SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:10

Buy / Sell

Sell

Quantity

50

Arrival Price

5292.6250

Average Total

5291.8300

Destination Price

5291.8750

Slippage

0.7950

Slippage Sweep

0.0185

Sweep to Fill

5291.8485

Algo Diagnostics

{ "customState": { "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 264591.5 }, "arrival_price": { "asDouble": 5292.625 }, "economic_model": { "asInt32": 0 }, "drift": { "asDouble": -0.75 }, "last_tactical_qty": { "asInt32": 1 }, "slippage_vwap_pct": { "asDouble": 4500.147608227599 }, "init_half_min_move": { "asDouble": 0.43544540335377463 }, "seconds_spent": { "asDouble": 18.412 }, "ready": { "asBool": true }, "init_vol_normal": { "asDouble": 41.4195036894978 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 5291.875 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.7426470588235294 }, "init_opt_t_minutes": { "asDouble": 3.1800390097948266 }, "daily_vol_normal": { "asDouble": 41.42780267651025 }, "total_vol": { "asDouble": 55.4057307659806 }, "slip_toler": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5291.848484848485 }, "impact_model": { "asInt32": 2 }, "sweep_residual": { "asDouble": 17 }, "total_filled": { "asInt32": 50 }, "slippage": { "asDouble": 0.7950000000000728 }, "slippage_sweep": { "asDouble": 0.018484848485059047 }, "init_cost_per_share": { "asDouble": 0.7765151515151515 }, "avg_total": { "asDouble": 5291.83 }, "market_vwap": { "asDouble": 243431.9911764706 }, "slippage_vwap": { "asDouble": 238140.1611764706 }, "n_kids": { "asInt32": 23 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_drift": { "asDouble": -0.75 }, "last_aggressive_qty": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.4355326510372369 }, "model_size": { "asDouble": 1 }, "init_drift": { "asDouble": -0 }, "init_liq_cost": { "asDouble": 25.625 }, "curr_opt_t_minutes": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 25.25 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:09:54.627","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:09:54.627","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:09:56.334","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:09:57.886","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:00.045","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:00.112","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:01.112","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:01.258","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:01.258","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:01.258","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:02.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:02.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:02.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:03.212","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:03.212","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:04.222","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:04.222","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:05.332","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:05.332","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:06.212","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:06.212","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:07.769","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:07.769","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:07.769","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:08.312","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:08.312","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:09.318","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:10:09.318","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:10:10.383","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5292.625<br />avg_total: 5291.83<br />curr_cost_per_share: 0.74264705882353<br />curr_half_min_move: 0.43553265103724<br />curr_liq_cost: 25.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.42780267651<br />destination_price: 5291.875<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.77651515151515<br />init_drift: 0<br />init_half_min_move: 0.43544540335377<br />init_liq_cost: 25.625<br />init_min_duration: 0<br />init_opt_t_minutes: 3.1800390097948<br />init_vol_normal: 41.419503689498<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.412<br />slip_toler: 0<br />slippage: 0.79500000000007<br />slippage_sweep: 0.018484848485059<br />sweep_residual: 17<br />sweep_to_fill: 5291.8484848485<br />total_dollar: 264591.5<br />total_drift: -0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.405730765981<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292.625<br />avg_total: 5291.83<br />destination_price: 5291.875<br />market_vwap: 243431.99117647<br />n_kids: 23<br />slippage: 0.79500000000007<br />slippage_vwap: 238140.16117647<br />slippage_vwap_pct: 4500.1476082276<br />total_dollar: 264591.5<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>2025-04-20T18:09:54.627</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:54.627</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:56.334</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:57.886</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:00.045</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:00.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:02.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:02.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:02.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:03.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:03.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:04.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:04.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:05.332</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:05.332</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:06.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:06.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:07.769</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:07.769</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:07.769</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:08.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:08.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:09.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:09.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:10.383</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</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>2025-04-20T18:09:54.627</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:54.627</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:56.334</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:57.886</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:00.045</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:00.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:01.258</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:02.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:02.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:02.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:03.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:03.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:04.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:04.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:05.332</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:05.332</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:06.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:06.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:07.769</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:07.769</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:07.769</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:08.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:08.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:09.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:10:09.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:10:10.383</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5291.83

Computed VWAP Slippage

238140.16

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.78

Computed Drift

-0.75

Computed Seconds Spent

18.41

Computed Volatility

41.43