SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:44

Buy / Sell

Sell

Quantity

50

Arrival Price

5281.7500

Average Total

5281.5450

Destination Price

5281.0000

Slippage

0.2050

Slippage Sweep

-0.6320

Sweep to Fill

5280.9130

Algo Diagnostics

{ "customState": { "avg_total": { "asDouble": 5281.545 }, "daily_vol_normal": { "asDouble": 40.01429947092105 }, "arrival_price": { "asDouble": 5281.75 }, "init_drift": { "asDouble": -0 }, "total_filled": { "asInt32": 50 }, "slippage_vwap": { "asDouble": 142955.6613679245 }, "seconds_spent": { "asDouble": 58.378 }, "total_drift": { "asDouble": -0.75 }, "slippage_sweep": { "asDouble": -0.6319565217390846 }, "init_vol_normal": { "asDouble": 39.96291887095912 }, "init_half_min_move": { "asDouble": 0.4201322511590423 }, "slippage_vwap_pct": { "asDouble": 2706.701568725146 }, "slippage": { "asDouble": 0.20499999999992724 }, "last_tactical_qty": { "asInt32": 1 }, "sweep_to_fill": { "asDouble": 5280.913043478261 }, "total_dollar": { "asDouble": 264077.25 }, "curr_liq_cost": { "asDouble": 43 }, "destination_price": { "asDouble": 5281 }, "init_cost_per_share": { "asDouble": 0.8369565217391305 }, "n_kids": { "asInt32": 21 }, "drift": { "asDouble": -0.75 }, "init_liq_cost": { "asDouble": 19.25 }, "order_time_minutes": { "asDouble": 10 }, "worst_opt_t_minutes": { "asDouble": 0.40578342064576806 }, "economic_model": { "asInt32": 0 }, "init_opt_t_minutes": { "asDouble": 3.9685673348129185 }, "curr_cost_per_share": { "asDouble": 0.86 }, "algo_status": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.4206724180872291 }, "ready": { "asBool": true }, "market_vwap": { "asDouble": 148237.20636792452 }, "last_aggressive_qty": { "asInt32": 3 }, "slip_toler": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 0.774794753810315 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "sweep_residual": { "asDouble": 27 }, "total_vol": { "asDouble": 55.29188606281723 }, "model_size": { "asDouble": 1 }, "impact_model": { "asInt32": 2 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:43:11.097","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:11.097","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:11.775","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:11.775","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:16.742","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:16.742","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:18.112","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:18.85","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:18.85","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:20.317","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:20.317","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:21.145","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:22.012","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:22.012","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:43:22.835","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:22.836","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:43:44.352","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:45.182","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:45.182","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:03.477","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5280.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:03.477","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5280.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:03.477","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5280.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:04.53","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5280.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:05.312","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5280.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:06.354","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5280.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5281.75<br />avg_total: 5281.545<br />curr_cost_per_share: 0.86<br />curr_half_min_move: 0.42067241808723<br />curr_liq_cost: 43<br />curr_opt_t_minutes: 0.77479475381032<br />daily_vol_normal: 40.014299470921<br />destination_price: 5281<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83695652173913<br />init_drift: 0<br />init_half_min_move: 0.42013225115904<br />init_liq_cost: 19.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.9685673348129<br />init_vol_normal: 39.962918870959<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: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 58.378<br />slip_toler: 0<br />slippage: 0.20499999999993<br />slippage_sweep: -0.63195652173908<br />sweep_residual: 27<br />sweep_to_fill: 5280.9130434783<br />total_dollar: 264077.25<br />total_drift: -0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.291886062817<br />worst_opt_t_minutes: 0.40578342064577

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5281.75<br />avg_total: 5281.545<br />destination_price: 5281<br />market_vwap: 148237.20636792<br />n_kids: 21<br />slippage: 0.20499999999993<br />slippage_vwap: 142955.66136792<br />slippage_vwap_pct: 2706.7015687251<br />total_dollar: 264077.25<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>2025-04-20T17:43:11.097</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:11.097</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:11.775</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:11.775</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:16.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:16.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:18.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:18.85</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:18.85</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:20.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:20.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:21.145</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:22.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:22.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:22.835</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:22.836</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:44.352</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:45.182</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:45.182</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5280.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5280.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:04.53</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:05.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:06.354</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5280.75</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>2025-04-20T17:43:11.097</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:11.097</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:11.775</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:11.775</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:16.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:16.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:18.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:18.85</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:18.85</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:20.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:20.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:21.145</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:22.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:22.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:22.835</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:22.836</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:44.352</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:45.182</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:45.182</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5280.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5280.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:04.53</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:05.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:06.354</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5281.55

Computed VWAP Slippage

142955.66

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.84

Computed Drift

-0.75

Computed Seconds Spent

58.38

Computed Volatility

40.01