SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:45

Buy / Sell

Sell

Quantity

50

Arrival Price

5290.7500

Average Total

5290.8200

Destination Price

5291.2500

Slippage

-0.0700

Slippage Sweep

-0.9606

Sweep to Fill

5289.8594

Algo Diagnostics

{ "customState": { "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "slippage": { "asDouble": -0.06999999999970896 }, "model_size": { "asDouble": 2 }, "worst_opt_t_minutes": { "asDouble": 0.9023833863284468 }, "drift": { "asDouble": -0.5 }, "n_kids": { "asInt32": 28 }, "init_half_min_move": { "asDouble": 0.447221407329692 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.960624999999709 }, "daily_vol_normal": { "asDouble": 42.57304512051592 }, "total_vol": { "asDouble": 55.38610236888346 }, "curr_liq_cost": { "asDouble": 26 }, "curr_half_min_move": { "asDouble": 0.4475726446041892 }, "last_tactical_qty": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 3.9659259000545735 }, "market_vwap": { "asDouble": 229319.79555555555 }, "arrival_price": { "asDouble": 5290.75 }, "total_drift": { "asDouble": -0.5 }, "init_liq_cost": { "asDouble": 28.5 }, "init_vol_normal": { "asDouble": 42.53963548184508 }, "curr_opt_t_minutes": { "asDouble": 1.5272961920955328 }, "destination_price": { "asDouble": 5291.25 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.890625 }, "slippage_vwap_pct": { "asDouble": 4234.295923043225 }, "curr_cost_per_share": { "asDouble": 0.8387096774193549 }, "total_sent": { "asInt32": 50 }, "total_dollar": { "asDouble": 264541 }, "avg_total": { "asDouble": 5290.82 }, "sweep_to_fill": { "asDouble": 5289.859375 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 18 }, "last_aggressive_qty": { "asInt32": 2 }, "init_drift": { "asDouble": -0 }, "slippage_vwap": { "asDouble": 224028.97555555555 }, "economic_model": { "asInt32": 0 }, "seconds_spent": { "asDouble": 56.639 }, "impact_model": { "asInt32": 2 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5290.75<br />avg_total: 5290.82<br />curr_cost_per_share: 0.83870967741935<br />curr_half_min_move: 0.44757264460419<br />curr_liq_cost: 26<br />curr_opt_t_minutes: 1.5272961920955<br />daily_vol_normal: 42.573045120516<br />destination_price: 5291.25<br />drift: -0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.890625<br />init_drift: 0<br />init_half_min_move: 0.44722140732969<br />init_liq_cost: 28.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.9659259000546<br />init_vol_normal: 42.539635481845<br />last_aggressive_qty: 2<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 56.639<br />slip_toler: 0<br />slippage: -0.069999999999709<br />slippage_sweep: -0.96062499999971<br />sweep_residual: 18<br />sweep_to_fill: 5289.859375<br />total_dollar: 264541<br />total_drift: -0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.386102368883<br />worst_opt_t_minutes: 0.90238338632845

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.75<br />avg_total: 5290.82<br />destination_price: 5291.25<br />market_vwap: 229319.79555556<br />n_kids: 28<br />slippage: -0.069999999999709<br />slippage_vwap: 224028.97555556<br />slippage_vwap_pct: 4234.2959230432<br />total_dollar: 264541<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>2025-04-20T18:45:00.514</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:02.354</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:03.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:04.577</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:06.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:09.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:09.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:10.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:11.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:11.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:45:12.423</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:23.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:31.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:31.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:32.764</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:32.764</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:37.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:37.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:38.763</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:41.227</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:41.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:41.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:42.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:45:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:45:45.933</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:45.933</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:47.35</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:48.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:54.515</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:54.515</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:55.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</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>2025-04-20T18:45:00.514</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:02.354</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:03.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:04.577</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:06.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:09.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:09.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:10.377</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:11.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:11.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:45:12.423</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:23.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:31.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:31.714</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:32.764</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:32.764</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:37.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:37.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:38.763</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:41.227</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:41.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:41.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:42.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:45:44.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:45:45.933</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:45.933</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:47.35</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:48.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:54.515</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:54.515</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:45:55.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5290.82

Computed VWAP Slippage

224028.98

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.89

Computed Drift

-0.50

Computed Seconds Spent

56.64

Computed Volatility

42.57