SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:40

Buy / Sell

Sell

Quantity

50

Arrival Price

5285.3750

Average Total

5284.5550

Destination Price

5284.5000

Slippage

0.8200

Slippage Sweep

0.0889

Sweep to Fill

5284.6439

Algo Diagnostics

{ "customState": { "curr_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "market_vwap": { "asDouble": 144611.6328125 }, "curr_half_min_move": { "asDouble": 0.4177847435819894 }, "slippage": { "asDouble": 0.819999999999709 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "model_size": { "asDouble": 3 }, "arrival_price": { "asDouble": 5285.375 }, "impact_model": { "asInt32": 2 }, "init_vol_normal": { "asDouble": 39.72468190531433 }, "total_vol": { "asDouble": 55.32983429720502 }, "init_liq_cost": { "asDouble": 24.125 }, "avg_total": { "asDouble": 5284.555 }, "total_dollar": { "asDouble": 264227.75 }, "sweep_residual": { "asDouble": 17 }, "total_sent": { "asInt32": 50 }, "n_kids": { "asInt32": 25 }, "economic_model": { "asInt32": 0 }, "algo_status": { "asInt32": 4 }, "slippage_sweep": { "asDouble": 0.08893939393874462 }, "total_drift": { "asDouble": -0.875 }, "init_opt_t_minutes": { "asDouble": 3.0642787406925045 }, "curr_liq_cost": { "asDouble": 34.5 }, "total_filled": { "asInt32": 50 }, "sweep_to_fill": { "asDouble": 5284.643939393939 }, "worst_opt_t_minutes": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 39.73962429028383 }, "slippage_vwap_pct": { "asDouble": 2636.495936034349 }, "last_tactical_qty": { "asInt32": 3 }, "destination_price": { "asDouble": 5284.5 }, "init_cost_per_share": { "asDouble": 0.7310606060606061 }, "drift": { "asDouble": -0.875 }, "last_aggressive_qty": { "asInt32": 5 }, "init_half_min_move": { "asDouble": 0.4176276535091848 }, "slippage_vwap": { "asDouble": 139327.0778125 }, "init_drift": { "asDouble": -0 }, "seconds_spent": { "asDouble": 31.864 }, "curr_cost_per_share": { "asDouble": 0.8414634146341463 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:40:17.47","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:20.578","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:20.578","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:22.612","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:23.521","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:24.44","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:27.976","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:27.976","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:28.942","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:31.759","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:31.759","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:31.759","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:32.512","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:32.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:32.512","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5284.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:40:33.699","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:33.699","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:34.519","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:38.672","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:40.941","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:40.941","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:40:41.776","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:45.641","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:46.813","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:46.813","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:40:47.925","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5284.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.375<br />avg_total: 5284.555<br />curr_cost_per_share: 0.84146341463415<br />curr_half_min_move: 0.41778474358199<br />curr_liq_cost: 34.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.739624290284<br />destination_price: 5284.5<br />drift: -0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.73106060606061<br />init_drift: 0<br />init_half_min_move: 0.41762765350918<br />init_liq_cost: 24.125<br />init_min_duration: 0<br />init_opt_t_minutes: 3.0642787406925<br />init_vol_normal: 39.724681905314<br />last_aggressive_qty: 5<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 31.864<br />slip_toler: 0<br />slippage: 0.81999999999971<br />slippage_sweep: 0.088939393938745<br />sweep_residual: 17<br />sweep_to_fill: 5284.6439393939<br />total_dollar: 264227.75<br />total_drift: -0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.329834297205<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.375<br />avg_total: 5284.555<br />destination_price: 5284.5<br />market_vwap: 144611.6328125<br />n_kids: 25<br />slippage: 0.81999999999971<br />slippage_vwap: 139327.0778125<br />slippage_vwap_pct: 2636.4959360343<br />total_dollar: 264227.75<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>2025-04-20T17:40:17.47</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:20.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:20.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:22.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:23.521</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:24.44</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:27.976</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:27.976</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:28.942</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:31.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:31.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:31.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:32.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:32.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:32.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:40:33.699</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:33.699</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:34.519</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:38.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:40.941</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:40.941</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:40:41.776</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:45.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:46.813</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:46.813</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:47.925</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.25</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>2025-04-20T17:40:17.47</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:20.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:20.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:22.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:23.521</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:24.44</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:27.976</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:27.976</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:28.942</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:31.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:31.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:31.759</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:32.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:32.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:32.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:40:33.699</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:33.699</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:34.519</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:38.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:40.941</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:40.941</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:40:41.776</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:45.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:46.813</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:46.813</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:40:47.925</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5284.56

Computed VWAP Slippage

139327.08

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.73

Computed Drift

-0.88

Computed Seconds Spent

31.86

Computed Volatility

39.74