SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:06

Buy / Sell

Sell

Quantity

50

Arrival Price

5290.7500

Average Total

5291.8550

Destination Price

5292.5000

Slippage

-1.1050

Slippage Sweep

-1.9432

Sweep to Fill

5289.9118

Algo Diagnostics

{ "customState": { "avg_total": { "asDouble": 5291.855 }, "init_vol_normal": { "asDouble": 41.224375461744344 }, "ready": { "asBool": true }, "sweep_residual": { "asDouble": 16 }, "init_liq_cost": { "asDouble": 28.5 }, "init_cost_per_share": { "asDouble": 0.8382352941176471 }, "total_vol": { "asDouble": 55.38610236888346 }, "curr_liq_cost": { "asDouble": 28 }, "init_drift": { "asDouble": -0 }, "slippage": { "asDouble": -1.1049999999995634 }, "order_time_minutes": { "asDouble": 10 }, "curr_cost_per_share": { "asDouble": 0.8484848484848485 }, "slippage_vwap_pct": { "asDouble": 2895.4866913208316 }, "init_min_duration": { "asDouble": 0 }, "destination_price": { "asDouble": 5292.5 }, "total_sent": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.43353542468978146 }, "seconds_spent": { "asDouble": 37.46 }, "total_drift": { "asDouble": -1.75 }, "arrival_price": { "asDouble": 5290.75 }, "init_half_min_move": { "asDouble": 0.4333940101145709 }, "model_size": { "asDouble": 3 }, "sweep_to_fill": { "asDouble": 5289.911764705882 }, "total_filled": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.7408136701974417 }, "impact_model": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "slippage_vwap": { "asDouble": 153224.95724899598 }, "drift": { "asDouble": -1.75 }, "daily_vol_normal": { "asDouble": 41.23782679565342 }, "market_vwap": { "asDouble": 158516.812248996 }, "last_tactical_qty": { "asInt32": 3 }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 264592.75 }, "curr_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 28 }, "slippage_sweep": { "asDouble": -1.943235294117585 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5290.75<br />avg_total: 5291.855<br />curr_cost_per_share: 0.84848484848485<br />curr_half_min_move: 0.43353542468978<br />curr_liq_cost: 28<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.237826795653<br />destination_price: 5292.5<br />drift: -1.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83823529411765<br />init_drift: 0<br />init_half_min_move: 0.43339401011457<br />init_liq_cost: 28.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.7408136701974<br />init_vol_normal: 41.224375461744<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 37.46<br />slip_toler: 0<br />slippage: -1.1049999999996<br />slippage_sweep: -1.9432352941176<br />sweep_residual: 16<br />sweep_to_fill: 5289.9117647059<br />total_dollar: 264592.75<br />total_drift: -1.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.386102368883<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.75<br />avg_total: 5291.855<br />destination_price: 5292.5<br />market_vwap: 158516.812249<br />n_kids: 28<br />slippage: -1.1049999999996<br />slippage_vwap: 153224.957249<br />slippage_vwap_pct: 2895.4866913208<br />total_dollar: 264592.75<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>2025-04-20T18:05:30.08</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:32.419</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:34.567</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.162</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:36.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:37.25</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:37.67</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:40.159</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:40.159</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:42.427</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:43.664</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:45.392</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:49.585</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:51.15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.192</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.192</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.193</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.286</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:54.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:01.327</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:02.563</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:03.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:03.413</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.415</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.416</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:17.413</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</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>2025-04-20T18:05:30.08</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:32.419</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:34.567</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.162</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:36.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:37.25</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:37.67</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:40.159</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:40.159</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:42.427</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:43.664</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:45.392</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:49.585</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:51.15</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.192</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.192</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.193</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.286</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:54.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:00.524</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:06:01.327</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>8</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:02.563</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:03.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:03.413</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.415</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.416</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:17.413</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5291.86

Computed VWAP Slippage

153224.96

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.84

Computed Drift

-1.75

Computed Seconds Spent

37.46

Computed Volatility

41.24