SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:48

Buy / Sell

Sell

Quantity

50

Arrival Price

5284.0000

Average Total

5283.6750

Destination Price

5283.8750

Slippage

0.3250

Slippage Sweep

-0.5083

Sweep to Fill

5283.1667

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.42168432737655576 }, "curr_liq_cost": { "asDouble": 23.75 }, "init_drift": { "asDouble": -0 }, "init_vol_normal": { "asDouble": 40.110552135939194 }, "seconds_spent": { "asDouble": 71.813 }, "economic_model": { "asInt32": 0 }, "drift": { "asDouble": -0.125 }, "curr_cost_per_share": { "asDouble": 0.6985294117647058 }, "total_vol": { "asDouble": 55.31544013933378 }, "market_vwap": { "asDouble": 153351.63011695907 }, "last_aggressive_qty": { "asInt32": 4 }, "slippage_vwap": { "asDouble": 148067.95511695908 }, "destination_price": { "asDouble": 5283.875 }, "sweep_residual": { "asDouble": 23 }, "worst_opt_t_minutes": { "asDouble": 1.1888395963641174 }, "daily_vol_normal": { "asDouble": 40.14151069364813 }, "ready": { "asBool": true }, "impact_model": { "asInt32": 2 }, "arrival_price": { "asDouble": 5284 }, "model_size": { "asDouble": 1 }, "avg_total": { "asDouble": 5283.675 }, "sweep_to_fill": { "asDouble": 5283.166666666667 }, "init_cost_per_share": { "asDouble": 0.8333333333333334 }, "init_liq_cost": { "asDouble": 22.5 }, "total_drift": { "asDouble": -0.125 }, "curr_half_min_move": { "asDouble": 0.4220097963090152 }, "slippage": { "asDouble": 0.3249999999998181 }, "init_min_duration": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 2802.366820763182 }, "init_opt_t_minutes": { "asDouble": 3.9053736156221905 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 2.2575042717395233 }, "n_kids": { "asInt32": 32 }, "slippage_sweep": { "asDouble": -0.5083333333332121 }, "last_tactical_qty": { "asInt32": 1 }, "total_dollar": { "asDouble": 264183.75 }, "order_time_minutes": { "asDouble": 10 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284<br />avg_total: 5283.675<br />curr_cost_per_share: 0.69852941176471<br />curr_half_min_move: 0.42200979630902<br />curr_liq_cost: 23.75<br />curr_opt_t_minutes: 2.2575042717395<br />daily_vol_normal: 40.141510693648<br />destination_price: 5283.875<br />drift: -0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83333333333333<br />init_drift: 0<br />init_half_min_move: 0.42168432737656<br />init_liq_cost: 22.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.9053736156222<br />init_vol_normal: 40.110552135939<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 32<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 71.813<br />slip_toler: 0<br />slippage: 0.32499999999982<br />slippage_sweep: -0.50833333333321<br />sweep_residual: 23<br />sweep_to_fill: 5283.1666666667<br />total_dollar: 264183.75<br />total_drift: -0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.315440139334<br />worst_opt_t_minutes: 1.1888395963641

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5284<br />avg_total: 5283.675<br />destination_price: 5283.875<br />market_vwap: 153351.63011696<br />n_kids: 32<br />slippage: 0.32499999999982<br />slippage_vwap: 148067.95511696<br />slippage_vwap_pct: 2802.3668207632<br />total_dollar: 264183.75<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>2025-04-20T17:47:20.91</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:23.008</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:23.973</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:26.927</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:28.843</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:29.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:34.594</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:38.842</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:38.843</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:41.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:43.227</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:45.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:46.175</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:46.175</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:47.42</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:52.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:47:52.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:55.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:07.349</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:10.902</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:12.744</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:12.744</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:20.903</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:20.903</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:22.895</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:22.895</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:23.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:23.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:25.492</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:25.492</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:26.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:26.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:31.774</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</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>2025-04-20T17:47:20.91</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:23.008</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:23.973</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:26.927</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:28.843</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:29.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:34.594</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:38.842</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:38.843</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:41.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:43.227</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:45.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:46.175</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:46.175</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:47.42</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:52.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:47:52.344</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:54.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:47:55.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:07.349</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:10.902</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:12.744</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:12.744</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:20.903</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:20.903</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:22.895</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:22.895</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:23.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:23.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:25.492</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:48:25.492</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:26.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:26.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:48:31.774</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5283.68

Computed VWAP Slippage

148067.96

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.83

Computed Drift

-0.13

Computed Seconds Spent

71.81

Computed Volatility

40.14