SIM:ESZ4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESZ4

Algo CQG Symbol

EP

Date - Time

10/30/2024 - 04:22

Buy / Sell

Sell

Quantity

50

Arrival Price

5883.3750

Average Total

5883.0750

Destination Price

5883.1250

Slippage

0.3000

Slippage Sweep

-0.0100

Sweep to Fill

5883.0650

Algo Diagnostics

{ "customState": { "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 10 }, "init_liq_cost": { "asDouble": 15.5 }, "algo_status": { "asInt32": 4 }, "drift": { "asDouble": -0.25 }, "init_drift": { "asDouble": -0 }, "init_cost_per_share": { "asDouble": 0.31 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": -39.997152849487726 }, "sweep_residual": { "asDouble": 0 }, "total_vol": { "asDouble": 61.589984411383966 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0.060953063144230914 }, "total_drift": { "asDouble": -0.25 }, "market_vwap": { "asDouble": 3530.0125 }, "slippage_vwap": { "asDouble": -2353.0625 }, "slip_toler": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5883.065 }, "curr_cost_per_share": { "asDouble": 0.315 }, "impact_model": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 0.6474987195794899 }, "total_dollar": { "asDouble": 294153.75 }, "daily_vol_normal": { "asDouble": 61.58998441138397 }, "arrival_price": { "asDouble": 5883.375 }, "init_vol_normal": { "asDouble": 61.58998441138397 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.010000000000218279 }, "slippage": { "asDouble": 0.3000000000001819 }, "total_filled": { "asInt32": 50 }, "model_size": { "asDouble": 9 }, "init_half_min_move": { "asDouble": 0.6474987195794899 }, "seconds_spent": { "asDouble": 10.294 }, "last_aggressive_qty": { "asInt32": 1 }, "destination_price": { "asDouble": 5883.125 }, "curr_liq_cost": { "asDouble": 15.75 }, "total_sent": { "asInt32": 50 }, "avg_total": { "asDouble": 5883.075 }, "curr_opt_t_minutes": { "asDouble": 0.06095306314423091 }, "last_tactical_qty": { "asInt32": 9 }, "init_opt_t_minutes": { "asDouble": 0.22921633266873356 } } }

Fills Array

[{"Timestamp":"2024-10-30T04:22:19.286","Security":"SIM:ESZ4","Side":"Sell","LastShares":4.0,"LastPrice":5883.5,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:19.287","Security":"SIM:ESZ4","Side":"Sell","LastShares":1.0,"LastPrice":5883.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:19.287","Security":"SIM:ESZ4","Side":"Sell","LastShares":1.0,"LastPrice":5883.5,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:22:20.09","Security":"SIM:ESZ4","Side":"Sell","LastShares":1.0,"LastPrice":5883.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:20.432","Security":"SIM:ESZ4","Side":"Sell","LastShares":4.0,"LastPrice":5883.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:22.106","Security":"SIM:ESZ4","Side":"Sell","LastShares":2.0,"LastPrice":5883.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:23.115","Security":"SIM:ESZ4","Side":"Sell","LastShares":2.0,"LastPrice":5883.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:25.13","Security":"SIM:ESZ4","Side":"Sell","LastShares":4.0,"LastPrice":5883.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:26.149","Security":"SIM:ESZ4","Side":"Sell","LastShares":3.0,"LastPrice":5883.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:27.147","Security":"SIM:ESZ4","Side":"Sell","LastShares":7.0,"LastPrice":5883.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:27.147","Security":"SIM:ESZ4","Side":"Sell","LastShares":12.0,"LastPrice":5882.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:22:28.158","Security":"SIM:ESZ4","Side":"Sell","LastShares":9.0,"LastPrice":5883.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5883.375<br />avg_total: 5883.075<br />curr_cost_per_share: 0.315<br />curr_half_min_move: 0.64749871957949<br />curr_liq_cost: 15.75<br />curr_opt_t_minutes: 0.060953063144231<br />daily_vol_normal: 61.589984411384<br />destination_price: 5883.125<br />drift: -0.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.31<br />init_drift: 0<br />init_half_min_move: 0.64749871957949<br />init_liq_cost: 15.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.22921633266873<br />init_vol_normal: 61.589984411384<br />last_aggressive_qty: 1<br />last_tactical_qty: 9<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 9<br />n_kids: 10<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 10.294<br />slip_toler: 0<br />slippage: 0.30000000000018<br />slippage_sweep: -0.010000000000218<br />sweep_residual: 0<br />sweep_to_fill: 5883.065<br />total_dollar: 294153.75<br />total_drift: -0.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 61.589984411384<br />worst_opt_t_minutes: 0.060953063144231

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5883.375<br />avg_total: 5883.075<br />destination_price: 5883.125<br />market_vwap: 3530.0125<br />n_kids: 10<br />slippage: 0.30000000000018<br />slippage_vwap: -2353.0625<br />slippage_vwap_pct: -39.997152849488<br />total_dollar: 294153.75<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>2024-10-30T04:22:19.286</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>4</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:19.287</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>1</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:19.287</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>1</td>
<td>5883.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:22:20.09</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>1</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:20.432</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>4</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:22.106</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>2</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:23.115</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>2</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:25.13</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>4</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:26.149</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>3</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:27.147</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>7</td>
<td>5883</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:27.147</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>12</td>
<td>5882.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:28.158</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>9</td>
<td>5883</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>2024-10-30T04:22:19.286</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>4</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:19.287</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>1</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:19.287</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>1</td>
<td>5883.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:22:20.09</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>1</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:20.432</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>4</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:22.106</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>2</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:23.115</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>2</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:25.13</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>4</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:26.149</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>3</td>
<td>5883.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:27.147</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>7</td>
<td>5883</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:27.147</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>12</td>
<td>5882.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:22:28.158</td>
<td>SIM:ESZ4</td>
<td>Sell</td>
<td>9</td>
<td>5883</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5883.08

Computed VWAP Slippage

-2353.06

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.31

Computed Drift

-0.25

Computed Seconds Spent

10.29

Computed Volatility

61.59