SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:44

Buy / Sell

Sell

Quantity

50

Arrival Price

5288.0000

Average Total

5287.5350

Destination Price

5289.1250

Slippage

0.4650

Slippage Sweep

-0.3438

Sweep to Fill

5287.1912

Algo Diagnostics

{ "customState": { "init_liq_cost": { "asDouble": 27.5 }, "seconds_spent": { "asDouble": 43.524 }, "market_vwap": { "asDouble": 235495.972 }, "order_time_minutes": { "asDouble": 10 }, "model_size": { "asDouble": 1 }, "slippage_sweep": { "asDouble": -0.3438235294115657 }, "slippage": { "asDouble": 0.4650000000001455 }, "init_opt_t_minutes": { "asDouble": 3.2853894095474163 }, "total_dollar": { "asDouble": 264376.75 }, "total_filled": { "asInt32": 50 }, "init_min_duration": { "asDouble": 0 }, "init_drift": { "asDouble": -0 }, "total_vol": { "asDouble": 55.357314053141 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5287.191176470588 }, "init_half_min_move": { "asDouble": 0.4462316294390863 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.8088235294117647 }, "curr_half_min_move": { "asDouble": 0.4463438580381379 }, "arrival_price": { "asDouble": 5288 }, "n_kids": { "asInt32": 26 }, "last_aggressive_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 42.44548795226737 }, "slippage_vwap": { "asDouble": 230208.437 }, "worst_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_cost_per_share": { "asDouble": 0.8472222222222222 }, "total_drift": { "asDouble": -1.125 }, "impact_model": { "asInt32": 2 }, "sweep_residual": { "asDouble": 16 }, "daily_vol_normal": { "asDouble": 42.45616312035202 }, "last_tactical_qty": { "asInt32": 1 }, "drift": { "asDouble": -1.125 }, "slippage_vwap_pct": { "asDouble": 4353.795048165166 }, "curr_liq_cost": { "asDouble": 30.5 }, "total_sent": { "asInt32": 50 }, "destination_price": { "asDouble": 5289.125 }, "avg_total": { "asDouble": 5287.535 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:43:41.667","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:46.303","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:46.34","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:43:48.036","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:48.036","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:48.036","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:56.036","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:56.537","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:43:57.582","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:57.582","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:58.872","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:43:59.312","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:00.485","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:01.412","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:03.218","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:03.218","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:03.243","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:03.243","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:04.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:04.412","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:44:05.512","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:07.912","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:07.912","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:10.712","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:10.713","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:10.713","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:10.713","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:11.512","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:44:22.623","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288<br />avg_total: 5287.535<br />curr_cost_per_share: 0.84722222222222<br />curr_half_min_move: 0.44634385803814<br />curr_liq_cost: 30.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 42.456163120352<br />destination_price: 5289.125<br />drift: -1.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.80882352941176<br />init_drift: 0<br />init_half_min_move: 0.44623162943909<br />init_liq_cost: 27.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2853894095474<br />init_vol_normal: 42.445487952267<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 43.524<br />slip_toler: 0<br />slippage: 0.46500000000015<br />slippage_sweep: -0.34382352941157<br />sweep_residual: 16<br />sweep_to_fill: 5287.1911764706<br />total_dollar: 264376.75<br />total_drift: -1.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.357314053141<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288<br />avg_total: 5287.535<br />destination_price: 5289.125<br />market_vwap: 235495.972<br />n_kids: 26<br />slippage: 0.46500000000015<br />slippage_vwap: 230208.437<br />slippage_vwap_pct: 4353.7950481652<br />total_dollar: 264376.75<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>2025-04-20T18:43:41.667</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:46.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:46.34</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:43:48.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:48.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:48.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:56.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:56.537</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:43:57.582</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:57.582</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:58.872</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:59.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:00.485</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.243</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.243</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:04.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:04.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:44:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:07.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:07.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:11.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:22.623</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289</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>2025-04-20T18:43:41.667</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:46.303</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:46.34</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:43:48.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:48.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:48.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:56.036</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:56.537</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:43:57.582</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:57.582</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:58.872</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:43:59.312</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:00.485</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.218</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.243</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:03.243</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:04.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:04.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:44:05.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:07.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:07.912</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:10.713</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:11.512</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:44:22.623</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.54

Computed VWAP Slippage

230208.44

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.81

Computed Drift

-1.13

Computed Seconds Spent

43.52

Computed Volatility

42.46