SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:50

Buy / Sell

Sell

Quantity

50

Arrival Price

5284.5000

Average Total

5283.6250

Destination Price

5283.6250

Slippage

0.8750

Slippage Sweep

0.1250

Sweep to Fill

5283.7500

Algo Diagnostics

{ "customState": { "sweep_to_fill": { "asDouble": 5283.75 }, "avg_total": { "asDouble": 5283.625 }, "init_vol_normal": { "asDouble": 40.210662666971096 }, "ready": { "asBool": true }, "market_vwap": { "asDouble": 158003.3925925926 }, "init_min_duration": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 40.22970189956815 }, "slippage_vwap": { "asDouble": 152719.7675925926 }, "init_liq_cost": { "asDouble": 18.75 }, "total_vol": { "asDouble": 55.32067437855969 }, "drift": { "asDouble": -0.875 }, "init_drift": { "asDouble": -0 }, "last_tactical_qty": { "asInt32": 1 }, "total_dollar": { "asDouble": 264181.25 }, "last_aggressive_qty": { "asInt32": 6 }, "slippage": { "asDouble": 0.875 }, "init_half_min_move": { "asDouble": 0.4227367946125695 }, "curr_cost_per_share": { "asDouble": 0.8586956521739131 }, "worst_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 1 }, "init_opt_t_minutes": { "asDouble": 3.1476209459107767 }, "total_sent": { "asInt32": 50 }, "arrival_price": { "asDouble": 5284.5 }, "n_kids": { "asInt32": 30 }, "slippage_vwap_pct": { "asDouble": 2890.4354035835736 }, "order_time_minutes": { "asDouble": 10 }, "init_cost_per_share": { "asDouble": 0.75 }, "curr_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "seconds_spent": { "asDouble": 36.794 }, "slippage_sweep": { "asDouble": 0.125 }, "economic_model": { "asInt32": 0 }, "curr_liq_cost": { "asDouble": 39.5 }, "sweep_residual": { "asDouble": 25 }, "total_filled": { "asInt32": 50 }, "curr_half_min_move": { "asDouble": 0.42293695505823586 }, "total_drift": { "asDouble": -0.875 }, "destination_price": { "asDouble": 5283.625 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284.5<br />avg_total: 5283.625<br />curr_cost_per_share: 0.85869565217391<br />curr_half_min_move: 0.42293695505824<br />curr_liq_cost: 39.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.229701899568<br />destination_price: 5283.625<br />drift: -0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.75<br />init_drift: 0<br />init_half_min_move: 0.42273679461257<br />init_liq_cost: 18.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.1476209459108<br />init_vol_normal: 40.210662666971<br />last_aggressive_qty: 6<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 30<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 36.794<br />slip_toler: 0<br />slippage: 0.875<br />slippage_sweep: 0.125<br />sweep_residual: 25<br />sweep_to_fill: 5283.75<br />total_dollar: 264181.25<br />total_drift: -0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.32067437856<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5284.5<br />avg_total: 5283.625<br />destination_price: 5283.625<br />market_vwap: 158003.39259259<br />n_kids: 30<br />slippage: 0.875<br />slippage_vwap: 152719.76759259<br />slippage_vwap_pct: 2890.4354035836<br />total_dollar: 264181.25<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>2025-04-20T17:50:14.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:15.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:17.625</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:18.675</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:20.636</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:20.762</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:22.449</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:22.449</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:24.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:24.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:25.923</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:28.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:28.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:28.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:28.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:29.819</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:29.819</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:31.079</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:31.079</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:32.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:32.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:32.9</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:32.9</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:33.721</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:36.847</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:36.847</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:41.189</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:42.865</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:43.993</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:45.458</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:45.927</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:49.975</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</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>2025-04-20T17:50:14.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:15.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:17.625</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:18.675</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:20.636</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:20.762</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:22.449</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:22.449</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:24.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:24.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:25.923</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:28.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:28.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:28.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:28.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:29.819</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:29.819</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:31.079</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:31.079</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:32.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:32.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:32.9</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:32.9</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:33.721</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:50:36.847</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:36.847</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:41.189</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:42.865</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:43.993</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:45.458</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:45.927</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:49.975</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5283.63

Computed VWAP Slippage

152719.77

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.75

Computed Drift

-0.88

Computed Seconds Spent

36.79

Computed Volatility

40.23