SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:03

Buy / Sell

Sell

Quantity

50

Arrival Price

5288.7500

Average Total

5288.9700

Destination Price

5289.3750

Slippage

-0.2200

Slippage Sweep

-0.9786

Sweep to Fill

5287.9914

Algo Diagnostics

{ "customState": { "slippage_vwap_pct": { "asDouble": 3849.332820755036 }, "n_kids": { "asInt32": 27 }, "slippage": { "asDouble": -0.22000000000025466 }, "init_cost_per_share": { "asDouble": 0.7586206896551724 }, "daily_vol_normal": { "asDouble": 41.12573280563427 }, "algo_status": { "asInt32": 4 }, "model_size": { "asDouble": 7 }, "init_half_min_move": { "asDouble": 0.43227907936824955 }, "total_sent": { "asInt32": 50 }, "total_vol": { "asDouble": 55.36516541197985 }, "last_tactical_qty": { "asInt32": 3 }, "order_time_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": -0 }, "destination_price": { "asDouble": 5289.375 }, "seconds_spent": { "asDouble": 29.797 }, "worst_opt_t_minutes": { "asDouble": 0.19989989291630422 }, "curr_cost_per_share": { "asDouble": 0.6838235294117647 }, "ready": { "asBool": true }, "curr_opt_t_minutes": { "asDouble": 0.3622917678111876 }, "total_drift": { "asDouble": -0.625 }, "last_aggressive_qty": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.4323569747241969 }, "init_liq_cost": { "asDouble": 22 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 21 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 3.0797887632277465 }, "arrival_price": { "asDouble": 5288.75 }, "slippage_vwap": { "asDouble": 203590.05808988764 }, "drift": { "asDouble": -0.625 }, "init_min_duration": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 23.25 }, "slippage_sweep": { "asDouble": -0.9786206896551448 }, "avg_total": { "asDouble": 5288.97 }, "total_filled": { "asInt32": 50 }, "market_vwap": { "asDouble": 208879.02808988764 }, "init_vol_normal": { "asDouble": 41.118323410660295 }, "sweep_to_fill": { "asDouble": 5287.991379310345 }, "total_dollar": { "asDouble": 264448.5 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:03:16.173","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:18.057","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:18.292","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:18.308","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:03:19.506","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:22.564","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:24.273","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:24.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:25.792","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:26.461","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:27.468","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:28.612","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:29.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:32.186","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:33.432","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:33.432","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:35.616","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:35.616","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:38.788","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:38.789","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:38.789","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:39.712","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:39.712","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:41.913","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:41.913","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:41.913","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:41.913","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5289.25,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288.75<br />avg_total: 5288.97<br />curr_cost_per_share: 0.68382352941176<br />curr_half_min_move: 0.4323569747242<br />curr_liq_cost: 23.25<br />curr_opt_t_minutes: 0.36229176781119<br />daily_vol_normal: 41.125732805634<br />destination_price: 5289.375<br />drift: -0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.75862068965517<br />init_drift: 0<br />init_half_min_move: 0.43227907936825<br />init_liq_cost: 22<br />init_min_duration: 0<br />init_opt_t_minutes: 3.0797887632277<br />init_vol_normal: 41.11832341066<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 7<br />n_kids: 27<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 29.797<br />slip_toler: 0<br />slippage: -0.22000000000025<br />slippage_sweep: -0.97862068965514<br />sweep_residual: 21<br />sweep_to_fill: 5287.9913793103<br />total_dollar: 264448.5<br />total_drift: -0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.36516541198<br />worst_opt_t_minutes: 0.1998998929163

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.75<br />avg_total: 5288.97<br />destination_price: 5289.375<br />market_vwap: 208879.02808989<br />n_kids: 27<br />slippage: -0.22000000000025<br />slippage_vwap: 203590.05808989<br />slippage_vwap_pct: 3849.332820755<br />total_dollar: 264448.5<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>2025-04-20T18:03:16.173</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:18.057</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:18.292</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:18.308</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:19.506</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:22.564</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:24.273</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:24.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:25.792</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:26.461</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:27.468</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:28.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:29.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:32.186</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:33.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:33.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:35.616</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:35.616</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:38.788</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:38.789</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:38.789</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:39.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:39.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289.25</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>2025-04-20T18:03:16.173</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:18.057</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:18.292</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:18.308</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:03:19.506</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:22.564</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:24.273</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:24.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:25.792</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:26.461</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:27.468</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:28.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:29.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:32.186</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:33.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:33.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:35.616</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:35.616</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:38.788</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:38.789</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:38.789</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:39.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:39.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:41.913</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.97

Computed VWAP Slippage

203590.06

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.76

Computed Drift

-0.63

Computed Seconds Spent

29.80

Computed Volatility

41.13