SIM:NQM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQM5

Algo CQG Symbol

ENQ

Date - Time

04/20/2025 - 17:31

Buy / Sell

Sell

Quantity

25

Arrival Price

18278.7500

Average Total

18271.6900

Destination Price

18271.5000

Slippage

7.0600

Slippage Sweep

5.1156

Sweep to Fill

18276.8056

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 1 }, "init_drift": { "asDouble": -0 }, "curr_cost_per_share": { "asDouble": 1.609375 }, "algo_status": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 142.91873622974413 }, "total_dollar": { "asDouble": 456792.25 }, "init_half_min_move": { "asDouble": 1.5025121307803682 }, "total_sent": { "asInt32": 25 }, "init_liq_cost": { "asDouble": 17.5 }, "slip_toler": { "asDouble": 0 }, "seconds_spent": { "asDouble": 10.502 }, "destination_price": { "asDouble": 18271.5 }, "curr_half_min_move": { "asDouble": 1.5042596812302178 }, "total_drift": { "asDouble": -7.25 }, "slippage_vwap": { "asDouble": 737857.8905555556 }, "slippage": { "asDouble": 7.06000000000131 }, "init_cost_per_share": { "asDouble": 1.9444444444444444 }, "sweep_to_fill": { "asDouble": 18276.805555555555 }, "market_vwap": { "asDouble": 756129.5805555555 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 16 }, "init_min_duration": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 4038.2574931796435 }, "n_kids": { "asInt32": 12 }, "impact_model": { "asInt32": 2 }, "drift": { "asDouble": -7.25 }, "curr_liq_cost": { "asDouble": 25.75 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "daily_vol_normal": { "asDouble": 143.08496297538812 }, "worst_opt_t_minutes": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 5 }, "avg_total": { "asDouble": 18271.69 }, "init_opt_t_minutes": { "asDouble": 1.6747697362573548 }, "economic_model": { "asInt32": 0 }, "total_filled": { "asInt32": 25 }, "arrival_price": { "asDouble": 18278.75 }, "slippage_sweep": { "asDouble": 5.115555555556057 }, "total_vol": { "asDouble": 191.35070050091736 }, "last_tactical_qty": { "asInt32": 1 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:31:02.649","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18275.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:02.649","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18275.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:02.953","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18275.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:02.953","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18275.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:03.339","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18275.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:31:03.346","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18275.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:31:04.551","Security":"SIM:NQM5","Side":"Sell","LastShares":7.0,"LastPrice":18270.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.212","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.212","Security":"SIM:NQM5","Side":"Sell","LastShares":2.0,"LastPrice":18270.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.212","Security":"SIM:NQM5","Side":"Sell","LastShares":2.0,"LastPrice":18270.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.212","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.212","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.826","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.826","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:06.83","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:31:06.83","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:31:07.812","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18270.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 18278.75<br />avg_total: 18271.69<br />curr_cost_per_share: 1.609375<br />curr_half_min_move: 1.5042596812302<br />curr_liq_cost: 25.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 143.08496297539<br />destination_price: 18271.5<br />drift: -7.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.9444444444444<br />init_drift: 0<br />init_half_min_move: 1.5025121307804<br />init_liq_cost: 17.5<br />init_min_duration: 0<br />init_opt_t_minutes: 1.6747697362574<br />init_vol_normal: 142.91873622974<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 10.502<br />slip_toler: 0<br />slippage: 7.0600000000013<br />slippage_sweep: 5.1155555555561<br />sweep_residual: 16<br />sweep_to_fill: 18276.805555556<br />total_dollar: 456792.25<br />total_drift: -7.25<br />total_filled: 25<br />total_sent: 25<br />total_vol: 191.35070050092<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 18278.75<br />avg_total: 18271.69<br />destination_price: 18271.5<br />market_vwap: 756129.58055556<br />n_kids: 12<br />slippage: 7.0600000000013<br />slippage_vwap: 737857.89055556<br />slippage_vwap_pct: 4038.2574931796<br />total_dollar: 456792.25<br />total_filled: 25<br />total_sent: 25

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>2025-04-20T17:31:02.649</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:02.649</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:02.953</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:02.953</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:03.339</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:03.346</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:04.551</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>7</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18270.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18270</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.826</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.826</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.83</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:06.83</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:07.812</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.25</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>2025-04-20T17:31:02.649</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:02.649</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:02.953</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:02.953</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:03.339</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:03.346</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18275.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:04.551</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>7</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18270.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18270</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.212</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.826</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.826</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:06.83</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:06.83</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:07.812</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18270.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

18271.69

Computed VWAP Slippage

737857.89

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

1.94

Computed Drift

-7.25

Computed Seconds Spent

10.50

Computed Volatility

143.09