SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:18

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.5000

Average Total

5288.0100

Destination Price

5289.1250

Slippage

-0.5100

Slippage Sweep

-1.1975

Sweep to Fill

5286.8125

Algo Diagnostics

{ "customState": { "sweep_residual": { "asDouble": 34 }, "economic_model": { "asInt32": 0 }, "slippage_vwap_pct": { "asDouble": 1957.621785184065 }, "n_kids": { "asInt32": 14 }, "seconds_spent": { "asDouble": 18.452 }, "curr_half_min_move": { "asDouble": 0.39929978260175514 }, "market_vwap": { "asDouble": 108807.24576271187 }, "slippage_vwap": { "asDouble": 103519.23576271188 }, "init_opt_t_minutes": { "asDouble": 2.9672349870418055 }, "model_size": { "asDouble": 1 }, "last_aggressive_qty": { "asInt32": 4 }, "impact_model": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -1.1975000000002183 }, "slip_toler": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "total_dollar": { "asDouble": 264400.5 }, "curr_liq_cost": { "asDouble": 16.125 }, "init_drift": { "asDouble": -0 }, "total_drift": { "asDouble": -1.625 }, "arrival_price": { "asDouble": 5287.5 }, "ready": { "asBool": true }, "algo_status": { "asInt32": 4 }, "daily_vol_normal": { "asDouble": 37.981337479528364 }, "avg_total": { "asDouble": 5288.01 }, "order_time_minutes": { "asDouble": 10 }, "init_half_min_move": { "asDouble": 0.3991137884613829 }, "last_tactical_qty": { "asInt32": 1 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "slippage": { "asDouble": -0.5100000000002183 }, "init_vol_normal": { "asDouble": 37.963645743838796 }, "init_liq_cost": { "asDouble": 11 }, "destination_price": { "asDouble": 5289.125 }, "total_vol": { "asDouble": 55.3520798139151 }, "init_cost_per_share": { "asDouble": 0.6875 }, "sweep_to_fill": { "asDouble": 5286.8125 }, "drift": { "asDouble": -1.625 }, "curr_cost_per_share": { "asDouble": 0.7010869565217391 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_sent": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:18:33.039","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:34.457","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:35.771","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:37.761","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:37.761","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.025","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.025","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.025","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.025","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.025","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.914","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:44.914","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:45.648","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:45.648","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:46.613","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:46.613","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:47.661","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:47.661","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:48.712","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:48.712","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:49.941","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.5<br />avg_total: 5288.01<br />curr_cost_per_share: 0.70108695652174<br />curr_half_min_move: 0.39929978260176<br />curr_liq_cost: 16.125<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 37.981337479528<br />destination_price: 5289.125<br />drift: -1.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.6875<br />init_drift: 0<br />init_half_min_move: 0.39911378846138<br />init_liq_cost: 11<br />init_min_duration: 0<br />init_opt_t_minutes: 2.9672349870418<br />init_vol_normal: 37.963645743839<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.452<br />slip_toler: 0<br />slippage: -0.51000000000022<br />slippage_sweep: -1.1975000000002<br />sweep_residual: 34<br />sweep_to_fill: 5286.8125<br />total_dollar: 264400.5<br />total_drift: -1.625<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: 5288.01<br />destination_price: 5289.125<br />market_vwap: 108807.24576271<br />n_kids: 14<br />slippage: -0.51000000000022<br />slippage_vwap: 103519.23576271<br />slippage_vwap_pct: 1957.6217851841<br />total_dollar: 264400.5<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>2025-04-20T17:18:33.039</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:34.457</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:35.771</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:37.761</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:37.761</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.914</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.914</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:45.648</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:45.648</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:46.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:46.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:47.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:47.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:48.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:48.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:49.941</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289</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>2025-04-20T17:18:33.039</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:34.457</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:35.771</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:37.761</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:37.761</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.025</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.914</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:44.914</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:45.648</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:45.648</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:46.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:46.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:47.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:47.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:48.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:48.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:49.941</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.01

Computed VWAP Slippage

103519.24

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.69

Computed Drift

-1.63

Computed Seconds Spent

18.45

Computed Volatility

37.98