SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:00

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.2500

Average Total

5288.0650

Destination Price

5288.5000

Slippage

-0.8150

Slippage Sweep

-1.6105

Sweep to Fill

5286.4545

Algo Diagnostics

{ "customState": { "init_drift": { "asDouble": -0 }, "order_time_minutes": { "asDouble": 10 }, "arrival_price": { "asDouble": 5287.25 }, "destination_price": { "asDouble": 5288.5 }, "seconds_spent": { "asDouble": 6.719 }, "avg_total": { "asDouble": 5288.065 }, "total_drift": { "asDouble": -1.25 }, "slippage_vwap": { "asDouble": 107268.8730733945 }, "init_cost_per_share": { "asDouble": 0.7954545454545454 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 40.92388679227665 }, "drift": { "asDouble": -1.25 }, "n_kids": { "asInt32": 6 }, "model_size": { "asDouble": 1 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_vol": { "asDouble": 55.34946269430215 }, "curr_liq_cost": { "asDouble": 20.75 }, "ready": { "asBool": true }, "impact_model": { "asInt32": 2 }, "daily_vol_normal": { "asDouble": 40.96186513260584 }, "init_liq_cost": { "asDouble": 26.25 }, "sweep_to_fill": { "asDouble": 5286.454545454545 }, "total_filled": { "asInt32": 50 }, "slippage": { "asDouble": -0.8149999999995998 }, "market_vwap": { "asDouble": 112556.9380733945 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "sweep_residual": { "asDouble": 17 }, "curr_half_min_move": { "asDouble": 0.4306342253278393 }, "total_dollar": { "asDouble": 264403.25 }, "slippage_sweep": { "asDouble": -1.6104545454545587 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 2028.5089739516159 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.4302349570544354 }, "curr_cost_per_share": { "asDouble": 0.7980769230769231 }, "init_opt_t_minutes": { "asDouble": 3.4183721925634596 }, "total_sent": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:00:42.164","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:42.164","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:43.389","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:43.389","Security":"SIM:ESM5","Side":"Sell","LastShares":7.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:43.389","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:44.26","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:44.26","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:44.26","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:45.312","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:46.312","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:46.312","Security":"SIM:ESM5","Side":"Sell","LastShares":8.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:46.312","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:46.312","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:00:47.259","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5288.065<br />curr_cost_per_share: 0.79807692307692<br />curr_half_min_move: 0.43063422532784<br />curr_liq_cost: 20.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.961865132606<br />destination_price: 5288.5<br />drift: -1.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79545454545455<br />init_drift: 0<br />init_half_min_move: 0.43023495705444<br />init_liq_cost: 26.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.4183721925635<br />init_vol_normal: 40.923886792277<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 6<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6.719<br />slip_toler: 0<br />slippage: -0.8149999999996<br />slippage_sweep: -1.6104545454546<br />sweep_residual: 17<br />sweep_to_fill: 5286.4545454545<br />total_dollar: 264403.25<br />total_drift: -1.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.349462694302<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5288.065<br />destination_price: 5288.5<br />market_vwap: 112556.93807339<br />n_kids: 6<br />slippage: -0.8149999999996<br />slippage_vwap: 107268.87307339<br />slippage_vwap_pct: 2028.5089739516<br />total_dollar: 264403.25<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>2025-04-20T18:00:42.164</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:42.164</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:43.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:43.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:43.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:45.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:47.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</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>2025-04-20T18:00:42.164</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:42.164</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:43.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:43.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:43.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:45.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:46.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:00:47.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.07

Computed VWAP Slippage

107268.87

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.80

Computed Drift

-1.25

Computed Seconds Spent

6.72

Computed Volatility

40.96