SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:19

Buy / Sell

Sell

Quantity

50

Arrival Price

5289.1250

Average Total

5288.0550

Destination Price

5288.5000

Slippage

1.0700

Slippage Sweep

0.3427

Sweep to Fill

5288.3977

Algo Diagnostics

{ "customState": { "arrival_price": { "asDouble": 5289.125 }, "total_filled": { "asInt32": 50 }, "sweep_residual": { "asDouble": 28 }, "slip_toler": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 2 }, "init_drift": { "asDouble": -0 }, "total_dollar": { "asDouble": 264402.75 }, "sweep_to_fill": { "asDouble": 5288.397727272727 }, "worst_opt_t_minutes": { "asDouble": 0.12124770450199363 }, "slippage_sweep": { "asDouble": 0.34272727272673364 }, "slippage": { "asDouble": 1.069999999999709 }, "drift": { "asDouble": -0.625 }, "daily_vol_normal": { "asDouble": 38.043987440237395 }, "algo_status": { "asInt32": 4 }, "avg_total": { "asDouble": 5288.055 }, "impact_model": { "asInt32": 2 }, "init_half_min_move": { "asDouble": 0.3994224988469992 }, "init_liq_cost": { "asDouble": 16 }, "curr_cost_per_share": { "asDouble": 0.6517857142857143 }, "curr_opt_t_minutes": { "asDouble": 0.2568243837918935 }, "ready": { "asBool": true }, "economic_model": { "asInt32": 0 }, "total_drift": { "asDouble": -0.625 }, "model_size": { "asDouble": 5 }, "total_vol": { "asDouble": 55.369091091399284 }, "n_kids": { "asInt32": 23 }, "total_sent": { "asInt32": 50 }, "last_tactical_qty": { "asInt32": 3 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 5288.5 }, "init_cost_per_share": { "asDouble": 0.7272727272727273 }, "slippage_vwap": { "asDouble": 159238.25341121497 }, "init_min_duration": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 3.3153513093935616 }, "init_vol_normal": { "asDouble": 37.993010230999616 }, "curr_liq_cost": { "asDouble": 18.25 }, "slippage_vwap_pct": { "asDouble": 3011.2820954247823 }, "seconds_spent": { "asDouble": 20.631 }, "curr_half_min_move": { "asDouble": 0.39995842490745614 }, "market_vwap": { "asDouble": 164526.30841121497 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:18:51.712","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:52.728","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:53.729","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:53.729","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:54.766","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:55.756","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:55.756","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:56.929","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:57.849","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:57.849","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:18:59.928","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:59.928","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:59.928","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:00.812","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:01.874","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:01.874","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:19:02.739","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:02.739","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:19:07.121","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:07.121","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:07.871","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:08.863","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:08.863","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:10.377","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:10.377","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:10.863","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:19:10.863","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5289.125<br />avg_total: 5288.055<br />curr_cost_per_share: 0.65178571428571<br />curr_half_min_move: 0.39995842490746<br />curr_liq_cost: 18.25<br />curr_opt_t_minutes: 0.25682438379189<br />daily_vol_normal: 38.043987440237<br />destination_price: 5288.5<br />drift: -0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.72727272727273<br />init_drift: 0<br />init_half_min_move: 0.399422498847<br />init_liq_cost: 16<br />init_min_duration: 0<br />init_opt_t_minutes: 3.3153513093936<br />init_vol_normal: 37.993010231<br />last_aggressive_qty: 2<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 20.631<br />slip_toler: 0<br />slippage: 1.0699999999997<br />slippage_sweep: 0.34272727272673<br />sweep_residual: 28<br />sweep_to_fill: 5288.3977272727<br />total_dollar: 264402.75<br />total_drift: -0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.369091091399<br />worst_opt_t_minutes: 0.12124770450199

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5289.125<br />avg_total: 5288.055<br />destination_price: 5288.5<br />market_vwap: 164526.30841121<br />n_kids: 23<br />slippage: 1.0699999999997<br />slippage_vwap: 159238.25341121<br />slippage_vwap_pct: 3011.2820954248<br />total_dollar: 264402.75<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>2025-04-20T17:18:51.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:52.728</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:53.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:53.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:54.766</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:55.756</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:55.756</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:56.929</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:57.849</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:57.849</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:59.928</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:59.928</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:59.928</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:00.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:01.874</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:01.874</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:19:02.739</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:02.739</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:19:07.121</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:07.121</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:07.871</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:08.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:08.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</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>2025-04-20T17:18:51.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:52.728</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:53.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:53.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:54.766</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:55.756</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:55.756</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:56.929</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:57.849</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:57.849</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:59.928</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:59.928</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:59.928</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:00.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:01.874</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:01.874</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:19:02.739</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:02.739</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:19:07.121</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:07.121</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:07.871</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:08.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:08.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:10.863</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.06

Computed VWAP Slippage

159238.25

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.73

Computed Drift

-0.63

Computed Seconds Spent

20.63

Computed Volatility

38.04