.3098880678185<br />daily_vol_normal: 0.30175227613928<br />destination_price: 111.0859375<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.018828125<br />init_drift: 0<br />init_half_min_move: 0.0031723374230026<br />init_liq_cost: 3.765625<br />init_min_duration: 0<br />init_opt_t_minutes: 35.225356484714<br />init_vol_normal: 0.30175227613928<br />last_aggressive_qty: 14<br />last_tactical_qty: 5<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 27<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.815<br />slip_toler: 0<br />slippage: 0.0078125<br />slippage_sweep: -0.011015624999999<br />sweep_residual: 0<br />sweep_to_fill: 111.067109375<br />total_dollar: 22215.625<br />total_drift: 0<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.1629007430172<br />worst_opt_t_minutes: 0.42485180594022

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.0859375<br />avg_total: 111.078125<br />destination_price: 111.0859375<br />market_vwap: 12.887560428177<br />n_kids: 27<br />slippage: 0.0078125<br />slippage_vwap: -98.190564571823<br />slippage_vwap_pct: -88.397751197027<br />total_dollar: 22215.625<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>2025-04-20T18:00:54.459</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:58.136</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:58.136</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:58.136</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:59.219</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>10</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:00.212</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>3</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:00.957</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:01.763</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.17</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>4</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.17</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>4</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.312</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.916</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:09.712</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:09.712</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>4</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:10.837</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:14.614</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>14</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:14.614</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>50</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>15</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>3</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>6</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>10</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>6</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>6</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</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>2025-04-20T18:00:54.459</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:58.136</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:58.136</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:58.136</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:59.219</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>10</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:00.212</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>3</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:00.957</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:01.763</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.17</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>4</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.17</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>4</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.312</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.916</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:09.712</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:09.712</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>4</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:10.837</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:14.614</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>14</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:14.614</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>50</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>15</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>3</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>6</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>10</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>6</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>6</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>7</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:51.819</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>5</td>
<td>111.078125</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

111.08

Computed VWAP Slippage

-98.19

Computed Total Filled

200.00

Algo Model

Aggressive

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

25.82

Computed Volatility

0.30