SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:06

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.5000

Average Total

5288.2400

Destination Price

5288.7500

Slippage

-0.7400

Slippage Sweep

-1.6210

Sweep to Fill

5286.6190

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "total_sent": { "asInt32": 50 }, "total_vol": { "asDouble": 55.3520798139151 }, "order_time_minutes": { "asDouble": 10 }, "drift": { "asDouble": -1.25 }, "init_half_min_move": { "asDouble": 0.3741209371651059 }, "curr_cost_per_share": { "asDouble": 0.6290322580645161 }, "init_opt_t_minutes": { "asDouble": 5.5447355807068295 }, "daily_vol_normal": { "asDouble": 35.73199505381746 }, "curr_half_min_move": { "asDouble": 0.37565232832062634 }, "ready": { "asBool": true }, "init_vol_normal": { "asDouble": 35.586329348937774 }, "init_cost_per_share": { "asDouble": 0.8809523809523809 }, "impact_model": { "asInt32": 2 }, "n_kids": { "asInt32": 14 }, "model_size": { "asDouble": 3 }, "sweep_residual": { "asDouble": 29 }, "init_min_duration": { "asDouble": 0 }, "slippage": { "asDouble": -0.7399999999997817 }, "market_vwap": { "asDouble": 94431.87169312169 }, "arrival_price": { "asDouble": 5287.5 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 18.121 }, "curr_liq_cost": { "asDouble": 19.5 }, "destination_price": { "asDouble": 5288.75 }, "total_dollar": { "asDouble": 264412 }, "init_liq_cost": { "asDouble": 18.5 }, "avg_total": { "asDouble": 5288.24 }, "last_tactical_qty": { "asInt32": 3 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_drift": { "asDouble": -1.25 }, "slippage_vwap": { "asDouble": 89143.63169312169 }, "slippage_vwap_pct": { "asDouble": 1685.6956509750255 }, "slippage_sweep": { "asDouble": -1.620952380952076 }, "algo_status": { "asInt32": 4 }, "sweep_to_fill": { "asDouble": 5286.619047619048 }, "init_drift": { "asDouble": -0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:05:48.521","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:50.485","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:52.579","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:52.58","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:52.58","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:54.573","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:56.545","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:56.545","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:57.589","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:58.617","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:58.617","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:58.617","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:59.645","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:59.645","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:00.612","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:00.612","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:01.669","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:02.791","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:02.791","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:03.639","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:03.639","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:04.698","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:06:05.701","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.5<br />avg_total: 5288.24<br />curr_cost_per_share: 0.62903225806452<br />curr_half_min_move: 0.37565232832063<br />curr_liq_cost: 19.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 35.731995053817<br />destination_price: 5288.75<br />drift: -1.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.88095238095238<br />init_drift: 0<br />init_half_min_move: 0.37412093716511<br />init_liq_cost: 18.5<br />init_min_duration: 0<br />init_opt_t_minutes: 5.5447355807068<br />init_vol_normal: 35.586329348938<br />last_aggressive_qty: <br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.121<br />slip_toler: 0<br />slippage: -0.73999999999978<br />slippage_sweep: -1.6209523809521<br />sweep_residual: 29<br />sweep_to_fill: 5286.619047619<br />total_dollar: 264412<br />total_drift: -1.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.352079813915<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.5<br />avg_total: 5288.24<br />destination_price: 5288.75<br />market_vwap: 94431.871693122<br />n_kids: 14<br />slippage: -0.73999999999978<br />slippage_vwap: 89143.631693122<br />slippage_vwap_pct: 1685.695650975<br />total_dollar: 264412<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>2025-04-20T17:05:48.521</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:50.485</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:52.579</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:52.58</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:52.58</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:54.573</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:56.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:56.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:57.589</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:58.617</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:58.617</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:58.617</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:59.645</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:59.645</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:00.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:00.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:01.669</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:02.791</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:02.791</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:03.639</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:03.639</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:04.698</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:05.701</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.5</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>2025-04-20T17:05:48.521</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:50.485</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:52.579</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:52.58</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:52.58</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:54.573</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:56.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:56.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:57.589</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:58.617</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:58.617</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:58.617</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:59.645</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:59.645</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:00.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:00.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:01.669</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:02.791</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:02.791</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:03.639</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:03.639</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:04.698</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:06:05.701</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.24

Computed VWAP Slippage

89143.63

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.88

Computed Drift

-1.25

Computed Seconds Spent

18.12

Computed Volatility

35.73