SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/15/2024 - 07:52

Buy / Sell

Buy

Quantity

500

Arrival Price

5686.6250

Market VWAP

5685.9567

Destination Price

5686.3750

Slippage

-0.2622

SlippagePct

-0.0046

AggressivePct

32.7586

Algo Diagnostics

{ "customState": { "total_sent": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_pct": { "asDouble": -0.004611882064712141 }, "n_kids": { "asInt32": 45 }, "arrival_price": { "asDouble": 5686.625 }, "destination_price": { "asDouble": 5686.375 }, "slippage_vwap": { "asDouble": -0.26221752489982464 }, "market_vwap": { "asDouble": 5685.956717524899 }, "aggressive_pct": { "asDouble": 32.758620689655174 }, "total_filled": { "asInt32": 500 }, "total_dollar": { "asDouble": 2842847.25 }, "slippage": { "asDouble": -0.9305000000003929 }, "avg_total": { "asDouble": 5685.6945 } } }

Fills Array

Source URL

UncertBands

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5686.625<br />avg_total: 5685.6945<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: 5686.375<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: 45<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.93050000000039<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2842847.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 32.758620689655<br />algo_status: 4<br />arrival_price: 5686.625<br />avg_total: 5685.6945<br />destination_price: 5686.375<br />market_vwap: 5685.9567175249<br />n_kids: 45<br />slippage: -0.93050000000039<br />slippage_vwap: -0.26221752489982<br />slippage_vwap_pct: -0.0046118820647121<br />total_dollar: 2842847.25<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>2024-07-15T07:45:12.457</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:45:28.456</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:45:43.11</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:45:59.028</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5686.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:46:22.217</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:46:28.056</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5687.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:46:57.103</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:07.378</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:27.086</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:46.988</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:57.969</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:23.357</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5685.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:27.087</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>14</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:34.557</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:43.782</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>15</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:58.468</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:11.586</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:16.663</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:16.664</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:27.66</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>15</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:42.258</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:42.357</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.085</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>17</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.357</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.38</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.381</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.264</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.265</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.266</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.27</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:57.095</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>23</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.079</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.08</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.081</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.082</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:15.798</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>25</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:15.799</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:29.899</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>8</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:29.9</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:42.096</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>28</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:49.711</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>19</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:49.712</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>39</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:57.088</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>55</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:57.088</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>62</td>
<td>5686.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:57.088</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5686.5</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>2024-07-15T07:45:12.457</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:45:28.456</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:45:43.11</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:45:59.028</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5686.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:46:22.217</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:46:28.056</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5687.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:46:57.103</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5687</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:07.378</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:27.086</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5686.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:46.988</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:47:57.969</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:23.357</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5685.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:27.087</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>14</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:34.557</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:43.782</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>15</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:48:58.468</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:11.586</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:16.663</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:16.664</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:27.66</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>15</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:42.258</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:49:42.357</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.085</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>17</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.357</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.38</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:12.381</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.264</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.265</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.266</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:34.27</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:50:57.095</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>23</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.079</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.08</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.081</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>6</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:01.082</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:15.798</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>25</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:15.799</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:29.899</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>8</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:29.9</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5685</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:42.096</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>28</td>
<td>5685.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:49.711</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>19</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:49.712</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>39</td>
<td>5685.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:57.088</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>55</td>
<td>5686</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:57.088</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>62</td>
<td>5686.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T07:51:57.088</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5686.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5685.69

Computed VWAP Slippage

-0.26

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