SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:01

Buy / Sell

Sell

Quantity

50

Arrival Price

5288.1250

Average Total

5288.6400

Destination Price

5289.3750

Slippage

-0.5150

Slippage Sweep

-1.4052

Sweep to Fill

5287.2348

Algo Diagnostics

{ "customState": { "arrival_price": { "asDouble": 5288.125 }, "ready": { "asBool": true }, "drift": { "asDouble": -1.25 }, "init_liq_cost": { "asDouble": 29.375 }, "total_vol": { "asDouble": 55.35862261294748 }, "init_cost_per_share": { "asDouble": 0.8901515151515151 }, "last_aggressive_qty": { "asInt32": 1 }, "last_tactical_qty": { "asInt32": 10 }, "init_half_min_move": { "asDouble": 0.43095396242275713 }, "curr_liq_cost": { "asDouble": 17.125 }, "slippage_vwap": { "asDouble": 142366.89794642857 }, "avg_total": { "asDouble": 5288.64 }, "init_drift": { "asDouble": -0 }, "sweep_residual": { "asDouble": 17 }, "destination_price": { "asDouble": 5289.375 }, "curr_half_min_move": { "asDouble": 0.4310821849239374 }, "impact_model": { "asInt32": 2 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 2691.937775050458 }, "init_opt_t_minutes": { "asDouble": 4.266444636622683 }, "slippage_sweep": { "asDouble": -1.4051515151522835 }, "slippage": { "asDouble": -0.5150000000003274 }, "slip_toler": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "total_filled": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "market_vwap": { "asDouble": 147655.53794642858 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 8 }, "model_size": { "asDouble": 10 }, "curr_cost_per_share": { "asDouble": 0.6342592592592593 }, "total_drift": { "asDouble": -1.25 }, "total_sent": { "asInt32": 50 }, "total_dollar": { "asDouble": 264432 }, "sweep_to_fill": { "asDouble": 5287.234848484848 }, "init_vol_normal": { "asDouble": 40.992278478758124 }, "algo_status": { "asInt32": 4 }, "seconds_spent": { "asDouble": 10.087 }, "curr_opt_t_minutes": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 41.004474984496404 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:00:58.612","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:01.412","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:02.737","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:02.737","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:04.445","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:04.445","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:05.817","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:05.817","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:05.817","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:05.817","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:06.434","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:06.434","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:06.434","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:06.434","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:07.553","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:07.553","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5289.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288.125<br />avg_total: 5288.64<br />curr_cost_per_share: 0.63425925925926<br />curr_half_min_move: 0.43108218492394<br />curr_liq_cost: 17.125<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.004474984496<br />destination_price: 5289.375<br />drift: -1.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.89015151515152<br />init_drift: 0<br />init_half_min_move: 0.43095396242276<br />init_liq_cost: 29.375<br />init_min_duration: 0<br />init_opt_t_minutes: 4.2664446366227<br />init_vol_normal: 40.992278478758<br />last_aggressive_qty: 1<br />last_tactical_qty: 10<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 10<br />n_kids: 8<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 10.087<br />slip_toler: 0<br />slippage: -0.51500000000033<br />slippage_sweep: -1.4051515151523<br />sweep_residual: 17<br />sweep_to_fill: 5287.2348484848<br />total_dollar: 264432<br />total_drift: -1.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.358622612947<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.125<br />avg_total: 5288.64<br />destination_price: 5289.375<br />market_vwap: 147655.53794643<br />n_kids: 8<br />slippage: -0.51500000000033<br />slippage_vwap: 142366.89794643<br />slippage_vwap_pct: 2691.9377750505<br />total_dollar: 264432<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>2025-04-20T18:00:58.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:02.737</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:02.737</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.445</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.445</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.553</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.553</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5289</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>2025-04-20T18:00:58.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:02.737</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:02.737</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.445</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:04.445</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:05.817</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:06.434</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.553</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:07.553</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5289</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.64

Computed VWAP Slippage

142366.90

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.89

Computed Drift

-1.25

Computed Seconds Spent

10.09

Computed Volatility

41.00