SIM:NQM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQM5

Algo CQG Symbol

ENQ

Date - Time

04/20/2025 - 17:46

Buy / Sell

Sell

Quantity

25

Arrival Price

18273.1250

Average Total

18273.3500

Destination Price

18275.1250

Slippage

-0.2250

Slippage Sweep

-1.7562

Sweep to Fill

18271.5938

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "curr_half_min_move": { "asDouble": 1.548627250047527 }, "init_vol_normal": { "asDouble": 147.18009731948368 }, "slippage_vwap_pct": { "asDouble": 4923.470293205841 }, "daily_vol_normal": { "asDouble": 147.30519969431745 }, "sweep_to_fill": { "asDouble": 18271.59375 }, "init_cost_per_share": { "asDouble": 1.53125 }, "slippage_sweep": { "asDouble": -1.7562499999985448 }, "init_half_min_move": { "asDouble": 1.5473120422536728 }, "init_drift": { "asDouble": -0 }, "avg_total": { "asDouble": 18273.35 }, "total_drift": { "asDouble": -2 }, "total_vol": { "asDouble": 191.29181530962597 }, "init_min_duration": { "asDouble": 0 }, "slippage_vwap": { "asDouble": 899682.9588235294 }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 456833.75 }, "model_size": { "asDouble": 1 }, "ready": { "asBool": true }, "sweep_residual": { "asDouble": 17 }, "init_liq_cost": { "asDouble": 12.25 }, "curr_liq_cost": { "asDouble": 21.25 }, "last_aggressive_qty": { "asInt32": 6 }, "curr_opt_t_minutes": { "asDouble": 0.2196447796895384 }, "seconds_spent": { "asDouble": 16.907 }, "total_filled": { "asInt32": 25 }, "economic_model": { "asInt32": 0 }, "slippage": { "asDouble": -0.2249999999985448 }, "order_time_minutes": { "asDouble": 10 }, "last_tactical_qty": { "asInt32": 1 }, "n_kids": { "asInt32": 14 }, "worst_opt_t_minutes": { "asDouble": 0.1302459606013899 }, "drift": { "asDouble": -2 }, "curr_cost_per_share": { "asDouble": 2.125 }, "arrival_price": { "asDouble": 18273.125 }, "destination_price": { "asDouble": 18275.125 }, "market_vwap": { "asDouble": 917956.3088235294 }, "impact_model": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 0.9793465378382606 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:46:18.941","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18272.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:19.96","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18273.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:19.96","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18272.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:23.836","Security":"SIM:NQM5","Side":"Sell","LastShares":2.0,"LastPrice":18273.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:23.836","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18273.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:46:24.012","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18273.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:27.524","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18274.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:46:30.412","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18272.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:31.341","Security":"SIM:NQM5","Side":"Sell","LastShares":2.0,"LastPrice":18272.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:31.839","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18272.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:32.274","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18272.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:46:32.274","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18272.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:46:34.112","Security":"SIM:NQM5","Side":"Sell","LastShares":6.0,"LastPrice":18274.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:34.112","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18274.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:34.112","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18273.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:34.712","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18274.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:34.712","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18273.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:35.693","Security":"SIM:NQM5","Side":"Sell","LastShares":1.0,"LastPrice":18274.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 18273.125<br />avg_total: 18273.35<br />curr_cost_per_share: 2.125<br />curr_half_min_move: 1.5486272500475<br />curr_liq_cost: 21.25<br />curr_opt_t_minutes: 0.21964477968954<br />daily_vol_normal: 147.30519969432<br />destination_price: 18275.125<br />drift: -2<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.53125<br />init_drift: 0<br />init_half_min_move: 1.5473120422537<br />init_liq_cost: 12.25<br />init_min_duration: 0<br />init_opt_t_minutes: 0.97934653783826<br />init_vol_normal: 147.18009731948<br />last_aggressive_qty: 6<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 16.907<br />slip_toler: 0<br />slippage: -0.22499999999854<br />slippage_sweep: -1.7562499999985<br />sweep_residual: 17<br />sweep_to_fill: 18271.59375<br />total_dollar: 456833.75<br />total_drift: -2<br />total_filled: 25<br />total_sent: 25<br />total_vol: 191.29181530963<br />worst_opt_t_minutes: 0.13024596060139

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 18273.125<br />avg_total: 18273.35<br />destination_price: 18275.125<br />market_vwap: 917956.30882353<br />n_kids: 14<br />slippage: -0.22499999999854<br />slippage_vwap: 899682.95882353<br />slippage_vwap_pct: 4923.4702932058<br />total_dollar: 456833.75<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>2025-04-20T17:46:18.941</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:19.96</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:19.96</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:23.836</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18273</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:23.836</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:24.012</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:27.524</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:30.412</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:31.341</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18272</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:31.839</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:32.274</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:32.274</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:34.112</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>6</td>
<td>18274.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.112</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.112</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.712</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.712</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:35.693</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</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>2025-04-20T17:46:18.941</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:19.96</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:19.96</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:23.836</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18273</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:23.836</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:24.012</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:27.524</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:30.412</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:31.341</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>2</td>
<td>18272</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:31.839</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:32.274</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:32.274</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18272.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:34.112</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>6</td>
<td>18274.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.112</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.112</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.712</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:34.712</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18273.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:35.693</td>
<td>SIM:NQM5</td>
<td>Sell</td>
<td>1</td>
<td>18274.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

18273.35

Computed VWAP Slippage

899682.96

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

1.53

Computed Drift

-2.00

Computed Seconds Spent

16.91

Computed Volatility

147.31