SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/27/2025 - 17:52

Buy / Sell

Sell

Quantity

50

Arrival Price

5535.8750

Average Total

5535.7850

Destination Price

5535.6250

Slippage

0.0900

Slippage Sweep

-0.0350

Sweep to Fill

5535.7500

Algo Diagnostics

{ "customState": { "impact_model": { "asInt32": 2 }, "total_vol": { "asDouble": 11.430662165718607 }, "model_size": { "asDouble": 3 }, "curr_liq_cost": { "asDouble": 10.5 }, "init_half_min_move": { "asDouble": 0.12017114774395839 }, "curr_cost_per_share": { "asDouble": 0.21 }, "last_tactical_qty": { "asInt32": 3 }, "total_dollar": { "asDouble": 276789.25 }, "curr_half_min_move": { "asDouble": 0.12017114774395839 }, "init_liq_cost": { "asDouble": 6.25 }, "sweep_to_fill": { "asDouble": 5535.75 }, "algo_status": { "asInt32": 4 }, "init_min_duration": { "asDouble": 0 }, "seconds_spent": { "asDouble": 77.532 }, "slippage_vwap_pct": { "asDouble": 2747.229586487052 }, "init_vol_normal": { "asDouble": 11.430662165718607 }, "n_kids": { "asInt32": 38 }, "total_drift": { "asDouble": -0.25 }, "order_time_minutes": { "asDouble": 10 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_drift": { "asDouble": -0 }, "drift": { "asDouble": -0.25 }, "market_vwap": { "asDouble": 157616.50836431226 }, "ready": { "asBool": true }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "init_cost_per_share": { "asDouble": 0.125 }, "destination_price": { "asDouble": 5535.625 }, "slippage_sweep": { "asDouble": -0.03499999999985448 }, "slip_toler": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 1.0819809336188446 }, "sweep_residual": { "asDouble": 0 }, "slippage": { "asDouble": 0.09000000000014552 }, "slippage_vwap": { "asDouble": 152080.72336431226 }, "daily_vol_normal": { "asDouble": 11.430662165718607 }, "avg_total": { "asDouble": 5535.785 }, "total_sent": { "asInt32": 50 }, "arrival_price": { "asDouble": 5535.875 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5535.875<br />avg_total: 5535.785<br />curr_cost_per_share: 0.21<br />curr_half_min_move: 0.12017114774396<br />curr_liq_cost: 10.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 11.430662165719<br />destination_price: 5535.625<br />drift: -0.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.125<br />init_drift: 0<br />init_half_min_move: 0.12017114774396<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 1.0819809336188<br />init_vol_normal: 11.430662165719<br />last_aggressive_qty: <br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 38<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 77.532<br />slip_toler: 0<br />slippage: 0.090000000000146<br />slippage_sweep: -0.034999999999854<br />sweep_residual: 0<br />sweep_to_fill: 5535.75<br />total_dollar: 276789.25<br />total_drift: -0.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.430662165719<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5535.875<br />avg_total: 5535.785<br />destination_price: 5535.625<br />market_vwap: 157616.50836431<br />n_kids: 38<br />slippage: 0.090000000000146<br />slippage_vwap: 152080.72336431<br />slippage_vwap_pct: 2747.2295864871<br />total_dollar: 276789.25<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>2025-04-27T17:50:40.595</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.127</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.127</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:50:57.234</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:50:57.234</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:57.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:57.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:57.456</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:22.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.951</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.951</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.951</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:40.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:40.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:44.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:44.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:52:09.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5535.75</td>
<td>Passive</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>2025-04-27T17:50:40.595</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.114</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.127</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:56.127</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:50:57.234</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:50:57.234</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:57.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:57.412</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:50:57.456</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5536</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:22.313</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.95</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.951</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.951</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:39.951</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:40.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:40.112</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>7</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.259</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:44.26</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:44.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:44.261</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:51:54.742</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>1</td>
<td>5535.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:52:09.613</td>
<td>SIM:ESM5</td>
<td>Sell</td>
<td>3</td>
<td>5535.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5535.79

Computed VWAP Slippage

152080.72

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.13

Computed Drift

-0.25

Computed Seconds Spent

77.53

Computed Volatility

11.43