SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/14/2024 - 22:25

Buy / Sell

Buy

Quantity

500

Arrival Price

5674.8750

Market VWAP

5674.8712

Destination Price

5675.6250

Slippage

0.8643

SlippagePct

0.0152

AggressivePct

36.0656

Algo Diagnostics

{ "customState": { "destination_price": { "asDouble": 5675.625 }, "market_vwap": { "asDouble": 5674.871156661786 }, "total_sent": { "asInt32": 500 }, "arrival_price": { "asDouble": 5674.875 }, "slippage_vwap": { "asDouble": 0.8643433382139847 }, "slippage_vwap_pct": { "asDouble": 0.01522874591696503 }, "n_kids": { "asInt32": 53 }, "aggressive_pct": { "asDouble": 36.0655737704918 }, "algo_status": { "asInt32": 4 }, "avg_total": { "asDouble": 5675.7355 }, "total_dollar": { "asDouble": 2837867.75 }, "slippage": { "asDouble": 0.8604999999997744 }, "total_filled": { "asInt32": 500 } } }

Fills Array

Source URL

UncertBands

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5674.875<br />avg_total: 5675.7355<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 5675.625<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 53<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.86049999999977<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2837867.75<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 36.065573770492<br />algo_status: 4<br />arrival_price: 5674.875<br />avg_total: 5675.7355<br />destination_price: 5675.625<br />market_vwap: 5674.8711566618<br />n_kids: 53<br />slippage: 0.86049999999977<br />slippage_vwap: 0.86434333821398<br />slippage_vwap_pct: 0.015228745916965<br />total_dollar: 2837867.75<br />total_filled: 500<br />total_sent: 500

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>2024-07-14T22:15:04.084</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>9</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:04.085</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:28.759</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:48.777</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:27.698</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5674.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:43.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:58.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:17:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:17:34.462</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:17:58.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:18:28.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:18:30.575</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5674.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:18:58.781</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:28.768</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:43.768</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:47.776</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5674.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:58.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:28.756</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:38.359</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:47.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:09.786</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:09.79</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:09.791</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:28.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:22:13.765</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5675.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:22:28.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:22:56.232</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:23:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:23:43.77</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:23:59.31</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:28.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>23</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>34</td>
<td>5675.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>64</td>
<td>5676</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>66</td>
<td>5676.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>97</td>
<td>5676.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:45.256</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>19</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:45.256</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>34</td>
<td>5675.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:45.256</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>27</td>
<td>5676</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>2024-07-14T22:15:04.084</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>9</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:04.085</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:28.759</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:15:48.777</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:27.698</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5674.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:43.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:16:58.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:17:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:17:34.462</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:17:58.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:18:28.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:18:30.575</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5674.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:18:58.781</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:28.768</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:43.768</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:47.776</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5674.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:19:58.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:28.756</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:38.359</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:20:47.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:09.786</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:09.79</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:09.791</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5674.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:21:28.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5675</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:22:13.765</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5675.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:22:28.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:22:56.232</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:23:13.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:23:43.77</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:23:59.31</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:28.767</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>23</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>34</td>
<td>5675.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>64</td>
<td>5676</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>66</td>
<td>5676.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:43.757</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>97</td>
<td>5676.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:45.256</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>19</td>
<td>5675.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:45.256</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>34</td>
<td>5675.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-14T22:24:45.256</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>27</td>
<td>5676</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5675.74

Computed VWAP Slippage

0.86

Computed Total Filled

500.00

Algo Model

UncertBands

Computed Liquidity Cost

0.00

Computed Drift

0.00

Computed Seconds Spent

0.00

Computed Volatility

0.00