SIM:ZNM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNM5

Algo CQG Symbol

TYA

Date - Time

04/20/2025 - 17:33

Buy / Sell

Sell

Quantity

200

Arrival Price

111.1016

Average Total

111.0808

Destination Price

111.0859

Slippage

0.0208

Slippage Sweep

0.0005

Sweep to Fill

111.0813

Algo Diagnostics

{ "customState": { "economic_model": { "asInt32": 0 }, "total_sent": { "asInt32": 200 }, "init_vol_normal": { "asDouble": 0.2541305854124684 }, "destination_price": { "asDouble": 111.0859375 }, "init_half_min_move": { "asDouble": 0.0026716881037259217 }, "sweep_to_fill": { "asDouble": 111.08125 }, "model_size": { "asDouble": 8 }, "last_aggressive_qty": { "asInt32": 13 }, "slippage_vwap": { "asDouble": -84.86991139069264 }, "curr_liq_cost": { "asDouble": 2.96875 }, "init_cost_per_share": { "asDouble": 0.0203125 }, "daily_vol_normal": { "asDouble": 0.2586541584670303 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": -76.40377609487926 }, "init_min_duration": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.01484375 }, "n_kids": { "asInt32": 27 }, "init_drift": { "asDouble": -0 }, "init_liq_cost": { "asDouble": 4.0625 }, "curr_half_min_move": { "asDouble": 0.0027192446632663347 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_dollar": { "asDouble": 22216.15625 }, "slippage_sweep": { "asDouble": 0.00046874999999602096 }, "total_vol": { "asDouble": 1.1630643129930358 }, "algo_status": { "asInt32": 4 }, "total_drift": { "asDouble": -0.015625 }, "drift": { "asDouble": -0.015625 }, "curr_opt_t_minutes": { "asDouble": 0 }, "market_vwap": { "asDouble": 26.21086985930736 }, "impact_model": { "asInt32": 2 }, "last_tactical_qty": { "asInt32": 8 }, "sweep_residual": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 57.803647414968495 }, "total_filled": { "asInt32": 200 }, "order_time_minutes": { "asDouble": 10 }, "avg_total": { "asDouble": 111.08078125 }, "slippage": { "asDouble": 0.020781249999998863 }, "seconds_spent": { "asDouble": 28.927 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 111.1015625 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 111.1015625<br />avg_total: 111.08078125<br />curr_cost_per_share: 0.01484375<br />curr_half_min_move: 0.0027192446632663<br />curr_liq_cost: 2.96875<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.25865415846703<br />destination_price: 111.0859375<br />drift: -0.015625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0203125<br />init_drift: 0<br />init_half_min_move: 0.0026716881037259<br />init_liq_cost: 4.0625<br />init_min_duration: 0<br />init_opt_t_minutes: 57.803647414968<br />init_vol_normal: 0.25413058541247<br />last_aggressive_qty: 13<br />last_tactical_qty: 8<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 8<br />n_kids: 27<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 28.927<br />slip_toler: 0<br />slippage: 0.020781249999999<br />slippage_sweep: 0.00046874999999602<br />sweep_residual: 0<br />sweep_to_fill: 111.08125<br />total_dollar: 22216.15625<br />total_drift: -0.015625<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.163064312993<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.1015625<br />avg_total: 111.08078125<br />destination_price: 111.0859375<br />market_vwap: 26.210869859307<br />n_kids: 27<br />slippage: 0.020781249999999<br />slippage_vwap: -84.869911390693<br />slippage_vwap_pct: -76.403776094879<br />total_dollar: 22216.15625<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>2025-04-20T17:32:27.957</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:28.957</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:33.35</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:36.029</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:36.029</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:38.182</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:39.364</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:40.283</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:41.708</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:45.012</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:45.012</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.489</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.489</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.489</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:49.352</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>25</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:51.335</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>13</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>21</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>25</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>24</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>24</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>24</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>8</td>
<td>111.078125</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>2025-04-20T17:32:27.957</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:28.957</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:32.25</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:33.35</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:36.029</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:36.029</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:38.182</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:39.364</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:40.283</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:41.708</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:45.012</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:45.012</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.489</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.489</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.489</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:49.352</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>25</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:51.335</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>13</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>1</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.601</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>21</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>25</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>24</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>24</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>24</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:53.602</td>
<td>SIM:ZNM5</td>
<td>Sell</td>
<td>8</td>
<td>111.078125</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

111.08

Computed VWAP Slippage

-84.87

Computed Total Filled

200.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

-0.02

Computed Seconds Spent

28.93

Computed Volatility

0.26