SIM:NQM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQM5

Algo CQG Symbol

ENQ

Date - Time

04/20/2025 - 18:15

Buy / Sell

Buy

Quantity

25

Arrival Price

18309.0000

Average Total

18309.8700

Destination Price

18309.3750

Slippage

0.8700

Slippage Sweep

-0.9078

Sweep to Fill

18310.7778

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 152.79511384732342 }, "model_size": { "asDouble": 1 }, "init_liq_cost": { "asDouble": 16 }, "slippage_vwap": { "asDouble": -811985.0534693878 }, "worst_opt_t_minutes": { "asDouble": 0.2511261862250269 }, "total_filled": { "asInt32": 25 }, "total_drift": { "asDouble": 0.375 }, "n_kids": { "asInt32": 19 }, "curr_opt_t_minutes": { "asDouble": 0.39496804995756013 }, "last_tactical_qty": { "asInt32": 1 }, "daily_vol_normal": { "asDouble": 152.83161620233304 }, "curr_cost_per_share": { "asDouble": 1.2083333333333333 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 191.66737197408446 }, "slip_toler": { "asDouble": 0 }, "seconds_spent": { "asDouble": 26.314 }, "slippage": { "asDouble": 0.8699999999989814 }, "order_time_minutes": { "asDouble": 10 }, "init_half_min_move": { "asDouble": 1.6063430039748112 }, "init_drift": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": -4434.6849730194035 }, "destination_price": { "asDouble": 18309.375 }, "arrival_price": { "asDouble": 18309 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.9077777777783922 }, "ready": { "asBool": true }, "last_aggressive_qty": { "asInt32": 2 }, "avg_total": { "asDouble": 18309.87 }, "curr_liq_cost": { "asDouble": 7.25 }, "algo_status": { "asInt32": 4 }, "sweep_to_fill": { "asDouble": 18310.777777777777 }, "total_sent": { "asInt32": 25 }, "market_vwap": { "asDouble": 830294.9234693878 }, "sweep_residual": { "asDouble": 16 }, "init_opt_t_minutes": { "asDouble": 1.2248372171679245 }, "drift": { "asDouble": 0.375 }, "init_cost_per_share": { "asDouble": 1.7777777777777777 }, "total_dollar": { "asDouble": 457746.75 }, "impact_model": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 1.6067267551375404 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:15:07.413","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:09.512","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":18311.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:10.36","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18310.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:11.247","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18311.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:11.247","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18311.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:15:12.138","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18310.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:15.612","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:15.872","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:16.332","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:17.413","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:17.413","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:19.712","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18310.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:19.712","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18310.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:20.153","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:20.812","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18308.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:20.812","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":18309.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:31.512","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":18310.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:55.172","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:15:55.173","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:15:55.173","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:15:55.173","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:15:55.173","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18309.5,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 18309<br />avg_total: 18309.87<br />curr_cost_per_share: 1.2083333333333<br />curr_half_min_move: 1.6067267551375<br />curr_liq_cost: 7.25<br />curr_opt_t_minutes: 0.39496804995756<br />daily_vol_normal: 152.83161620233<br />destination_price: 18309.375<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.7777777777778<br />init_drift: 0<br />init_half_min_move: 1.6063430039748<br />init_liq_cost: 16<br />init_min_duration: 0<br />init_opt_t_minutes: 1.2248372171679<br />init_vol_normal: 152.79511384732<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 26.314<br />slip_toler: 0<br />slippage: 0.86999999999898<br />slippage_sweep: -0.90777777777839<br />sweep_residual: 16<br />sweep_to_fill: 18310.777777778<br />total_dollar: 457746.75<br />total_drift: 0.375<br />total_filled: 25<br />total_sent: 25<br />total_vol: 191.66737197408<br />worst_opt_t_minutes: 0.25112618622503

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 18309<br />avg_total: 18309.87<br />destination_price: 18309.375<br />market_vwap: 830294.92346939<br />n_kids: 19<br />slippage: 0.86999999999898<br />slippage_vwap: -811985.05346939<br />slippage_vwap_pct: -4434.6849730194<br />total_dollar: 457746.75<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>2025-04-20T18:15:07.413</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:09.512</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18311.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:10.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:11.247</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18311</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:11.247</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18311</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:12.138</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:15.612</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:15.872</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:16.332</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:17.413</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:17.413</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:19.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:19.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:20.153</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:20.812</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18308.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:20.812</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18309</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:31.512</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18310</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:55.172</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</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>2025-04-20T18:15:07.413</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:09.512</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18311.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:10.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:11.247</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18311</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:11.247</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18311</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:12.138</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:15.612</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:15.872</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:16.332</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:17.413</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:17.413</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:19.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:19.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18310.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:20.153</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:20.812</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18308.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:20.812</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18309</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:31.512</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18310</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:55.172</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:15:55.173</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18309.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

18309.87

Computed VWAP Slippage

-811985.05

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

1.78

Computed Drift

0.38

Computed Seconds Spent

26.31

Computed Volatility

152.83