SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:47

Buy / Sell

Sell

Quantity

50

Arrival Price

5283.2500

Average Total

5283.5450

Destination Price

5284.0000

Slippage

-0.2950

Slippage Sweep

-1.1450

Sweep to Fill

5282.4000

Algo Diagnostics

{ "customState": { "sweep_residual": { "asDouble": 15 }, "model_size": { "asDouble": 1 }, "arrival_price": { "asDouble": 5283.25 }, "total_vol": { "asDouble": 55.30758878049493 }, "total_drift": { "asDouble": -0.75 }, "last_aggressive_qty": { "asInt32": 2 }, "total_sent": { "asInt32": 50 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "init_half_min_move": { "asDouble": 0.42149545959222895 }, "n_kids": { "asInt32": 27 }, "curr_cost_per_share": { "asDouble": 0.8333333333333334 }, "init_liq_cost": { "asDouble": 29.75 }, "init_drift": { "asDouble": -0 }, "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 22.5 }, "slip_toler": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 2969.6670446674043 }, "curr_opt_t_minutes": { "asDouble": 0.6197215140956602 }, "economic_model": { "asInt32": 0 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 5284 }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0.32585253876166864 }, "impact_model": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 0.85 }, "total_dollar": { "asDouble": 264177.25 }, "market_vwap": { "asDouble": 162187.23965517242 }, "sweep_to_fill": { "asDouble": 5282.4 }, "slippage": { "asDouble": -0.29500000000007276 }, "ready": { "asBool": true }, "avg_total": { "asDouble": 5283.545 }, "slippage_vwap": { "asDouble": 156903.6946551724 }, "slippage_sweep": { "asDouble": -1.1450000000004366 }, "init_opt_t_minutes": { "asDouble": 4.066792837674057 }, "curr_half_min_move": { "asDouble": 0.4216244743777797 }, "init_vol_normal": { "asDouble": 40.092587059652935 }, "daily_vol_normal": { "asDouble": 40.104858927365775 }, "seconds_spent": { "asDouble": 50.389 }, "drift": { "asDouble": -0.75 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5283.25<br />avg_total: 5283.545<br />curr_cost_per_share: 0.83333333333333<br />curr_half_min_move: 0.42162447437778<br />curr_liq_cost: 22.5<br />curr_opt_t_minutes: 0.61972151409566<br />daily_vol_normal: 40.104858927366<br />destination_price: 5284<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.85<br />init_drift: 0<br />init_half_min_move: 0.42149545959223<br />init_liq_cost: 29.75<br />init_min_duration: 0<br />init_opt_t_minutes: 4.0667928376741<br />init_vol_normal: 40.092587059653<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 27<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 50.389<br />slip_toler: 0<br />slippage: -0.29500000000007<br />slippage_sweep: -1.1450000000004<br />sweep_residual: 15<br />sweep_to_fill: 5282.4<br />total_dollar: 264177.25<br />total_drift: -0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.307588780495<br />worst_opt_t_minutes: 0.32585253876167

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5283.25<br />avg_total: 5283.545<br />destination_price: 5284<br />market_vwap: 162187.23965517<br />n_kids: 27<br />slippage: -0.29500000000007<br />slippage_vwap: 156903.69465517<br />slippage_vwap_pct: 2969.6670446674<br />total_dollar: 264177.25<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>2025-04-20T17:46:29.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:32.274</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:37.854</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:40.004</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:40.004</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:40.54</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:40.54</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:47.877</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:47.877</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:49.155</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:49.155</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.284</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.643</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.643</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.643</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:51.883</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:51.883</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:53.276</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:53.276</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:53.276</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:47:18.373</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</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>2025-04-20T17:46:29.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:32.274</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:37.854</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:38.396</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:40.004</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:40.004</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:40.54</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:40.54</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:46.772</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:47.877</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:47.877</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:49.155</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:49.155</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.284</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.643</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.643</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:50.643</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:51.883</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:51.883</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:53.276</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:53.276</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:53.276</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:47:18.373</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5283.55

Computed VWAP Slippage

156903.69

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.85

Computed Drift

-0.75

Computed Seconds Spent

50.39

Computed Volatility

40.10