SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:40

Buy / Sell

Sell

Quantity

50

Arrival Price

5286.7500

Average Total

5286.3200

Destination Price

5286.2500

Slippage

0.4300

Slippage Sweep

-0.3570

Sweep to Fill

5285.9630

Algo Diagnostics

{ "customState": { "sweep_to_fill": { "asDouble": 5285.962962962963 }, "avg_total": { "asDouble": 5286.32 }, "seconds_spent": { "asDouble": 45.108 }, "curr_half_min_move": { "asDouble": 0.41757708782877234 }, "init_liq_cost": { "asDouble": 21.25 }, "drift": { "asDouble": -0.5 }, "worst_opt_t_minutes": { "asDouble": 0.7182069508958838 }, "market_vwap": { "asDouble": 180298.33695652173 }, "curr_cost_per_share": { "asDouble": 0.7828947368421053 }, "last_tactical_qty": { "asInt32": 3 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "init_opt_t_minutes": { "asDouble": 3.5560932030471104 }, "model_size": { "asDouble": 3 }, "destination_price": { "asDouble": 5286.25 }, "last_aggressive_qty": { "asInt32": 8 }, "total_dollar": { "asDouble": 264316 }, "order_time_minutes": { "asDouble": 10 }, "slippage": { "asDouble": 0.43000000000029104 }, "slip_toler": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 39.719872105118306 }, "slippage_vwap": { "asDouble": 175012.01695652172 }, "sweep_residual": { "asDouble": 23 }, "init_cost_per_share": { "asDouble": 0.7870370370370371 }, "slippage_sweep": { "asDouble": -0.35703703703711653 }, "init_half_min_move": { "asDouble": 0.4173578656012383 }, "algo_status": { "asInt32": 4 }, "total_vol": { "asDouble": 55.34422845507625 }, "economic_model": { "asInt32": 0 }, "curr_liq_cost": { "asDouble": 29.75 }, "total_filled": { "asInt32": 50 }, "arrival_price": { "asDouble": 5286.75 }, "init_min_duration": { "asDouble": 0 }, "total_drift": { "asDouble": -0.5 }, "init_vol_normal": { "asDouble": 39.69901971859124 }, "init_drift": { "asDouble": -0 }, "slippage_vwap_pct": { "asDouble": 3310.658775036731 }, "total_sent": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 1.3943718158768228 }, "n_kids": { "asInt32": 22 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:39:31.196","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:32.34","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:36.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:36.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:37.588","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:37.588","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:38.27","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:40.852","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:45.822","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:48.322","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:48.322","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:59.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:00.665","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:00.665","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:03.157","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:03.678","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:08.688","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:08.688","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:08.688","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:09.52","Security":"SIM:ESM5","Side":"Sell","LastShares":8.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:09.612","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:09.612","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:13.538","Security":"SIM:ESM5","Side":"Sell","LastShares":8.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:13.538","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:40:15.512","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.75<br />avg_total: 5286.32<br />curr_cost_per_share: 0.78289473684211<br />curr_half_min_move: 0.41757708782877<br />curr_liq_cost: 29.75<br />curr_opt_t_minutes: 1.3943718158768<br />daily_vol_normal: 39.719872105118<br />destination_price: 5286.25<br />drift: -0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78703703703704<br />init_drift: 0<br />init_half_min_move: 0.41735786560124<br />init_liq_cost: 21.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5560932030471<br />init_vol_normal: 39.699019718591<br />last_aggressive_qty: 8<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 22<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 45.108<br />slip_toler: 0<br />slippage: 0.43000000000029<br />slippage_sweep: -0.35703703703712<br />sweep_residual: 23<br />sweep_to_fill: 5285.962962963<br />total_dollar: 264316<br />total_drift: -0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.344228455076<br />worst_opt_t_minutes: 0.71820695089588

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.75<br />avg_total: 5286.32<br />destination_price: 5286.25<br />market_vwap: 180298.33695652<br />n_kids: 22<br />slippage: 0.43000000000029<br />slippage_vwap: 175012.01695652<br />slippage_vwap_pct: 3310.6587750367<br />total_dollar: 264316<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>2025-04-20T17:39:31.196</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:32.34</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:37.588</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:37.588</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:38.27</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:40.852</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:45.822</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:48.322</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:48.322</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:59.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:00.665</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:00.665</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:03.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:03.678</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:08.688</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:08.688</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:08.688</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:09.52</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:09.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:09.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:13.538</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:13.538</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:40:15.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</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>2025-04-20T17:39:31.196</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:32.34</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:36.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:37.588</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:37.588</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:38.27</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:40.852</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:45.822</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:48.322</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:48.322</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:59.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:00.665</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:00.665</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:03.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:03.678</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:08.688</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:08.688</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:08.688</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:09.52</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:09.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:09.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:13.538</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:13.538</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:40:15.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.32

Computed VWAP Slippage

175012.02

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.79

Computed Drift

-0.50

Computed Seconds Spent

45.11

Computed Volatility

39.72