SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:08

Buy / Sell

Sell

Quantity

50

Arrival Price

5282.3750

Average Total

5282.2100

Destination Price

5286.8750

Slippage

0.1650

Slippage Sweep

-0.4373

Sweep to Fill

5281.7727

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.6022727272727273 }, "drift": { "asDouble": -4.5 }, "total_dollar": { "asDouble": 264110.5 }, "curr_opt_t_minutes": { "asDouble": 0 }, "market_vwap": { "asDouble": 104684.09336609337 }, "model_size": { "asDouble": 5 }, "init_half_min_move": { "asDouble": 0.3792994382706261 }, "economic_model": { "asInt32": 0 }, "total_drift": { "asDouble": -4.5 }, "sweep_residual": { "asDouble": 39 }, "last_aggressive_qty": { "asInt32": 3 }, "init_opt_t_minutes": { "asDouble": 2.5212853238800608 }, "slippage": { "asDouble": 0.16499999999996362 }, "ready": { "asBool": true }, "sweep_to_fill": { "asDouble": 5281.772727272727 }, "init_min_duration": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 36.182497168148544 }, "destination_price": { "asDouble": 5286.875 }, "seconds_spent": { "asDouble": 30.984 }, "init_vol_normal": { "asDouble": 36.078907623950364 }, "impact_model": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.4372727272730117 }, "total_sent": { "asInt32": 50 }, "init_drift": { "asDouble": -0 }, "n_kids": { "asInt32": 20 }, "curr_half_min_move": { "asDouble": 0.3803884805535747 }, "total_filled": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 6.625 }, "slip_toler": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.875 }, "total_vol": { "asDouble": 55.29842886184961 }, "last_tactical_qty": { "asInt32": 5 }, "arrival_price": { "asDouble": 5282.375 }, "curr_cost_per_share": { "asDouble": 0.925 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap": { "asDouble": 99401.88336609336 }, "slippage_vwap_pct": { "asDouble": 1881.8237700904235 }, "avg_total": { "asDouble": 5282.21 }, "algo_status": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:07:33.421","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:34.145","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:37.212","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:37.318","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:07:37.319","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:07:40.233","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:41.25","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:45.268","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:45.268","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:46.317","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:47.354","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:48.245","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5280.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:48.245","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5280.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:49.313","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:49.313","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:50.352","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:07:50.352","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:07:54.321","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:01.412","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:01.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:08:02.366","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:03.418","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:03.418","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:03.418","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5282.375<br />avg_total: 5282.21<br />curr_cost_per_share: 0.925<br />curr_half_min_move: 0.38038848055357<br />curr_liq_cost: 13.875<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 36.182497168149<br />destination_price: 5286.875<br />drift: -4.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.60227272727273<br />init_drift: 0<br />init_half_min_move: 0.37929943827063<br />init_liq_cost: 6.625<br />init_min_duration: 0<br />init_opt_t_minutes: 2.5212853238801<br />init_vol_normal: 36.07890762395<br />last_aggressive_qty: 3<br />last_tactical_qty: 5<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 30.984<br />slip_toler: 0<br />slippage: 0.16499999999996<br />slippage_sweep: -0.43727272727301<br />sweep_residual: 39<br />sweep_to_fill: 5281.7727272727<br />total_dollar: 264110.5<br />total_drift: -4.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.29842886185<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5282.375<br />avg_total: 5282.21<br />destination_price: 5286.875<br />market_vwap: 104684.09336609<br />n_kids: 20<br />slippage: 0.16499999999996<br />slippage_vwap: 99401.883366093<br />slippage_vwap_pct: 1881.8237700904<br />total_dollar: 264110.5<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>2025-04-20T17:07:33.421</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:34.145</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:37.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:37.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:07:37.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:07:40.233</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:41.25</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:45.268</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:45.268</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:46.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:47.354</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:48.245</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:48.245</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:49.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:49.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:50.352</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:50.352</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:07:54.321</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:02.366</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:03.418</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:03.418</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:03.418</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</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>2025-04-20T17:07:33.421</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:34.145</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:37.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:37.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:07:37.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:07:40.233</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:41.25</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:45.268</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:45.268</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:46.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:47.354</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:48.245</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:48.245</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:49.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:49.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:50.352</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:07:50.352</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:07:54.321</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:02.366</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:03.418</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:03.418</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:03.418</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5282.21

Computed VWAP Slippage

99401.88

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.60

Computed Drift

-4.50

Computed Seconds Spent

30.98

Computed Volatility

36.18