SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:16

Buy / Sell

Sell

Quantity

50

Arrival Price

5287.2500

Average Total

5286.9700

Destination Price

5287.1250

Slippage

0.2800

Slippage Sweep

-0.5495

Sweep to Fill

5286.4205

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 4.362392928515615 }, "curr_cost_per_share": { "asDouble": 0.625 }, "destination_price": { "asDouble": 5287.125 }, "total_sent": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": 2527.0007961154424 }, "economic_model": { "asInt32": 0 }, "market_vwap": { "asDouble": 138888.74399038462 }, "total_dollar": { "asDouble": 264348.5 }, "impact_model": { "asInt32": 2 }, "total_filled": { "asInt32": 50 }, "algo_status": { "asInt32": 4 }, "daily_vol_normal": { "asDouble": 37.865420764266155 }, "seconds_spent": { "asDouble": 57.202 }, "total_vol": { "asDouble": 55.34946269430215 }, "curr_opt_t_minutes": { "asDouble": 1.9809361678244706 }, "order_time_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": -0 }, "sweep_to_fill": { "asDouble": 5286.420454545455 }, "ready": { "asBool": true }, "init_vol_normal": { "asDouble": 37.778871236459054 }, "last_aggressive_qty": { "asInt32": 3 }, "curr_liq_cost": { "asDouble": 9.375 }, "drift": { "asDouble": -0.125 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 5287.25 }, "slippage_vwap": { "asDouble": 133601.77399038462 }, "sweep_residual": { "asDouble": 28 }, "total_drift": { "asDouble": -0.125 }, "n_kids": { "asInt32": 20 }, "slippage": { "asDouble": 0.27999999999974534 }, "slippage_sweep": { "asDouble": -0.5495454545452958 }, "init_min_duration": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.3971712444246742 }, "last_tactical_qty": { "asInt32": 1 }, "curr_half_min_move": { "asDouble": 0.3980811441262392 }, "avg_total": { "asDouble": 5286.97 }, "worst_opt_t_minutes": { "asDouble": 0.9271056696453118 }, "init_liq_cost": { "asDouble": 18.25 }, "init_cost_per_share": { "asDouble": 0.8295454545454546 }, "model_size": { "asDouble": 1 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:15:48.761","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:15:50.831","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:15:51.68","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:15:52.984","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:15:55.541","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:15:55.541","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:15:55.541","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:16:00.012","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:00.794","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:16:01.84","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:02.857","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:16:02.857","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:16:03.133","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:16:03.938","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:03.938","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:04.831","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:05.912","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:21.203","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:21.569","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:35.612","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:35.612","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:16:42.162","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:42.162","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:43.144","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:43.144","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:16:44.261","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5286.97<br />curr_cost_per_share: 0.625<br />curr_half_min_move: 0.39808114412624<br />curr_liq_cost: 9.375<br />curr_opt_t_minutes: 1.9809361678245<br />daily_vol_normal: 37.865420764266<br />destination_price: 5287.125<br />drift: -0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.82954545454545<br />init_drift: 0<br />init_half_min_move: 0.39717124442467<br />init_liq_cost: 18.25<br />init_min_duration: 0<br />init_opt_t_minutes: 4.3623929285156<br />init_vol_normal: 37.778871236459<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 57.202<br />slip_toler: 0<br />slippage: 0.27999999999975<br />slippage_sweep: -0.5495454545453<br />sweep_residual: 28<br />sweep_to_fill: 5286.4204545455<br />total_dollar: 264348.5<br />total_drift: -0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.349462694302<br />worst_opt_t_minutes: 0.92710566964531

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5286.97<br />destination_price: 5287.125<br />market_vwap: 138888.74399038<br />n_kids: 20<br />slippage: 0.27999999999975<br />slippage_vwap: 133601.77399038<br />slippage_vwap_pct: 2527.0007961154<br />total_dollar: 264348.5<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>2025-04-20T17:15:48.761</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:50.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:51.68</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:52.984</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:55.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:55.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:55.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:00.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:00.794</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:01.84</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:02.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:02.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:03.133</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:03.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:03.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:04.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:05.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.203</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.569</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:35.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:35.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:42.162</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:42.162</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:43.144</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:43.144</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:44.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</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>2025-04-20T17:15:48.761</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:50.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:51.68</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:52.984</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:55.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:55.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:55.541</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:00.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:00.794</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:01.84</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:02.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:02.857</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:03.133</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:03.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:03.938</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:04.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:05.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.203</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.569</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:35.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:35.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:42.162</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:42.162</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:43.144</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:43.144</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:44.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.97

Computed VWAP Slippage

133601.77

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.83

Computed Drift

-0.13

Computed Seconds Spent

57.20

Computed Volatility

37.87