SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:23

Buy / Sell

Sell

Quantity

50

Arrival Price

5286.8750

Average Total

5285.3250

Destination Price

5284.6250

Slippage

1.5500

Slippage Sweep

0.7083

Sweep to Fill

5286.0333

Algo Diagnostics

{ "customState": { "total_sent": { "asInt32": 50 }, "slippage": { "asDouble": 1.550000000000182 }, "total_vol": { "asDouble": 55.34553701488272 }, "init_liq_cost": { "asDouble": 25.25 }, "order_time_minutes": { "asDouble": 10 }, "slippage_sweep": { "asDouble": 0.7083333333339397 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 20 }, "drift": { "asDouble": -2.25 }, "destination_price": { "asDouble": 5284.625 }, "total_filled": { "asInt32": 50 }, "total_drift": { "asDouble": -2.25 }, "market_vwap": { "asDouble": 146074.19623655913 }, "avg_total": { "asDouble": 5285.325 }, "model_size": { "asDouble": 10 }, "curr_cost_per_share": { "asDouble": 0.8541666666666666 }, "worst_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 17 }, "init_half_min_move": { "asDouble": 0.4027074273849498 }, "ready": { "asBool": true }, "last_aggressive_qty": { "asInt32": 6 }, "init_min_duration": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_liq_cost": { "asDouble": 30.75 }, "last_tactical_qty": { "asInt32": 4 }, "arrival_price": { "asDouble": 5286.875 }, "seconds_spent": { "asDouble": 17.804 }, "curr_half_min_move": { "asDouble": 0.40366920829685266 }, "slippage_vwap": { "asDouble": 140788.87123655912 }, "slippage_vwap_pct": { "asDouble": 2663.7694226288663 }, "init_vol_normal": { "asDouble": 38.30547215768309 }, "init_drift": { "asDouble": -0 }, "impact_model": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "init_cost_per_share": { "asDouble": 0.8416666666666667 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 4.368184527149844 }, "sweep_to_fill": { "asDouble": 5286.033333333334 }, "daily_vol_normal": { "asDouble": 38.396956618702156 }, "total_dollar": { "asDouble": 264266.25 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:23:21.892","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:25.533","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:27.512","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:27.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:29.184","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:29.881","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:29.881","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:23:30.963","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:30.963","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:31.963","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:31.963","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:23:33.985","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:33.985","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:23:34.844","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:34.844","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:35.544","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:35.544","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:36.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:36.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:37.612","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:37.763","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:23:37.763","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.5,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.875<br />avg_total: 5285.325<br />curr_cost_per_share: 0.85416666666667<br />curr_half_min_move: 0.40366920829685<br />curr_liq_cost: 30.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 38.396956618702<br />destination_price: 5284.625<br />drift: -2.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.84166666666667<br />init_drift: 0<br />init_half_min_move: 0.40270742738495<br />init_liq_cost: 25.25<br />init_min_duration: 0<br />init_opt_t_minutes: 4.3681845271498<br />init_vol_normal: 38.305472157683<br />last_aggressive_qty: 6<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 10<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 17.804<br />slip_toler: 0<br />slippage: 1.5500000000002<br />slippage_sweep: 0.70833333333394<br />sweep_residual: 20<br />sweep_to_fill: 5286.0333333333<br />total_dollar: 264266.25<br />total_drift: -2.25<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: 5285.325<br />destination_price: 5284.625<br />market_vwap: 146074.19623656<br />n_kids: 17<br />slippage: 1.5500000000002<br />slippage_vwap: 140788.87123656<br />slippage_vwap_pct: 2663.7694226289<br />total_dollar: 264266.25<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>2025-04-20T17:23:21.892</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:25.533</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:27.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:27.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:29.184</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:29.881</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:29.881</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:30.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:30.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:31.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:31.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:33.985</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:33.985</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:34.844</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:34.844</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:35.544</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:35.544</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:37.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:37.763</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:37.763</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Passive</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>2025-04-20T17:23:21.892</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:25.533</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:27.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:27.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:29.184</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:29.881</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:29.881</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:30.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:30.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:31.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:31.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:33.985</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:33.985</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:23:34.844</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:34.844</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:35.544</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:35.544</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:37.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:37.763</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:23:37.763</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5285.33

Computed VWAP Slippage

140788.87

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.84

Computed Drift

-2.25

Computed Seconds Spent

17.80

Computed Volatility

38.40