SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/15/2024 - 11:59

Buy / Sell

Sell

Quantity

500

Arrival Price

5694.6250

Market VWAP

5695.4641

Destination Price

5695.6250

Slippage

-0.8894

SlippagePct

-0.0156

AggressivePct

43.7500

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 43.75 }, "n_kids": { "asInt32": 38 }, "arrival_price": { "asDouble": 5694.625 }, "slippage": { "asDouble": -1.7285000000001673 }, "market_vwap": { "asDouble": 5695.464062398229 }, "avg_total": { "asDouble": 5696.3535 }, "total_dollar": { "asDouble": 2848176.75 }, "total_sent": { "asInt32": 500 }, "destination_price": { "asDouble": 5695.625 }, "total_filled": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.015614157403881853 }, "slippage_vwap": { "asDouble": -0.8894376017715331 } } }

Fills Array

Source URL

UncertBands

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5694.625<br />avg_total: 5696.3535<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: 5695.625<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: -1.7285000000002<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2848176.75<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 43.75<br />algo_status: 4<br />arrival_price: 5694.625<br />avg_total: 5696.3535<br />destination_price: 5695.625<br />market_vwap: 5695.4640623982<br />n_kids: 38<br />slippage: -1.7285000000002<br />slippage_vwap: -0.88943760177153<br />slippage_vwap_pct: -0.015614157403882<br />total_dollar: 2848176.75<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>2024-07-15T11:56:09.011</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>48</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:09.396</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:09.657</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5694.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.065</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5695.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.682</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.684</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.685</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.697</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.713</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>17</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.714</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:39.494</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>30</td>
<td>5695.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:39.495</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5695.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.102</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.104</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.156</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.178</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.179</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.257</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:09.575</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:09.576</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>14</td>
<td>5697</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:27.231</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5697.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:27.232</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>32</td>
<td>5697.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.467</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.468</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>15</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.469</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>16</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.473</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:54.462</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:54.469</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.162</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.163</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.169</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.17</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.171</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>18</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.172</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:27.056</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:27.596</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:27.597</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>16</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:42.479</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:42.48</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.107</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.108</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.257</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>27</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.259</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:11.815</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:11.816</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:24.727</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>20</td>
<td>5695.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:39.578</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:42.657</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695.75</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>2024-07-15T11:56:09.011</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>48</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:09.396</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:09.657</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5694.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.065</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5695.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.682</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.684</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.685</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.697</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.713</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>17</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:25.714</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:39.494</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>30</td>
<td>5695.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:39.495</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5695.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.102</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.104</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.156</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.178</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.179</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>12</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:56:58.257</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:09.575</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:09.576</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>14</td>
<td>5697</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:27.231</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5697.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:27.232</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>32</td>
<td>5697.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.467</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.468</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>15</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.469</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>16</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:39.473</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>7</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:54.462</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>9</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:57:54.469</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.162</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>11</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.163</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>3</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.169</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.17</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.171</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>18</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:12.172</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>2</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:27.056</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>8</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:27.596</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:27.597</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>16</td>
<td>5697.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:42.479</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:42.48</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>6</td>
<td>5697.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.107</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>1</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.108</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.257</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>27</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:58:57.259</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>4</td>
<td>5696</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:11.815</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>13</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:11.816</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>10</td>
<td>5694.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:24.727</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>20</td>
<td>5695.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:39.578</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:59:42.657</td>
<td>SIM:ESU4</td>
<td>Sell</td>
<td>5</td>
<td>5695.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5696.35

Computed VWAP Slippage

-0.89

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