SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:27

Buy / Sell

Sell

Quantity

50

Arrival Price

5291.1250

Average Total

5291.4150

Destination Price

5291.6250

Slippage

-0.2900

Slippage Sweep

-1.0150

Sweep to Fill

5290.4000

Algo Diagnostics

{ "customState": { "daily_vol_normal": { "asDouble": 38.83218434353657 }, "init_half_min_move": { "asDouble": 0.407643828760301 }, "total_vol": { "asDouble": 55.390028048302895 }, "total_dollar": { "asDouble": 264570.75 }, "ready": { "asBool": true }, "seconds_spent": { "asDouble": 48.121 }, "slippage_sweep": { "asDouble": -1.0150000000003274 }, "destination_price": { "asDouble": 5291.625 }, "init_vol_normal": { "asDouble": 38.775021941431945 }, "impact_model": { "asInt32": 2 }, "slippage_vwap_pct": { "asDouble": 3572.8761732487783 }, "sweep_to_fill": { "asDouble": 5290.4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "slippage_vwap": { "asDouble": 189055.70576271185 }, "total_filled": { "asInt32": 50 }, "arrival_price": { "asDouble": 5291.125 }, "last_aggressive_qty": { "asInt32": 1 }, "init_min_duration": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "total_drift": { "asDouble": -0.5 }, "init_cost_per_share": { "asDouble": 0.725 }, "init_liq_cost": { "asDouble": 21.75 }, "init_opt_t_minutes": { "asDouble": 3.1631098103388333 }, "curr_half_min_move": { "asDouble": 0.40824478007608 }, "model_size": { "asDouble": 1 }, "curr_cost_per_share": { "asDouble": 0.7421875 }, "drift": { "asDouble": -0.5 }, "curr_liq_cost": { "asDouble": 23.75 }, "slippage": { "asDouble": -0.2899999999999636 }, "init_drift": { "asDouble": -0 }, "n_kids": { "asInt32": 28 }, "curr_opt_t_minutes": { "asDouble": 1.2072129256543243 }, "avg_total": { "asDouble": 5291.415 }, "algo_status": { "asInt32": 4 }, "market_vwap": { "asDouble": 194347.12076271186 }, "sweep_residual": { "asDouble": 20 }, "slip_toler": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 1 }, "worst_opt_t_minutes": { "asDouble": 0.5933409846693899 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5291.125<br />avg_total: 5291.415<br />curr_cost_per_share: 0.7421875<br />curr_half_min_move: 0.40824478007608<br />curr_liq_cost: 23.75<br />curr_opt_t_minutes: 1.2072129256543<br />daily_vol_normal: 38.832184343537<br />destination_price: 5291.625<br />drift: -0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.725<br />init_drift: 0<br />init_half_min_move: 0.4076438287603<br />init_liq_cost: 21.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.1631098103388<br />init_vol_normal: 38.775021941432<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 48.121<br />slip_toler: 0<br />slippage: -0.28999999999996<br />slippage_sweep: -1.0150000000003<br />sweep_residual: 20<br />sweep_to_fill: 5290.4<br />total_dollar: 264570.75<br />total_drift: -0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.390028048303<br />worst_opt_t_minutes: 0.59334098466939

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291.125<br />avg_total: 5291.415<br />destination_price: 5291.625<br />market_vwap: 194347.12076271<br />n_kids: 28<br />slippage: -0.28999999999996<br />slippage_vwap: 189055.70576271<br />slippage_vwap_pct: 3572.8761732488<br />total_dollar: 264570.75<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>2025-04-20T17:26:57.94</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:59.307</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:00.548</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:00.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.214</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:03.916</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:04.971</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:05.966</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:07.131</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:08.134</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:08.981</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:09.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:09.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:09.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:10.09</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:12.167</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:13.033</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:23.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:25.257</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:26.439</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:28.957</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:29.614</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:31.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:31.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:33.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:33.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:34.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:34.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:35.513</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:44.62</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</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>2025-04-20T17:26:57.94</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:59.307</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:00.548</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:00.963</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.214</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:02.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:03.916</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:04.971</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:05.966</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:07.131</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:08.134</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:08.981</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:09.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:09.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:09.777</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:27:10.09</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:12.167</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:13.033</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:23.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:25.257</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:26.439</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:28.957</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:29.614</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:31.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:31.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:33.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:33.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:34.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:34.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:35.513</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:27:44.62</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5291.42

Computed VWAP Slippage

189055.71

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.73

Computed Drift

-0.50

Computed Seconds Spent

48.12

Computed Volatility

38.83