SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/27/2025 - 17:29

Buy / Sell

Sell

Quantity

50

Arrival Price

5541.6250

Average Total

5542.0950

Destination Price

5542.5000

Slippage

-0.4700

Slippage Sweep

-1.2585

Sweep to Fill

5540.8365

Algo Diagnostics

{ "customState": { "ready": { "asBool": true }, "destination_price": { "asDouble": 5542.5 }, "curr_liq_cost": { "asDouble": 27 }, "impact_model": { "asInt32": 2 }, "n_kids": { "asInt32": 18 }, "order_time_minutes": { "asDouble": 10 }, "seconds_spent": { "asDouble": 54.672 }, "model_size": { "asDouble": 2 }, "init_cost_per_share": { "asDouble": 0.7884615384615384 }, "init_half_min_move": { "asDouble": 0.12029596705428021 }, "slippage": { "asDouble": -0.47000000000025466 }, "market_vwap": { "asDouble": 123446.46706081081 }, "drift": { "asDouble": -0.875 }, "total_dollar": { "asDouble": 277104.75 }, "init_liq_cost": { "asDouble": 20.5 }, "sweep_residual": { "asDouble": 24 }, "daily_vol_normal": { "asDouble": 11.44253496043541 }, "init_vol_normal": { "asDouble": 11.44253496043541 }, "curr_opt_t_minutes": { "asDouble": 0 }, "arrival_price": { "asDouble": 5541.625 }, "curr_half_min_move": { "asDouble": 0.12029596705428021 }, "total_sent": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "total_drift": { "asDouble": -0.875 }, "init_opt_t_minutes": { "asDouble": 42.959467613497814 }, "algo_status": { "asInt32": 4 }, "init_drift": { "asDouble": -0 }, "economic_model": { "asInt32": 0 }, "avg_total": { "asDouble": 5542.095 }, "slippage_vwap": { "asDouble": 117904.37206081081 }, "slippage_vwap_pct": { "asDouble": 2127.433255128445 }, "slip_toler": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 2 }, "total_filled": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.84375 }, "sweep_to_fill": { "asDouble": 5540.836538461538 }, "slippage_sweep": { "asDouble": -1.258461538462143 }, "total_vol": { "asDouble": 11.44253496043541 } } }

Fills Array

[{"Timestamp":"2025-04-27T17:28:18.032","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5541.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:28.068","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:37.228","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5541.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:46.521","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:53.249","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:53.249","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5542.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:54.812","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:54.812","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5542.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:28:56.448","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:56.448","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5542.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:56.448","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5542.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:58.317","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:58.317","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5542.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:58.412","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:59.919","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:28:59.919","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:29:00.712","Security":"SIM:ESM5","Side":"Sell","LastShares":4.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:29:00.712","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5542.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:29:01.412","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:29:01.412","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5542.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:29:02.718","Security":"SIM:ESM5","Side":"Sell","LastShares":3.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:29:02.718","Security":"SIM:ESM5","Side":"Sell","LastShares":1.0,"LastPrice":5542.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:29:03.517","Security":"SIM:ESM5","Side":"Sell","LastShares":2.0,"LastPrice":5542.25,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5541.625<br />avg_total: 5542.095<br />curr_cost_per_share: 0.84375<br />curr_half_min_move: 0.12029596705428<br />curr_liq_cost: 27<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 11.442534960435<br />destination_price: 5542.5<br />drift: -0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78846153846154<br />init_drift: 0<br />init_half_min_move: 0.12029596705428<br />init_liq_cost: 20.5<br />init_min_duration: 0<br />init_opt_t_minutes: 42.959467613498<br />init_vol_normal: 11.442534960435<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 54.672<br />slip_toler: 0<br />slippage: -0.47000000000025<br />slippage_sweep: -1.2584615384621<br />sweep_residual: 24<br />sweep_to_fill: 5540.8365384615<br />total_dollar: 277104.75<br />total_drift: -0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.442534960435<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5541.625<br />avg_total: 5542.095<br />destination_price: 5542.5<br />market_vwap: 123446.46706081<br />n_kids: 18<br />slippage: -0.47000000000025<br />slippage_vwap: 117904.37206081<br />slippage_vwap_pct: 2127.4332551284<br />total_dollar: 277104.75<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>2025-04-27T17:28:18.032</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:28.068</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:37.228</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:46.521</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:53.249</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:53.249</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:28:56.448</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:56.448</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:56.448</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:58.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:58.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:58.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:59.919</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:59.919</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:00.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:00.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:29:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:02.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:02.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:03.517</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</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>2025-04-27T17:28:18.032</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:28.068</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:37.228</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:46.521</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:53.249</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:53.249</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:54.812</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:28:56.448</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:56.448</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:56.448</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:58.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:58.317</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:58.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:59.919</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:28:59.919</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:00.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:00.712</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:29:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:01.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:02.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:02.718</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5542</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:29:03.517</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5542.10

Computed VWAP Slippage

117904.37

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.79

Computed Drift

-0.88

Computed Seconds Spent

54.67

Computed Volatility

11.44