SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:58

Buy / Sell

Sell

Quantity

50

Arrival Price

5293.5000

Average Total

5292.7100

Destination Price

5292.8750

Slippage

0.7900

Slippage Sweep

0.0043

Sweep to Fill

5292.7143

Algo Diagnostics

{ "customState": { "init_half_min_move": { "asDouble": 0.4511420958306689 }, "sweep_to_fill": { "asDouble": 5292.714285714285 }, "total_sent": { "asInt32": 50 }, "market_vwap": { "asDouble": 157948.79702970298 }, "total_dollar": { "asDouble": 264635.5 }, "init_drift": { "asDouble": -0 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "drift": { "asDouble": -0.625 }, "init_vol_normal": { "asDouble": 42.912570804117045 }, "worst_opt_t_minutes": { "asDouble": 0.3562277933889334 }, "order_time_minutes": { "asDouble": 10 }, "curr_liq_cost": { "asDouble": 23.125 }, "sweep_residual": { "asDouble": 15 }, "daily_vol_normal": { "asDouble": 42.944970228693975 }, "last_aggressive_qty": { "asInt32": 3 }, "total_vol": { "asDouble": 55.414890684625924 }, "curr_half_min_move": { "asDouble": 0.4514827126716889 }, "total_filled": { "asInt32": 50 }, "total_drift": { "asDouble": -0.625 }, "slippage_vwap_pct": { "asDouble": 2884.270761664686 }, "seconds_spent": { "asDouble": 35.136 }, "init_opt_t_minutes": { "asDouble": 3.033210798230694 }, "slippage_sweep": { "asDouble": 0.0042857142852881225 }, "n_kids": { "asInt32": 20 }, "init_liq_cost": { "asDouble": 27.5 }, "avg_total": { "asDouble": 5292.71 }, "impact_model": { "asInt32": 2 }, "destination_price": { "asDouble": 5292.875 }, "slip_toler": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "init_cost_per_share": { "asDouble": 0.7857142857142857 }, "slippage": { "asDouble": 0.7899999999999636 }, "slippage_vwap": { "asDouble": 152656.087029703 }, "curr_cost_per_share": { "asDouble": 0.7459677419354839 }, "curr_opt_t_minutes": { "asDouble": 0.593138548965204 }, "last_tactical_qty": { "asInt32": 2 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 5293.5 }, "model_size": { "asDouble": 2 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:57:39.229","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:41.821","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:57:43.262","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:44.512","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:47.578","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:47.578","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:48.312","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:48.312","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:49.612","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:49.612","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:50.222","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:50.223","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:51.612","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:05.254","Security":"SIM:ESM5","Side":"Sell","LastShares":5.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:06.779","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:06.779","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:08.431","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:08.431","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:58:08.431","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:58:08.432","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:58:08.432","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:58:10.967","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:10.967","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:10.967","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:58:14.454","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5293.5<br />avg_total: 5292.71<br />curr_cost_per_share: 0.74596774193548<br />curr_half_min_move: 0.45148271267169<br />curr_liq_cost: 23.125<br />curr_opt_t_minutes: 0.5931385489652<br />daily_vol_normal: 42.944970228694<br />destination_price: 5292.875<br />drift: -0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78571428571429<br />init_drift: 0<br />init_half_min_move: 0.45114209583067<br />init_liq_cost: 27.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.0332107982307<br />init_vol_normal: 42.912570804117<br />last_aggressive_qty: 3<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 35.136<br />slip_toler: 0<br />slippage: 0.78999999999996<br />slippage_sweep: 0.0042857142852881<br />sweep_residual: 15<br />sweep_to_fill: 5292.7142857143<br />total_dollar: 264635.5<br />total_drift: -0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.414890684626<br />worst_opt_t_minutes: 0.35622779338893

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5293.5<br />avg_total: 5292.71<br />destination_price: 5292.875<br />market_vwap: 157948.7970297<br />n_kids: 20<br />slippage: 0.78999999999996<br />slippage_vwap: 152656.0870297<br />slippage_vwap_pct: 2884.2707616647<br />total_dollar: 264635.5<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>2025-04-20T18:57:39.229</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:41.821</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:57:43.262</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:44.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:47.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:47.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:48.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:48.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:49.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:49.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:50.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:50.223</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:51.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:05.254</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:06.779</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:06.779</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:08.431</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:08.431</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:08.431</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:08.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:08.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:10.967</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:10.967</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:10.967</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:14.454</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</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>2025-04-20T18:57:39.229</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:41.821</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:57:43.262</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:44.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:47.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:47.578</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:48.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:48.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:49.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:49.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:50.222</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:50.223</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:51.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:05.254</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:06.779</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:06.779</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:08.431</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:08.431</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:08.431</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:08.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:08.432</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:58:10.967</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:10.967</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:10.967</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:58:14.454</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5292.71

Computed VWAP Slippage

152656.09

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.79

Computed Drift

-0.63

Computed Seconds Spent

35.14

Computed Volatility

42.95