SIM:NQM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQM5

Algo CQG Symbol

ENQ

Date - Time

04/20/2025 - 18:54

Buy / Sell

Buy

Quantity

25

Arrival Price

18311.8750

Average Total

18314.1000

Destination Price

18313.3750

Slippage

2.2250

Slippage Sweep

0.8031

Sweep to Fill

18313.2969

Algo Diagnostics

{ "customState": { "curr_liq_cost": { "asDouble": 15.5 }, "slippage_vwap": { "asDouble": -929576.1575757576 }, "market_vwap": { "asDouble": 947890.2575757576 }, "total_vol": { "asDouble": 191.6974688496334 }, "model_size": { "asDouble": 2 }, "avg_total": { "asDouble": 18314.1 }, "impact_model": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "init_drift": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": -5075.740317983181 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 16 }, "curr_cost_per_share": { "asDouble": 1.1071428571428572 }, "init_vol_normal": { "asDouble": 156.93427937923926 }, "drift": { "asDouble": 1.5 }, "slippage_sweep": { "asDouble": 0.8031249999985448 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 0.7427275989040373 }, "slippage": { "asDouble": 2.224999999998545 }, "init_half_min_move": { "asDouble": 1.6498582671731514 }, "total_dollar": { "asDouble": 457852.5 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 18313.375 }, "last_aggressive_qty": { "asInt32": 1 }, "init_cost_per_share": { "asDouble": 1.421875 }, "arrival_price": { "asDouble": 18311.875 }, "curr_half_min_move": { "asDouble": 1.6498928074616883 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "seconds_spent": { "asDouble": 10.901 }, "slip_toler": { "asDouble": 0 }, "ready": { "asBool": true }, "sweep_residual": { "asDouble": 9 }, "init_liq_cost": { "asDouble": 22.75 }, "last_tactical_qty": { "asInt32": 1 }, "total_sent": { "asInt32": 25 }, "total_drift": { "asDouble": 1.5 }, "sweep_to_fill": { "asDouble": 18313.296875 }, "total_filled": { "asInt32": 25 }, "daily_vol_normal": { "asDouble": 156.93756484648145 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:53:31.912","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18312.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:33.742","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18312.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:34.764","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":18313.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:36.872","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":18314.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:37.379","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:38.087","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":18314.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:38.562","Security":"SIM:NQM5","Side":"Buy","LastShares":3.0,"LastPrice":18314.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:39.713","Security":"SIM:NQM5","Side":"Buy","LastShares":3.0,"LastPrice":18314.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:40.741","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":18314.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:40.741","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:41.443","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:41.443","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:43.112","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:53:43.112","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:54:03.713","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:54:03.713","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:54:03.713","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":18314.5,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 18311.875<br />avg_total: 18314.1<br />curr_cost_per_share: 1.1071428571429<br />curr_half_min_move: 1.6498928074617<br />curr_liq_cost: 15.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 156.93756484648<br />destination_price: 18313.375<br />drift: 1.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.421875<br />init_drift: 0<br />init_half_min_move: 1.6498582671732<br />init_liq_cost: 22.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.74272759890404<br />init_vol_normal: 156.93427937924<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 10.901<br />slip_toler: 0<br />slippage: 2.2249999999985<br />slippage_sweep: 0.80312499999854<br />sweep_residual: 9<br />sweep_to_fill: 18313.296875<br />total_dollar: 457852.5<br />total_drift: 1.5<br />total_filled: 25<br />total_sent: 25<br />total_vol: 191.69746884963<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 18311.875<br />avg_total: 18314.1<br />destination_price: 18313.375<br />market_vwap: 947890.25757576<br />n_kids: 16<br />slippage: 2.2249999999985<br />slippage_vwap: -929576.15757576<br />slippage_vwap_pct: -5075.7403179832<br />total_dollar: 457852.5<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>2025-04-20T18:53:31.912</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18312.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:33.742</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18312.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:34.764</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18313.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:36.872</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:37.379</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:38.087</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:38.562</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18314.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:39.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18314.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:40.741</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:40.741</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:41.443</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:41.443</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:43.112</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:43.112</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:54:03.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:54:03.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:54:03.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.5</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>2025-04-20T18:53:31.912</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18312.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:33.742</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18312.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:34.764</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18313.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:36.872</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:37.379</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:38.087</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:38.562</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18314.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:39.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>3</td>
<td>18314.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:40.741</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:40.741</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:41.443</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:41.443</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:43.112</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:53:43.112</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:54:03.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:54:03.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:54:03.713</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>18314.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

18314.10

Computed VWAP Slippage

-929576.16

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

1.42

Computed Drift

1.50

Computed Seconds Spent

10.90

Computed Volatility

156.94