SIM:ZNM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNM5

Algo CQG Symbol

TYA

Date - Time

04/20/2025 - 17:48

Buy / Sell

Buy

Quantity

200

Arrival Price

111.0859

Average Total

111.0938

Destination Price

111.0859

Slippage

0.0078

Slippage Sweep

-0.0008

Sweep to Fill

111.0945

Algo Diagnostics

{ "customState": { "init_liq_cost": { "asDouble": 1.71875 }, "curr_liq_cost": { "asDouble": 2.390625 }, "init_opt_t_minutes": { "asDouble": 7.418059765553674 }, "slippage": { "asDouble": 0.0078125 }, "slippage_sweep": { "asDouble": -0.0007812500000028422 }, "economic_model": { "asInt32": 0 }, "slip_toler": { "asDouble": 0 }, "model_size": { "asDouble": 3 }, "sweep_residual": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "slippage_vwap_pct": { "asDouble": 80.47619047619048 }, "curr_cost_per_share": { "asDouble": 0.011953125 }, "ready": { "asBool": true }, "init_half_min_move": { "asDouble": 0.003155277434319327 }, "market_vwap": { "asDouble": 21.689732142857142 }, "seconds_spent": { "asDouble": 57.687 }, "total_drift": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "avg_total": { "asDouble": 111.09375 }, "init_cost_per_share": { "asDouble": 0.00859375 }, "curr_opt_t_minutes": { "asDouble": 10 }, "total_dollar": { "asDouble": 22218.75 }, "n_kids": { "asInt32": 39 }, "destination_price": { "asDouble": 111.0859375 }, "last_tactical_qty": { "asInt32": 3 }, "daily_vol_normal": { "asDouble": 0.30012953248699314 }, "drift": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0.955916563365498 }, "total_sent": { "asInt32": 200 }, "impact_model": { "asInt32": 2 }, "total_vol": { "asDouble": 1.1629007430172265 }, "total_filled": { "asInt32": 200 }, "slippage_vwap": { "asDouble": 89.40401785714286 }, "sweep_to_fill": { "asDouble": 111.09453125 }, "arrival_price": { "asDouble": 111.0859375 }, "init_vol_normal": { "asDouble": 0.30012953248699314 }, "init_min_duration": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.003155277434319327 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 111.0859375<br />avg_total: 111.09375<br />curr_cost_per_share: 0.011953125<br />curr_half_min_move: 0.0031552774343193<br />curr_liq_cost: 2.390625<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.30012953248699<br />destination_price: 111.0859375<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.00859375<br />init_drift: 0<br />init_half_min_move: 0.0031552774343193<br />init_liq_cost: 1.71875<br />init_min_duration: 0<br />init_opt_t_minutes: 7.4180597655537<br />init_vol_normal: 0.30012953248699<br />last_aggressive_qty: <br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 39<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 57.687<br />slip_toler: 0<br />slippage: 0.0078125<br />slippage_sweep: -0.00078125000000284<br />sweep_residual: 0<br />sweep_to_fill: 111.09453125<br />total_dollar: 22218.75<br />total_drift: 0<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.1629007430172<br />worst_opt_t_minutes: 0.9559165633655

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.0859375<br />avg_total: 111.09375<br />destination_price: 111.0859375<br />market_vwap: 21.689732142857<br />n_kids: 39<br />slippage: 0.0078125<br />slippage_vwap: 89.404017857143<br />slippage_vwap_pct: 80.47619047619<br />total_dollar: 22218.75<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>2025-04-20T17:47:41.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:43.415</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:43.415</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:44.118</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:45.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>12</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:50.941</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.812</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:55.756</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>24</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:58.028</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:15.939</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:25.139</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:26.613</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:34.588</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:34.589</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:36.757</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:36.757</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:42.973</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:42.973</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</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>2025-04-20T17:47:41.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:43.415</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:43.415</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:44.118</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:45.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>12</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:48.996</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:50.941</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.812</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:55.756</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>24</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:58.028</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:15.939</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:24.302</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:25.139</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:26.613</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:32.913</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:34.588</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:34.589</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:36.757</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:36.757</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:42.973</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:42.973</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

111.09

Computed VWAP Slippage

89.40

Computed Total Filled

200.00

Algo Model

Optimistic

Computed Liquidity Cost

0.01

Computed Drift

0.00

Computed Seconds Spent

57.69

Computed Volatility

0.30