SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:44

Buy / Sell

Sell

Quantity

50

Arrival Price

5280.8750

Average Total

5281.3150

Destination Price

5281.7500

Slippage

-0.4400

Slippage Sweep

-1.2000

Sweep to Fill

5280.1150

Algo Diagnostics

{ "customState": { "drift": { "asDouble": -0.875 }, "init_liq_cost": { "asDouble": 38 }, "init_opt_t_minutes": { "asDouble": 3.2649987196830033 }, "curr_cost_per_share": { "asDouble": 0.8125 }, "impact_model": { "asInt32": 2 }, "arrival_price": { "asDouble": 5280.875 }, "slippage_vwap_pct": { "asDouble": 2848.9395736379724 }, "market_vwap": { "asDouble": 155742.78804347827 }, "total_drift": { "asDouble": -0.875 }, "algo_status": { "asInt32": 4 }, "init_half_min_move": { "asDouble": 0.4206027274797929 }, "economic_model": { "asInt32": 0 }, "model_size": { "asDouble": 5 }, "init_drift": { "asDouble": -0 }, "ready": { "asBool": true }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.42070740140589596 }, "slippage_vwap": { "asDouble": 150461.47304347827 }, "slippage": { "asDouble": -0.4399999999995998 }, "init_cost_per_share": { "asDouble": 0.76 }, "last_tactical_qty": { "asInt32": 1 }, "total_vol": { "asDouble": 55.28272614417189 }, "slippage_sweep": { "asDouble": -1.199999999999818 }, "total_dollar": { "asDouble": 264065.75 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 12 }, "init_vol_normal": { "asDouble": 40.00767051043692 }, "curr_liq_cost": { "asDouble": 22.75 }, "destination_price": { "asDouble": 5281.75 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 13.878 }, "order_time_minutes": { "asDouble": 10 }, "worst_opt_t_minutes": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5280.115 }, "avg_total": { "asDouble": 5281.315 }, "slip_toler": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 40.01762707912504 }, "last_aggressive_qty": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:44:08.477","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5280.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:10.944","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:10.945","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:11.364","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:11.364","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:11.364","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:16.812","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:16.812","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:16.812","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:16.812","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5281.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:16.812","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:16.812","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:17.632","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:17.632","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:19.052","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:19.052","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:44:20.793","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:20.793","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:44:20.793","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:44:20.797","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:20.797","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5280.875<br />avg_total: 5281.315<br />curr_cost_per_share: 0.8125<br />curr_half_min_move: 0.4207074014059<br />curr_liq_cost: 22.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.017627079125<br />destination_price: 5281.75<br />drift: -0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.76<br />init_drift: 0<br />init_half_min_move: 0.42060272747979<br />init_liq_cost: 38<br />init_min_duration: 0<br />init_opt_t_minutes: 3.264998719683<br />init_vol_normal: 40.007670510437<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: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 13.878<br />slip_toler: 0<br />slippage: -0.4399999999996<br />slippage_sweep: -1.1999999999998<br />sweep_residual: 0<br />sweep_to_fill: 5280.115<br />total_dollar: 264065.75<br />total_drift: -0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.282726144172<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5280.875<br />avg_total: 5281.315<br />destination_price: 5281.75<br />market_vwap: 155742.78804348<br />n_kids: 12<br />slippage: -0.4399999999996<br />slippage_vwap: 150461.47304348<br />slippage_vwap_pct: 2848.939573638<br />total_dollar: 264065.75<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>2025-04-20T17:44:08.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:10.944</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:10.945</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:11.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:11.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:11.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:17.632</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:17.632</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:19.052</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:19.052</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:20.793</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:20.793</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:20.793</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:20.797</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:20.797</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</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>2025-04-20T17:44:08.477</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5280.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:10.944</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:10.945</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:11.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:11.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:11.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:16.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:17.632</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:17.632</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:19.052</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:19.052</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:20.793</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:20.793</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:20.793</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:20.797</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:20.797</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5281.32

Computed VWAP Slippage

150461.47

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.76

Computed Drift

-0.88

Computed Seconds Spent

13.88

Computed Volatility

40.02