Arrival Price Analytics
CQG Algos
The Arrival Price Algorithm is driven by short-term realized volatility and drift signals as well as market-implied cost of liquidity to execute within a risk-optimized time horizon using trader-defined slippage expectations. Arrival Price is benchmarked against mid-market and sweep to fill (market order) metrics.
"Liquidity Cost, Volatility, and Drift" are the quantities used by the algorithm to compute a theoretically optimal Equilibrium Trading Horizon (White Paper). "Seconds spent" reflects the practical application of this horizon over simulated dynamic market conditions. A "fill stream" is also included to demonstrate the effects of the Market By Order Impact Model, which helps size order slices in a manner consistent with price-level population.
The graphs below illuminate the effects of these indicators on optimal execution horizon and therefore, performance results of hypothetical Arrival Price orders.
Impact Model: MBO
Payup Model: Theo Queue
- Liquidity Cost:
- Implicit cost of liquidity per lot
- Volatility:
- Normal volatility in dollar terms
- Drift:
- Short-term directional drift
- Seconds Spent:
- Seconds spent in simulated execution
Date - Time
CQG Symbol
ZCE
Exchange Symbol
SIM:ZCN4
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2500
Arrival Price
458.6250
Average Total
458.5000
Destination Price
458.3750
Sweep to Fill
458.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-20T09:07:54.071 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-20T09:07:54.071 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-20T09:07:54.071 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-20T09:07:54.996 | SIM:ZCN4 | Buy | 47 | 458.5 | Aggressive |
Date - Time
CQG Symbol
ENQ
Exchange Symbol
SIM:NQM4
Buy / Sell
Sell
Quantity
25
Total Filled
25
Slippage
-0.9300
Slippage Sweep
-1.5900
Arrival Price
18,740.7500
Average Total
18,741.6800
Destination Price
18,741.7500
Sweep to Fill
18,740.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-20T09:06:58.701 | SIM:NQM4 | Sell | 2 | 18742 | Aggressive |
| 2024-05-20T09:06:59.71 | SIM:NQM4 | Sell | 1 | 18742 | Aggressive |
| 2024-05-20T09:06:59.71 | SIM:NQM4 | Sell | 3 | 18741.75 | Aggressive |
| 2024-05-20T09:07:00.718 | SIM:NQM4 | Sell | 4 | 18742 | Aggressive |
| 2024-05-20T09:07:00.718 | SIM:NQM4 | Sell | 2 | 18741.75 | Aggressive |
| 2024-05-20T09:07:01.726 | SIM:NQM4 | Sell | 2 | 18742 | Aggressive |
| 2024-05-20T09:07:01.727 | SIM:NQM4 | Sell | 2 | 18741.75 | Aggressive |
| 2024-05-20T09:07:02.758 | SIM:NQM4 | Sell | 1 | 18741.25 | Aggressive |
| 2024-05-20T09:07:05.767 | SIM:NQM4 | Sell | 6 | 18741.25 | Aggressive |
| 2024-05-20T09:07:06.757 | SIM:NQM4 | Sell | 2 | 18741.5 | Aggressive |
Date - Time
CQG Symbol
ENQ
Exchange Symbol
SIM:NQM4
Buy / Sell
Buy
Quantity
25
Total Filled
25
Slippage
-0.4250
Slippage Sweep
-0.8000
Arrival Price
18,741.1250
Average Total
18,740.7000
Destination Price
18,740.7500
Sweep to Fill
18,741.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-20T09:06:52.557 | SIM:NQM4 | Buy | 1 | 18741 | Aggressive |
| 2024-05-20T09:06:53.557 | SIM:NQM4 | Buy | 8 | 18740.75 | Aggressive |
| 2024-05-20T09:06:53.558 | SIM:NQM4 | Buy | 1 | 18741 | Aggressive |
| 2024-05-20T09:06:54.563 | SIM:NQM4 | Buy | 1 | 18740.5 | Aggressive |
| 2024-05-20T09:06:55.561 | SIM:NQM4 | Buy | 1 | 18740 | Aggressive |
| 2024-05-20T09:06:56.581 | SIM:NQM4 | Buy | 4 | 18740 | Aggressive |
| 2024-05-20T09:06:57.589 | SIM:NQM4 | Buy | 9 | 18741 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM4
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3250
Slippage Sweep
0.2000
Arrival Price
5,341.6250
Average Total
5,341.3000
Destination Price
5,340.8750
Sweep to Fill
5,341.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-20T09:05:09.712 | SIM:ESM4 | Sell | 1 | 5341.5 | Aggressive |
| 2024-05-20T09:05:10.79 | SIM:ESM4 | Sell | 1 | 5341.5 | Aggressive |
| 2024-05-20T09:05:10.79 | SIM:ESM4 | Sell | 2 | 5341.5 | Aggressive |
| 2024-05-20T09:05:11.801 | SIM:ESM4 | Sell | 1 | 5341.5 | Aggressive |
| 2024-05-20T09:05:11.802 | SIM:ESM4 | Sell | 1 | 5341.5 | Aggressive |
| 2024-05-20T09:05:13.299 | SIM:ESM4 | Sell | 2 | 5341.5 | Aggressive |
| 2024-05-20T09:05:15.525 | SIM:ESM4 | Sell | 3 | 5341.5 | Aggressive |
| 2024-05-20T09:05:18.861 | SIM:ESM4 | Sell | 1 | 5341.25 | Aggressive |
| 2024-05-20T09:05:20.187 | SIM:ESM4 | Sell | 1 | 5341.5 | Aggressive |
| 2024-05-20T09:05:20.187 | SIM:ESM4 | Sell | 1 | 5341.5 | Aggressive |
| 2024-05-20T09:05:20.187 | SIM:ESM4 | Sell | 2 | 5341.5 | Aggressive |
| 2024-05-20T09:05:20.187 | SIM:ESM4 | Sell | 1 | 5341.5 | Aggressive |
| 2024-05-20T09:05:20.187 | SIM:ESM4 | Sell | 2 | 5341.5 | Aggressive |
| 2024-05-20T09:05:21.081 | SIM:ESM4 | Sell | 2 | 5341.5 | Aggressive |
| 2024-05-20T09:05:23.318 | SIM:ESM4 | Sell | 2 | 5341.25 | Aggressive |
| 2024-05-20T09:05:23.318 | SIM:ESM4 | Sell | 1 | 5341.25 | Aggressive |
| 2024-05-20T09:05:24.982 | SIM:ESM4 | Sell | 2 | 5341.25 | Aggressive |
| 2024-05-20T09:05:24.982 | SIM:ESM4 | Sell | 2 | 5341.25 | Aggressive |
| 2024-05-20T09:05:26.877 | SIM:ESM4 | Sell | 1 | 5341.25 | Aggressive |
| 2024-05-20T09:05:27.963 | SIM:ESM4 | Sell | 1 | 5341 | Aggressive |
| 2024-05-20T09:05:31.504 | SIM:ESM4 | Sell | 3 | 5341.25 | Aggressive |
| 2024-05-20T09:05:31.505 | SIM:ESM4 | Sell | 1 | 5341.25 | Aggressive |
| 2024-05-20T09:05:31.505 | SIM:ESM4 | Sell | 2 | 5341.25 | Aggressive |
| 2024-05-20T09:05:31.505 | SIM:ESM4 | Sell | 2 | 5341.25 | Aggressive |
| 2024-05-20T09:05:33.076 | SIM:ESM4 | Sell | 3 | 5341.25 | Aggressive |
| 2024-05-20T09:05:34.679 | SIM:ESM4 | Sell | 2 | 5341 | Aggressive |
| 2024-05-20T09:05:36.095 | SIM:ESM4 | Sell | 1 | 5341 | Aggressive |
| 2024-05-20T09:05:40.987 | SIM:ESM4 | Sell | 1 | 5341 | Aggressive |
| 2024-05-20T09:05:40.987 | SIM:ESM4 | Sell | 1 | 5341 | Aggressive |
| 2024-05-20T09:05:40.988 | SIM:ESM4 | Sell | 1 | 5341 | Aggressive |
| 2024-05-20T09:05:40.988 | SIM:ESM4 | Sell | 2 | 5341 | Aggressive |
| 2024-05-20T09:05:40.988 | SIM:ESM4 | Sell | 1 | 5341 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM4
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1400
Slippage Sweep
0.0150
Arrival Price
5,342.1250
Average Total
5,342.2650
Destination Price
5,341.8750
Sweep to Fill
5,342.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-20T09:04:22.256 | SIM:ESM4 | Buy | 1 | 5342 | Aggressive |
| 2024-05-20T09:04:23.358 | SIM:ESM4 | Buy | 2 | 5342.25 | Aggressive |
| 2024-05-20T09:04:26.606 | SIM:ESM4 | Buy | 1 | 5342.25 | Aggressive |
| 2024-05-20T09:04:29.158 | SIM:ESM4 | Buy | 2 | 5342.25 | Aggressive |
| 2024-05-20T09:04:29.158 | SIM:ESM4 | Buy | 1 | 5342.25 | Aggressive |
| 2024-05-20T09:04:29.158 | SIM:ESM4 | Buy | 1 | 5342.25 | Aggressive |
| 2024-05-20T09:04:29.158 | SIM:ESM4 | Buy | 3 | 5342.25 | Aggressive |
| 2024-05-20T09:04:30.667 | SIM:ESM4 | Buy | 1 | 5342.5 | Aggressive |
| 2024-05-20T09:04:31.283 | SIM:ESM4 | Buy | 4 | 5342.5 | Aggressive |
| 2024-05-20T09:04:32.259 | SIM:ESM4 | Buy | 2 | 5342.5 | Aggressive |
| 2024-05-20T09:04:36.715 | SIM:ESM4 | Buy | 1 | 5342.75 | Aggressive |
| 2024-05-20T09:04:37.699 | SIM:ESM4 | Buy | 2 | 5342.5 | Aggressive |
| 2024-05-20T09:04:37.699 | SIM:ESM4 | Buy | 1 | 5342.5 | Aggressive |
| 2024-05-20T09:04:37.699 | SIM:ESM4 | Buy | 3 | 5342.5 | Aggressive |
| 2024-05-20T09:04:37.7 | SIM:ESM4 | Buy | 1 | 5342.5 | Aggressive |
| 2024-05-20T09:04:37.719 | SIM:ESM4 | Buy | 2 | 5342.5 | Aggressive |
| 2024-05-20T09:04:40.08 | SIM:ESM4 | Buy | 1 | 5342.5 | Aggressive |
| 2024-05-20T09:04:40.767 | SIM:ESM4 | Buy | 2 | 5342.5 | Aggressive |
| 2024-05-20T09:04:41.457 | SIM:ESM4 | Buy | 2 | 5342.25 | Aggressive |
| 2024-05-20T09:04:43.461 | SIM:ESM4 | Buy | 2 | 5342 | Aggressive |
| 2024-05-20T09:04:43.461 | SIM:ESM4 | Buy | 1 | 5342 | Aggressive |
| 2024-05-20T09:04:44.061 | SIM:ESM4 | Buy | 2 | 5342 | Aggressive |
| 2024-05-20T09:04:44.783 | SIM:ESM4 | Buy | 12 | 5342 | Aggressive |
Date - Time
CQG Symbol
CLE
Exchange Symbol
SIM:CLN4
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0138
Slippage Sweep
-0.0258
Arrival Price
79.6550
Average Total
79.6688
Destination Price
79.7150
Sweep to Fill
79.6430
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-20T09:02:24.921 | SIM:CLN4 | Sell | 1 | 79.66 | Aggressive |
| 2024-05-20T09:02:29.363 | SIM:CLN4 | Sell | 1 | 79.66 | Aggressive |
| 2024-05-20T09:02:29.363 | SIM:CLN4 | Sell | 1 | 79.66 | Aggressive |
| 2024-05-20T09:02:29.481 | SIM:CLN4 | Sell | 1 | 79.66 | Aggressive |
| 2024-05-20T09:02:31.504 | SIM:CLN4 | Sell | 3 | 79.67 | Aggressive |
| 2024-05-20T09:02:32.506 | SIM:CLN4 | Sell | 25 | 79.66 | Aggressive |
| 2024-05-20T09:02:32.528 | SIM:CLN4 | Sell | 9 | 79.66 | Aggressive |
| 2024-05-20T09:02:38.592 | SIM:CLN4 | Sell | 4 | 79.7 | Aggressive |
| 2024-05-20T09:02:39.601 | SIM:CLN4 | Sell | 2 | 79.71 | Aggressive |
| 2024-05-20T09:02:40.61 | SIM:CLN4 | Sell | 3 | 79.71 | Aggressive |
Date - Time
CQG Symbol
CLE
Exchange Symbol
SIM:CLN4
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0080
Slippage Sweep
-0.0198
Arrival Price
79.6950
Average Total
79.6870
Destination Price
79.6750
Sweep to Fill
79.7068
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-20T09:01:40.257 | SIM:CLN4 | Buy | 1 | 79.69 | Aggressive |
| 2024-05-20T09:01:40.258 | SIM:CLN4 | Buy | 1 | 79.69 | Aggressive |
| 2024-05-20T09:01:41.171 | SIM:CLN4 | Buy | 1 | 79.69 | Aggressive |
| 2024-05-20T09:01:43.966 | SIM:CLN4 | Buy | 2 | 79.7 | Aggressive |
| 2024-05-20T09:01:44.277 | SIM:CLN4 | Buy | 1 | 79.69 | Aggressive |
| 2024-05-20T09:01:45.219 | SIM:CLN4 | Buy | 11 | 79.69 | Aggressive |
| 2024-05-20T09:01:47.506 | SIM:CLN4 | Buy | 2 | 79.68 | Aggressive |
| 2024-05-20T09:01:47.506 | SIM:CLN4 | Buy | 8 | 79.69 | Aggressive |
| 2024-05-20T09:01:48.257 | SIM:CLN4 | Buy | 9 | 79.68 | Aggressive |
| 2024-05-20T09:01:53.026 | SIM:CLN4 | Buy | 3 | 79.69 | Aggressive |
| 2024-05-20T09:01:56.005 | SIM:CLN4 | Buy | 5 | 79.68 | Aggressive |
| 2024-05-20T09:01:56.005 | SIM:CLN4 | Buy | 5 | 79.69 | Aggressive |
| 2024-05-20T09:01:56.327 | SIM:CLN4 | Buy | 1 | 79.68 | Aggressive |
Date - Time
CQG Symbol
ZCE
Exchange Symbol
SIM:ZCN4
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1700
Slippage Sweep
0.0450
Arrival Price
456.6250
Average Total
456.7950
Destination Price
456.3750
Sweep to Fill
456.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:01.857 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.39 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.39 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.391 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.391 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.391 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.391 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.391 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.391 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:04.391 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:08.459 | SIM:ZCN4 | Buy | 2 | 457 | Aggressive |
| 2024-05-17T08:33:09.469 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:11.478 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:24.46 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:24.46 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:24.46 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:24.46 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:31.063 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:31.064 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:31.064 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:31.992 | SIM:ZCN4 | Buy | 1 | 457 | Aggressive |
| 2024-05-17T08:33:35.556 | SIM:ZCN4 | Buy | 1 | 456.75 | Aggressive |
| 2024-05-17T08:33:37.063 | SIM:ZCN4 | Buy | 20 | 456.5 | Aggressive |
Date - Time
CQG Symbol
CLE
Exchange Symbol
SIM:CLN4
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0312
Slippage Sweep
0.0170
Arrival Price
79.3050
Average Total
79.2738
Destination Price
79.2250
Sweep to Fill
79.2908
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T08:10:44.284 | SIM:CLN4 | Sell | 1 | 79.3 | Aggressive |
| 2024-05-17T08:10:46.493 | SIM:CLN4 | Sell | 1 | 79.3 | Aggressive |
| 2024-05-17T08:10:51.694 | SIM:CLN4 | Sell | 2 | 79.3 | Aggressive |
| 2024-05-17T08:10:51.694 | SIM:CLN4 | Sell | 1 | 79.3 | Aggressive |
| 2024-05-17T08:10:54.32 | SIM:CLN4 | Sell | 3 | 79.3 | Aggressive |
| 2024-05-17T08:10:54.321 | SIM:CLN4 | Sell | 1 | 79.3 | Aggressive |
| 2024-05-17T08:10:56.988 | SIM:CLN4 | Sell | 1 | 79.3 | Aggressive |
| 2024-05-17T08:11:04.257 | SIM:CLN4 | Sell | 3 | 79.29 | Aggressive |
| 2024-05-17T08:11:04.258 | SIM:CLN4 | Sell | 4 | 79.28 | Aggressive |
| 2024-05-17T08:11:08.284 | SIM:CLN4 | Sell | 5 | 79.29 | Aggressive |
| 2024-05-17T08:11:08.284 | SIM:CLN4 | Sell | 6 | 79.28 | Aggressive |
| 2024-05-17T08:11:08.284 | SIM:CLN4 | Sell | 4 | 79.28 | Aggressive |
| 2024-05-17T08:11:08.284 | SIM:CLN4 | Sell | 4 | 79.28 | Aggressive |
| 2024-05-17T08:11:20.904 | SIM:CLN4 | Sell | 2 | 79.28 | Aggressive |
| 2024-05-17T08:11:28.281 | SIM:CLN4 | Sell | 1 | 79.24 | Aggressive |
| 2024-05-17T08:11:28.281 | SIM:CLN4 | Sell | 2 | 79.23 | Aggressive |
| 2024-05-17T08:11:43.667 | SIM:CLN4 | Sell | 7 | 79.23 | Aggressive |
| 2024-05-17T08:11:50.057 | SIM:CLN4 | Sell | 1 | 79.23 | Aggressive |
| 2024-05-17T08:11:50.058 | SIM:CLN4 | Sell | 1 | 79.23 | Aggressive |
Date - Time
CQG Symbol
ZCE
Exchange Symbol
SIM:ZCN4
Buy / Sell
Sell
Quantity
50
Total Filled
49
Slippage
-0.1250
Slippage Sweep
-0.2500
Arrival Price
457.8750
Average Total
458.0000
Destination Price
457.8750
Sweep to Fill
457.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T07:56:28.662 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:56:30.359 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:56:37.798 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:56:42.783 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:56:48.504 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:56:55.975 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:56:57.866 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:06.987 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:10.568 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:17.328 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:23.68 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:27.496 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:36.611 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:37.069 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:46.759 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:51.211 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:57:57.873 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:58:05.597 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:58:07.972 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:58:17.796 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:58:19.157 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:58:31.957 | SIM:ZCN4 | Sell | 1 | 458 | Passive |
| 2024-05-17T07:59:59.356 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T07:59:59.373 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:13.261 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:13.261 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:13.261 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:13.656 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:13.656 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:13.656 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:19.279 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:19.279 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:19.279 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:25.156 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:25.156 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:25.156 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:29.257 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:29.257 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:29.257 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:40.157 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:40.157 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:00:40.157 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:01:00.482 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:01:00.482 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:01:00.482 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:01:18.957 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:01:18.957 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:02:19.074 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
| 2024-05-17T08:03:10.474 | SIM:ZCN4 | Sell | 1 | 458 | Aggressive |
Date - Time
CQG Symbol
CLE
Exchange Symbol
SIM:CLN4
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0046
Slippage Sweep
-0.0168
Arrival Price
79.1550
Average Total
79.1596
Destination Price
79.1650
Sweep to Fill
79.1428
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T07:47:00.46 | SIM:CLN4 | Sell | 1 | 79.16 | Passive |
| 2024-05-17T07:47:05.211 | SIM:CLN4 | Sell | 2 | 79.16 | Aggressive |
| 2024-05-17T07:47:05.211 | SIM:CLN4 | Sell | 1 | 79.16 | Aggressive |
| 2024-05-17T07:47:05.211 | SIM:CLN4 | Sell | 2 | 79.16 | Aggressive |
| 2024-05-17T07:47:05.211 | SIM:CLN4 | Sell | 1 | 79.16 | Aggressive |
| 2024-05-17T07:47:05.46 | SIM:CLN4 | Sell | 5 | 79.17 | Aggressive |
| 2024-05-17T07:47:06.657 | SIM:CLN4 | Sell | 5 | 79.17 | Aggressive |
| 2024-05-17T07:47:07.669 | SIM:CLN4 | Sell | 11 | 79.16 | Aggressive |
| 2024-05-17T07:47:14.761 | SIM:CLN4 | Sell | 4 | 79.16 | Aggressive |
| 2024-05-17T07:47:14.761 | SIM:CLN4 | Sell | 2 | 79.15 | Aggressive |
| 2024-05-17T07:47:14.761 | SIM:CLN4 | Sell | 6 | 79.15 | Aggressive |
| 2024-05-17T07:47:14.761 | SIM:CLN4 | Sell | 5 | 79.15 | Aggressive |
| 2024-05-17T07:47:14.762 | SIM:CLN4 | Sell | 4 | 79.16 | Aggressive |
| 2024-05-17T07:47:14.959 | SIM:CLN4 | Sell | 1 | 79.17 | Aggressive |
Date - Time
CQG Symbol
ENQ
Exchange Symbol
SIM:NQM4
Buy / Sell
Sell
Quantity
25
Total Filled
25
Slippage
1.1350
Slippage Sweep
0.3537
Arrival Price
18,669.1250
Average Total
18,667.9900
Destination Price
18,667.7500
Sweep to Fill
18,668.3438
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T07:14:59.071 | SIM:NQM4 | Sell | 1 | 18669.25 | Aggressive |
| 2024-05-17T07:15:00.079 | SIM:NQM4 | Sell | 1 | 18669.5 | Aggressive |
| 2024-05-17T07:15:01.088 | SIM:NQM4 | Sell | 1 | 18669.5 | Aggressive |
| 2024-05-17T07:15:05.122 | SIM:NQM4 | Sell | 1 | 18669.25 | Aggressive |
| 2024-05-17T07:15:35.158 | SIM:NQM4 | Sell | 1 | 18667.5 | Aggressive |
| 2024-05-17T07:15:41.52 | SIM:NQM4 | Sell | 1 | 18668.25 | Aggressive |
| 2024-05-17T07:15:43.203 | SIM:NQM4 | Sell | 1 | 18668.25 | Aggressive |
| 2024-05-17T07:15:52.758 | SIM:NQM4 | Sell | 1 | 18668.25 | Aggressive |
| 2024-05-17T07:15:53.056 | SIM:NQM4 | Sell | 1 | 18668.5 | Aggressive |
| 2024-05-17T07:15:53.698 | SIM:NQM4 | Sell | 1 | 18668.5 | Aggressive |
| 2024-05-17T07:15:55.658 | SIM:NQM4 | Sell | 2 | 18668.5 | Aggressive |
| 2024-05-17T07:15:56.758 | SIM:NQM4 | Sell | 1 | 18668.75 | Aggressive |
| 2024-05-17T07:15:56.758 | SIM:NQM4 | Sell | 1 | 18668.5 | Aggressive |
| 2024-05-17T07:16:06.956 | SIM:NQM4 | Sell | 1 | 18667.5 | Aggressive |
| 2024-05-17T07:18:35.565 | SIM:NQM4 | Sell | 1 | 18666.75 | Aggressive |
| 2024-05-17T07:18:43.28 | SIM:NQM4 | Sell | 1 | 18666.75 | Aggressive |
| 2024-05-17T07:18:43.281 | SIM:NQM4 | Sell | 1 | 18666.75 | Aggressive |
| 2024-05-17T07:18:43.758 | SIM:NQM4 | Sell | 1 | 18666.75 | Aggressive |
| 2024-05-17T07:18:44.159 | SIM:NQM4 | Sell | 1 | 18666.75 | Aggressive |
| 2024-05-17T07:18:49.776 | SIM:NQM4 | Sell | 1 | 18667.5 | Aggressive |
| 2024-05-17T07:18:49.776 | SIM:NQM4 | Sell | 1 | 18667.25 | Aggressive |
| 2024-05-17T07:18:49.788 | SIM:NQM4 | Sell | 1 | 18667.5 | Aggressive |
| 2024-05-17T07:18:57.891 | SIM:NQM4 | Sell | 1 | 18667.5 | Aggressive |
| 2024-05-17T07:19:01.6 | SIM:NQM4 | Sell | 1 | 18667.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM4
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0800
Slippage Sweep
-0.1850
Arrival Price
5,322.8750
Average Total
5,322.9550
Destination Price
5,322.8750
Sweep to Fill
5,323.1400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T07:14:03.665 | SIM:ESM4 | Buy | 6 | 5322.75 | Aggressive |
| 2024-05-17T07:14:03.665 | SIM:ESM4 | Buy | 2 | 5322.75 | Aggressive |
| 2024-05-17T07:14:03.665 | SIM:ESM4 | Buy | 3 | 5323 | Aggressive |
| 2024-05-17T07:14:03.665 | SIM:ESM4 | Buy | 3 | 5323 | Aggressive |
| 2024-05-17T07:14:03.666 | SIM:ESM4 | Buy | 3 | 5323 | Aggressive |
| 2024-05-17T07:14:03.666 | SIM:ESM4 | Buy | 16 | 5323 | Aggressive |
| 2024-05-17T07:14:03.666 | SIM:ESM4 | Buy | 2 | 5323 | Aggressive |
| 2024-05-17T07:14:03.666 | SIM:ESM4 | Buy | 4 | 5323 | Aggressive |
| 2024-05-17T07:14:03.666 | SIM:ESM4 | Buy | 3 | 5323 | Aggressive |
| 2024-05-17T07:14:03.666 | SIM:ESM4 | Buy | 7 | 5323 | Aggressive |
| 2024-05-17T07:14:03.666 | SIM:ESM4 | Buy | 1 | 5322.75 | Aggressive |
Date - Time
CQG Symbol
CLE
Exchange Symbol
SIM:CLN4
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0070
Slippage Sweep
-0.0194
Arrival Price
78.6550
Average Total
78.6620
Destination Price
78.6750
Sweep to Fill
78.6426
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T06:48:18.359 | SIM:CLN4 | Sell | 1 | 78.66 | Aggressive |
| 2024-05-17T06:48:18.359 | SIM:CLN4 | Sell | 1 | 78.66 | Aggressive |
| 2024-05-17T06:48:20.375 | SIM:CLN4 | Sell | 1 | 78.66 | Aggressive |
| 2024-05-17T06:48:20.382 | SIM:CLN4 | Sell | 1 | 78.66 | Passive |
| 2024-05-17T06:48:22.662 | SIM:CLN4 | Sell | 1 | 78.66 | Aggressive |
| 2024-05-17T06:48:23.658 | SIM:CLN4 | Sell | 3 | 78.66 | Aggressive |
| 2024-05-17T06:48:24.67 | SIM:CLN4 | Sell | 1 | 78.66 | Aggressive |
| 2024-05-17T06:48:25.672 | SIM:CLN4 | Sell | 8 | 78.66 | Aggressive |
| 2024-05-17T06:48:26.682 | SIM:CLN4 | Sell | 8 | 78.66 | Aggressive |
| 2024-05-17T06:48:30.158 | SIM:CLN4 | Sell | 5 | 78.66 | Aggressive |
| 2024-05-17T06:48:30.158 | SIM:CLN4 | Sell | 5 | 78.66 | Aggressive |
| 2024-05-17T06:48:30.158 | SIM:CLN4 | Sell | 3 | 78.66 | Aggressive |
| 2024-05-17T06:48:30.158 | SIM:CLN4 | Sell | 1 | 78.66 | Aggressive |
| 2024-05-17T06:48:30.158 | SIM:CLN4 | Sell | 1 | 78.66 | Aggressive |
| 2024-05-17T06:48:46.169 | SIM:CLN4 | Sell | 10 | 78.67 | Aggressive |
Date - Time
CQG Symbol
ZCE
Exchange Symbol
SIM:ZCN4
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1000
Slippage Sweep
-0.0250
Arrival Price
458.3750
Average Total
458.4750
Destination Price
458.6250
Sweep to Fill
458.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2024-05-17T06:24:14.506 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:17.578 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:20.611 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:20.612 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:22.666 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:24.664 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:26.662 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:28.699 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:31.769 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:33.766 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:24:48.968 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:25:12.18 | SIM:ZCN4 | Buy | 2 | 458.5 | Aggressive |
| 2024-05-17T06:25:12.18 | SIM:ZCN4 | Buy | 2 | 458.5 | Aggressive |
| 2024-05-17T06:25:14.181 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:25:15.188 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:25:16.19 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:25:19.26 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:25:22.274 | SIM:ZCN4 | Buy | 1 | 458.75 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.031 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.032 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.032 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.032 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.032 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.032 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.032 | SIM:ZCN4 | Buy | 3 | 458.5 | Aggressive |
| 2024-05-17T06:26:57.032 | SIM:ZCN4 | Buy | 1 | 458.5 | Aggressive |
| 2024-05-17T06:28:28.058 | SIM:ZCN4 | Buy | 1 | 458.25 | Aggressive |
| 2024-05-17T06:28:28.058 | SIM:ZCN4 | Buy | 1 | 458.25 | Aggressive |
| 2024-05-17T06:28:28.058 | SIM:ZCN4 | Buy | 1 | 458.25 | Aggressive |
| 2024-05-17T06:28:28.058 | SIM:ZCN4 | Buy | 1 | 458.25 | Aggressive |
| 2024-05-17T06:28:28.058 | SIM:ZCN4 | Buy | 1 | 458.25 | Aggressive |
| 2024-05-17T06:28:28.058 | SIM:ZCN4 | Buy | 1 | 458.25 | Aggressive |