SIM:ZNM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ZNM5

Algo CQG Symbol

TYA

Date - Time

04/27/2025 - 17:44

Buy / Sell

Buy

Quantity

200

Arrival Price

111.5859

Average Total

111.5938

Destination Price

111.5859

Slippage

0.0078

Slippage Sweep

-0.0093

Sweep to Fill

111.6030

Algo Diagnostics

{ "customState": { "ready": { "asBool": true }, "daily_vol_normal": { "asDouble": 0.12864206044816703 }, "slippage": { "asDouble": 0.0078125 }, "init_vol_normal": { "asDouble": 0.12864206044816703 }, "slippage_sweep": { "asDouble": -0.009296875000003979 }, "init_cost_per_share": { "asDouble": 0.017109375 }, "init_drift": { "asDouble": 0 }, "model_size": { "asDouble": 89 }, "seconds_spent": { "asDouble": 54.096 }, "init_opt_t_minutes": { "asDouble": 160.04594525018916 }, "curr_cost_per_share": { "asDouble": 0.00796875 }, "avg_total": { "asDouble": 111.59375 }, "last_tactical_qty": { "asInt32": 89 }, "curr_liq_cost": { "asDouble": 1.59375 }, "sweep_residual": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.00135242069340189 }, "total_dollar": { "asDouble": 22318.75 }, "curr_half_min_move": { "asDouble": 0.00135242069340189 }, "total_sent": { "asInt32": 200 }, "economic_model": { "asInt32": 0 }, "destination_price": { "asDouble": 111.5859375 }, "arrival_price": { "asDouble": 111.5859375 }, "impact_model": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0.4210529405406846 }, "total_drift": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 10 }, "order_time_minutes": { "asDouble": 10 }, "slippage_vwap_pct": { "asDouble": 78.13960000781489 }, "algo_status": { "asInt32": 4 }, "total_vol": { "asDouble": 1.1681349822431286 }, "slippage_vwap": { "asDouble": 87.19890988372093 }, "sweep_to_fill": { "asDouble": 111.603046875 }, "drift": { "asDouble": 0 }, "market_vwap": { "asDouble": 24.39484011627907 }, "total_filled": { "asInt32": 200 }, "init_liq_cost": { "asDouble": 3.421875 }, "n_kids": { "asInt32": 46 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 111.5859375<br />avg_total: 111.59375<br />curr_cost_per_share: 0.00796875<br />curr_half_min_move: 0.0013524206934019<br />curr_liq_cost: 1.59375<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.12864206044817<br />destination_price: 111.5859375<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.017109375<br />init_drift: 0<br />init_half_min_move: 0.0013524206934019<br />init_liq_cost: 3.421875<br />init_min_duration: 0<br />init_opt_t_minutes: 160.04594525019<br />init_vol_normal: 0.12864206044817<br />last_aggressive_qty: <br />last_tactical_qty: 89<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 89<br />n_kids: 46<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 54.096<br />slip_toler: 0<br />slippage: 0.0078125<br />slippage_sweep: -0.009296875000004<br />sweep_residual: 0<br />sweep_to_fill: 111.603046875<br />total_dollar: 22318.75<br />total_drift: 0<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.1681349822431<br />worst_opt_t_minutes: 0.42105294054068

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.5859375<br />avg_total: 111.59375<br />destination_price: 111.5859375<br />market_vwap: 24.394840116279<br />n_kids: 46<br />slippage: 0.0078125<br />slippage_vwap: 87.198909883721<br />slippage_vwap_pct: 78.139600007815<br />total_dollar: 22318.75<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>2025-04-27T17:43:43.447</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:43.447</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:43.447</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:45.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:47.538</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:47.538</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:47.538</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:48.812</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:51.43</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:51.43</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:51.43</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:53.059</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:58.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:00.15</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:00.15</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:02.517</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:02.517</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:02.517</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:05.912</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:05.912</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:12.444</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:12.444</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:13.242</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:24.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>16</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:35.516</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>89</td>
<td>111.59375</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>2025-04-27T17:43:43.447</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:43.447</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:43.447</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:45.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:47.538</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:47.538</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:47.538</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:48.812</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:51.43</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:51.43</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:51.43</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:53.059</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:56.612</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:43:58.312</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:00.15</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>6</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:00.15</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:02.517</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:02.517</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:02.517</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:05.912</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:05.912</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>3</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:10.012</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:12.444</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:12.444</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:13.242</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>4</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>1</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:22.715</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:24.363</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>16</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:30.422</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>2</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:44:35.516</td>
<td>SIM:ZNM5</td>
<td>Buy</td>
<td>89</td>
<td>111.59375</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

111.59

Computed VWAP Slippage

87.20

Computed Total Filled

200.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

54.10

Computed Volatility

0.13