SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:37

Buy / Sell

Sell

Quantity

50

Arrival Price

5285.8750

Average Total

5285.1850

Destination Price

5285.0000

Slippage

0.6900

Slippage Sweep

-0.0554

Sweep to Fill

5285.1296

Algo Diagnostics

{ "customState": { "daily_vol_normal": { "asDouble": 39.630005849567695 }, "total_filled": { "asInt32": 50 }, "slippage_sweep": { "asDouble": -0.05537037037083792 }, "curr_cost_per_share": { "asDouble": 0.7692307692307693 }, "drift": { "asDouble": -0.875 }, "n_kids": { "asInt32": 16 }, "order_time_minutes": { "asDouble": 10 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 5285.875 }, "curr_half_min_move": { "asDouble": 0.41663231919538934 }, "impact_model": { "asInt32": 2 }, "sweep_residual": { "asDouble": 23 }, "model_size": { "asDouble": 4 }, "avg_total": { "asDouble": 5285.185 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.41626531029084346 }, "economic_model": { "asInt32": 0 }, "total_drift": { "asDouble": -0.875 }, "total_vol": { "asDouble": 55.33506853643091 }, "curr_liq_cost": { "asDouble": 30 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_vwap_pct": { "asDouble": 2092.5772229354316 }, "slippage_vwap": { "asDouble": 110596.5775 }, "init_opt_t_minutes": { "asDouble": 3.206297447825352 }, "seconds_spent": { "asDouble": 25.865 }, "init_liq_cost": { "asDouble": 20.125 }, "init_drift": { "asDouble": -0 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 0 }, "market_vwap": { "asDouble": 115881.7625 }, "destination_price": { "asDouble": 5285 }, "sweep_to_fill": { "asDouble": 5285.12962962963 }, "slippage": { "asDouble": 0.6899999999995998 }, "total_dollar": { "asDouble": 264259.25 }, "last_tactical_qty": { "asInt32": 3 }, "worst_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 39.595096015731265 }, "init_cost_per_share": { "asDouble": 0.7453703703703703 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:37:06.522","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:09.344","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:11.156","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:12.296","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:13.671","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:13.671","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:15.085","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:15.085","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:15.831","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:15.831","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:26.759","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:28.003","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:28.003","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:37:28.812","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:28.812","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:31.46","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:37:31.46","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:37:31.46","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:37:31.46","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:37:32.682","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.875<br />avg_total: 5285.185<br />curr_cost_per_share: 0.76923076923077<br />curr_half_min_move: 0.41663231919539<br />curr_liq_cost: 30<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.630005849568<br />destination_price: 5285<br />drift: -0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.74537037037037<br />init_drift: 0<br />init_half_min_move: 0.41626531029084<br />init_liq_cost: 20.125<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2062974478254<br />init_vol_normal: 39.595096015731<br />last_aggressive_qty: 1<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.865<br />slip_toler: 0<br />slippage: 0.6899999999996<br />slippage_sweep: -0.055370370370838<br />sweep_residual: 23<br />sweep_to_fill: 5285.1296296296<br />total_dollar: 264259.25<br />total_drift: -0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.335068536431<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.875<br />avg_total: 5285.185<br />destination_price: 5285<br />market_vwap: 115881.7625<br />n_kids: 16<br />slippage: 0.6899999999996<br />slippage_vwap: 110596.5775<br />slippage_vwap_pct: 2092.5772229354<br />total_dollar: 264259.25<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>2025-04-20T17:37:06.522</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:09.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:11.156</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:12.296</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:13.671</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:13.671</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.085</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.085</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:26.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:28.003</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:28.003</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:28.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:28.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:32.682</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</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>2025-04-20T17:37:06.522</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:09.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:11.156</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:12.296</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:13.671</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:13.671</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.085</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.085</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:15.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:26.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:28.003</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:28.003</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:28.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:28.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:31.46</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:37:32.682</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5285.19

Computed VWAP Slippage

110596.58

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.75

Computed Drift

-0.88

Computed Seconds Spent

25.87

Computed Volatility

39.63