SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:15

Buy / Sell

Sell

Quantity

50

Arrival Price

5286.6250

Average Total

5286.6100

Destination Price

5287.5000

Slippage

0.0150

Slippage Sweep

-0.6164

Sweep to Fill

5285.9936

Algo Diagnostics

{ "customState": { "curr_opt_t_minutes": { "asDouble": 0 }, "init_cost_per_share": { "asDouble": 0.6314102564102564 }, "init_drift": { "asDouble": -0 }, "order_time_minutes": { "asDouble": 10 }, "seconds_spent": { "asDouble": 53.681 }, "arrival_price": { "asDouble": 5286.625 }, "curr_half_min_move": { "asDouble": 0.39690250028756147 }, "total_sent": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 13.5 }, "algo_status": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 24.625 }, "avg_total": { "asDouble": 5286.61 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "market_vwap": { "asDouble": 147061.66964285713 }, "slippage": { "asDouble": 0.015000000000327418 }, "drift": { "asDouble": -0.875 }, "sweep_to_fill": { "asDouble": 5285.99358974359 }, "model_size": { "asDouble": 1 }, "worst_opt_t_minutes": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 37.75330833306648 }, "init_vol_normal": { "asDouble": 37.66236857765709 }, "destination_price": { "asDouble": 5287.5 }, "sweep_residual": { "asDouble": 11 }, "last_tactical_qty": { "asInt32": 1 }, "total_dollar": { "asDouble": 264330.5 }, "impact_model": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.6164102564098357 }, "total_vol": { "asDouble": 55.34291989526977 }, "slippage_vwap": { "asDouble": 141775.05964285714 }, "total_drift": { "asDouble": -0.875 }, "last_aggressive_qty": { "asInt32": 4 }, "curr_cost_per_share": { "asDouble": 0.7105263157894737 }, "init_opt_t_minutes": { "asDouble": 2.5430234578726716 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": 2681.7764057280024 }, "init_half_min_move": { "asDouble": 0.3959464458941532 }, "n_kids": { "asInt32": 26 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.625<br />avg_total: 5286.61<br />curr_cost_per_share: 0.71052631578947<br />curr_half_min_move: 0.39690250028756<br />curr_liq_cost: 13.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 37.753308333066<br />destination_price: 5287.5<br />drift: -0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.63141025641026<br />init_drift: 0<br />init_half_min_move: 0.39594644589415<br />init_liq_cost: 24.625<br />init_min_duration: 0<br />init_opt_t_minutes: 2.5430234578727<br />init_vol_normal: 37.662368577657<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 53.681<br />slip_toler: 0<br />slippage: 0.015000000000327<br />slippage_sweep: -0.61641025640984<br />sweep_residual: 11<br />sweep_to_fill: 5285.9935897436<br />total_dollar: 264330.5<br />total_drift: -0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.34291989527<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.625<br />avg_total: 5286.61<br />destination_price: 5287.5<br />market_vwap: 147061.66964286<br />n_kids: 26<br />slippage: 0.015000000000327<br />slippage_vwap: 141775.05964286<br />slippage_vwap_pct: 2681.776405728<br />total_dollar: 264330.5<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>2025-04-20T17:14:53.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:57.064</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:57.064</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:59.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:59.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:59.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:02.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:14.548</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:17.373</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:20.348</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:22.201</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:23.034</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:23.034</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:24.564</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:39.271</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:39.271</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:40.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:40.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:40.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:41.338</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:41.338</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:42.219</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:43.18</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:44.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:44.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:46.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:46.626</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:46.626</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</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>2025-04-20T17:14:53.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:14:57.064</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:57.064</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:59.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:59.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:14:59.672</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:02.831</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:14.548</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:17.373</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:20.348</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:22.201</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:23.034</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:23.034</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:24.564</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:24.565</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:39.271</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:39.271</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:40.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:40.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:40.157</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:41.338</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:41.338</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:42.219</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:43.18</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:44.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:44.323</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:46.364</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:15:46.626</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:15:46.626</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5286.61

Computed VWAP Slippage

141775.06

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.63

Computed Drift

-0.88

Computed Seconds Spent

53.68

Computed Volatility

37.75