SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:55

Buy / Sell

Sell

Quantity

50

Arrival Price

5286.1250

Average Total

5286.4000

Destination Price

5285.7500

Slippage

-0.2750

Slippage Sweep

-0.9750

Sweep to Fill

5285.4250

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 2.699154795104908 }, "total_sent": { "asInt32": 50 }, "impact_model": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 2.0892103879579125 }, "worst_opt_t_minutes": { "asDouble": 1.1249078506218524 }, "slippage_sweep": { "asDouble": -0.9749999999994543 }, "n_kids": { "asInt32": 25 }, "slippage_vwap": { "asDouble": 139518.6210280374 }, "total_vol": { "asDouble": 55.337685656043874 }, "algo_status": { "asInt32": 4 }, "market_vwap": { "asDouble": 144805.0210280374 }, "sweep_residual": { "asDouble": 20 }, "avg_total": { "asDouble": 5286.4 }, "init_drift": { "asDouble": -0 }, "curr_half_min_move": { "asDouble": 0.4268911951660185 }, "total_drift": { "asDouble": -0.375 }, "model_size": { "asDouble": 3 }, "init_liq_cost": { "asDouble": 21 }, "slippage_vwap_pct": { "asDouble": 2639.1990963233466 }, "init_half_min_move": { "asDouble": 0.42607312755594057 }, "order_time_minutes": { "asDouble": 10 }, "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 25.5 }, "sweep_to_fill": { "asDouble": 5285.425 }, "economic_model": { "asInt32": 0 }, "destination_price": { "asDouble": 5285.75 }, "ready": { "asBool": true }, "slip_toler": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 40.605828645819265 }, "init_min_duration": { "asDouble": 0 }, "drift": { "asDouble": -0.375 }, "init_cost_per_share": { "asDouble": 0.7 }, "init_vol_normal": { "asDouble": 40.528014173251854 }, "seconds_spent": { "asDouble": 73.983 }, "last_tactical_qty": { "asInt32": 3 }, "total_dollar": { "asDouble": 264320 }, "arrival_price": { "asDouble": 5286.125 }, "slippage": { "asDouble": -0.2749999999996362 }, "curr_cost_per_share": { "asDouble": 0.8225806451612904 }, "last_aggressive_qty": { "asInt32": 5 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:53:54.612","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:57.201","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:58.315","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:53:59.84","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:54:01.613","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:54:01.613","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:02.55","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:02.55","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:03.355","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:07.846","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:07.846","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:11.953","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:11.953","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:54:13.72","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:13.721","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:13.721","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:13.729","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:13.729","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:16.953","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:17.832","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:17.833","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:26.374","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:54:27.317","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:27.753","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:28.983","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:28.983","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:54:28.983","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:07.212","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.125<br />avg_total: 5286.4<br />curr_cost_per_share: 0.82258064516129<br />curr_half_min_move: 0.42689119516602<br />curr_liq_cost: 25.5<br />curr_opt_t_minutes: 2.0892103879579<br />daily_vol_normal: 40.605828645819<br />destination_price: 5285.75<br />drift: -0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.7<br />init_drift: 0<br />init_half_min_move: 0.42607312755594<br />init_liq_cost: 21<br />init_min_duration: 0<br />init_opt_t_minutes: 2.6991547951049<br />init_vol_normal: 40.528014173252<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: 73.983<br />slip_toler: 0<br />slippage: -0.27499999999964<br />slippage_sweep: -0.97499999999945<br />sweep_residual: 20<br />sweep_to_fill: 5285.425<br />total_dollar: 264320<br />total_drift: -0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.337685656044<br />worst_opt_t_minutes: 1.1249078506219

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.125<br />avg_total: 5286.4<br />destination_price: 5285.75<br />market_vwap: 144805.02102804<br />n_kids: 25<br />slippage: -0.27499999999964<br />slippage_vwap: 139518.62102804<br />slippage_vwap_pct: 2639.1990963233<br />total_dollar: 264320<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>2025-04-20T17:53:54.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:57.201</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:58.315</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:59.84</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:01.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:01.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:02.55</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:02.55</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:03.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:07.846</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:07.846</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:11.953</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:11.953</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:13.72</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.721</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.721</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:16.953</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:17.832</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:17.833</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:26.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:27.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:27.753</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:28.983</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:28.983</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:28.983</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:07.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</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>2025-04-20T17:53:54.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:57.201</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:58.315</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:59.84</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:01.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:01.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:02.55</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:02.55</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:03.355</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:07.846</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:07.846</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:11.953</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:11.953</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:13.72</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.721</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.721</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:13.729</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:16.953</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:17.832</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:17.833</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:26.374</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:54:27.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:27.753</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:28.983</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:28.983</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:54:28.983</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:07.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.40

Computed VWAP Slippage

139518.62

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.70

Computed Drift

-0.38

Computed Seconds Spent

73.98

Computed Volatility

40.61