SIM:ESU4 | www.cqg.com

Algo Type

VWAP

Algo Symbol

SIM:ESU4

Algo CQG Symbol

EP

Date - Time

07/15/2024 - 11:42

Buy / Sell

Buy

Quantity

500

Arrival Price

5696.3750

Market VWAP

5697.2382

Destination Price

5699.8750

Slippage

1.6431

SlippagePct

0.0288

AggressivePct

42.3077

Algo Diagnostics

{ "customState": { "total_dollar": { "asDouble": 1116980.75 }, "avg_total": { "asDouble": 5698.881377551021 }, "total_sent": { "asInt32": 196 }, "slippage": { "asDouble": 2.506377551020705 }, "slippage_vwap": { "asDouble": 1.6431276911816894 }, "aggressive_pct": { "asDouble": 42.30769230769231 }, "market_vwap": { "asDouble": 5697.238249859839 }, "algo_status": { "asInt32": 2 }, "destination_price": { "asDouble": 5699.875 }, "n_kids": { "asInt32": 15 }, "total_filled": { "asInt32": 196 }, "arrival_price": { "asDouble": 5696.375 }, "slippage_vwap_pct": { "asDouble": 0.028832459957041437 } } }

Fills Array

[{"Timestamp":"2024-07-15T11:41:26.715","Security":"SIM:ESU4","Side":"Buy","LastShares":12.0,"LastPrice":5696.5,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:28.009","Security":"SIM:ESU4","Side":"Buy","LastShares":3.0,"LastPrice":5696.25,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:42.157","Security":"SIM:ESU4","Side":"Buy","LastShares":25.0,"LastPrice":5698.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:42.161","Security":"SIM:ESU4","Side":"Buy","LastShares":27.0,"LastPrice":5698.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:42.162","Security":"SIM:ESU4","Side":"Buy","LastShares":12.0,"LastPrice":5698.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:42.169","Security":"SIM:ESU4","Side":"Buy","LastShares":5.0,"LastPrice":5698.0,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.19","Security":"SIM:ESU4","Side":"Buy","LastShares":10.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.191","Security":"SIM:ESU4","Side":"Buy","LastShares":13.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.192","Security":"SIM:ESU4","Side":"Buy","LastShares":13.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.194","Security":"SIM:ESU4","Side":"Buy","LastShares":12.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.196","Security":"SIM:ESU4","Side":"Buy","LastShares":12.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.197","Security":"SIM:ESU4","Side":"Buy","LastShares":11.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.205","Security":"SIM:ESU4","Side":"Buy","LastShares":11.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.261","Security":"SIM:ESU4","Side":"Buy","LastShares":26.0,"LastPrice":5699.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-07-15T11:41:57.262","Security":"SIM:ESU4","Side":"Buy","LastShares":4.0,"LastPrice":5699.75,"Aggressor":"Aggressive"}]

Source URL

UncertBands

Computed diagnostics AP

algo_status: 2<br />arrival_price: 5696.375<br />avg_total: 5698.881377551<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: 5699.875<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: 15<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 2.5063775510207<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 1116980.75<br />total_drift: <br />total_filled: 196<br />total_sent: 196<br />total_vol: <br />worst_opt_t_minutes:

Computed diagnostics VWAP

aggressive_pct: 42.307692307692<br />algo_status: 2<br />arrival_price: 5696.375<br />avg_total: 5698.881377551<br />destination_price: 5699.875<br />market_vwap: 5697.2382498598<br />n_kids: 15<br />slippage: 2.5063775510207<br />slippage_vwap: 1.6431276911817<br />slippage_vwap_pct: 0.028832459957041<br />total_dollar: 1116980.75<br />total_filled: 196<br />total_sent: 196

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>2024-07-15T11:41:26.715</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:28.009</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5696.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.157</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>25</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.161</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>27</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.162</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.169</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.19</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.191</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.192</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.194</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.196</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.197</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.205</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.261</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>26</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.262</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5699.75</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>2024-07-15T11:41:26.715</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5696.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:28.009</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>3</td>
<td>5696.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.157</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>25</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.161</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>27</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.162</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:42.169</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>5</td>
<td>5698</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.19</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>10</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.191</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.192</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>13</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.194</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.196</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>12</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.197</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.205</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>11</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.261</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>26</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-07-15T11:41:57.262</td>
<td>SIM:ESU4</td>
<td>Buy</td>
<td>4</td>
<td>5699.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5698.88

Computed VWAP Slippage

1.64

Computed Total Filled

196.00

Algo Model

UncertBands

Computed Liquidity Cost

0.00

Computed Drift

0.00

Computed Seconds Spent

0.00

Computed Volatility

0.00