SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:10

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.2500

Average Total

5286.0500

Destination Price

5286.2500

Slippage

1.2000

Slippage Sweep

0.2375

Sweep to Fill

5286.2875

Algo Diagnostics

{ "customState": { "total_vol": { "asDouble": 55.34946269430215 }, "slippage_vwap_pct": { "asDouble": 1081.9049466279503 }, "daily_vol_normal": { "asDouble": 36.72576963314198 }, "slippage_sweep": { "asDouble": 0.2375000000001819 }, "curr_half_min_move": { "asDouble": 0.3860999323233372 }, "drift": { "asDouble": -1 }, "init_opt_t_minutes": { "asDouble": 6.243522019653036 }, "impact_model": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "ready": { "asBool": true }, "destination_price": { "asDouble": 5286.25 }, "n_kids": { "asInt32": 10 }, "init_min_duration": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5286.2875 }, "economic_model": { "asInt32": 0 }, "total_dollar": { "asDouble": 264302.5 }, "init_cost_per_share": { "asDouble": 0.9625 }, "market_vwap": { "asDouble": 62476.086431226766 }, "init_vol_normal": { "asDouble": 36.64013747991308 }, "total_filled": { "asInt32": 50 }, "slippage_vwap": { "asDouble": 57190.03643122676 }, "algo_status": { "asInt32": 4 }, "curr_liq_cost": { "asDouble": 32.25 }, "total_sent": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 38.5 }, "last_tactical_qty": { "asInt32": 2 }, "avg_total": { "asDouble": 5286.05 }, "init_half_min_move": { "asDouble": 0.38519967702857705 }, "curr_cost_per_share": { "asDouble": 0.9485294117647058 }, "total_drift": { "asDouble": -1 }, "model_size": { "asDouble": 2 }, "seconds_spent": { "asDouble": 34.837 }, "arrival_price": { "asDouble": 5287.25 }, "worst_opt_t_minutes": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 10 }, "slippage": { "asDouble": 1.199999999999818 }, "last_aggressive_qty": { "asInt32": 6 }, "init_drift": { "asDouble": -0 }, "order_time_minutes": { "asDouble": 10 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:09:28.979","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:31.022","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:32.002","Security":"SIM:ESM5","Side":"Sell","LastShares":21.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:32.59","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:32.59","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:09:33.012","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:33.012","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:09:34.035","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:34.035","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:10:00.222","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:01.212","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5286.05<br />curr_cost_per_share: 0.94852941176471<br />curr_half_min_move: 0.38609993232334<br />curr_liq_cost: 32.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 36.725769633142<br />destination_price: 5286.25<br />drift: -1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.9625<br />init_drift: 0<br />init_half_min_move: 0.38519967702858<br />init_liq_cost: 38.5<br />init_min_duration: 0<br />init_opt_t_minutes: 6.243522019653<br />init_vol_normal: 36.640137479913<br />last_aggressive_qty: 6<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 10<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 34.837<br />slip_toler: 0<br />slippage: 1.1999999999998<br />slippage_sweep: 0.23750000000018<br />sweep_residual: 10<br />sweep_to_fill: 5286.2875<br />total_dollar: 264302.5<br />total_drift: -1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.349462694302<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5286.05<br />destination_price: 5286.25<br />market_vwap: 62476.086431227<br />n_kids: 10<br />slippage: 1.1999999999998<br />slippage_vwap: 57190.036431227<br />slippage_vwap_pct: 1081.904946628<br />total_dollar: 264302.5<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>2025-04-20T17:09:28.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:31.022</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:32.002</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>21</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:32.59</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:32.59</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:09:33.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:33.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:09:34.035</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:34.035</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:00.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:01.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</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>2025-04-20T17:09:28.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:31.022</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:32.002</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>21</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:32.59</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:32.59</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:09:33.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:33.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:09:34.035</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:34.035</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:00.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:01.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.05

Computed VWAP Slippage

57190.04

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.96

Computed Drift

-1.00

Computed Seconds Spent

34.84

Computed Volatility

36.73