SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:37

Buy / Sell

Sell

Quantity

50

Arrival Price

5284.3750

Average Total

5285.1000

Destination Price

5285.7500

Slippage

-0.7250

Slippage Sweep

-1.5071

Sweep to Fill

5283.5929

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 39.57182328541064 }, "sweep_residual": { "asDouble": 15 }, "arrival_price": { "asDouble": 5284.375 }, "seconds_spent": { "asDouble": 18.813 }, "sweep_to_fill": { "asDouble": 5283.592857142857 }, "algo_status": { "asInt32": 4 }, "init_drift": { "asDouble": -0 }, "market_vwap": { "asDouble": 124701.2074468085 }, "init_liq_cost": { "asDouble": 27.375 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.41602064286272605 }, "ready": { "asBool": true }, "curr_liq_cost": { "asDouble": 22.75 }, "slippage_vwap": { "asDouble": 119416.1074468085 }, "curr_half_min_move": { "asDouble": 0.41614718453769256 }, "avg_total": { "asDouble": 5285.1 }, "init_min_duration": { "asDouble": 0 }, "model_size": { "asDouble": 12 }, "order_time_minutes": { "asDouble": 10 }, "slippage": { "asDouble": -0.7250000000003638 }, "last_tactical_qty": { "asInt32": 12 }, "total_drift": { "asDouble": -1.375 }, "slip_toler": { "asDouble": 0 }, "destination_price": { "asDouble": 5285.75 }, "daily_vol_normal": { "asDouble": 39.58385991120295 }, "slippage_sweep": { "asDouble": -1.5071428571436627 }, "total_sent": { "asInt32": 50 }, "total_vol": { "asDouble": 55.319365818753205 }, "slippage_vwap_pct": { "asDouble": 2259.486243340873 }, "total_filled": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.5346173545493675 }, "worst_opt_t_minutes": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.8425925925925926 }, "n_kids": { "asInt32": 14 }, "init_cost_per_share": { "asDouble": 0.7821428571428571 }, "drift": { "asDouble": -1.375 }, "total_dollar": { "asDouble": 264255 }, "economic_model": { "asInt32": 0 }, "impact_model": { "asInt32": 2 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:36:47.212","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:49.494","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:52.247","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:53.442","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:36:56.188","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:36:56.229","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:57.258","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:57.258","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:57.258","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:57.258","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:58.388","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:59.342","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:00.347","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:03.117","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:03.117","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:03.541","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:04.309","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:04.309","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:04.309","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284.375<br />avg_total: 5285.1<br />curr_cost_per_share: 0.84259259259259<br />curr_half_min_move: 0.41614718453769<br />curr_liq_cost: 22.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.583859911203<br />destination_price: 5285.75<br />drift: -1.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78214285714286<br />init_drift: 0<br />init_half_min_move: 0.41602064286273<br />init_liq_cost: 27.375<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5346173545494<br />init_vol_normal: 39.571823285411<br />last_aggressive_qty: <br />last_tactical_qty: 12<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 12<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.813<br />slip_toler: 0<br />slippage: -0.72500000000036<br />slippage_sweep: -1.5071428571437<br />sweep_residual: 15<br />sweep_to_fill: 5283.5928571429<br />total_dollar: 264255<br />total_drift: -1.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.319365818753<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5284.375<br />avg_total: 5285.1<br />destination_price: 5285.75<br />market_vwap: 124701.20744681<br />n_kids: 14<br />slippage: -0.72500000000036<br />slippage_vwap: 119416.10744681<br />slippage_vwap_pct: 2259.4862433409<br />total_dollar: 264255<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>2025-04-20T17:36:47.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:49.494</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:52.247</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:53.442</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:56.188</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:56.229</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:58.388</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:59.342</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:00.347</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:03.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:03.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:03.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:04.309</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:04.309</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:04.309</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</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>2025-04-20T17:36:47.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:49.494</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:52.247</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:53.442</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:56.188</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:56.229</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:57.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:58.388</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:59.342</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:00.347</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:03.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:03.117</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:03.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:04.309</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:04.309</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:04.309</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.10

Computed VWAP Slippage

119416.11

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.78

Computed Drift

-1.38

Computed Seconds Spent

18.81

Computed Volatility

39.58