SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:29

Buy / Sell

Sell

Quantity

50

Arrival Price

5290.6250

Average Total

5289.0900

Destination Price

5288.0000

Slippage

1.5350

Slippage Sweep

0.9050

Sweep to Fill

5289.9950

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.63 }, "last_aggressive_qty": { "asInt32": 3 }, "last_tactical_qty": { "asInt32": 3 }, "drift": { "asDouble": -2.625 }, "impact_model": { "asInt32": 2 }, "init_drift": { "asDouble": -0 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.4090828105217906 }, "algo_status": { "asInt32": 4 }, "slip_toler": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.755 }, "daily_vol_normal": { "asDouble": 38.913704631261155 }, "slippage_sweep": { "asDouble": 0.9049999999997453 }, "init_liq_cost": { "asDouble": 31.5 }, "total_drift": { "asDouble": -2.625 }, "n_kids": { "asInt32": 12 }, "model_size": { "asDouble": 3 }, "init_min_duration": { "asDouble": 0 }, "slippage": { "asDouble": 1.5349999999998545 }, "avg_total": { "asDouble": 5289.09 }, "init_vol_normal": { "asDouble": 38.9118976781376 }, "economic_model": { "asInt32": 0 }, "ready": { "asBool": true }, "total_vol": { "asDouble": 55.38479380907699 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 1562.1337336084107 }, "market_vwap": { "asDouble": 87911.74909090908 }, "slippage_vwap": { "asDouble": 82622.65909090909 }, "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 37.75 }, "total_dollar": { "asDouble": 264454.5 }, "init_opt_t_minutes": { "asDouble": 2.3716939015581917 }, "curr_half_min_move": { "asDouble": 0.40910180711425637 }, "destination_price": { "asDouble": 5288 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "sweep_to_fill": { "asDouble": 5289.995 }, "arrival_price": { "asDouble": 5290.625 }, "seconds_spent": { "asDouble": 8.626 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:29:29.735","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:30.112","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:30.712","Security":"SIM:ESM5","Side":"Sell","LastShares":14.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:30.717","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:30.718","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:30.718","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:30.718","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:30.718","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:31.447","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:32.519","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:32.519","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:33.612","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:33.612","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:33.714","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:34.636","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:34.636","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:41.389","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:41.39","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:41.39","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5290.625<br />avg_total: 5289.09<br />curr_cost_per_share: 0.755<br />curr_half_min_move: 0.40910180711426<br />curr_liq_cost: 37.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 38.913704631261<br />destination_price: 5288<br />drift: -2.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.63<br />init_drift: 0<br />init_half_min_move: 0.40908281052179<br />init_liq_cost: 31.5<br />init_min_duration: 0<br />init_opt_t_minutes: 2.3716939015582<br />init_vol_normal: 38.911897678138<br />last_aggressive_qty: 3<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 8.626<br />slip_toler: 0<br />slippage: 1.5349999999999<br />slippage_sweep: 0.90499999999975<br />sweep_residual: 0<br />sweep_to_fill: 5289.995<br />total_dollar: 264454.5<br />total_drift: -2.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.384793809077<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.625<br />avg_total: 5289.09<br />destination_price: 5288<br />market_vwap: 87911.749090909<br />n_kids: 12<br />slippage: 1.5349999999999<br />slippage_vwap: 82622.659090909<br />slippage_vwap_pct: 1562.1337336084<br />total_dollar: 264454.5<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>2025-04-20T17:29:29.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>14</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.717</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:31.447</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:32.519</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:32.519</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:33.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:33.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:33.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:34.636</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:34.636</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:41.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:41.39</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:41.39</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</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>2025-04-20T17:29:29.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>14</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.717</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:30.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:31.447</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:32.519</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:32.519</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:33.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:33.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:33.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:34.636</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:34.636</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:41.389</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:41.39</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:41.39</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5289.09

Computed VWAP Slippage

82622.66

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.63

Computed Drift

-2.63

Computed Seconds Spent

8.63

Computed Volatility

38.91