SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 19:09

Buy / Sell

Sell

Quantity

50

Arrival Price

5296.2500

Average Total

5296.4950

Destination Price

5297.0000

Slippage

-0.2450

Slippage Sweep

-1.1093

Sweep to Fill

5295.3857

Algo Diagnostics

{ "customState": { "last_tactical_qty": { "asInt32": 4 }, "slippage_vwap_pct": { "asDouble": 3574.3616546972517 }, "init_drift": { "asDouble": -0 }, "economic_model": { "asInt32": 0 }, "market_vwap": { "asDouble": 194612.3813229572 }, "sweep_residual": { "asDouble": 15 }, "impact_model": { "asInt32": 2 }, "total_dollar": { "asDouble": 264824.75 }, "total_vol": { "asDouble": 55.443679000368384 }, "ready": { "asBool": true }, "curr_opt_t_minutes": { "asDouble": 0.6388930144877583 }, "total_drift": { "asDouble": -0.75 }, "n_kids": { "asInt32": 26 }, "init_cost_per_share": { "asDouble": 0.8642857142857143 }, "init_liq_cost": { "asDouble": 30.25 }, "total_sent": { "asInt32": 50 }, "model_size": { "asDouble": 4 }, "curr_cost_per_share": { "asDouble": 0.8581081081081081 }, "init_opt_t_minutes": { "asDouble": 3.534724614669124 }, "avg_total": { "asDouble": 5296.495 }, "slippage_vwap": { "asDouble": 189315.8863229572 }, "init_vol_normal": { "asDouble": 43.727104738863524 }, "worst_opt_t_minutes": { "asDouble": 0.39785565268642864 }, "drift": { "asDouble": -0.75 }, "init_half_min_move": { "asDouble": 0.4597053335850351 }, "daily_vol_normal": { "asDouble": 43.75228476641047 }, "last_aggressive_qty": { "asInt32": 4 }, "slippage": { "asDouble": -0.24499999999989086 }, "total_filled": { "asInt32": 50 }, "algo_status": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.4599700525284061 }, "slip_toler": { "asDouble": 0 }, "destination_price": { "asDouble": 5297 }, "init_min_duration": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 31.75 }, "arrival_price": { "asDouble": 5296.25 }, "slippage_sweep": { "asDouble": -1.109285714285761 }, "order_time_minutes": { "asDouble": 10 }, "sweep_to_fill": { "asDouble": 5295.385714285714 }, "seconds_spent": { "asDouble": 35.663 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5296.25<br />avg_total: 5296.495<br />curr_cost_per_share: 0.85810810810811<br />curr_half_min_move: 0.45997005252841<br />curr_liq_cost: 31.75<br />curr_opt_t_minutes: 0.63889301448776<br />daily_vol_normal: 43.75228476641<br />destination_price: 5297<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.86428571428571<br />init_drift: 0<br />init_half_min_move: 0.45970533358504<br />init_liq_cost: 30.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5347246146691<br />init_vol_normal: 43.727104738864<br />last_aggressive_qty: 4<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 35.663<br />slip_toler: 0<br />slippage: -0.24499999999989<br />slippage_sweep: -1.1092857142858<br />sweep_residual: 15<br />sweep_to_fill: 5295.3857142857<br />total_dollar: 264824.75<br />total_drift: -0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.443679000368<br />worst_opt_t_minutes: 0.39785565268643

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5296.25<br />avg_total: 5296.495<br />destination_price: 5297<br />market_vwap: 194612.38132296<br />n_kids: 26<br />slippage: -0.24499999999989<br />slippage_vwap: 189315.88632296<br />slippage_vwap_pct: 3574.3616546973<br />total_dollar: 264824.75<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>2025-04-20T19:08:29.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:30.624</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:34.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:34.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:34.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:35.135</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:08:38.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:40.828</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:42.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:44.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:46.05</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:49.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:51.429</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:08:53.662</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:53.662</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:54.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:55.439</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:56.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:56.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:57.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:57.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:58.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:59.138</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5297</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:59.138</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:00.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:00.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:09:01.213</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5297</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:01.213</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:02.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5297</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:03.125</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5296.75</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>2025-04-20T19:08:29.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:30.624</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:34.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:34.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:34.115</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:35.135</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:08:38.735</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:40.828</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:42.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:44.012</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:46.05</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:49.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:51.429</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:08:53.662</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:53.662</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>5</td>
<td>5296.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:54.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:55.439</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:56.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:56.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:57.318</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:57.612</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:58.013</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:59.138</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5297</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:08:59.138</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:00.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:00.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5296.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:09:01.213</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5297</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:01.213</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:02.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5297</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:09:03.125</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5296.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5296.50

Computed VWAP Slippage

189315.89

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.86

Computed Drift

-0.75

Computed Seconds Spent

35.66

Computed Volatility

43.75