Algo Type
ArrivalPrice
Algo Symbol
SIM:ZNM5
Algo CQG Symbol
TYA
Date - Time
Buy / Sell
Buy
Quantity
200
Arrival Price
111.1016
Average Total
111.1094
Destination Price
111.1016
Slippage
0.0078
Slippage Sweep
0.0000
Sweep to Fill
111.1094
Algo Diagnostics
{ "customState": { "total_drift": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 0.3066116469173378 }, "avg_total": { "asDouble": 111.109375 }, "worst_opt_t_minutes": { "asDouble": 0.408239441083562 }, "slippage_sweep": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 5.874151258756537 }, "curr_cost_per_share": { "asDouble": 0.0078125 }, "slippage_vwap": { "asDouble": 101.24901920995671 }, "init_min_duration": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 111.1015625 }, "slippage_vwap_pct": { "asDouble": 91.12554112554113 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 26 }, "init_liq_cost": { "asDouble": 1.5625 }, "curr_liq_cost": { "asDouble": 1.5625 }, "economic_model": { "asInt32": 0 }, "last_tactical_qty": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "ready": { "asBool": true }, "slippage": { "asDouble": 0.0078125 }, "total_vol": { "asDouble": 1.1630643129930358 }, "total_sent": { "asInt32": 200 }, "init_vol_normal": { "asDouble": 0.3066116469173378 }, "impact_model": { "asInt32": 2 }, "arrival_price": { "asDouble": 111.1015625 }, "market_vwap": { "asDouble": 9.86035579004329 }, "init_opt_t_minutes": { "asDouble": 5.874151258756537 }, "init_half_min_move": { "asDouble": 0.003223424241530406 }, "total_filled": { "asInt32": 200 }, "curr_half_min_move": { "asDouble": 0.003223424241530406 }, "init_cost_per_share": { "asDouble": 0.0078125 }, "total_dollar": { "asDouble": 22221.875 }, "seconds_spent": { "asDouble": 25.369 }, "sweep_to_fill": { "asDouble": 111.109375 }, "sweep_residual": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "drift": { "asDouble": 0 } } }
Fills Array
[{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":10.0,"LastPrice":111.109375,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":11.0,"LastPrice":111.109375,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":2.0,"LastPrice":111.109375,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":6.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":9.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.276","Security":"SIM:ZNM5","Side":"Buy","LastShares":6.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.277","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.109375,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.109375,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.109375,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":4.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":8.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:40.312","Security":"SIM:ZNM5","Side":"Buy","LastShares":7.0,"LastPrice":111.109375,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:45.872","Security":"SIM:ZNM5","Side":"Buy","LastShares":1.0,"LastPrice":111.109375,"Aggressor":"Aggressive"}]
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 111.1015625<br />avg_total: 111.109375<br />curr_cost_per_share: 0.0078125<br />curr_half_min_move: 0.0032234242415304<br />curr_liq_cost: 1.5625<br />curr_opt_t_minutes: 5.8741512587565<br />daily_vol_normal: 0.30661164691734<br />destination_price: 111.1015625<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0078125<br />init_drift: 0<br />init_half_min_move: 0.0032234242415304<br />init_liq_cost: 1.5625<br />init_min_duration: 0<br />init_opt_t_minutes: 5.8741512587565<br />init_vol_normal: 0.30661164691734<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.369<br />slip_toler: 0<br />slippage: 0.0078125<br />slippage_sweep: 0<br />sweep_residual: 0<br />sweep_to_fill: 111.109375<br />total_dollar: 22221.875<br />total_drift: 0<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.163064312993<br />worst_opt_t_minutes: 0.40823944108356
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.1015625<br />avg_total: 111.109375<br />destination_price: 111.1015625<br />market_vwap: 9.8603557900433<br />n_kids: 26<br />slippage: 0.0078125<br />slippage_vwap: 101.24901920996<br />slippage_vwap_pct: 91.125541125541<br />total_dollar: 22221.875<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>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>10</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>11</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:45.872</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</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>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>10</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>11</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>9</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.276</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.277</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>8</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:40.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>7</td>
<td>111.109375</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:45.872</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.109375</td>
<td>Aggressive</td>
</tr></tbody></table>
Computed Average Total
111.11
Computed VWAP Slippage
101.25
Computed Total Filled
200.00
Algo Model
Optimistic
Computed Liquidity Cost
0.01
Computed Drift
0.00
Computed Seconds Spent
25.37
Computed Volatility
0.31