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
2024-06-11 18:24:09	ZCE	SIM:ZCN5	Buy	500		501.3043	0.0000	493.0000		Diagnostics Diagnostics aggressive_pct: 4.8780487804878 algo_status: 4 arrival_price: 493 avg_total: 501.30434782609 destination_price: market_vwap: n_kids: 3 slippage: 8.3043478260869 slippage_vwap: slippage_vwap_pct: total_dollar: 11530 total_filled: 23 total_sent: 23
2024-06-11 18:13:23	ENQ	SIM:NQM4	Sell	500	19266.9515	19266.4685	0.4830	19,263.5000	19,266.2500	Diagnostics Diagnostics aggressive_pct: 32.758620689655 algo_status: 4 arrival_price: 19263.5 avg_total: 19266.4685 destination_price: 19266.25 market_vwap: 19266.95154321 n_kids: 58 slippage: -2.968499999999 slippage_vwap: 0.48304320987882 slippage_vwap_pct: 0.0025071704753718 total_dollar: 9633234.25 total_filled: 500 total_sent: 500
2024-06-11 18:03:07	ENQ	SIM:NQM4	Buy	500	19258.9872	19257.9545	-1.0327	19,253.1250	19,263.3750	Diagnostics Diagnostics aggressive_pct: 35 algo_status: 4 arrival_price: 19253.125 avg_total: 19257.9545 destination_price: 19263.375 market_vwap: 19258.987226277 n_kids: 60 slippage: 4.8294999999998 slippage_vwap: -1.0327262773717 slippage_vwap_pct: -0.0053625958944482 total_dollar: 9628977.25 total_filled: 500 total_sent: 500
2024-06-11 17:42:04	EP	SIM:ESM4	Sell	500	5383.6911	5382.7540	0.9371	5,383.8750	5,383.6250	Diagnostics Diagnostics aggressive_pct: 27.777777777778 algo_status: 4 arrival_price: 5383.875 avg_total: 5382.754 destination_price: 5383.625 market_vwap: 5383.6910860656 n_kids: 23 slippage: 1.1210000000001 slippage_vwap: 0.93708606557357 slippage_vwap_pct: 0.017409044990233 total_dollar: 2691377 total_filled: 500 total_sent: 500
2024-06-11 17:21:32	EP	SIM:ESM4	Buy	500	5381.2864	5382.9075	1.6211	5,381.3750	5,382.3750	Diagnostics Diagnostics aggressive_pct: 33.898305084746 algo_status: 4 arrival_price: 5381.375 avg_total: 5382.9075 destination_price: 5382.375 market_vwap: 5381.2863881402 n_kids: 41 slippage: 1.5325000000003 slippage_vwap: 1.6211118598385 slippage_vwap_pct: 0.030115915234258 total_dollar: 2691453.75 total_filled: 500 total_sent: 500
2024-06-11 17:04:16	CLE	SIM:CLZ5	Sell	500	71.4400	71.4057	0.0343	71.1200	71.4650	Diagnostics Diagnostics aggressive_pct: 30.357142857143 algo_status: 4 arrival_price: 71.12 avg_total: 71.40572 destination_price: 71.465 market_vwap: 71.44 n_kids: 31 slippage: -0.28571999999998 slippage_vwap: 0.03428000000001 slippage_vwap_pct: 0.048007358514149 total_dollar: 35702.86 total_filled: 500 total_sent: 500
2024-06-11 16:43:44	CLE	SIM:CLZ5	Buy	500		0.0000	0.0000			Diagnostics Diagnostics aggressive_pct: 50.632911392405 algo_status: 4 arrival_price: NaN avg_total: NaN destination_price: market_vwap: n_kids: 41 slippage: NaN slippage_vwap: slippage_vwap_pct: total_dollar: 0 total_filled: 0 total_sent: 0
2024-06-11 15:41:50	CLE	SIM:CLN4	Buy	500	78.1501	78.1294	-0.0207	78.0200	78.1650	Diagnostics Diagnostics aggressive_pct: 30.357142857143 algo_status: 4 arrival_price: 78.02 avg_total: 78.12942 destination_price: 78.165 market_vwap: 78.150095307918 n_kids: 56 slippage: 0.10942000000001 slippage_vwap: -0.020675307917713 slippage_vwap_pct: -0.026462896969814 total_dollar: 39064.71 total_filled: 500 total_sent: 500
2024-06-11 15:27:27	CLE	SIM:CLN4	Buy	500	77.8365	77.8490	0.0125	77.8350	77.8350	Diagnostics Diagnostics aggressive_pct: 44.285714285714 algo_status: 4 arrival_price: 77.835 avg_total: 77.849 destination_price: 77.835 market_vwap: 77.836494845361 n_kids: 70 slippage: 0.01400000000001 slippage_vwap: 0.012505154639229 slippage_vwap_pct: 0.01606334652883 total_dollar: 38924.5 total_filled: 500 total_sent: 500
2024-06-11 14:56:42	EP	SIM:ESM4	Sell	500	5380.2818	5380.4545	-0.1727	5,379.6250	5,379.6250	Diagnostics Diagnostics aggressive_pct: 0 algo_status: 4 arrival_price: 5379.625 avg_total: 5380.4545 destination_price: 5379.625 market_vwap: 5380.2818357696 n_kids: 7 slippage: -0.82949999999983 slippage_vwap: -0.17266423043839 slippage_vwap_pct: -0.0032091012095425 total_dollar: 2690227.25 total_filled: 500 total_sent: 500
2024-06-11 14:50:26	EP	SIM:ESM4	Buy	500	5373.2175	5373.6210	0.4035	5,375.6250	5,373.3750	Diagnostics Diagnostics aggressive_pct: 0 algo_status: 4 arrival_price: 5375.625 avg_total: 5373.621 destination_price: 5373.375 market_vwap: 5373.2175463319 n_kids: 11 slippage: -2.0039999999999 slippage_vwap: 0.40345366811835 slippage_vwap_pct: 0.0075080410047219 total_dollar: 2686810.5 total_filled: 500 total_sent: 500
2024-06-11 14:42:42	CLE	SIM:CLN4	Sell	500	77.8982	77.8764	0.0218	77.8550	77.9250	Diagnostics Diagnostics aggressive_pct: 39.0625 algo_status: 4 arrival_price: 77.855 avg_total: 77.87636 destination_price: 77.925 market_vwap: 77.898159340659 n_kids: 64 slippage: -0.02136000000003 slippage_vwap: 0.021799340659257 slippage_vwap_pct: 0.02799224393546 total_dollar: 38938.18 total_filled: 500 total_sent: 500
2024-06-11 14:22:09	CLE	SIM:CLN4	Buy	500	77.8522	77.8592	0.0070	77.8550	77.8650	Diagnostics Diagnostics aggressive_pct: 37.096774193548 algo_status: 4 arrival_price: 77.855 avg_total: 77.85924 destination_price: 77.865 market_vwap: 77.852222222222 n_kids: 62 slippage: 0.0042399999999816 slippage_vwap: 0.0070177777775342 slippage_vwap_pct: 0.009013416747369 total_dollar: 38929.62 total_filled: 500 total_sent: 500
2024-06-11 14:09:10	CLE	SIM:CLN4	Buy	500	77.8901	77.8995	0.0094	77.9250	77.8550	Diagnostics Diagnostics aggressive_pct: 35 algo_status: 4 arrival_price: 77.925 avg_total: 77.8995 destination_price: 77.855 market_vwap: 77.890090439277 n_kids: 60 slippage: -0.025499999999994 slippage_vwap: 0.0094095607233129 slippage_vwap_pct: 0.012079102848302 total_dollar: 38949.75 total_filled: 500 total_sent: 500
2024-06-11 13:57:52	TYA	SIM:ZNU4	Sell	500	109.5220	109.5158	0.0063	109.5391	109.5234	Diagnostics Diagnostics aggressive_pct: 48 algo_status: 2 arrival_price: 109.5390625 avg_total: 109.51578125 destination_price: 109.5234375 market_vwap: 109.52203274541 n_kids: 75 slippage: 0.023281249999997 slippage_vwap: 0.0062514954052659 slippage_vwap_pct: 0.0057083055372587 total_dollar: 54757.890625 total_filled: 500 total_sent: 500