SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:13

Buy / Sell

Sell

Quantity

50

Arrival Price

5286.8750

Average Total

5287.1300

Destination Price

5288.2500

Slippage

-0.2550

Slippage Sweep

-0.8992

Sweep to Fill

5286.2308

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 3 }, "init_liq_cost": { "asDouble": 16.75 }, "slip_toler": { "asDouble": 0 }, "market_vwap": { "asDouble": 66384.40476190476 }, "slippage_vwap": { "asDouble": 61097.274761904766 }, "init_cost_per_share": { "asDouble": 0.6442307692307693 }, "arrival_price": { "asDouble": 5286.875 }, "total_dollar": { "asDouble": 264356.5 }, "total_sent": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.3941382609459379 }, "curr_liq_cost": { "asDouble": 30.25 }, "slippage": { "asDouble": -0.25500000000010914 }, "curr_half_min_move": { "asDouble": 0.3947402540270121 }, "n_kids": { "asInt32": 12 }, "daily_vol_normal": { "asDouble": 37.54763578198052 }, "last_tactical_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.8992307692305985 }, "slippage_vwap_pct": { "asDouble": 1155.5848780322171 }, "init_opt_t_minutes": { "asDouble": 2.6716879689509536 }, "drift": { "asDouble": -1.375 }, "destination_price": { "asDouble": 5288.25 }, "sweep_residual": { "asDouble": 24 }, "ready": { "asBool": true }, "init_vol_normal": { "asDouble": 37.49037428731192 }, "economic_model": { "asInt32": 0 }, "seconds_spent": { "asDouble": 28.501 }, "total_filled": { "asInt32": 50 }, "total_vol": { "asDouble": 55.34553701488272 }, "total_drift": { "asDouble": -1.375 }, "avg_total": { "asDouble": 5287.13 }, "impact_model": { "asInt32": 2 }, "curr_cost_per_share": { "asDouble": 0.75625 }, "init_drift": { "asDouble": -0 }, "algo_status": { "asInt32": 4 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "sweep_to_fill": { "asDouble": 5286.2307692307695 }, "last_aggressive_qty": { "asInt32": 8 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:12:46.83","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:48.821","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:49.826","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:50.115","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:12:50.115","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:13:03.889","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:04.06","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:04.06","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:08.664","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:08.943","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:08.943","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:12.151","Security":"SIM:ESM5","Side":"Sell","LastShares":8.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:12.158","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:13.112","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:13.112","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:14.012","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:13:14.012","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.875<br />avg_total: 5287.13<br />curr_cost_per_share: 0.75625<br />curr_half_min_move: 0.39474025402701<br />curr_liq_cost: 30.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 37.547635781981<br />destination_price: 5288.25<br />drift: -1.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.64423076923077<br />init_drift: 0<br />init_half_min_move: 0.39413826094594<br />init_liq_cost: 16.75<br />init_min_duration: 0<br />init_opt_t_minutes: 2.671687968951<br />init_vol_normal: 37.490374287312<br />last_aggressive_qty: 8<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 28.501<br />slip_toler: 0<br />slippage: -0.25500000000011<br />slippage_sweep: -0.8992307692306<br />sweep_residual: 24<br />sweep_to_fill: 5286.2307692308<br />total_dollar: 264356.5<br />total_drift: -1.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.345537014883<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.875<br />avg_total: 5287.13<br />destination_price: 5288.25<br />market_vwap: 66384.404761905<br />n_kids: 12<br />slippage: -0.25500000000011<br />slippage_vwap: 61097.274761905<br />slippage_vwap_pct: 1155.5848780322<br />total_dollar: 264356.5<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>2025-04-20T17:12:46.83</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:48.821</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:49.826</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:50.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:50.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:13:03.889</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:04.06</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:04.06</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:08.664</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:08.943</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:08.943</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:12.151</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:12.158</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:13.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:13.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:14.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:14.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</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>2025-04-20T17:12:46.83</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:48.821</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:49.826</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:50.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:50.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:13:03.889</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:04.06</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:04.06</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:08.664</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:08.943</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:08.943</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:12.151</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:12.158</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:13.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:13.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:14.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:13:14.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.13

Computed VWAP Slippage

61097.27

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.64

Computed Drift

-1.38

Computed Seconds Spent

28.50

Computed Volatility

37.55