SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:05

Buy / Sell

Buy

Quantity

50

Arrival Price

5288.8750

Average Total

5286.5900

Destination Price

5286.1250

Slippage

-2.2850

Slippage Sweep

-3.1600

Sweep to Fill

5289.7500

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 17.375 }, "sweep_residual": { "asDouble": 26 }, "arrival_price": { "asDouble": 5288.875 }, "slippage_vwap": { "asDouble": -53266.46867346938 }, "curr_cost_per_share": { "asDouble": 0.8273809523809523 }, "drift": { "asDouble": 2.75 }, "init_cost_per_share": { "asDouble": 0.875 }, "init_liq_cost": { "asDouble": 21 }, "curr_half_min_move": { "asDouble": 0.37345302346162645 }, "market_vwap": { "asDouble": 58553.058673469386 }, "model_size": { "asDouble": 5 }, "destination_price": { "asDouble": 5286.125 }, "algo_status": { "asInt32": 4 }, "init_min_duration": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": -1007.5770709184821 }, "sweep_to_fill": { "asDouble": 5289.75 }, "total_dollar": { "asDouble": 264329.5 }, "economic_model": { "asInt32": 0 }, "total_drift": { "asDouble": 2.75 }, "worst_opt_t_minutes": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "last_tactical_qty": { "asInt32": 5 }, "n_kids": { "asInt32": 14 }, "slip_toler": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 5.5131386852185225 }, "total_sent": { "asInt32": 50 }, "total_vol": { "asDouble": 55.366473971786334 }, "last_aggressive_qty": { "asInt32": 4 }, "avg_total": { "asDouble": 5286.59 }, "curr_opt_t_minutes": { "asDouble": 0 }, "seconds_spent": { "asDouble": 11.973 }, "slippage": { "asDouble": -2.2849999999998545 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": -3.1599999999998545 }, "order_time_minutes": { "asDouble": 10 }, "init_vol_normal": { "asDouble": 35.44702360910489 }, "daily_vol_normal": { "asDouble": 35.52279749421509 }, "init_drift": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.37265640865395405 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:05:20.22","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:21.245","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:22.23","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:23.227","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:24.561","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:24.635","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:25.232","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:25.232","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:25.232","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:05:26.245","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:26.245","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:26.245","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:26.245","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:27.245","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:27.245","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:05:28.312","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:28.312","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:05:28.379","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:05:28.38","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:05:29.279","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:29.279","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:30.33","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:30.331","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:05:30.331","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288.875<br />avg_total: 5286.59<br />curr_cost_per_share: 0.82738095238095<br />curr_half_min_move: 0.37345302346163<br />curr_liq_cost: 17.375<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 35.522797494215<br />destination_price: 5286.125<br />drift: 2.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.875<br />init_drift: 0<br />init_half_min_move: 0.37265640865395<br />init_liq_cost: 21<br />init_min_duration: 0<br />init_opt_t_minutes: 5.5131386852185<br />init_vol_normal: 35.447023609105<br />last_aggressive_qty: 4<br />last_tactical_qty: 5<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 11.973<br />slip_toler: 0<br />slippage: -2.2849999999999<br />slippage_sweep: -3.1599999999999<br />sweep_residual: 26<br />sweep_to_fill: 5289.75<br />total_dollar: 264329.5<br />total_drift: 2.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.366473971786<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.875<br />avg_total: 5286.59<br />destination_price: 5286.125<br />market_vwap: 58553.058673469<br />n_kids: 14<br />slippage: -2.2849999999999<br />slippage_vwap: -53266.468673469<br />slippage_vwap_pct: -1007.5770709185<br />total_dollar: 264329.5<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>2025-04-20T17:05:20.22</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:21.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:22.23</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:23.227</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:24.561</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:24.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:25.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:25.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:25.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:27.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:27.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:28.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:28.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:28.379</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:28.38</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:29.279</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:29.279</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:30.33</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:30.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:30.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.75</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>2025-04-20T17:05:20.22</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:21.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:22.23</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:23.227</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:24.561</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:24.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:25.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:25.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:25.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:26.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:27.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:27.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:28.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:28.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:28.379</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:28.38</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:05:29.279</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:29.279</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:30.33</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:30.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:05:30.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.59

Computed VWAP Slippage

-53266.47

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.88

Computed Drift

2.75

Computed Seconds Spent

11.97

Computed Volatility

35.52