SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:55

Buy / Sell

Sell

Quantity

50

Arrival Price

5285.7500

Average Total

5284.9000

Destination Price

5284.7500

Slippage

0.8500

Slippage Sweep

0.0274

Sweep to Fill

5284.9274

Algo Diagnostics

{ "customState": { "last_tactical_qty": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "arrival_price": { "asDouble": 5285.75 }, "n_kids": { "asInt32": 29 }, "sweep_residual": { "asDouble": 19 }, "avg_total": { "asDouble": 5284.9 }, "init_vol_normal": { "asDouble": 40.6029480507251 }, "ready": { "asBool": true }, "seconds_spent": { "asDouble": 30.872 }, "algo_status": { "asInt32": 4 }, "last_aggressive_qty": { "asInt32": 3 }, "curr_liq_cost": { "asDouble": 26.5 }, "drift": { "asDouble": -1 }, "init_opt_t_minutes": { "asDouble": 3.7135065881037206 }, "sweep_to_fill": { "asDouble": 5284.927419354839 }, "slippage_vwap_pct": { "asDouble": 4599.64238280795 }, "impact_model": { "asInt32": 2 }, "slippage_vwap": { "asDouble": 243086.50028901733 }, "slip_toler": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.803030303030303 }, "model_size": { "asDouble": 5 }, "curr_half_min_move": { "asDouble": 0.42696811558811504 }, "total_filled": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 40.6131453052266 }, "init_liq_cost": { "asDouble": 25.5 }, "order_time_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": -0 }, "init_cost_per_share": { "asDouble": 0.8225806451612904 }, "market_vwap": { "asDouble": 248371.40028901733 }, "slippage": { "asDouble": 0.8500000000003638 }, "slippage_sweep": { "asDouble": 0.02741935483936686 }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "destination_price": { "asDouble": 5284.75 }, "total_drift": { "asDouble": -1 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.42686091131949816 }, "total_vol": { "asDouble": 55.33375997662444 }, "total_dollar": { "asDouble": 264245 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5284.9<br />curr_cost_per_share: 0.8030303030303<br />curr_half_min_move: 0.42696811558812<br />curr_liq_cost: 26.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.613145305227<br />destination_price: 5284.75<br />drift: -1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.82258064516129<br />init_drift: 0<br />init_half_min_move: 0.4268609113195<br />init_liq_cost: 25.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.7135065881037<br />init_vol_normal: 40.602948050725<br />last_aggressive_qty: 3<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 29<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 30.872<br />slip_toler: 0<br />slippage: 0.85000000000036<br />slippage_sweep: 0.027419354839367<br />sweep_residual: 19<br />sweep_to_fill: 5284.9274193548<br />total_dollar: 264245<br />total_drift: -1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.333759976624<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5284.9<br />destination_price: 5284.75<br />market_vwap: 248371.40028902<br />n_kids: 29<br />slippage: 0.85000000000036<br />slippage_vwap: 243086.50028902<br />slippage_vwap_pct: 4599.6423828079<br />total_dollar: 264245<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>2025-04-20T17:55:13.825</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:13.825</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:14.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:14.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:15.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:16.654</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:17.625</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:19.037</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:19.037</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:22.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:22.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:23.839</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:26.866</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:26.866</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:26.866</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:30.668</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:32.833</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.833</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:33.752</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:35.901</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:35.901</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:36.67</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:39.378</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:39.378</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:41.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:41.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</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>2025-04-20T17:55:13.825</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:13.825</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:14.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:14.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:15.641</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:16.654</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:17.625</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:19.037</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:19.037</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:22.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:22.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:23.839</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:26.866</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:26.866</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:26.866</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:30.668</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5285</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:32.833</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:32.833</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:33.752</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:35.901</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:35.901</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:36.67</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:38.246</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:39.378</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:39.378</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:41.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:41.661</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5284.90

Computed VWAP Slippage

243086.50

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.82

Computed Drift

-1.00

Computed Seconds Spent

30.87

Computed Volatility

40.61