SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/15/2024 - 08:13

Buy / Sell

Sell

Quantity

500

Arrival Price

5688.1250

Market VWAP

5688.1695

Destination Price

5687.1250

Slippage

1.0480

SlippagePct

0.0184

AggressivePct

30.3571

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 2843560.75 }, "slippage_vwap": { "asDouble": 1.0479651741288762 }, "aggressive_pct": { "asDouble": 30.357142857142858 }, "slippage": { "asDouble": 1.0034999999998035 }, "avg_total": { "asDouble": 5687.1215 }, "destination_price": { "asDouble": 5687.125 }, "arrival_price": { "asDouble": 5688.125 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.018426987609265536 }, "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 5688.169465174129 }, "n_kids": { "asInt32": 44 } } }

Fills Array

Source URL

UncertBands

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5688.125<br />avg_total: 5687.1215<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: 5687.125<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: 44<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 1.0034999999998<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2843560.75<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 30.357142857143<br />algo_status: 4<br />arrival_price: 5688.125<br />avg_total: 5687.1215<br />destination_price: 5687.125<br />market_vwap: 5688.1694651741<br />n_kids: 44<br />slippage: 1.0034999999998<br />slippage_vwap: 1.0479651741289<br />slippage_vwap_pct: 0.018426987609266<br />total_dollar: 2843560.75<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>2024-07-15T08:05:44.571</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5688</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:03.689</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:03.702</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:14.287</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5688</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:36.811</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:47.566</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5688.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:02.131</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:02.132</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:20.692</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:20.693</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:44.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:52.275</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:52.276</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:59.523</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:21.807</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:22.11</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:22.111</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.287</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.368</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.407</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.425</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:05.029</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>14</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:16.281</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:16.284</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:35.992</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:49.957</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:04.099</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:18.696</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:44.291</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:46.881</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:07.778</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:14.614</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:19.356</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:31.891</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:45.807</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:45.882</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:02.689</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5687.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>46</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>52</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>103</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>88</td>
<td>5686.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.3</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>28</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.656</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5687</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>2024-07-15T08:05:44.571</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5688</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:03.689</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:03.702</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:14.287</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5688</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:36.811</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:06:47.566</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5688.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:02.131</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:02.132</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:20.692</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:20.693</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:44.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:52.275</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:52.276</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:07:59.523</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:21.807</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:22.11</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:22.111</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.287</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.368</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.407</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:08:44.425</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:05.029</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>14</td>
<td>5688.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:16.281</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:16.284</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5688.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:35.992</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:09:49.957</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:04.099</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:18.696</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:44.291</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:10:46.881</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:07.778</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5687.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:14.614</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:19.356</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:31.891</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:45.807</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:11:45.882</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5687.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:02.689</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5687.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>46</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>52</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>103</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.299</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>88</td>
<td>5686.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.3</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>28</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T08:12:29.656</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5687</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5687.12

Computed VWAP Slippage

1.05

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