SIM:ZNM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNM5

Algo CQG Symbol

TYA

Date - Time

04/20/2025 - 17:18

Buy / Sell

Buy

Quantity

200

Arrival Price

111.0547

Average Total

111.0513

Destination Price

111.0391

Slippage

-0.0034

Slippage Sweep

-0.0185

Sweep to Fill

111.0698

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 4 }, "drift": { "asDouble": 0.015625 }, "slippage_sweep": { "asDouble": -0.018515625000006253 }, "slip_toler": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 0.2228020066489119 }, "slippage_vwap": { "asDouble": 96.55154856687898 }, "init_opt_t_minutes": { "asDouble": 41.438005460103014 }, "sweep_residual": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 0.2228020066380692 }, "init_half_min_move": { "asDouble": 0.0023423291204994335 }, "sweep_to_fill": { "asDouble": 111.069765625 }, "avg_total": { "asDouble": 111.05125 }, "curr_liq_cost": { "asDouble": 3.390625 }, "arrival_price": { "asDouble": 111.0546875 }, "worst_opt_t_minutes": { "asDouble": 0.26373445812031004 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": 86.94323437771207 }, "model_size": { "asDouble": 74 }, "total_drift": { "asDouble": 0.015625 }, "seconds_spent": { "asDouble": 17.503 }, "curr_half_min_move": { "asDouble": 0.002342329120613423 }, "init_min_duration": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 74 }, "total_dollar": { "asDouble": 22210.25 }, "total_filled": { "asInt32": 200 }, "init_drift": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "total_sent": { "asInt32": 200 }, "n_kids": { "asInt32": 16 }, "init_cost_per_share": { "asDouble": 0.015078125 }, "init_liq_cost": { "asDouble": 3.015625 }, "curr_cost_per_share": { "asDouble": 0.016953125 }, "slippage": { "asDouble": -0.003437500000003979 }, "market_vwap": { "asDouble": 14.49970143312102 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 1.1625736030656075 }, "destination_price": { "asDouble": 111.0390625 }, "order_time_minutes": { "asDouble": 10 }, "curr_opt_t_minutes": { "asDouble": 7.180746509419893 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:18:26.812","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:33.99","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:33.99","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:33.99","Security":"SIM:ZNM5","Side":"Buy","LastShares":5.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:33.99","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:33.99","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:33.99","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:33.99","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:34.665","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:38.988","Security":"SIM:ZNM5","Side":"Buy","LastShares":3.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:38.988","Security":"SIM:ZNM5","Side":"Buy","LastShares":3.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:40.747","Security":"SIM:ZNM5","Side":"Buy","LastShares":3.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:40.747","Security":"SIM:ZNM5","Side":"Buy","LastShares":3.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:41.535","Security":"SIM:ZNM5","Side":"Buy","LastShares":5.0,"LastPrice":111.046875,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:18:41.535","Security":"SIM:ZNM5","Side":"Buy","LastShares":5.0,"LastPrice":111.046875,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:41.535","Security":"SIM:ZNM5","Side":"Buy","LastShares":10.0,"LastPrice":111.0625,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:42.512","Security":"SIM:ZNM5","Side":"Buy","LastShares":60.0,"LastPrice":111.046875,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.12","Security":"SIM:ZNM5","Side":"Buy","LastShares":74.0,"LastPrice":111.046875,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 111.0546875<br />avg_total: 111.05125<br />curr_cost_per_share: 0.016953125<br />curr_half_min_move: 0.0023423291206134<br />curr_liq_cost: 3.390625<br />curr_opt_t_minutes: 7.1807465094199<br />daily_vol_normal: 0.22280200664891<br />destination_price: 111.0390625<br />drift: 0.015625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.015078125<br />init_drift: 0<br />init_half_min_move: 0.0023423291204994<br />init_liq_cost: 3.015625<br />init_min_duration: 0<br />init_opt_t_minutes: 41.438005460103<br />init_vol_normal: 0.22280200663807<br />last_aggressive_qty: <br />last_tactical_qty: 74<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 74<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 17.503<br />slip_toler: 0<br />slippage: -0.003437500000004<br />slippage_sweep: -0.018515625000006<br />sweep_residual: 0<br />sweep_to_fill: 111.069765625<br />total_dollar: 22210.25<br />total_drift: 0.015625<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.1625736030656<br />worst_opt_t_minutes: 0.26373445812031

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.0546875<br />avg_total: 111.05125<br />destination_price: 111.0390625<br />market_vwap: 14.499701433121<br />n_kids: 16<br />slippage: -0.003437500000004<br />slippage_vwap: 96.551548566879<br />slippage_vwap_pct: 86.943234377712<br />total_dollar: 22210.25<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>2025-04-20T17:18:26.812</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:34.665</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:38.988</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:38.988</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:40.747</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:40.747</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:41.535</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.046875</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:41.535</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.046875</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:41.535</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>10</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:42.512</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>60</td>
<td>111.046875</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.12</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>74</td>
<td>111.046875</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>2025-04-20T17:18:26.812</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:33.99</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:34.665</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:38.988</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:38.988</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:40.747</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:40.747</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:41.535</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.046875</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:41.535</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.046875</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:41.535</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>10</td>
<td>111.0625</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:42.512</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>60</td>
<td>111.046875</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.12</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>74</td>
<td>111.046875</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

111.05

Computed VWAP Slippage

96.55

Computed Total Filled

200.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.02

Computed Seconds Spent

17.50

Computed Volatility

0.22