SIM:ESZ4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESZ4

Algo CQG Symbol

EP

Date - Time

10/30/2024 - 04:22

Buy / Sell

Buy

Quantity

50

Arrival Price

5883.0000

Average Total

5883.5100

Destination Price

5883.3750

Slippage

0.5100

Slippage Sweep

0.1200

Sweep to Fill

5883.3900

Algo Diagnostics

{ "customState": { "last_aggressive_qty": { "asInt32": 23 }, "total_sent": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_drift": { "asDouble": 0.375 }, "init_vol_normal": { "asDouble": 61.58605873196455 }, "total_filled": { "asInt32": 50 }, "n_kids": { "asInt32": 5 }, "init_opt_t_minutes": { "asDouble": 0.36283297592816005 }, "last_tactical_qty": { "asInt32": 8 }, "destination_price": { "asDouble": 5883.375 }, "init_liq_cost": { "asDouble": 19.5 }, "curr_liq_cost": { "asDouble": 15 }, "curr_half_min_move": { "asDouble": 0.6474574487069309 }, "model_size": { "asDouble": 8 }, "avg_total": { "asDouble": 5883.51 }, "seconds_spent": { "asDouble": 4.39 }, "init_drift": { "asDouble": 0 }, "drift": { "asDouble": 0.375 }, "market_vwap": { "asDouble": 1521.603448275862 }, "sweep_residual": { "asDouble": 0 }, "slippage_vwap": { "asDouble": 4361.906551724138 }, "init_cost_per_share": { "asDouble": 0.39 }, "impact_model": { "asInt32": 2 }, "curr_cost_per_share": { "asDouble": 0.3 }, "slippage": { "asDouble": 0.5100000000002183 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_dollar": { "asDouble": 294175.5 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.6474574487069309 }, "slippage_vwap_pct": { "asDouble": 74.13782846845059 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "arrival_price": { "asDouble": 5883 }, "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 61.58605873196455 }, "init_min_duration": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 61.58605873196455 }, "sweep_to_fill": { "asDouble": 5883.39 }, "slippage_sweep": { "asDouble": 0.11999999999989086 }, "algo_status": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2024-10-30T04:21:37.033","Security":"SIM:ESZ4","Side":"Buy","LastShares":23.0,"LastPrice":5883.5,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:21:39.063","Security":"SIM:ESZ4","Side":"Buy","LastShares":15.0,"LastPrice":5883.5,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:21:39.063","Security":"SIM:ESZ4","Side":"Buy","LastShares":2.0,"LastPrice":5883.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:21:40.388","Security":"SIM:ESZ4","Side":"Buy","LastShares":8.0,"LastPrice":5883.5,"Aggressor":"Aggressive"},{"Timestamp":"2024-10-30T04:21:47.141","Security":"SIM:ESZ4","Side":"Buy","LastShares":1.0,"LastPrice":5883.5,"Aggressor":"Passive"},{"Timestamp":"2024-10-30T04:22:09.302","Security":"SIM:ESZ4","Side":"Buy","LastShares":1.0,"LastPrice":5883.5,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5883<br />avg_total: 5883.51<br />curr_cost_per_share: 0.3<br />curr_half_min_move: 0.64745744870693<br />curr_liq_cost: 15<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 61.586058731965<br />destination_price: 5883.375<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.39<br />init_drift: 0<br />init_half_min_move: 0.64745744870693<br />init_liq_cost: 19.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.36283297592816<br />init_vol_normal: 61.586058731965<br />last_aggressive_qty: 23<br />last_tactical_qty: 8<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 8<br />n_kids: 5<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 4.39<br />slip_toler: 0<br />slippage: 0.51000000000022<br />slippage_sweep: 0.11999999999989<br />sweep_residual: 0<br />sweep_to_fill: 5883.39<br />total_dollar: 294175.5<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 61.586058731965<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5883<br />avg_total: 5883.51<br />destination_price: 5883.375<br />market_vwap: 1521.6034482759<br />n_kids: 5<br />slippage: 0.51000000000022<br />slippage_vwap: 4361.9065517241<br />slippage_vwap_pct: 74.137828468451<br />total_dollar: 294175.5<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>2024-10-30T04:21:37.033</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>23</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:39.063</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>15</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:39.063</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>2</td>
<td>5883.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:40.388</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>8</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:47.141</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>1</td>
<td>5883.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:22:09.302</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>1</td>
<td>5883.5</td>
<td>Passive</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>2024-10-30T04:21:37.033</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>23</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:39.063</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>15</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:39.063</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>2</td>
<td>5883.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:40.388</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>8</td>
<td>5883.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-10-30T04:21:47.141</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>1</td>
<td>5883.5</td>
<td>Passive</td>
</tr><tr>
<td>2024-10-30T04:22:09.302</td>
<td>SIM:ESZ4</td>
<td>Buy</td>
<td>1</td>
<td>5883.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5883.51

Computed VWAP Slippage

4361.91

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.39

Computed Drift

0.38

Computed Seconds Spent

4.39

Computed Volatility

61.59