SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/15/2024 - 01:00

Buy / Sell

Sell

Quantity

500

Arrival Price

5679.3750

Market VWAP

5679.3904

Destination Price

5678.8750

Slippage

0.7594

SlippagePct

0.0134

AggressivePct

40.9091

Algo Diagnostics

{ "customState": { "total_sent": { "asInt32": 500 }, "avg_total": { "asDouble": 5678.631 }, "slippage_vwap_pct": { "asDouble": 0.013373315924056514 }, "slippage": { "asDouble": 0.7439999999996871 }, "total_dollar": { "asDouble": 2839315.5 }, "arrival_price": { "asDouble": 5679.375 }, "aggressive_pct": { "asDouble": 40.90909090909091 }, "market_vwap": { "asDouble": 5679.390421263792 }, "destination_price": { "asDouble": 5678.875 }, "total_filled": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "slippage_vwap": { "asDouble": 0.7594212637914097 }, "n_kids": { "asInt32": 64 } } }

Fills Array

Source URL

UncertBands

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5679.375<br />avg_total: 5678.631<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 5678.875<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 64<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.74399999999969<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2839315.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 40.909090909091<br />algo_status: 4<br />arrival_price: 5679.375<br />avg_total: 5678.631<br />destination_price: 5678.875<br />market_vwap: 5679.3904212638<br />n_kids: 64<br />slippage: 0.74399999999969<br />slippage_vwap: 0.75942126379141<br />slippage_vwap_pct: 0.013373315924057<br />total_dollar: 2839315.5<br />total_filled: 500<br />total_sent: 500

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>2024-07-15T00:50:45.003</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:50:59.989</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:14.993</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:27.419</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:27.419</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:43.557</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:45.479</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:27.679</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:44.995</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:59.986</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:14.991</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:29.989</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:44.996</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:59.999</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:05.015</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:05.016</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:29.998</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:30.574</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:57.096</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:57.097</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:14.976</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:30.256</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:45.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:55.126</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:56:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:56:30.002</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:56:44.994</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:00.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:15.003</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:29.995</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:44.993</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:50.265</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:58:15.004</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:58:30.004</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:15.003</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:29.999</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:35.385</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:59.985</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5678.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:04.592</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5678.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>45</td>
<td>5678.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>80</td>
<td>5678.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>71</td>
<td>5678</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>60</td>
<td>5677.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>33</td>
<td>5677.5</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>2024-07-15T00:50:45.003</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:50:59.989</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:14.993</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:27.419</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:27.419</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:43.557</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:51:45.479</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:27.679</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:44.995</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:52:59.986</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:14.991</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:29.989</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:44.996</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:53:59.999</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:05.015</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:05.016</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:29.998</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:30.574</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:57.096</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:54:57.097</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:14.976</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:30.256</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:45.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:55:55.126</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:56:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:56:30.002</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:56:44.994</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:00.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:15.003</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:29.995</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:44.993</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:57:50.265</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:58:15.004</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5679.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:58:30.004</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:15.003</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:29.999</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:35.385</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5679.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T00:59:59.985</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5678.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:04.592</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5678.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>45</td>
<td>5678.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>80</td>
<td>5678.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>71</td>
<td>5678</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>60</td>
<td>5677.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T01:00:15.001</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>33</td>
<td>5677.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5678.63

Computed VWAP Slippage

0.76

Computed Total Filled

500.00

Algo Model

UncertBands

Computed Liquidity Cost

0.00

Computed Drift

0.00

Computed Seconds Spent

0.00

Computed Volatility

0.00