SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:11

Buy / Sell

Sell

Quantity

50

Arrival Price

5291.0000

Average Total

5290.0350

Destination Price

5290.2500

Slippage

0.9650

Slippage Sweep

0.1745

Sweep to Fill

5290.2095

Algo Diagnostics

{ "customState": { "total_sent": { "asInt32": 50 }, "slippage_vwap": { "asDouble": 185870.86066115703 }, "slippage_vwap_pct": { "asDouble": 3513.6036086936483 }, "impact_model": { "asInt32": 2 }, "total_dollar": { "asDouble": 264501.75 }, "curr_cost_per_share": { "asDouble": 0.8546511627906976 }, "init_opt_t_minutes": { "asDouble": 3.2905113114177102 }, "n_kids": { "asInt32": 17 }, "init_drift": { "asDouble": -0 }, "slippage_sweep": { "asDouble": 0.17445945945928543 }, "slippage": { "asDouble": 0.9650000000001455 }, "order_time_minutes": { "asDouble": 10 }, "economic_model": { "asInt32": 0 }, "daily_vol_normal": { "asDouble": 41.49837746028577 }, "curr_liq_cost": { "asDouble": 36.75 }, "drift": { "asDouble": -0.75 }, "curr_opt_t_minutes": { "asDouble": 0.6916210468649006 }, "last_tactical_qty": { "asInt32": 1 }, "total_vol": { "asDouble": 55.38871948849641 }, "init_min_duration": { "asDouble": 0 }, "seconds_spent": { "asDouble": 36.249 }, "curr_half_min_move": { "asDouble": 0.4362746074213141 }, "worst_opt_t_minutes": { "asDouble": 0.38822883099539995 }, "market_vwap": { "asDouble": 191160.89566115703 }, "last_aggressive_qty": { "asInt32": 3 }, "ready": { "asBool": true }, "algo_status": { "asInt32": 4 }, "init_cost_per_share": { "asDouble": 0.7905405405405406 }, "sweep_to_fill": { "asDouble": 5290.209459459459 }, "destination_price": { "asDouble": 5290.25 }, "init_half_min_move": { "asDouble": 0.43580524455857916 }, "total_filled": { "asInt32": 50 }, "init_vol_normal": { "asDouble": 41.45373173277312 }, "avg_total": { "asDouble": 5290.035 }, "model_size": { "asDouble": 4 }, "arrival_price": { "asDouble": 5291 }, "init_liq_cost": { "asDouble": 29.25 }, "sweep_residual": { "asDouble": 13 }, "total_drift": { "asDouble": -0.75 }, "slip_toler": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:10:55.754","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:57.753","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:00.054","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:00.054","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:02.812","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:03.212","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:04.512","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:04.512","Security":"SIM:ESM5","Side":"Sell","LastShares":8.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:04.512","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:05.166","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:23.322","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:24.346","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:24.346","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:27.36","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:27.36","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:28.323","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:28.323","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5290.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:11:29.36","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:11:29.36","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5291<br />avg_total: 5290.035<br />curr_cost_per_share: 0.8546511627907<br />curr_half_min_move: 0.43627460742131<br />curr_liq_cost: 36.75<br />curr_opt_t_minutes: 0.6916210468649<br />daily_vol_normal: 41.498377460286<br />destination_price: 5290.25<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79054054054054<br />init_drift: 0<br />init_half_min_move: 0.43580524455858<br />init_liq_cost: 29.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2905113114177<br />init_vol_normal: 41.453731732773<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 36.249<br />slip_toler: 0<br />slippage: 0.96500000000015<br />slippage_sweep: 0.17445945945929<br />sweep_residual: 13<br />sweep_to_fill: 5290.2094594595<br />total_dollar: 264501.75<br />total_drift: -0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.388719488496<br />worst_opt_t_minutes: 0.3882288309954

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291<br />avg_total: 5290.035<br />destination_price: 5290.25<br />market_vwap: 191160.89566116<br />n_kids: 17<br />slippage: 0.96500000000015<br />slippage_vwap: 185870.86066116<br />slippage_vwap_pct: 3513.6036086936<br />total_dollar: 264501.75<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>2025-04-20T18:10:55.754</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:57.753</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:00.054</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:00.054</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:02.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:03.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:04.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:04.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:04.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:05.166</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:23.322</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:24.346</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:24.346</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:27.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:27.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:28.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:28.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:11:29.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:29.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</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>2025-04-20T18:10:55.754</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:57.753</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:00.054</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:00.054</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:02.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:03.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:04.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:04.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:04.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:05.166</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:23.322</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:24.346</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:24.346</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:27.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:27.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:28.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:28.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:11:29.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:29.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5290.04

Computed VWAP Slippage

185870.86

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.79

Computed Drift

-0.75

Computed Seconds Spent

36.25

Computed Volatility

41.50