SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:13

Buy / Sell

Sell

Quantity

50

Arrival Price

5290.2500

Average Total

5290.2000

Destination Price

5290.3750

Slippage

0.0500

Slippage Sweep

-0.8105

Sweep to Fill

5289.3895

Algo Diagnostics

{ "customState": { "init_liq_cost": { "asDouble": 37 }, "total_drift": { "asDouble": -0.125 }, "curr_half_min_move": { "asDouble": 0.43672313567958926 }, "total_vol": { "asDouble": 55.38086812965756 }, "slippage_sweep": { "asDouble": -0.8104651162784648 }, "total_dollar": { "asDouble": 264510 }, "seconds_spent": { "asDouble": 89.257 }, "daily_vol_normal": { "asDouble": 41.541041403240236 }, "total_sent": { "asInt32": 50 }, "impact_model": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 7 }, "init_half_min_move": { "asDouble": 0.4363176525718088 }, "drift": { "asDouble": -0.125 }, "avg_total": { "asDouble": 5290.2 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "init_vol_normal": { "asDouble": 41.50247190876541 }, "curr_cost_per_share": { "asDouble": 0.7416666666666667 }, "slippage_vwap_pct": { "asDouble": 4211.2260738659525 }, "worst_opt_t_minutes": { "asDouble": 1.3533986205081112 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_vwap": { "asDouble": 222782.28175965665 }, "market_vwap": { "asDouble": 228072.48175965666 }, "init_cost_per_share": { "asDouble": 0.8604651162790697 }, "ready": { "asBool": true }, "init_opt_t_minutes": { "asDouble": 3.8892061949893995 }, "sweep_to_fill": { "asDouble": 5289.389534883721 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 5290.25 }, "slippage": { "asDouble": 0.0500000000001819 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 5290.375 }, "model_size": { "asDouble": 1 }, "n_kids": { "asInt32": 35 }, "init_drift": { "asDouble": -0 }, "curr_liq_cost": { "asDouble": 33.375 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 2.4054176234044076 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5290.25<br />avg_total: 5290.2<br />curr_cost_per_share: 0.74166666666667<br />curr_half_min_move: 0.43672313567959<br />curr_liq_cost: 33.375<br />curr_opt_t_minutes: 2.4054176234044<br />daily_vol_normal: 41.54104140324<br />destination_price: 5290.375<br />drift: -0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.86046511627907<br />init_drift: 0<br />init_half_min_move: 0.43631765257181<br />init_liq_cost: 37<br />init_min_duration: 0<br />init_opt_t_minutes: 3.8892061949894<br />init_vol_normal: 41.502471908765<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 35<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 89.257<br />slip_toler: 0<br />slippage: 0.050000000000182<br />slippage_sweep: -0.81046511627846<br />sweep_residual: 7<br />sweep_to_fill: 5289.3895348837<br />total_dollar: 264510<br />total_drift: -0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.380868129658<br />worst_opt_t_minutes: 1.3533986205081

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.25<br />avg_total: 5290.2<br />destination_price: 5290.375<br />market_vwap: 228072.48175966<br />n_kids: 35<br />slippage: 0.050000000000182<br />slippage_vwap: 222782.28175966<br />slippage_vwap_pct: 4211.226073866<br />total_dollar: 264510<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>2025-04-20T18:11:34.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:36.359</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:37.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:38.536</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:40.051</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:44.471</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:44.471</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:49.666</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:51.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:57.534</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:57.534</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:58.823</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:59.681</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.092</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.092</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:16.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:16.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:17.853</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:20.094</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:26.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:28.271</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:30.054</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:32.046</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:34.287</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:37.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:37.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:43.251</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:43.251</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:57.861</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:57.861</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:57.861</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:12:57.986</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:12:57.986</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:12:58.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:58.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:00.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:01.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:01.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:02.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</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>2025-04-20T18:11:34.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:36.359</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:37.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:38.536</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:40.051</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:44.471</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:44.471</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:49.666</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:51.478</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:57.534</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:57.534</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:58.823</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:11:59.681</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.092</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.092</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:02.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:16.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:16.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:17.853</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:20.094</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:26.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:28.271</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:30.054</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:32.046</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:34.287</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:37.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:37.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:43.251</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:43.251</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:57.861</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:57.861</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:57.861</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:12:57.986</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:12:57.986</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:12:58.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:12:58.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:00.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:01.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:01.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:13:02.36</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5290.20

Computed VWAP Slippage

222782.28

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.86

Computed Drift

-0.13

Computed Seconds Spent

89.26

Computed Volatility

41.54