SIM:ESH6 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESH6

Algo CQG Symbol

EP

Date - Time

12/19/2025 - 02:28

Buy / Sell

Sell

Quantity

50

Arrival Price

6842.6250

Average Total

6842.7650

Destination Price

6843.3750

Slippage

0.1400

Slippage Sweep

0.5800

Sweep to Fill

6842.1850

Algo Diagnostics

{ "customState": { "slippage": { "asDouble": 0.14000000000032742 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 22 }, "destination_price": { "asDouble": 6843.375 }, "slippage_twap_ticks": { "asDouble": -0.7194895987777272 }, "seconds_spent": { "asDouble": 9.116 }, "slippage_aggressive_money": { "asDouble": 13.250000000016371 }, "slippage_passive_money": { "asDouble": 0.7500000000163709 }, "last_tactical_qty": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "slippage_vwap_money": { "asDouble": -8.558510638295047 }, "slippage_sweep": { "asDouble": 0.5799999999999272 }, "init_half_min_move": { "asDouble": 0.3691733490037839 }, "impact_model": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "total_drift": { "asDouble": -0.75 }, "curr_cost_per_share": { "asDouble": 0.395 }, "slippage_twap_money": { "asDouble": -8.99361998472159 }, "slippage_aggressive_ticks": { "asDouble": 1.0600000000013097 }, "init_vol_normal": { "asDouble": 35.11571547972786 }, "market_vwap": { "asDouble": 6842.936170212766 }, "init_min_duration": { "asDouble": 0 }, "slippage_mid": { "asDouble": 0.14000000000032742 }, "total_filled": { "asInt32": 50 }, "slippage_sweep_money": { "asDouble": 28.999999999996362 }, "interval_market_size": { "asDouble": 47 }, "slippage_mid_money": { "asDouble": 7.000000000016371 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_twap": { "asDouble": -0.1798723996944318 }, "avg_total": { "asDouble": 6842.765 }, "slippage_vwap_ticks": { "asDouble": -0.6846808510636038 }, "slippage_sweep_ticks": { "asDouble": 2.319999999999709 }, "slippage_passive_ticks": { "asDouble": 0.06000000000130967 }, "curr_liq_cost": { "asDouble": 19.75 }, "interval_twap": { "asDouble": 6842.944872399695 }, "interval_vwap": { "asDouble": 6842.936170212766 }, "init_cost_per_share": { "asDouble": 0.44 }, "sweep_residual": { "asDouble": 0 }, "participation_rate": { "asDouble": 1.0638297872340425 }, "curr_half_min_move": { "asDouble": 0.3692014149327852 }, "slippage_vwap": { "asDouble": -0.17117021276590094 }, "init_drift": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 1.4205112263411241 }, "total_vol": { "asDouble": 7.4191804667779255 }, "total_dollar": { "asDouble": 342138.25 }, "n_kids": { "asInt32": 8 }, "slippage_mid_ticks": { "asDouble": 0.5600000000013097 }, "arrival_price": { "asDouble": 6842.625 }, "total_sent": { "asInt32": 50 }, "percentage_passive": { "asDouble": 0 }, "slippage_aggressive": { "asDouble": 0.2650000000003274 }, "drift": { "asDouble": -0.75 }, "daily_vol_normal": { "asDouble": 35.1183851068289 }, "slippage_passive": { "asDouble": 0.015000000000327418 }, "ready": { "asBool": true }, "sweep_to_fill": { "asDouble": 6842.185 }, "model_size": { "asDouble": 2 }, "economic_model": { "asInt32": 0 }, "order_time_minutes": { "asDouble": 5 } } }

Fills Array

[{"Timestamp":"2025-12-19T02:28:54.225","Security":"SIM:ESH6","Side":"Sell","LastShares":2.0,"LastPrice":6843.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:50.486","Security":"SIM:ESH6","Side":"Sell","LastShares":14.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:50.221","Security":"SIM:ESH6","Side":"Sell","LastShares":4.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:50.221","Security":"SIM:ESH6","Side":"Sell","LastShares":4.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:51.525","Security":"SIM:ESH6","Side":"Sell","LastShares":19.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:51.525","Security":"SIM:ESH6","Side":"Sell","LastShares":3.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:47.475","Security":"SIM:ESH6","Side":"Sell","LastShares":1.0,"LastPrice":6842.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:47.475","Security":"SIM:ESH6","Side":"Sell","LastShares":2.0,"LastPrice":6842.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:44.555","Security":"SIM:ESH6","Side":"Sell","LastShares":1.0,"LastPrice":6842.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 6842.625<br />avg_total: 6842.765<br />curr_cost_per_share: 0.395<br />curr_half_min_move: 0.36920141493279<br />curr_liq_cost: 19.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 35.118385106829<br />destination_price: 6843.375<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.44<br />init_drift: 0<br />init_half_min_move: 0.36917334900378<br />init_liq_cost: 22<br />init_min_duration: 0<br />init_opt_t_minutes: 1.4205112263411<br />init_vol_normal: 35.115715479728<br />last_aggressive_qty: <br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 8<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 9.116<br />slip_toler: 0<br />slippage: 0.14000000000033<br />slippage_sweep: 0.57999999999993<br />sweep_residual: 0<br />sweep_to_fill: 6842.185<br />total_dollar: 342138.25<br />total_drift: -0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 7.4191804667779<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 6842.625<br />avg_total: 6842.765<br />destination_price: 6843.375<br />market_vwap (interval_vwap): 6842.9361702128<br />n_kids: 8<br />slippage: 0.14000000000033<br />slippage_vwap: -0.1711702127659<br />slippage_vwap_pct: <br />total_dollar: 342138.25<br />total_filled: 50<br />total_sent: 50

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>2025-12-19T02:28:54.225</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>2</td>
<td>6843.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:50.486</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>14</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:50.221</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>4</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:50.221</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>4</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:51.525</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>19</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:51.525</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>3</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:47.475</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>1</td>
<td>6842.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:47.475</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>2</td>
<td>6842.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:44.555</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>1</td>
<td>6842.5</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>2025-12-19T02:28:54.225</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>2</td>
<td>6843.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:50.486</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>14</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:50.221</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>4</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:50.221</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>4</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:51.525</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>19</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:51.525</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>3</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:47.475</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>1</td>
<td>6842.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:47.475</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>2</td>
<td>6842.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:44.555</td>
<td>SIM:ESH6</td>
<td>Sell</td>
<td>1</td>
<td>6842.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

6842.77

Computed VWAP Slippage

-0.17

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.44

Computed Drift

-0.75

Version

0.20.8

Computed Seconds Spent

9.12

Computed Volatility

35.12