SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:26

Buy / Sell

Sell

Quantity

50

Arrival Price

5292.5000

Average Total

5292.5800

Destination Price

5291.1250

Slippage

-0.0800

Slippage Sweep

-0.8538

Sweep to Fill

5291.7262

Algo Diagnostics

{ "customState": { "n_kids": { "asInt32": 15 }, "avg_total": { "asDouble": 5292.58 }, "init_opt_t_minutes": { "asDouble": 3.6122075601512362 }, "slippage_vwap": { "asDouble": 77790.08162790697 }, "init_min_duration": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.4071437027183267 }, "slippage_sweep": { "asDouble": -0.8538095238091046 }, "slip_toler": { "asDouble": 0 }, "slippage": { "asDouble": -0.07999999999992724 }, "destination_price": { "asDouble": 5291.125 }, "sweep_residual": { "asDouble": 29 }, "arrival_price": { "asDouble": 5292.5 }, "model_size": { "asDouble": 1 }, "slippage_vwap_pct": { "asDouble": 1469.7951023490807 }, "curr_opt_t_minutes": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.728448275862069 }, "init_cost_per_share": { "asDouble": 0.7738095238095238 }, "init_vol_normal": { "asDouble": 38.72745002476634 }, "total_drift": { "asDouble": -1.375 }, "ready": { "asBool": true }, "economic_model": { "asInt32": 0 }, "algo_status": { "asInt32": 4 }, "total_filled": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 38.78509837227973 }, "curr_half_min_move": { "asDouble": 0.4077497628035423 }, "market_vwap": { "asDouble": 83082.66162790697 }, "init_drift": { "asDouble": -0 }, "total_vol": { "asDouble": 55.40442220617412 }, "init_liq_cost": { "asDouble": 16.25 }, "impact_model": { "asInt32": 2 }, "worst_opt_t_minutes": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "seconds_spent": { "asDouble": 39.219 }, "total_sent": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 21.125 }, "sweep_to_fill": { "asDouble": 5291.726190476191 }, "total_dollar": { "asDouble": 264629 }, "drift": { "asDouble": -1.375 }, "last_tactical_qty": { "asInt32": 1 }, "last_aggressive_qty": { "asInt32": 3 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:26:17.627","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:20.662","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:21.542","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:21.542","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:21.542","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:23.064","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:23.065","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:23.746","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:23.747","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:25.747","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:25.747","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:27.012","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:27.012","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:27.635","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:30.827","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:30.828","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:31.733","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:33.612","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:35.757","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:54.812","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:54.812","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:56.005","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5292.5<br />avg_total: 5292.58<br />curr_cost_per_share: 0.72844827586207<br />curr_half_min_move: 0.40774976280354<br />curr_liq_cost: 21.125<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 38.78509837228<br />destination_price: 5291.125<br />drift: -1.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.77380952380952<br />init_drift: 0<br />init_half_min_move: 0.40714370271833<br />init_liq_cost: 16.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.6122075601512<br />init_vol_normal: 38.727450024766<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 39.219<br />slip_toler: 0<br />slippage: -0.079999999999927<br />slippage_sweep: -0.8538095238091<br />sweep_residual: 29<br />sweep_to_fill: 5291.7261904762<br />total_dollar: 264629<br />total_drift: -1.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.404422206174<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292.5<br />avg_total: 5292.58<br />destination_price: 5291.125<br />market_vwap: 83082.661627907<br />n_kids: 15<br />slippage: -0.079999999999927<br />slippage_vwap: 77790.081627907<br />slippage_vwap_pct: 1469.7951023491<br />total_dollar: 264629<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>2025-04-20T17:26:17.627</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:20.662</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:21.542</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:21.542</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:21.542</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.064</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.065</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.746</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:25.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:25.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:27.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:27.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:27.635</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:30.827</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:30.828</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:31.733</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:33.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:35.757</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:56.005</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</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>2025-04-20T17:26:17.627</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:20.662</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:21.542</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:21.542</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:21.542</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.064</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.065</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.746</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:23.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:25.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:25.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:27.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:27.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:27.635</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:30.827</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:30.828</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:31.733</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:33.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:35.757</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:56.005</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5292.58

Computed VWAP Slippage

77790.08

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.77

Computed Drift

-1.38

Computed Seconds Spent

39.22

Computed Volatility

38.79