SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:22

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.8750

Average Total

5286.3050

Destination Price

5286.2500

Slippage

1.5700

Slippage Sweep

0.8907

Sweep to Fill

5287.1957

Algo Diagnostics

{ "customState": { "destination_price": { "asDouble": 5286.25 }, "last_aggressive_qty": { "asInt32": 3 }, "curr_opt_t_minutes": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.7785714285714286 }, "slippage_vwap_pct": { "asDouble": 2362.29929791983 }, "init_min_duration": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5287.195652173913 }, "init_opt_t_minutes": { "asDouble": 2.8615489128732117 }, "last_tactical_qty": { "asInt32": 2 }, "impact_model": { "asInt32": 2 }, "init_drift": { "asDouble": -0 }, "init_liq_cost": { "asDouble": 15.625 }, "seconds_spent": { "asDouble": 15.053 }, "drift": { "asDouble": -1.625 }, "avg_total": { "asDouble": 5286.305 }, "slip_toler": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.8906521739127129 }, "total_filled": { "asInt32": 50 }, "market_vwap": { "asDouble": 130164.6509009009 }, "order_time_minutes": { "asDouble": 10 }, "init_cost_per_share": { "asDouble": 0.6793478260869565 }, "curr_liq_cost": { "asDouble": 27.25 }, "init_half_min_move": { "asDouble": 0.40159805715162356 }, "slippage_vwap": { "asDouble": 124878.3459009009 }, "sweep_residual": { "asDouble": 27 }, "total_dollar": { "asDouble": 264315.25 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "slippage": { "asDouble": 1.569999999999709 }, "total_drift": { "asDouble": -1.625 }, "curr_half_min_move": { "asDouble": 0.40196351621587145 }, "daily_vol_normal": { "asDouble": 38.23471143504143 }, "n_kids": { "asInt32": 20 }, "init_vol_normal": { "asDouble": 38.19994902178964 }, "total_sent": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_vol": { "asDouble": 55.35600549333453 }, "model_size": { "asDouble": 5 }, "arrival_price": { "asDouble": 5287.875 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:22:07.612","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:07.777","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:10.312","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:11.362","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:11.362","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:13.377","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:13.377","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:14.319","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:14.417","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:14.417","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:15.499","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:15.499","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:16.455","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:16.455","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:17.827","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:18.339","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:18.339","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:19.342","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:19.342","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:20.358","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:20.358","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: 5287.875<br />avg_total: 5286.305<br />curr_cost_per_share: 0.77857142857143<br />curr_half_min_move: 0.40196351621587<br />curr_liq_cost: 27.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 38.234711435041<br />destination_price: 5286.25<br />drift: -1.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.67934782608696<br />init_drift: 0<br />init_half_min_move: 0.40159805715162<br />init_liq_cost: 15.625<br />init_min_duration: 0<br />init_opt_t_minutes: 2.8615489128732<br />init_vol_normal: 38.19994902179<br />last_aggressive_qty: 3<br />last_tactical_qty: 2<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: 15.053<br />slip_toler: 0<br />slippage: 1.5699999999997<br />slippage_sweep: 0.89065217391271<br />sweep_residual: 27<br />sweep_to_fill: 5287.1956521739<br />total_dollar: 264315.25<br />total_drift: -1.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.356005493335<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.875<br />avg_total: 5286.305<br />destination_price: 5286.25<br />market_vwap: 130164.6509009<br />n_kids: 20<br />slippage: 1.5699999999997<br />slippage_vwap: 124878.3459009<br />slippage_vwap_pct: 2362.2992979198<br />total_dollar: 264315.25<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>2025-04-20T17:22:07.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:07.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:10.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:11.362</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:11.362</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:13.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:13.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:14.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:14.417</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:14.417</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:15.499</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:15.499</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:16.455</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:16.455</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:17.827</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:18.339</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:18.339</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:19.342</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:19.342</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:20.358</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:20.358</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>2025-04-20T17:22:07.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:07.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:10.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:11.362</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:11.362</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:13.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:13.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:14.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:14.417</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:14.417</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:15.499</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:15.499</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:16.455</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:16.455</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:17.827</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:18.339</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:18.339</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:19.342</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:19.342</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:20.358</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:20.358</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.31

Computed VWAP Slippage

124878.35

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.68

Computed Drift

-1.63

Computed Seconds Spent

15.05

Computed Volatility

38.23