SIM:NQM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQM5

Algo CQG Symbol

ENQ

Date - Time

04/20/2025 - 18:41

Buy / Sell

Buy

Quantity

25

Arrival Price

18282.7500

Average Total

18283.3900

Destination Price

18284.2500

Slippage

0.6400

Slippage Sweep

-0.6279

Sweep to Fill

18284.0179

Algo Diagnostics

{ "customState": { "ready": { "asBool": true }, "last_tactical_qty": { "asInt32": 2 }, "model_size": { "asDouble": 2 }, "destination_price": { "asDouble": 18284.25 }, "slippage_vwap": { "asDouble": -454262.5536619718 }, "slippage": { "asDouble": 0.6399999999994179 }, "init_cost_per_share": { "asDouble": 1.2678571428571428 }, "impact_model": { "asInt32": 2 }, "avg_total": { "asDouble": 18283.39 }, "arrival_price": { "asDouble": 18282.75 }, "sweep_to_fill": { "asDouble": 18284.01785714286 }, "total_vol": { "asDouble": 191.3925744147246 }, "curr_cost_per_share": { "asDouble": 1.4722222222222223 }, "curr_liq_cost": { "asDouble": 13.25 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 11 }, "daily_vol_normal": { "asDouble": 155.2306536386965 }, "total_drift": { "asDouble": 1.5 }, "slippage_vwap_pct": { "asDouble": -2484.564151735383 }, "init_opt_t_minutes": { "asDouble": 0.6038529010670644 }, "total_filled": { "asInt32": 25 }, "curr_half_min_move": { "asDouble": 1.6319479608760095 }, "market_vwap": { "asDouble": 472545.94366197183 }, "algo_status": { "asInt32": 4 }, "slippage_sweep": { "asDouble": -0.6278571428592841 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 1.631566363018345 }, "init_min_duration": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "drift": { "asDouble": 1.5 }, "n_kids": { "asInt32": 12 }, "total_dollar": { "asDouble": 457084.75 }, "total_sent": { "asInt32": 25 }, "seconds_spent": { "asDouble": 14.861 }, "init_vol_normal": { "asDouble": 155.19435610575275 }, "init_liq_cost": { "asDouble": 17.75 }, "init_drift": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:40:39.819","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:40.712","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:41.753","Security":"SIM:NQM5","Side":"Buy","LastShares":3.0,"LastPrice":18283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:42.619","Security":"SIM:NQM5","Side":"Buy","LastShares":3.0,"LastPrice":18281.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:43.62","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18280.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:43.62","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18281.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:44.74","Security":"SIM:NQM5","Side":"Buy","LastShares":4.0,"LastPrice":18282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:44.914","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:44.914","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:51.674","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:51.674","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:52.512","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18285.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:40:52.712","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:52.712","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:52.712","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:54.117","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:40:54.117","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:01.349","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18283.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 18282.75<br />avg_total: 18283.39<br />curr_cost_per_share: 1.4722222222222<br />curr_half_min_move: 1.631947960876<br />curr_liq_cost: 13.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 155.2306536387<br />destination_price: 18284.25<br />drift: 1.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.2678571428571<br />init_drift: 0<br />init_half_min_move: 1.6315663630183<br />init_liq_cost: 17.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.60385290106706<br />init_vol_normal: 155.19435610575<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 14.861<br />slip_toler: 0<br />slippage: 0.63999999999942<br />slippage_sweep: -0.62785714285928<br />sweep_residual: 11<br />sweep_to_fill: 18284.017857143<br />total_dollar: 457084.75<br />total_drift: 1.5<br />total_filled: 25<br />total_sent: 25<br />total_vol: 191.39257441472<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 18282.75<br />avg_total: 18283.39<br />destination_price: 18284.25<br />market_vwap: 472545.94366197<br />n_kids: 12<br />slippage: 0.63999999999942<br />slippage_vwap: -454262.55366197<br />slippage_vwap_pct: -2484.5641517354<br />total_dollar: 457084.75<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>2025-04-20T18:40:39.819</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:40.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:41.753</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:42.619</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:43.62</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:43.62</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:44.74</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>4</td>
<td>18282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:44.914</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:44.914</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:51.674</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:51.674</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:52.512</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:40:52.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:52.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:52.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:54.117</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:54.117</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:01.349</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283.5</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>2025-04-20T18:40:39.819</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:40.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:41.753</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:42.619</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:43.62</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:43.62</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:44.74</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>4</td>
<td>18282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:44.914</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:44.914</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:51.674</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:51.674</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:52.512</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:40:52.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:52.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:52.712</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:54.117</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:40:54.117</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:01.349</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18283.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

18283.39

Computed VWAP Slippage

-454262.55

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

1.27

Computed Drift

1.50

Computed Seconds Spent

14.86

Computed Volatility

155.23