SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:34

Buy / Sell

Sell

Quantity

50

Arrival Price

5286.7500

Average Total

5287.2250

Destination Price

5287.7500

Slippage

-0.4750

Slippage Sweep

-1.3321

Sweep to Fill

5285.8929

Algo Diagnostics

{ "customState": { "slippage_vwap": { "asDouble": 190610.82105263157 }, "total_drift": { "asDouble": -1 }, "last_tactical_qty": { "asInt32": 1 }, "sweep_to_fill": { "asDouble": 5285.892857142857 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 22 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "last_aggressive_qty": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 39.421478465407155 }, "curr_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 5 }, "init_half_min_move": { "asDouble": 0.41444005992577576 }, "slip_toler": { "asDouble": 0 }, "market_vwap": { "asDouble": 195898.04605263157 }, "total_filled": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.782608695652174 }, "init_min_duration": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 24 }, "seconds_spent": { "asDouble": 19.844 }, "avg_total": { "asDouble": 5287.225 }, "sweep_residual": { "asDouble": 22 }, "economic_model": { "asInt32": 0 }, "order_time_minutes": { "asDouble": 10 }, "total_dollar": { "asDouble": 264361.25 }, "curr_liq_cost": { "asDouble": 18 }, "arrival_price": { "asDouble": 5286.75 }, "slippage_vwap_pct": { "asDouble": 3605.120286211227 }, "curr_half_min_move": { "asDouble": 0.4147565942096765 }, "init_opt_t_minutes": { "asDouble": 4.277430532122119 }, "init_drift": { "asDouble": -0 }, "daily_vol_normal": { "asDouble": 39.45158716063944 }, "init_cost_per_share": { "asDouble": 0.8571428571428571 }, "worst_opt_t_minutes": { "asDouble": 0 }, "destination_price": { "asDouble": 5287.75 }, "slippage": { "asDouble": -0.4750000000003638 }, "total_vol": { "asDouble": 55.34422845507625 }, "impact_model": { "asInt32": 2 }, "drift": { "asDouble": -1 }, "slippage_sweep": { "asDouble": -1.3321428571434808 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:34:38.459","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:38.459","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:38.638","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:39.868","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:34:40.738","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:42.035","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:42.851","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:44.375","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:44.375","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:44.912","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:44.912","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:46.727","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:46.842","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:48.45","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:49.188","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:49.188","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:50.912","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:50.912","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:51.848","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:51.848","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:34:52.838","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:54.068","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:34:54.068","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.75<br />avg_total: 5287.225<br />curr_cost_per_share: 0.78260869565217<br />curr_half_min_move: 0.41475659420968<br />curr_liq_cost: 18<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.451587160639<br />destination_price: 5287.75<br />drift: -1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.85714285714286<br />init_drift: 0<br />init_half_min_move: 0.41444005992578<br />init_liq_cost: 24<br />init_min_duration: 0<br />init_opt_t_minutes: 4.2774305321221<br />init_vol_normal: 39.421478465407<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 22<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 19.844<br />slip_toler: 0<br />slippage: -0.47500000000036<br />slippage_sweep: -1.3321428571435<br />sweep_residual: 22<br />sweep_to_fill: 5285.8928571429<br />total_dollar: 264361.25<br />total_drift: -1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.344228455076<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.75<br />avg_total: 5287.225<br />destination_price: 5287.75<br />market_vwap: 195898.04605263<br />n_kids: 22<br />slippage: -0.47500000000036<br />slippage_vwap: 190610.82105263<br />slippage_vwap_pct: 3605.1202862112<br />total_dollar: 264361.25<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>2025-04-20T17:34:38.459</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:38.459</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:38.638</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:39.868</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:40.738</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:42.035</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:42.851</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.375</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.375</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:46.727</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:46.842</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:48.45</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:49.188</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:49.188</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:50.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:50.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:51.848</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:51.848</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:52.838</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:54.068</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:54.068</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</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>2025-04-20T17:34:38.459</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:38.459</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:38.638</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:39.868</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:40.738</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:42.035</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:42.851</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.375</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.375</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:46.727</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:46.842</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:48.45</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:49.188</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:49.188</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:50.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:50.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:51.848</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:51.848</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:52.838</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:54.068</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:54.068</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.23

Computed VWAP Slippage

190610.82

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.86

Computed Drift

-1.00

Computed Seconds Spent

19.84

Computed Volatility

39.45