SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:30

Buy / Sell

Sell

Quantity

50

Arrival Price

5289.2500

Average Total

5287.9050

Destination Price

5288.2500

Slippage

1.3450

Slippage Sweep

0.4867

Sweep to Fill

5288.3917

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.8583333333333333 }, "slippage_sweep": { "asDouble": 0.4866666666666788 }, "curr_cost_per_share": { "asDouble": 0.74 }, "curr_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 2 }, "curr_half_min_move": { "asDouble": 0.41092727916422916 }, "worst_opt_t_minutes": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 37 }, "slippage_vwap_pct": { "asDouble": 2157.410970371358 }, "total_drift": { "asDouble": -1 }, "sweep_residual": { "asDouble": 20 }, "init_drift": { "asDouble": -0 }, "slippage_vwap": { "asDouble": 114081.84257281554 }, "ready": { "asBool": true }, "last_tactical_qty": { "asInt32": 2 }, "total_dollar": { "asDouble": 264395.25 }, "avg_total": { "asDouble": 5287.905 }, "seconds_spent": { "asDouble": 15.472 }, "slippage": { "asDouble": 1.3450000000002547 }, "total_filled": { "asInt32": 50 }, "destination_price": { "asDouble": 5288.25 }, "arrival_price": { "asDouble": 5289.25 }, "economic_model": { "asInt32": 0 }, "sweep_to_fill": { "asDouble": 5288.391666666666 }, "impact_model": { "asInt32": 2 }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 39.087343268221325 }, "last_aggressive_qty": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 4.368150238923097 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.4106834437282604 }, "algo_status": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 39.064149676873356 }, "slip_toler": { "asDouble": 0 }, "market_vwap": { "asDouble": 119369.74757281554 }, "n_kids": { "asInt32": 16 }, "init_liq_cost": { "asDouble": 25.75 }, "drift": { "asDouble": -1 }, "total_vol": { "asDouble": 55.37039965120576 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:30:40.337","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:41.248","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:41.248","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:42.116","Security":"SIM:ESM5","Side":"Sell","LastShares":7.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:42.116","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:30:43.993","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:43.993","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:30:44.117","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:44.117","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:45.242","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:45.242","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:46.27","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:52.565","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:55.543","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:55.543","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:55.543","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:55.543","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:55.543","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5289.25<br />avg_total: 5287.905<br />curr_cost_per_share: 0.74<br />curr_half_min_move: 0.41092727916423<br />curr_liq_cost: 37<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.087343268221<br />destination_price: 5288.25<br />drift: -1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.85833333333333<br />init_drift: 0<br />init_half_min_move: 0.41068344372826<br />init_liq_cost: 25.75<br />init_min_duration: 0<br />init_opt_t_minutes: 4.3681502389231<br />init_vol_normal: 39.064149676873<br />last_aggressive_qty: 2<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 15.472<br />slip_toler: 0<br />slippage: 1.3450000000003<br />slippage_sweep: 0.48666666666668<br />sweep_residual: 20<br />sweep_to_fill: 5288.3916666667<br />total_dollar: 264395.25<br />total_drift: -1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.370399651206<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5289.25<br />avg_total: 5287.905<br />destination_price: 5288.25<br />market_vwap: 119369.74757282<br />n_kids: 16<br />slippage: 1.3450000000003<br />slippage_vwap: 114081.84257282<br />slippage_vwap_pct: 2157.4109703714<br />total_dollar: 264395.25<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>2025-04-20T17:30:40.337</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:41.248</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:41.248</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:42.116</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:42.116</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:43.993</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:43.993</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:44.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:44.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:45.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:45.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:46.27</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:52.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</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>2025-04-20T17:30:40.337</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:41.248</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:41.248</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:42.116</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:42.116</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:43.993</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:43.993</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:44.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:44.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:45.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:45.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:46.27</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:52.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:55.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.91

Computed VWAP Slippage

114081.84

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.86

Computed Drift

-1.00

Computed Seconds Spent

15.47

Computed Volatility

39.09