VWAP

CQG Algos

Payup Model: Theo Queue

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CQG Symbol

Exchange Symbol

Date - Time	CQG Symbol	Exchange Symbol	Buy / Sell	Quantity	Market VWAP	Average Total	VWAP Slippage	Arrival Price	Destination Price
2025-08-11 04:55:29	ENQ	SIM:NQU5	Sell	500	23727.0436	23726.5890	0.4546	23,722.6250	23,723.8750	Diagnostics Diagnostics aggressive_pct: 9.3023255813953 algo_status: 4 arrival_price: 23722.625 avg_total: 23726.589 destination_price: 23723.875 market_vwap: 23727.043581327 n_kids: 43 slippage: -3.9639999999999 slippage_vwap: 0.45458132749991 slippage_vwap_pct: 0.0019159152101463 total_dollar: 11863294.5 total_filled: 500 total_sent: 500
2025-08-11 04:44:28	ENQ	SIM:NQU5	Buy	500	23723.9003	23724.0605	0.1602	23,727.5000	23,722.3750	Diagnostics Diagnostics aggressive_pct: 9.3023255813953 algo_status: 4 arrival_price: 23727.5 avg_total: 23724.0605 destination_price: 23722.375 market_vwap: 23723.900268336 n_kids: 43 slippage: -3.4395000000004 slippage_vwap: 0.16023166368541 slippage_vwap_pct: 0.00067539729839 total_dollar: 11862030.25 total_filled: 500 total_sent: 500
2025-08-11 04:32:57	EP	SIM:ESU5	Sell	500	6418.2898	6418.0990	0.1908	6,417.3750	6,418.8750	Diagnostics Diagnostics aggressive_pct: 23.529411764706 algo_status: 4 arrival_price: 6417.375 avg_total: 6418.099 destination_price: 6418.875 market_vwap: 6418.2898324893 n_kids: 51 slippage: -0.72400000000016 slippage_vwap: 0.19083248928655 slippage_vwap_pct: 0.0029733491067456 total_dollar: 3209049.5 total_filled: 500 total_sent: 500
2025-08-11 04:21:56	EP	SIM:ESU5	Buy	500	6416.7462	6416.8340	0.0878	6,416.1250	6,417.3750	Diagnostics Diagnostics aggressive_pct: 0 algo_status: 4 arrival_price: 6416.125 avg_total: 6416.834 destination_price: 6417.375 market_vwap: 6416.7462433349 n_kids: 40 slippage: 0.70899999999983 slippage_vwap: 0.08775666505062 slippage_vwap_pct: 0.0013676006742674 total_dollar: 3208417 total_filled: 500 total_sent: 500
2025-08-11 03:40:11	CLE	SIM:CLU5	Sell	500	63.4969	63.4656	0.0313	63.3950	63.5950	Diagnostics Diagnostics aggressive_pct: 2.5 algo_status: 4 arrival_price: 63.395 avg_total: 63.4656 destination_price: 63.595 market_vwap: 63.496893795203 n_kids: 40 slippage: -0.070600000000013 slippage_vwap: 0.031293795203368 slippage_vwap_pct: 0.049308279136048 total_dollar: 31732.8 total_filled: 500 total_sent: 500
2025-08-11 03:29:10	CLE	SIM:CLU5	Buy	500	63.3788	63.3659	-0.0129	63.2250	63.3950	Diagnostics Diagnostics aggressive_pct: 11.363636363636 algo_status: 4 arrival_price: 63.225 avg_total: 63.36594 destination_price: 63.395 market_vwap: 63.378790560472 n_kids: 44 slippage: 0.14094000000002 slippage_vwap: -0.012850560471797 slippage_vwap_pct: -0.020279917684165 total_dollar: 31682.97 total_filled: 500 total_sent: 500
2025-08-11 03:17:39	ENQ	SIM:NQU5	Sell	500	23681.9365	23682.3630	-0.4265	23,674.3750	23,678.1250	Diagnostics Diagnostics aggressive_pct: 2.5 algo_status: 4 arrival_price: 23674.375 avg_total: 23682.363 destination_price: 23678.125 market_vwap: 23681.936531008 n_kids: 40 slippage: -7.9880000000012 slippage_vwap: -0.42646899224928 slippage_vwap_pct: -0.0018007873295806 total_dollar: 11841181.5 total_filled: 500 total_sent: 500
2025-08-11 03:06:38	ENQ	SIM:NQU5	Buy	500	23691.6368	23697.1660	5.5292	23,704.0000	23,673.6250	Diagnostics Diagnostics aggressive_pct: 4.8780487804878 algo_status: 4 arrival_price: 23704 avg_total: 23697.166 destination_price: 23673.625 market_vwap: 23691.636806375 n_kids: 41 slippage: -6.8339999999989 slippage_vwap: 5.5291936245594 slippage_vwap_pct: 0.023332720986802 total_dollar: 11848583 total_filled: 500 total_sent: 500
2025-08-11 02:55:07	EP	SIM:ESU5	Sell	500	6417.3531	6417.2580	0.0951	6,420.3750	6,414.3750	Diagnostics Diagnostics aggressive_pct: 7.1428571428571 algo_status: 4 arrival_price: 6420.375 avg_total: 6417.258 destination_price: 6414.375 market_vwap: 6417.3530940908 n_kids: 42 slippage: 3.1170000000002 slippage_vwap: 0.095094090794191 slippage_vwap_pct: 0.0014818492694885 total_dollar: 3208629 total_filled: 500 total_sent: 500
2025-08-11 02:44:05	EP	SIM:ESU5	Buy	500	6420.8029	6420.9105	0.1076	6,421.8750	6,420.3750	Diagnostics Diagnostics aggressive_pct: 11.363636363636 algo_status: 4 arrival_price: 6421.875 avg_total: 6420.9105 destination_price: 6420.375 market_vwap: 6420.8028827797 n_kids: 44 slippage: -0.96450000000004 slippage_vwap: 0.10761722031293 slippage_vwap_pct: 0.0016760429897431 total_dollar: 3210455.25 total_filled: 500 total_sent: 500
2025-08-11 02:32:34	ZCE	SIM:ZCZ5	Sell	500	406.8984	406.9970	-0.0986	406.6250	407.8750	Diagnostics Diagnostics aggressive_pct: 47.297297297297 algo_status: 4 arrival_price: 406.625 avg_total: 406.997 destination_price: 407.875 market_vwap: 406.89837244512 n_kids: 73 slippage: -0.37200000000001 slippage_vwap: -0.098627554882682 slippage_vwap_pct: -0.02423299308906 total_dollar: 203498.5 total_filled: 500 total_sent: 500
2025-08-11 02:21:33	ZCE	SIM:ZCZ5	Buy	500	406.6243	406.7015	0.0772	406.6250	406.6250	Diagnostics Diagnostics aggressive_pct: 49.350649350649 algo_status: 4 arrival_price: 406.625 avg_total: 406.7015 destination_price: 406.625 market_vwap: 406.62430297398 n_kids: 75 slippage: 0.07650000000001 slippage_vwap: 0.077197026022304 slippage_vwap_pct: 0.018981249398467 total_dollar: 203350.75 total_filled: 500 total_sent: 500
2025-08-11 02:10:02	TYA	SIM:ZNU5	Sell	500	111.9223	111.9096	0.0126	111.9141	111.9453	Diagnostics Diagnostics aggressive_pct: 40.909090909091 algo_status: 4 arrival_price: 111.9140625 avg_total: 111.909625 destination_price: 111.9453125 market_vwap: 111.92225559915 n_kids: 66 slippage: 0.0044374999999945 slippage_vwap: 0.012630599149901 slippage_vwap_pct: 0.011286427909933 total_dollar: 55954.8125 total_filled: 500 total_sent: 500
2025-08-11 01:59:01	TYA	SIM:ZNU5	Buy	500	111.9178	111.9219	0.0041	111.9141	111.9141	Diagnostics Diagnostics aggressive_pct: 50.632911392405 algo_status: 4 arrival_price: 111.9140625 avg_total: 111.921875 destination_price: 111.9140625 market_vwap: 111.91775982577 n_kids: 79 slippage: 0.0078125 slippage_vwap: 0.0041151742301508 slippage_vwap_pct: 0.003676827456787 total_dollar: 55960.9375 total_filled: 500 total_sent: 500
2025-08-11 01:47:30	CLE	SIM:CLU5	Sell	500	63.2657	63.2365	0.0293	63.2200	63.4050	Diagnostics Diagnostics aggressive_pct: 20.408163265306 algo_status: 4 arrival_price: 63.22 avg_total: 63.23646 destination_price: 63.405 market_vwap: 63.265739210285 n_kids: 49 slippage: -0.016460000000023 slippage_vwap: 0.029279210284614 slippage_vwap_pct: 0.04630115329766 total_dollar: 31618.23 total_filled: 500 total_sent: 500