SIM:NQM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:NQM5

Algo CQG Symbol

ENQ

Date - Time

04/27/2025 - 17:10

Buy / Sell

Buy

Quantity

25

Arrival Price

19464.3750

Average Total

19463.3600

Destination Price

19462.8750

Slippage

-1.0150

Slippage Sweep

-2.5567

Sweep to Fill

19465.9167

Algo Diagnostics

{ "customState": { "slippage_vwap": { "asDouble": -703274.5941666667 }, "init_cost_per_share": { "asDouble": 1.5416666666666667 }, "last_tactical_qty": { "asInt32": 1 }, "curr_liq_cost": { "asDouble": 9.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "sweep_residual": { "asDouble": 16 }, "curr_cost_per_share": { "asDouble": 1.5833333333333333 }, "slippage_sweep": { "asDouble": -2.5566666666672972 }, "worst_opt_t_minutes": { "asDouble": 0.060028413403777 }, "init_liq_cost": { "asDouble": 13.875 }, "total_vol": { "asDouble": 203.7623902653378 }, "init_half_min_move": { "asDouble": 2.1421646401793244 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_vwap_pct": { "asDouble": -3613.325726733034 }, "model_size": { "asDouble": 1 }, "curr_opt_t_minutes": { "asDouble": 0.060028413403777 }, "ready": { "asBool": true }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 17 }, "avg_total": { "asDouble": 19463.36 }, "sweep_to_fill": { "asDouble": 19465.916666666668 }, "init_vol_normal": { "asDouble": 203.7623902653378 }, "daily_vol_normal": { "asDouble": 203.7623902653378 }, "economic_model": { "asInt32": 0 }, "destination_price": { "asDouble": 19462.875 }, "total_drift": { "asDouble": 1.5 }, "market_vwap": { "asDouble": 722737.9541666667 }, "total_dollar": { "asDouble": 486584 }, "arrival_price": { "asDouble": 19464.375 }, "impact_model": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 0.5179350145090215 }, "slippage": { "asDouble": -1.014999999999418 }, "seconds_spent": { "asDouble": 17.795 }, "curr_half_min_move": { "asDouble": 2.1421646401793244 }, "drift": { "asDouble": 1.5 } } }

Fills Array

[{"Timestamp":"2025-04-27T17:09:38.746","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:38.746","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:44.006","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:44.006","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:44.006","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:09:44.006","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:09:46.451","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19463.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:46.451","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:46.451","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":19464.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:46.455","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":19463.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:46.455","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19464.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:47.513","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19463.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:47.513","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19463.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:09:51.039","Security":"SIM:NQM5","Side":"Buy","LastShares":2.0,"LastPrice":19463.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:10:04.23","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19462.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:10:04.23","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19463.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:10:06.359","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19461.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:10:06.36","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19461.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:10:06.36","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19461.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:10:06.36","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19461.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:10:06.36","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19461.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:10:06.412","Security":"SIM:NQM5","Side":"Buy","LastShares":1.0,"LastPrice":19461.25,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 19464.375<br />avg_total: 19463.36<br />curr_cost_per_share: 1.5833333333333<br />curr_half_min_move: 2.1421646401793<br />curr_liq_cost: 9.5<br />curr_opt_t_minutes: 0.060028413403777<br />daily_vol_normal: 203.76239026534<br />destination_price: 19462.875<br />drift: 1.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.5416666666667<br />init_drift: 0<br />init_half_min_move: 2.1421646401793<br />init_liq_cost: 13.875<br />init_min_duration: 0<br />init_opt_t_minutes: 0.51793501450902<br />init_vol_normal: 203.76239026534<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: 17<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 17.795<br />slip_toler: 0<br />slippage: -1.0149999999994<br />slippage_sweep: -2.5566666666673<br />sweep_residual: 16<br />sweep_to_fill: 19465.916666667<br />total_dollar: 486584<br />total_drift: 1.5<br />total_filled: 25<br />total_sent: 25<br />total_vol: 203.76239026534<br />worst_opt_t_minutes: 0.060028413403777

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 19464.375<br />avg_total: 19463.36<br />destination_price: 19462.875<br />market_vwap: 722737.95416667<br />n_kids: 17<br />slippage: -1.0149999999994<br />slippage_vwap: -703274.59416667<br />slippage_vwap_pct: -3613.325726733<br />total_dollar: 486584<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>2025-04-27T17:09:38.746</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:38.746</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:09:46.451</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.451</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.451</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>19464</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.455</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>19463.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.455</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:47.513</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:47.513</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:51.039</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>19463.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:10:04.23</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19462.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:10:04.23</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:10:06.359</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.412</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.25</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>2025-04-27T17:09:38.746</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:38.746</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:09:44.006</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:09:46.451</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.451</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.451</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>19464</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.455</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>19463.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:46.455</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19464</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:47.513</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:47.513</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:09:51.039</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>2</td>
<td>19463.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:10:04.23</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19462.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:10:04.23</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19463</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:10:06.359</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.36</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:10:06.412</td>
<td>SIM:NQM5</td>
<td>Buy</td>
<td>1</td>
<td>19461.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

19463.36

Computed VWAP Slippage

-703274.59

Computed Total Filled

25.00

Algo Model

Optimistic

Computed Liquidity Cost

1.54

Computed Drift

1.50

Computed Seconds Spent

17.80

Computed Volatility

203.76