SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:52

Buy / Sell

Sell

Quantity

50

Arrival Price

5283.6250

Average Total

5283.6400

Destination Price

5283.8750

Slippage

-0.0150

Slippage Sweep

-0.8737

Sweep to Fill

5282.7663

Algo Diagnostics

{ "customState": { "init_min_duration": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 4.123548348487437 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "slip_toler": { "asDouble": 0 }, "model_size": { "asDouble": 2 }, "slippage": { "asDouble": -0.015000000000327418 }, "total_dollar": { "asDouble": 264182 }, "market_vwap": { "asDouble": 154904.9983108108 }, "init_vol_normal": { "asDouble": 40.223040722699544 }, "curr_opt_t_minutes": { "asDouble": 1.5663578677443173 }, "avg_total": { "asDouble": 5283.64 }, "total_sent": { "asInt32": 50 }, "sweep_residual": { "asDouble": 4 }, "worst_opt_t_minutes": { "asDouble": 0.8297979543053334 }, "daily_vol_normal": { "asDouble": 40.25837429678492 }, "total_vol": { "asDouble": 55.31151445991436 }, "destination_price": { "asDouble": 5283.875 }, "ready": { "asBool": true }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.4232383894661605 }, "seconds_spent": { "asDouble": 71.687 }, "total_drift": { "asDouble": -0.25 }, "last_tactical_qty": { "asInt32": 2 }, "total_filled": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.4228669257582688 }, "slippage_vwap": { "asDouble": 149621.35831081079 }, "last_aggressive_qty": { "asInt32": 7 }, "slippage_sweep": { "asDouble": -0.8736956521743195 }, "slippage_vwap_pct": { "asDouble": 2831.785630944023 }, "drift": { "asDouble": -0.25 }, "init_liq_cost": { "asDouble": 39.5 }, "n_kids": { "asInt32": 25 }, "init_drift": { "asDouble": -0 }, "curr_liq_cost": { "asDouble": 21.25 }, "curr_cost_per_share": { "asDouble": 0.6640625 }, "init_cost_per_share": { "asDouble": 0.8586956521739131 }, "impact_model": { "asInt32": 2 }, "sweep_to_fill": { "asDouble": 5282.766304347826 }, "arrival_price": { "asDouble": 5283.625 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:50:52.501","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:56.774","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:58.552","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:59.379","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:01.339","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:03.412","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:05.577","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:05.577","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:06.543","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:06.543","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:51:08.893","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:08.893","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:08.893","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:13.312","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:13.512","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:21.252","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:21.252","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:22.384","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:52.511","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:53.987","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:58.731","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:58.731","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:51:58.731","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5283.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:01.568","Security":"SIM:ESM5","Side":"Sell","LastShares":7.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:01.568","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5283.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:52:01.568","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5283.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:52:01.824","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:01.824","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5283.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:52:02.534","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5283.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5283.625<br />avg_total: 5283.64<br />curr_cost_per_share: 0.6640625<br />curr_half_min_move: 0.42323838946616<br />curr_liq_cost: 21.25<br />curr_opt_t_minutes: 1.5663578677443<br />daily_vol_normal: 40.258374296785<br />destination_price: 5283.875<br />drift: -0.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.85869565217391<br />init_drift: 0<br />init_half_min_move: 0.42286692575827<br />init_liq_cost: 39.5<br />init_min_duration: 0<br />init_opt_t_minutes: 4.1235483484874<br />init_vol_normal: 40.2230407227<br />last_aggressive_qty: 7<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 71.687<br />slip_toler: 0<br />slippage: -0.015000000000327<br />slippage_sweep: -0.87369565217432<br />sweep_residual: 4<br />sweep_to_fill: 5282.7663043478<br />total_dollar: 264182<br />total_drift: -0.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.311514459914<br />worst_opt_t_minutes: 0.82979795430533

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5283.625<br />avg_total: 5283.64<br />destination_price: 5283.875<br />market_vwap: 154904.99831081<br />n_kids: 25<br />slippage: -0.015000000000327<br />slippage_vwap: 149621.35831081<br />slippage_vwap_pct: 2831.785630944<br />total_dollar: 264182<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>2025-04-20T17:50:52.501</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:56.774</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:58.552</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:59.379</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:01.339</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:03.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.577</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.577</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:51:08.893</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:08.893</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:08.893</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:13.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:13.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:21.252</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:21.252</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:22.384</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:52.511</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:53.987</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:58.731</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:58.731</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:58.731</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:01.568</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:01.568</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:01.568</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:01.824</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:01.824</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:02.534</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</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>2025-04-20T17:50:52.501</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:56.774</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:58.552</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:59.379</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:01.339</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:03.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.577</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:05.577</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:06.543</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:51:08.893</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:08.893</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:08.893</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:13.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:13.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:21.252</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:21.252</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:22.384</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:52.511</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:53.987</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:58.731</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:58.731</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:51:58.731</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:01.568</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:01.568</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:01.568</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:01.824</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:01.824</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:02.534</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5283.64

Computed VWAP Slippage

149621.36

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.86

Computed Drift

-0.25

Computed Seconds Spent

71.69

Computed Volatility

40.26