SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:14

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.2500

Average Total

5287.0900

Destination Price

5286.6250

Slippage

0.1600

Slippage Sweep

-0.5971

Sweep to Fill

5286.4929

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 37.66682113110301 }, "impact_model": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 0.39599325582084255 }, "curr_cost_per_share": { "asDouble": 0.6314102564102564 }, "n_kids": { "asInt32": 26 }, "init_drift": { "asDouble": -0 }, "total_drift": { "asDouble": -0.625 }, "curr_liq_cost": { "asDouble": 24.625 }, "total_dollar": { "asDouble": 264354.5 }, "total_vol": { "asDouble": 55.34946269430215 }, "destination_price": { "asDouble": 5286.625 }, "avg_total": { "asDouble": 5287.09 }, "total_sent": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 26.5 }, "drift": { "asDouble": -0.625 }, "sweep_residual": { "asDouble": 15 }, "ready": { "asBool": true }, "market_vwap": { "asDouble": 151322.22607260727 }, "model_size": { "asDouble": 1 }, "worst_opt_t_minutes": { "asDouble": 0.06237170225172941 }, "slippage_vwap_pct": { "asDouble": 2762.1080040742127 }, "init_vol_normal": { "asDouble": 37.6415091442504 }, "arrival_price": { "asDouble": 5287.25 }, "last_aggressive_qty": { "asInt32": 10 }, "order_time_minutes": { "asDouble": 10 }, "init_min_duration": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.39572714958240596 }, "curr_opt_t_minutes": { "asDouble": 0.13467794349537346 }, "init_opt_t_minutes": { "asDouble": 3.6606985352732893 }, "sweep_to_fill": { "asDouble": 5286.492857142857 }, "init_cost_per_share": { "asDouble": 0.7571428571428571 }, "algo_status": { "asInt32": 4 }, "slippage_sweep": { "asDouble": -0.5971428571428987 }, "last_tactical_qty": { "asInt32": 1 }, "slippage_vwap": { "asDouble": 146035.13607260727 }, "economic_model": { "asInt32": 0 }, "slippage": { "asDouble": 0.15999999999985448 }, "seconds_spent": { "asDouble": 44.926 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:14:08.589","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:10.212","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:10.966","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:10.966","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:13.231","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:13.231","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:13.231","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:14.118","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:15.118","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:16.426","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:16.426","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:17.112","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:30.831","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:30.831","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:31.719","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:36.02","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:36.768","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:36.768","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:36.768","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:38.232","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:38.232","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:46.326","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:47.002","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:14:48.839","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:14:49.686","Security":"SIM:ESM5","Side":"Sell","LastShares":10.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:49.736","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:50.51","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:14:50.51","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:14:52.031","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.09<br />curr_cost_per_share: 0.63141025641026<br />curr_half_min_move: 0.39599325582084<br />curr_liq_cost: 24.625<br />curr_opt_t_minutes: 0.13467794349537<br />daily_vol_normal: 37.666821131103<br />destination_price: 5286.625<br />drift: -0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.75714285714286<br />init_drift: 0<br />init_half_min_move: 0.39572714958241<br />init_liq_cost: 26.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.6606985352733<br />init_vol_normal: 37.64150914425<br />last_aggressive_qty: 10<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 44.926<br />slip_toler: 0<br />slippage: 0.15999999999985<br />slippage_sweep: -0.5971428571429<br />sweep_residual: 15<br />sweep_to_fill: 5286.4928571429<br />total_dollar: 264354.5<br />total_drift: -0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.349462694302<br />worst_opt_t_minutes: 0.062371702251729

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.09<br />destination_price: 5286.625<br />market_vwap: 151322.22607261<br />n_kids: 26<br />slippage: 0.15999999999985<br />slippage_vwap: 146035.13607261<br />slippage_vwap_pct: 2762.1080040742<br />total_dollar: 264354.5<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>2025-04-20T17:14:08.589</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:10.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:10.966</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:10.966</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:13.231</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:13.231</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:13.231</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:14.118</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:15.118</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:16.426</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:16.426</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:17.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:30.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:30.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:31.719</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.02</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.768</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.768</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.768</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:38.232</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:38.232</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:46.326</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:47.002</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:48.839</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:49.686</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>10</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:49.736</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:50.51</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:50.51</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:52.031</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</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>2025-04-20T17:14:08.589</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:10.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:10.966</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:10.966</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:13.231</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:13.231</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:13.231</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:14.118</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:15.118</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:16.426</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:16.426</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:17.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:30.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:30.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:31.719</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.02</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.768</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.768</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:36.768</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:38.232</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:38.232</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:46.326</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:47.002</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:48.839</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:49.686</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>10</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:49.736</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:50.51</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:50.51</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:52.031</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.09

Computed VWAP Slippage

146035.14

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.76

Computed Drift

-0.63

Computed Seconds Spent

44.93

Computed Volatility

37.67