VWAP

CQG Algos

Payup Model: Theo Queue

Date - Time	CQG Symbol	Exchange Symbol	Buy / Sell	Quantity	Market VWAP	Average Total	VWAP Slippage	Arrival Price	Destination Price
2024-05-27 02:20:44	CLE	SIM:CLN4	Buy	500	77.8819	77.8954	0.0135	77.9250	77.8950	Diagnostics Diagnostics aggressive_pct: 33.898305084746 algo_status: 4 arrival_price: 77.925 avg_total: 77.89536 destination_price: 77.895 market_vwap: 77.881905882353 n_kids: 59 slippage: -0.029640000000015 slippage_vwap: 0.013454117647029 slippage_vwap_pct: 0.017272039884056 total_dollar: 38947.68 total_filled: 500 total_sent: 500
2024-05-27 02:09:28	TYA	SIM:ZNM4	Sell	500	108.7494	108.7380	0.0114	108.7422	108.7578	Diagnostics Diagnostics aggressive_pct: 49.350649350649 algo_status: 4 arrival_price: 108.7421875 avg_total: 108.73796875 destination_price: 108.7578125 market_vwap: 108.74938196045 n_kids: 77 slippage: 0.0042187500000068 slippage_vwap: 0.011413210445468 slippage_vwap_pct: 0.010496067359607 total_dollar: 54368.984375 total_filled: 500 total_sent: 500
2024-05-27 01:59:12	TYA	SIM:ZNM4	Buy	500	108.7499	108.7582	0.0083	108.7578	108.7422	Diagnostics Diagnostics aggressive_pct: 48.684210526316 algo_status: 4 arrival_price: 108.7578125 avg_total: 108.75815625 destination_price: 108.7421875 market_vwap: 108.74986408316 n_kids: 76 slippage: 0.00034374999999898 slippage_vwap: 0.0082921668406328 slippage_vwap_pct: 0.0076244091721928 total_dollar: 54379.078125 total_filled: 500 total_sent: 500
2024-05-27 01:48:26	ZCE	SIM:ZCN5	Sell	500		0.0000	0.0000			Diagnostics Diagnostics aggressive_pct: 66.666666666667 algo_status: 4 arrival_price: NaN avg_total: NaN destination_price: market_vwap: n_kids: 79 slippage: NaN slippage_vwap: slippage_vwap_pct: total_dollar: 0 total_filled: 0 total_sent: 0
2024-05-27 01:38:10	ZCE	SIM:ZCN5	Buy	500		0.0000	0.0000			Diagnostics Diagnostics aggressive_pct: 66.666666666667 algo_status: 4 arrival_price: NaN avg_total: NaN destination_price: market_vwap: n_kids: 79 slippage: NaN slippage_vwap: slippage_vwap_pct: total_dollar: 0 total_filled: 0 total_sent: 0
2024-05-27 01:27:24	ENQ	SIM:NQM4	Sell	500	18871.3029	18870.0780	1.2249	18,866.5000	18,873.8750	Diagnostics Diagnostics aggressive_pct: 23.529411764706 algo_status: 4 arrival_price: 18866.5 avg_total: 18870.078 destination_price: 18873.875 market_vwap: 18871.302891933 n_kids: 51 slippage: -3.5780000000013 slippage_vwap: 1.2248919330268 slippage_vwap_pct: 0.0064911863799758 total_dollar: 9435039 total_filled: 500 total_sent: 500
2024-05-27 01:17:08	ENQ	SIM:NQM4	Buy	500	18863.7562	18863.8155	0.0593	18,861.2500	18,866.1250	Diagnostics Diagnostics aggressive_pct: 32.758620689655 algo_status: 4 arrival_price: 18861.25 avg_total: 18863.8155 destination_price: 18866.125 market_vwap: 18863.756183746 n_kids: 58 slippage: 2.5655000000006 slippage_vwap: 0.059316254417354 slippage_vwap_pct: 0.00031444462769133 total_dollar: 9431907.75 total_filled: 500 total_sent: 500
2024-05-27 00:56:05	EP	SIM:ESM4	Sell	500	5319.9961	5319.2425	0.7536	5,319.8750	5,319.8750	Diagnostics Diagnostics aggressive_pct: 30.357142857143 algo_status: 4 arrival_price: 5319.875 avg_total: 5319.2425 destination_price: 5319.875 market_vwap: 5319.9961197339 n_kids: 27 slippage: 0.63249999999971 slippage_vwap: 0.7536197339241 slippage_vwap_pct: 0.01416780178614 total_dollar: 2659621.25 total_filled: 500 total_sent: 500
2024-05-27 00:35:33	EP	SIM:ESM4	Buy	500	5319.1280	5319.7870	0.6590	5,319.1250	5,319.1250	Diagnostics Diagnostics aggressive_pct: 30.357142857143 algo_status: 4 arrival_price: 5319.125 avg_total: 5319.787 destination_price: 5319.125 market_vwap: 5319.1280487805 n_kids: 26 slippage: 0.66200000000026 slippage_vwap: 0.65895121951235 slippage_vwap_pct: 0.012386797056204 total_dollar: 2659893.5 total_filled: 500 total_sent: 500
2024-05-27 00:14:31	CLE	SIM:CLN4	Sell	500	77.9899	77.9882	0.0017	77.9950	77.9950	Diagnostics Diagnostics aggressive_pct: 48 algo_status: 4 arrival_price: 77.995 avg_total: 77.9882 destination_price: 77.995 market_vwap: 77.989908256881 n_kids: 75 slippage: 0.0068000000000268 slippage_vwap: 0.0017082568807183 slippage_vwap_pct: 0.0021904042928524 total_dollar: 38994.1 total_filled: 500 total_sent: 500
2024-05-26 23:58:14	CLE	SIM:CLN4	Buy	500	77.9983	78.0070	0.0086	77.9950	78.0050	Diagnostics Diagnostics aggressive_pct: 50 algo_status: 4 arrival_price: 77.995 avg_total: 78.00698 destination_price: 78.005 market_vwap: 77.998333333333 n_kids: 78 slippage: 0.011979999999994 slippage_vwap: 0.0086466666666638 slippage_vwap_pct: 0.011084478166779 total_dollar: 39003.49 total_filled: 500 total_sent: 500
2024-05-26 23:46:58	TYA	SIM:ZNM4	Sell	500	108.8125	108.7983	0.0142	108.8047	108.8047	Diagnostics Diagnostics aggressive_pct: 49.350649350649 algo_status: 4 arrival_price: 108.8046875 avg_total: 108.79834375 destination_price: 108.8046875 market_vwap: 108.8125 n_kids: 77 slippage: 0.0063437499999992 slippage_vwap: 0.014156249999999 slippage_vwap_pct: 0.013011457263107 total_dollar: 54399.171875 total_filled: 500 total_sent: 500
2024-05-26 23:36:42	TYA	SIM:ZNM4	Buy	500	108.8122	108.8253	0.0131	108.8203	108.8047	Diagnostics Diagnostics aggressive_pct: 49.350649350649 algo_status: 4 arrival_price: 108.8203125 avg_total: 108.82525 destination_price: 108.8046875 market_vwap: 108.81219211823 n_kids: 77 slippage: 0.0049374999999969 slippage_vwap: 0.013057881773392 slippage_vwap_pct: 0.011998944889529 total_dollar: 54412.625 total_filled: 500 total_sent: 500
2024-05-26 23:25:56	ZCE	SIM:ZCN5	Sell	500		0.0000	0.0000			Diagnostics Diagnostics aggressive_pct: 65.789473684211 algo_status: 4 arrival_price: NaN avg_total: NaN destination_price: market_vwap: n_kids: 76 slippage: NaN slippage_vwap: slippage_vwap_pct: total_dollar: 0 total_filled: 0 total_sent: 0
2024-05-26 23:15:40	ZCE	SIM:ZCN5	Buy	500		0.0000	0.0000			Diagnostics Diagnostics aggressive_pct: 65.789473684211 algo_status: 4 arrival_price: NaN avg_total: NaN destination_price: market_vwap: n_kids: 76 slippage: NaN slippage_vwap: slippage_vwap_pct: total_dollar: 0 total_filled: 0 total_sent: 0