SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:22

Buy / Sell

Sell

Quantity

50

Arrival Price

5286.2500

Average Total

5286.9350

Destination Price

5287.5000

Slippage

-0.6850

Slippage Sweep

-1.4791

Sweep to Fill

5285.4559

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.7941176470588235 }, "slippage_sweep": { "asDouble": -1.4791176470589562 }, "curr_cost_per_share": { "asDouble": 0.6704545454545454 }, "last_tactical_qty": { "asInt32": 2 }, "total_drift": { "asDouble": -1.25 }, "algo_status": { "asInt32": 4 }, "last_aggressive_qty": { "asInt32": 7 }, "destination_price": { "asDouble": 5287.5 }, "total_dollar": { "asDouble": 264346.75 }, "model_size": { "asDouble": 2 }, "seconds_spent": { "asDouble": 25.516 }, "slip_toler": { "asDouble": 0 }, "slippage": { "asDouble": -0.6850000000004002 }, "init_opt_t_minutes": { "asDouble": 3.9053807868730996 }, "arrival_price": { "asDouble": 5286.25 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "init_vol_normal": { "asDouble": 38.222961647824086 }, "market_vwap": { "asDouble": 88488.44607843137 }, "total_vol": { "asDouble": 55.33899421585034 }, "init_liq_cost": { "asDouble": 27 }, "order_time_minutes": { "asDouble": 10 }, "sweep_to_fill": { "asDouble": 5285.455882352941 }, "total_filled": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": 1573.719197955552 }, "n_kids": { "asInt32": 18 }, "curr_liq_cost": { "asDouble": 14.75 }, "impact_model": { "asInt32": 2 }, "sweep_residual": { "asDouble": 16 }, "worst_opt_t_minutes": { "asDouble": 0 }, "avg_total": { "asDouble": 5286.935 }, "init_half_min_move": { "asDouble": 0.40183999008980936 }, "curr_half_min_move": { "asDouble": 0.4021600406767463 }, "ready": { "asBool": true }, "curr_opt_t_minutes": { "asDouble": 0 }, "drift": { "asDouble": -1.25 }, "daily_vol_normal": { "asDouble": 38.253404813291816 }, "economic_model": { "asInt32": 0 }, "slippage_vwap": { "asDouble": 83201.51107843137 }, "init_drift": { "asDouble": -0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:22:22.233","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:25.261","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:25.261","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:27.087","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:37.72","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:37.72","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:38.633","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:39.624","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:40.305","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:41.545","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:41.545","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:42.326","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:43.496","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:43.496","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:44.319","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:44.319","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:45.403","Security":"SIM:ESM5","Side":"Sell","LastShares":7.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:45.403","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:22:46.277","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.25<br />avg_total: 5286.935<br />curr_cost_per_share: 0.67045454545455<br />curr_half_min_move: 0.40216004067675<br />curr_liq_cost: 14.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 38.253404813292<br />destination_price: 5287.5<br />drift: -1.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79411764705882<br />init_drift: 0<br />init_half_min_move: 0.40183999008981<br />init_liq_cost: 27<br />init_min_duration: 0<br />init_opt_t_minutes: 3.9053807868731<br />init_vol_normal: 38.222961647824<br />last_aggressive_qty: 7<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.516<br />slip_toler: 0<br />slippage: -0.6850000000004<br />slippage_sweep: -1.479117647059<br />sweep_residual: 16<br />sweep_to_fill: 5285.4558823529<br />total_dollar: 264346.75<br />total_drift: -1.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.33899421585<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.25<br />avg_total: 5286.935<br />destination_price: 5287.5<br />market_vwap: 88488.446078431<br />n_kids: 18<br />slippage: -0.6850000000004<br />slippage_vwap: 83201.511078431<br />slippage_vwap_pct: 1573.7191979556<br />total_dollar: 264346.75<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>2025-04-20T17:22:22.233</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:25.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:25.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:27.087</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:37.72</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:37.72</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:38.633</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:39.624</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:40.305</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:41.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:41.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:42.326</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:43.496</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:43.496</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:44.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:44.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:45.403</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:45.403</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:46.277</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</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>2025-04-20T17:22:22.233</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:25.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:25.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:27.087</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:37.72</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:37.72</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:38.633</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:39.624</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:40.305</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:41.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:41.545</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:42.326</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:43.496</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:43.496</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:44.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:44.319</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:45.403</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:45.403</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:22:46.277</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.94

Computed VWAP Slippage

83201.51

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.79

Computed Drift

-1.25

Computed Seconds Spent

25.52

Computed Volatility

38.25