SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:49

Buy / Sell

Sell

Quantity

50

Arrival Price

5290.5000

Average Total

5290.9450

Destination Price

5291.2500

Slippage

-0.4450

Slippage Sweep

-1.2997

Sweep to Fill

5289.6453

Algo Diagnostics

{ "customState": { "last_aggressive_qty": { "asInt32": 4 }, "total_filled": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.831081081081081 }, "total_drift": { "asDouble": -0.75 }, "sweep_residual": { "asDouble": 7 }, "n_kids": { "asInt32": 20 }, "init_vol_normal": { "asDouble": 42.63850059153424 }, "seconds_spent": { "asDouble": 21.872 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.635099375617992 }, "last_tactical_qty": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 0.8546511627906976 }, "init_liq_cost": { "asDouble": 36.75 }, "avg_total": { "asDouble": 5290.945 }, "total_vol": { "asDouble": 55.383485249270514 }, "impact_model": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 0.5366666062002322 }, "init_drift": { "asDouble": -0 }, "model_size": { "asDouble": 6 }, "drift": { "asDouble": -0.75 }, "algo_status": { "asInt32": 4 }, "destination_price": { "asDouble": 5291.25 }, "slippage_vwap_pct": { "asDouble": 3958.829372674751 }, "economic_model": { "asInt32": 0 }, "ready": { "asBool": true }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -1.299651162790724 }, "total_dollar": { "asDouble": 264547.25 }, "market_vwap": { "asDouble": 214750.42975206612 }, "slippage_vwap": { "asDouble": 209459.4847520661 }, "slip_toler": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 42.65571936846835 }, "arrival_price": { "asDouble": 5290.5 }, "init_half_min_move": { "asDouble": 0.44826078138614944 }, "curr_half_min_move": { "asDouble": 0.4484418032864489 }, "slippage": { "asDouble": -0.44499999999970896 }, "sweep_to_fill": { "asDouble": 5289.645348837209 }, "curr_liq_cost": { "asDouble": 30.75 }, "worst_opt_t_minutes": { "asDouble": 0.31834537822698805 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:48:55.612","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:48:58.172","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:48:59.012","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:01.212","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:01.54","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:06.562","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:06.563","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:07.924","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:09.712","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:11.212","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:11.212","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:11.713","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:11.713","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:49:12.819","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:14.242","Security":"SIM:ESM5","Side":"Sell","LastShares":6.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:14.242","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:14.242","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:49:15.35","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:15.35","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:49:17.755","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:17.755","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:49:17.755","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5290.5<br />avg_total: 5290.945<br />curr_cost_per_share: 0.83108108108108<br />curr_half_min_move: 0.44844180328645<br />curr_liq_cost: 30.75<br />curr_opt_t_minutes: 0.53666660620023<br />daily_vol_normal: 42.655719368468<br />destination_price: 5291.25<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.8546511627907<br />init_drift: 0<br />init_half_min_move: 0.44826078138615<br />init_liq_cost: 36.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.635099375618<br />init_vol_normal: 42.638500591534<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 6<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 21.872<br />slip_toler: 0<br />slippage: -0.44499999999971<br />slippage_sweep: -1.2996511627907<br />sweep_residual: 7<br />sweep_to_fill: 5289.6453488372<br />total_dollar: 264547.25<br />total_drift: -0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.383485249271<br />worst_opt_t_minutes: 0.31834537822699

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.5<br />avg_total: 5290.945<br />destination_price: 5291.25<br />market_vwap: 214750.42975207<br />n_kids: 20<br />slippage: -0.44499999999971<br />slippage_vwap: 209459.48475207<br />slippage_vwap_pct: 3958.8293726748<br />total_dollar: 264547.25<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>2025-04-20T18:48:55.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:48:58.172</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:48:59.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:01.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:01.54</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:06.562</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:06.563</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:07.924</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:09.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:49:12.819</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:14.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:14.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:14.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:49:15.35</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:15.35</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:49:17.755</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:17.755</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:17.755</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</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>2025-04-20T18:48:55.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:48:58.172</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:48:59.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:01.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:01.54</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:06.562</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:06.563</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:07.924</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:09.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.212</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:11.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:49:12.819</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:14.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>6</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:14.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:14.242</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:49:15.35</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:15.35</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:49:17.755</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:17.755</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:49:17.755</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5290.95

Computed VWAP Slippage

209459.48

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.85

Computed Drift

-0.75

Computed Seconds Spent

21.87

Computed Volatility

42.66