SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:53

Buy / Sell

Sell

Quantity

50

Arrival Price

5284.5000

Average Total

5285.4450

Destination Price

5286.1250

Slippage

-0.9450

Slippage Sweep

-1.7608

Sweep to Fill

5283.6842

Algo Diagnostics

{ "customState": { "slippage": { "asDouble": -0.944999999999709 }, "curr_half_min_move": { "asDouble": 0.42594214903532707 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 55.32067437855969 }, "curr_cost_per_share": { "asDouble": 0.7666666666666667 }, "arrival_price": { "asDouble": 5284.5 }, "init_vol_normal": { "asDouble": 40.51382014308856 }, "last_tactical_qty": { "asInt32": 10 }, "destination_price": { "asDouble": 5286.125 }, "ready": { "asBool": true }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_cost_per_share": { "asDouble": 0.8157894736842105 }, "algo_status": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 3.668530746983419 }, "slippage_vwap": { "asDouble": 69508.14220930231 }, "seconds_spent": { "asDouble": 5.459 }, "slippage_vwap_pct": { "asDouble": 1315.0859049579046 }, "last_aggressive_qty": { "asInt32": 4 }, "total_drift": { "asDouble": -1.625 }, "slip_toler": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "total_dollar": { "asDouble": 264272.25 }, "init_liq_cost": { "asDouble": 31 }, "init_drift": { "asDouble": -0 }, "sweep_to_fill": { "asDouble": 5283.684210526316 }, "sweep_residual": { "asDouble": 12 }, "slippage_sweep": { "asDouble": -1.7607894736838716 }, "model_size": { "asDouble": 10 }, "avg_total": { "asDouble": 5285.445 }, "init_half_min_move": { "asDouble": 0.42592390497625915 }, "drift": { "asDouble": -1.625 }, "daily_vol_normal": { "asDouble": 40.51555551534431 }, "curr_liq_cost": { "asDouble": 23 }, "impact_model": { "asInt32": 2 }, "market_vwap": { "asDouble": 74793.58720930232 }, "n_kids": { "asInt32": 6 }, "total_filled": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:53:48.417","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:49.355","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:49.355","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:50.478","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:50.478","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:50.478","Security":"SIM:ESM5","Side":"Sell","LastShares":10.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:51.979","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:51.979","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:51.979","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:51.979","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:52.64","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:52.641","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:52.641","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284.5<br />avg_total: 5285.445<br />curr_cost_per_share: 0.76666666666667<br />curr_half_min_move: 0.42594214903533<br />curr_liq_cost: 23<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.515555515344<br />destination_price: 5286.125<br />drift: -1.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.81578947368421<br />init_drift: 0<br />init_half_min_move: 0.42592390497626<br />init_liq_cost: 31<br />init_min_duration: 0<br />init_opt_t_minutes: 3.6685307469834<br />init_vol_normal: 40.513820143089<br />last_aggressive_qty: 4<br />last_tactical_qty: 10<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 10<br />n_kids: 6<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 5.459<br />slip_toler: 0<br />slippage: -0.94499999999971<br />slippage_sweep: -1.7607894736839<br />sweep_residual: 12<br />sweep_to_fill: 5283.6842105263<br />total_dollar: 264272.25<br />total_drift: -1.625<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: 5285.445<br />destination_price: 5286.125<br />market_vwap: 74793.587209302<br />n_kids: 6<br />slippage: -0.94499999999971<br />slippage_vwap: 69508.142209302<br />slippage_vwap_pct: 1315.0859049579<br />total_dollar: 264272.25<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>2025-04-20T17:53:48.417</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:49.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:49.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:50.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:50.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:50.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>10</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:52.64</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:52.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:52.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</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>2025-04-20T17:53:48.417</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:49.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:49.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:50.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:50.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:50.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>10</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:51.979</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:52.64</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:52.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:52.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.45

Computed VWAP Slippage

69508.14

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.82

Computed Drift

-1.63

Computed Seconds Spent

5.46

Computed Volatility

40.52