SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:35

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.7500

Average Total

5286.7600

Destination Price

5286.7500

Slippage

0.9900

Slippage Sweep

0.2074

Sweep to Fill

5286.9674

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.782608695652174 }, "init_opt_t_minutes": { "asDouble": 3.5590858103942136 }, "total_sent": { "asInt32": 50 }, "seconds_spent": { "asDouble": 35.058 }, "destination_price": { "asDouble": 5286.75 }, "curr_cost_per_share": { "asDouble": 0.8620689655172413 }, "total_vol": { "asDouble": 55.35469693352805 }, "last_aggressive_qty": { "asInt32": 4 }, "market_vwap": { "asDouble": 240237.55952380953 }, "init_min_duration": { "asDouble": 0 }, "slippage": { "asDouble": 0.9899999999997817 }, "slip_toler": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 1 }, "curr_half_min_move": { "asDouble": 0.41507436459036784 }, "n_kids": { "asInt32": 27 }, "init_drift": { "asDouble": -0 }, "slippage_vwap": { "asDouble": 234950.79952380952 }, "ready": { "asBool": true }, "init_liq_cost": { "asDouble": 18 }, "sweep_residual": { "asDouble": 27 }, "daily_vol_normal": { "asDouble": 39.48181343321939 }, "slippage_vwap_pct": { "asDouble": 4444.135907887052 }, "init_vol_normal": { "asDouble": 39.459049512209056 }, "total_filled": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "total_dollar": { "asDouble": 264338 }, "drift": { "asDouble": -1 }, "order_time_minutes": { "asDouble": 10 }, "slippage_sweep": { "asDouble": 0.20739130434776598 }, "sweep_to_fill": { "asDouble": 5286.967391304348 }, "init_half_min_move": { "asDouble": 0.4148350463010767 }, "avg_total": { "asDouble": 5286.76 }, "total_drift": { "asDouble": -1 }, "curr_liq_cost": { "asDouble": 25 }, "algo_status": { "asInt32": 4 }, "impact_model": { "asInt32": 2 }, "model_size": { "asDouble": 5 }, "curr_opt_t_minutes": { "asDouble": 0 }, "arrival_price": { "asDouble": 5287.75 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.75<br />avg_total: 5286.76<br />curr_cost_per_share: 0.86206896551724<br />curr_half_min_move: 0.41507436459037<br />curr_liq_cost: 25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.481813433219<br />destination_price: 5286.75<br />drift: -1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78260869565217<br />init_drift: 0<br />init_half_min_move: 0.41483504630108<br />init_liq_cost: 18<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5590858103942<br />init_vol_normal: 39.459049512209<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 27<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 35.058<br />slip_toler: 0<br />slippage: 0.98999999999978<br />slippage_sweep: 0.20739130434777<br />sweep_residual: 27<br />sweep_to_fill: 5286.9673913043<br />total_dollar: 264338<br />total_drift: -1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.354696933528<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.75<br />avg_total: 5286.76<br />destination_price: 5286.75<br />market_vwap: 240237.55952381<br />n_kids: 27<br />slippage: 0.98999999999978<br />slippage_vwap: 234950.79952381<br />slippage_vwap_pct: 4444.1359078871<br />total_dollar: 264338<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>2025-04-20T17:34:56.571</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:58.753</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:59.585</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:59.585</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:00.758</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:01.786</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:02.751</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:03.752</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:03.752</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:04.572</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:04.572</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:08.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:09.958</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:17.622</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:20.872</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:20.872</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:21.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:24.94</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:24.94</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:27.143</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:27.143</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:27.143</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:30.249</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:30.25</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</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>2025-04-20T17:34:56.571</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:58.753</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:59.585</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:59.585</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:00.758</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:01.786</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:02.751</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:03.752</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:03.752</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:04.572</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:04.572</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:08.747</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:09.958</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:17.622</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:20.872</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:20.872</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:21.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:24.94</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:24.94</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:27.143</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:27.143</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:27.143</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:28.922</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:35:30.249</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:35:30.25</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5286.76

Computed VWAP Slippage

234950.80

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.78

Computed Drift

-1.00

Computed Seconds Spent

35.06

Computed Volatility

39.48