SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:04

Buy / Sell

Sell

Quantity

50

Arrival Price

5292.0000

Average Total

5292.4400

Destination Price

5293.1250

Slippage

-0.4400

Slippage Sweep

-1.2159

Sweep to Fill

5291.2241

Algo Diagnostics

{ "customState": { "total_dollar": { "asDouble": 264622 }, "market_vwap": { "asDouble": 152318.69918699187 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 14 }, "init_min_duration": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.3698567594778111 }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.37054937948689576 }, "sweep_to_fill": { "asDouble": 5291.224137931034 }, "ready": { "asBool": true }, "init_opt_t_minutes": { "asDouble": 4.400498932043588 }, "daily_vol_normal": { "asDouble": 35.246603299953186 }, "last_aggressive_qty": { "asInt32": 1 }, "init_cost_per_share": { "asDouble": 0.7758620689655172 }, "drift": { "asDouble": -1.125 }, "arrival_price": { "asDouble": 5292 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -1.2158620689651798 }, "model_size": { "asDouble": 6 }, "init_drift": { "asDouble": -0 }, "total_sent": { "asInt32": 50 }, "avg_total": { "asDouble": 5292.44 }, "slip_toler": { "asDouble": 0 }, "total_drift": { "asDouble": -1.125 }, "init_liq_cost": { "asDouble": 22.5 }, "impact_model": { "asInt32": 2 }, "total_filled": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage": { "asDouble": -0.4399999999995998 }, "destination_price": { "asDouble": 5293.125 }, "total_vol": { "asDouble": 55.39918796694822 }, "sweep_residual": { "asDouble": 21 }, "slippage_vwap_pct": { "asDouble": 2778.043004493048 }, "curr_cost_per_share": { "asDouble": 0.8273809523809523 }, "seconds_spent": { "asDouble": 25.189 }, "init_vol_normal": { "asDouble": 35.18072138502023 }, "curr_liq_cost": { "asDouble": 17.375 }, "slippage_vwap": { "asDouble": 147026.25918699187 }, "last_tactical_qty": { "asInt32": 6 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:03:46.09","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:46.762","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:48.874","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:03:52.889","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:54.932","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:55.922","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:55.922","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:56.965","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:56.965","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:56.965","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:56.965","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:56.965","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:57.938","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:57.938","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:57.938","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:57.938","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:58.884","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:58.884","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:58.884","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:03:58.884","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:04:02.912","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:04:08.012","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:04:08.012","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:04:09.02","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:04:09.02","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:04:10.012","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:04:10.012","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5292<br />avg_total: 5292.44<br />curr_cost_per_share: 0.82738095238095<br />curr_half_min_move: 0.3705493794869<br />curr_liq_cost: 17.375<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 35.246603299953<br />destination_price: 5293.125<br />drift: -1.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.77586206896552<br />init_drift: 0<br />init_half_min_move: 0.36985675947781<br />init_liq_cost: 22.5<br />init_min_duration: 0<br />init_opt_t_minutes: 4.4004989320436<br />init_vol_normal: 35.18072138502<br />last_aggressive_qty: 1<br />last_tactical_qty: 6<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 6<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.189<br />slip_toler: 0<br />slippage: -0.4399999999996<br />slippage_sweep: -1.2158620689652<br />sweep_residual: 21<br />sweep_to_fill: 5291.224137931<br />total_dollar: 264622<br />total_drift: -1.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.399187966948<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292<br />avg_total: 5292.44<br />destination_price: 5293.125<br />market_vwap: 152318.69918699<br />n_kids: 14<br />slippage: -0.4399999999996<br />slippage_vwap: 147026.25918699<br />slippage_vwap_pct: 2778.043004493<br />total_dollar: 264622<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>2025-04-20T17:03:46.09</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:46.762</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:48.874</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:03:52.889</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:54.932</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:55.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:55.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:02.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:08.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:08.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:09.02</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:09.02</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:10.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:10.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.5</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>2025-04-20T17:03:46.09</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:46.762</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:48.874</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:03:52.889</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:54.932</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:55.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:55.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:56.965</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:57.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:03:58.884</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:02.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:08.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:08.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:09.02</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:09.02</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:10.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:04:10.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5292.44

Computed VWAP Slippage

147026.26

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.78

Computed Drift

-1.13

Computed Seconds Spent

25.19

Computed Volatility

35.25