SIM:ESH6 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESH6

Algo CQG Symbol

EP

Date - Time

12/19/2025 - 02:28

Buy / Sell

Buy

Quantity

50

Arrival Price

6843.0000

Average Total

6842.8700

Destination Price

6842.5000

Slippage

0.1300

Slippage Sweep

0.5700

Sweep to Fill

6843.4400

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 1.4215623210364012 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep_ticks": { "asDouble": 2.279999999998836 }, "ready": { "asBool": true }, "avg_total": { "asDouble": 6842.87 }, "market_vwap": { "asDouble": 6842.731092436975 }, "slippage_passive_money": { "asDouble": -5.999999999994543 }, "slippage_sweep": { "asDouble": 0.569999999999709 }, "arrival_price": { "asDouble": 6843 }, "slippage_mid_money": { "asDouble": 6.500000000005457 }, "slippage_aggressive_money": { "asDouble": 19.000000000005457 }, "init_liq_cost": { "asDouble": 22 }, "sweep_to_fill": { "asDouble": 6843.44 }, "worst_opt_t_minutes": { "asDouble": 5 }, "economic_model": { "asInt32": 0 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 13 }, "total_filled": { "asInt32": 50 }, "drift": { "asDouble": 0.375 }, "interval_twap": { "asDouble": 6842.81381992444 }, "daily_vol_normal": { "asDouble": 35.117639944871705 }, "interval_vwap": { "asDouble": 6842.728260869565 }, "slippage_aggressive": { "asDouble": 0.38000000000010914 }, "total_drift": { "asDouble": 0.375 }, "init_drift": { "asDouble": 0 }, "destination_price": { "asDouble": 6842.5 }, "slippage_passive_ticks": { "asDouble": -0.47999999999956344 }, "curr_opt_t_minutes": { "asDouble": 0.27043458010764054 }, "total_sent": { "asInt32": 50 }, "interval_market_size": { "asDouble": 115 }, "slippage_vwap_ticks": { "asDouble": -0.5669565217394847 }, "order_time_minutes": { "asDouble": 5 }, "impact_model": { "asInt32": 2 }, "slippage_vwap_money": { "asDouble": -7.086956521743559 }, "init_vol_normal": { "asDouble": 35.102730903889515 }, "last_tactical_qty": { "asInt32": 4 }, "slip_toler": { "asDouble": 0 }, "slippage_aggressive_ticks": { "asDouble": 1.5200000000004366 }, "seconds_spent": { "asDouble": 20.241 }, "slippage_twap_ticks": { "asDouble": -0.22472030223798356 }, "participation_rate": { "asDouble": 0.43478260869565216 }, "slippage_mid_ticks": { "asDouble": 0.5200000000004366 }, "model_size": { "asDouble": 4 }, "slippage_sweep_money": { "asDouble": 28.499999999985448 }, "slippage": { "asDouble": 0.13000000000010914 }, "slippage_mid": { "asDouble": 0.13000000000010914 }, "init_cost_per_share": { "asDouble": 0.44 }, "slippage_passive": { "asDouble": -0.11999999999989086 }, "curr_liq_cost": { "asDouble": 21.75 }, "curr_half_min_move": { "asDouble": 0.36919358100625027 }, "curr_cost_per_share": { "asDouble": 0.435 }, "sweep_residual": { "asDouble": 0 }, "percentage_passive": { "asDouble": 0 }, "slippage_twap": { "asDouble": -0.05618007555949589 }, "total_dollar": { "asDouble": 342143.5 }, "slippage_vwap": { "asDouble": -0.14173913043487119 }, "total_vol": { "asDouble": 7.41958706405237 }, "init_half_min_move": { "asDouble": 0.36903684148052407 }, "slippage_twap_money": { "asDouble": -2.8090037779747945 } } }

Fills Array

[{"Timestamp":"2025-12-19T02:28:43.288","Security":"SIM:ESH6","Side":"Buy","LastShares":4.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:41.087","Security":"SIM:ESH6","Side":"Buy","LastShares":4.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:41.086","Security":"SIM:ESH6","Side":"Buy","LastShares":8.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:34.113","Security":"SIM:ESH6","Side":"Buy","LastShares":5.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:34.113","Security":"SIM:ESH6","Side":"Buy","LastShares":7.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:30.066","Security":"SIM:ESH6","Side":"Buy","LastShares":2.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:27.973","Security":"SIM:ESH6","Side":"Buy","LastShares":1.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:27.206","Security":"SIM:ESH6","Side":"Buy","LastShares":1.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:27.206","Security":"SIM:ESH6","Side":"Buy","LastShares":1.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:42.18","Security":"SIM:ESH6","Side":"Buy","LastShares":4.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:42.18","Security":"SIM:ESH6","Side":"Buy","LastShares":7.0,"LastPrice":6842.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:33.61","Security":"SIM:ESH6","Side":"Buy","LastShares":2.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:33.61","Security":"SIM:ESH6","Side":"Buy","LastShares":1.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:29.098","Security":"SIM:ESH6","Side":"Buy","LastShares":1.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:25.051","Security":"SIM:ESH6","Side":"Buy","LastShares":1.0,"LastPrice":6843.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-12-19T02:28:23.918","Security":"SIM:ESH6","Side":"Buy","LastShares":1.0,"LastPrice":6843.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 6843<br />avg_total: 6842.87<br />curr_cost_per_share: 0.435<br />curr_half_min_move: 0.36919358100625<br />curr_liq_cost: 21.75<br />curr_opt_t_minutes: 0.27043458010764<br />daily_vol_normal: 35.117639944872<br />destination_price: 6842.5<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.44<br />init_drift: 0<br />init_half_min_move: 0.36903684148052<br />init_liq_cost: 22<br />init_min_duration: 0<br />init_opt_t_minutes: 1.4215623210364<br />init_vol_normal: 35.10273090389<br />last_aggressive_qty: <br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 13<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 20.241<br />slip_toler: 0<br />slippage: 0.13000000000011<br />slippage_sweep: 0.56999999999971<br />sweep_residual: 0<br />sweep_to_fill: 6843.44<br />total_dollar: 342143.5<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 7.4195870640524<br />worst_opt_t_minutes: 5

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 6843<br />avg_total: 6842.87<br />destination_price: 6842.5<br />market_vwap (interval_vwap): 6842.731092437<br />n_kids: 13<br />slippage: 0.13000000000011<br />slippage_vwap: -0.14173913043487<br />slippage_vwap_pct: <br />total_dollar: 342143.5<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>2025-12-19T02:28:43.288</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>4</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:41.087</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>4</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:41.086</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>8</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:34.113</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>5</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:34.113</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>7</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:30.066</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>2</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:27.973</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:27.206</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:27.206</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:42.18</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>4</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:42.18</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>7</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:33.61</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>2</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:33.61</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:29.098</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:25.051</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:23.918</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</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>2025-12-19T02:28:43.288</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>4</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:41.087</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>4</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:41.086</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>8</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:34.113</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>5</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:34.113</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>7</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:30.066</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>2</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:27.973</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:27.206</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:27.206</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:42.18</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>4</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:42.18</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>7</td>
<td>6842.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:33.61</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>2</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:33.61</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:29.098</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:25.051</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-12-19T02:28:23.918</td>
<td>SIM:ESH6</td>
<td>Buy</td>
<td>1</td>
<td>6843</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

6842.87

Computed VWAP Slippage

-0.14

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.44

Computed Drift

0.38

Version

0.20.8

Computed Seconds Spent

20.24

Computed Volatility

35.12