SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/15/2024 - 10:01

Buy / Sell

Buy

Quantity

500

Arrival Price

5707.3750

Market VWAP

5708.0804

Destination Price

5710.3750

Slippage

-0.5039

SlippagePct

-0.0088

AggressivePct

29.7297

Algo Diagnostics

{ "customState": { "n_kids": { "asInt32": 26 }, "slippage_vwap_pct": { "asDouble": -0.008829384034361027 }, "total_sent": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "arrival_price": { "asDouble": 5707.375 }, "total_dollar": { "asDouble": 2853788.25 }, "slippage_vwap": { "asDouble": -0.5039438482399419 }, "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 5708.08044384824 }, "destination_price": { "asDouble": 5710.375 }, "aggressive_pct": { "asDouble": 29.72972972972973 }, "slippage": { "asDouble": 0.2015000000001237 }, "avg_total": { "asDouble": 5707.5765 } } }

Fills Array

Source URL

UncertBands

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5707.375<br />avg_total: 5707.5765<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: 5710.375<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: 26<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.20150000000012<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2853788.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 29.72972972973<br />algo_status: 4<br />arrival_price: 5707.375<br />avg_total: 5707.5765<br />destination_price: 5710.375<br />market_vwap: 5708.0804438482<br />n_kids: 26<br />slippage: 0.20150000000012<br />slippage_vwap: -0.50394384823994<br />slippage_vwap_pct: -0.008829384034361<br />total_dollar: 2853788.25<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>2024-07-15T09:58:17.679</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5707.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:19.688</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:41.675</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:41.676</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:48.416</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:03.756</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>14</td>
<td>5707</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:20.404</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>32</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:36.857</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:36.862</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:48.669</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:49.893</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>58</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:49.894</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>22</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:04.215</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>49</td>
<td>5707.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:04.227</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>17</td>
<td>5707.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:18.766</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>49</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:18.769</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>29</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:18.77</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.823</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.824</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.826</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.827</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.828</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>20</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.37</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.371</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>33</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.372</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>36</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.373</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:05.72</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>14</td>
<td>5710.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:05.721</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5710.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:24.004</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>8</td>
<td>5711</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:36.525</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5710.75</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>2024-07-15T09:58:17.679</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5707.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:19.688</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:41.675</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:41.676</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:58:48.416</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:03.756</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>14</td>
<td>5707</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:20.404</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>32</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:36.857</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:36.862</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5707.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:48.669</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:49.893</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>58</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T09:59:49.894</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>22</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:04.215</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>49</td>
<td>5707.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:04.227</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>17</td>
<td>5707.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:18.766</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>49</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:18.769</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>29</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:18.77</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5706.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.823</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.824</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>1</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.826</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.827</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>2</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:34.828</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>20</td>
<td>5707.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.37</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.371</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>33</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.372</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>36</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:00:48.373</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>7</td>
<td>5708.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:05.72</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>14</td>
<td>5710.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:05.721</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5710.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:24.004</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>8</td>
<td>5711</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T10:01:36.525</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5710.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5707.58

Computed VWAP Slippage

-0.50

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