SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/15/2024 - 10:15

Buy / Sell

Sell

Quantity

500

Arrival Price

5713.6250

Market VWAP

5713.3730

Destination Price

5715.3750

Slippage

-1.0580

SlippagePct

-0.0185

AggressivePct

45.8333

Algo Diagnostics

{ "customState": { "market_vwap": { "asDouble": 5713.373027049229 }, "avg_total": { "asDouble": 5714.431 }, "destination_price": { "asDouble": 5715.375 }, "total_filled": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.018514055918617586 }, "n_kids": { "asInt32": 38 }, "slippage_vwap": { "asDouble": -1.057972950770818 }, "slippage": { "asDouble": -0.8059999999995853 }, "aggressive_pct": { "asDouble": 45.833333333333336 }, "total_dollar": { "asDouble": 2857215.5 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "arrival_price": { "asDouble": 5713.625 } } }

Fills Array

Source URL

UncertBands

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5713.625<br />avg_total: 5714.431<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: 5715.375<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: 38<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.80599999999959<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2857215.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 45.833333333333<br />algo_status: 4<br />arrival_price: 5713.625<br />avg_total: 5714.431<br />destination_price: 5715.375<br />market_vwap: 5713.3730270492<br />n_kids: 38<br />slippage: -0.80599999999959<br />slippage_vwap: -1.0579729507708<br />slippage_vwap_pct: -0.018514055918618<br />total_dollar: 2857215.5<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>2024-07-15T10:11:33.46</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>48</td>
<td>5713.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:33.496</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5713.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:36.095</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5713.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.591</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.606</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.608</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.609</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.618</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.698</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:03.903</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>29</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:03.904</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:19.399</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:19.4</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>33</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.221</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.222</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.223</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.224</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.227</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.268</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>26</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:49.79</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>30</td>
<td>5714</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:04.661</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>17</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:04.674</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>15</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:22.957</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>22</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:35.719</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>48</td>
<td>5715</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:50.806</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>31</td>
<td>5715.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:13.101</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>14</td>
<td>5715.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:13.102</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>37</td>
<td>5715.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:19.558</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>19</td>
<td>5715.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.487</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>20</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.488</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>18</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.498</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.499</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:50.875</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5715</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:50.882</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5715</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>2024-07-15T10:11:33.46</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>48</td>
<td>5713.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:33.496</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5713.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:36.095</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5713.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.591</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.606</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.608</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.609</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.618</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:11:48.698</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:03.903</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>29</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:03.904</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:19.399</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:19.4</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>33</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.221</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.222</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.223</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.224</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.227</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:38.268</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>26</td>
<td>5714.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:12:49.79</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>30</td>
<td>5714</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:04.661</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>17</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:04.674</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>15</td>
<td>5713.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:22.957</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>22</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:35.719</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>48</td>
<td>5715</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:13:50.806</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>31</td>
<td>5715.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:13.101</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>14</td>
<td>5715.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:13.102</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>37</td>
<td>5715.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:19.558</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>19</td>
<td>5715.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.487</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>20</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.488</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>18</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.498</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:33.499</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5714.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:50.875</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5715</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:14:50.882</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5715</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5714.43

Computed VWAP Slippage

-1.06

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