SIM:ZNM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNM5

Algo CQG Symbol

TYA

Date - Time

04/20/2025 - 17:58

Buy / Sell

Buy

Quantity

200

Arrival Price

111.0859

Average Total

111.0938

Destination Price

111.0859

Slippage

0.0078

Slippage Sweep

-0.0005

Sweep to Fill

111.0943

Algo Diagnostics

{ "customState": { "curr_opt_t_minutes": { "asDouble": 7.0189558889110755 }, "slippage_vwap": { "asDouble": 95.22321428571429 }, "ready": { "asBool": true }, "curr_cost_per_share": { "asDouble": 0.008359375 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 29 }, "drift": { "asDouble": 0 }, "total_sent": { "asInt32": 200 }, "init_min_duration": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 7.0189558889110755 }, "seconds_spent": { "asDouble": 28.455 }, "model_size": { "asDouble": 4 }, "curr_liq_cost": { "asDouble": 1.671875 }, "init_liq_cost": { "asDouble": 1.671875 }, "slippage_sweep": { "asDouble": -0.0005468749999977263 }, "init_drift": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "total_drift": { "asDouble": 0 }, "market_vwap": { "asDouble": 15.870535714285714 }, "total_filled": { "asInt32": 200 }, "daily_vol_normal": { "asDouble": 0.30012953248699314 }, "init_cost_per_share": { "asDouble": 0.008359375 }, "total_dollar": { "asDouble": 22218.75 }, "destination_price": { "asDouble": 111.0859375 }, "impact_model": { "asInt32": 2 }, "slippage": { "asDouble": 0.0078125 }, "init_vol_normal": { "asDouble": 0.30012953248699314 }, "economic_model": { "asInt32": 0 }, "avg_total": { "asDouble": 111.09375 }, "arrival_price": { "asDouble": 111.0859375 }, "init_half_min_move": { "asDouble": 0.003155277434319327 }, "last_tactical_qty": { "asInt32": 4 }, "worst_opt_t_minutes": { "asDouble": 0.4675248295088039 }, "curr_half_min_move": { "asDouble": 0.003155277434319327 }, "sweep_to_fill": { "asDouble": 111.094296875 }, "slippage_vwap_pct": { "asDouble": 85.71428571428572 }, "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 1.1629007430172265 } } }

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: 0.008359375<br />curr_half_min_move: 0.0031552774343193<br />curr_liq_cost: 1.671875<br />curr_opt_t_minutes: 7.0189558889111<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: 0.008359375<br />init_drift: 0<br />init_half_min_move: 0.0031552774343193<br />init_liq_cost: 1.671875<br />init_min_duration: 0<br />init_opt_t_minutes: 7.0189558889111<br />init_vol_normal: 0.30012953248699<br />last_aggressive_qty: <br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 29<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 28.455<br />slip_toler: 0<br />slippage: 0.0078125<br />slippage_sweep: -0.00054687499999773<br />sweep_residual: 0<br />sweep_to_fill: 111.094296875<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: 0.4675248295088

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: 15.870535714286<br />n_kids: 29<br />slippage: 0.0078125<br />slippage_vwap: 95.223214285714<br />slippage_vwap_pct: 85.714285714286<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>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.73</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:37.757</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.769</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:39.839</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:40.869</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:42.309</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.468</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.468</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:45.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:45.912</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>15</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:46.959</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:47.869</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:50.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:50.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:50.899</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:51.919</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:52.973</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:54.013</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:55.019</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:56.059</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:57.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:58.019</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:59.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.119</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:01.14</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</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>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.73</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:37.757</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.769</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:39.839</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:40.869</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:42.309</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.468</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.468</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:45.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:45.912</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>15</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:46.959</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:47.869</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>5</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:50.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:50.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:50.899</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:51.919</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:52.973</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:54.013</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:55.019</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:56.059</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:57.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:58.019</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:59.112</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.119</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:01.14</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.09375</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

111.09

Computed VWAP Slippage

95.22

Computed Total Filled

200.00

Algo Model

Optimistic

Computed Liquidity Cost

0.01

Computed Drift

0.00

Computed Seconds Spent

28.46

Computed Volatility

0.30