SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:09

Buy / Sell

Buy

Quantity

50

Arrival Price

5287.1250

Average Total

5288.6150

Destination Price

5288.3750

Slippage

1.4900

Slippage Sweep

0.9411

Sweep to Fill

5287.6739

Algo Diagnostics

{ "customState": { "init_min_duration": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "avg_total": { "asDouble": 5288.615 }, "model_size": { "asDouble": 1 }, "init_drift": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.9410869565217581 }, "last_aggressive_qty": { "asInt32": 5 }, "slip_toler": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5287.673913043478 }, "market_vwap": { "asDouble": 141821.01893939395 }, "init_liq_cost": { "asDouble": 12.625 }, "slippage_vwap_pct": { "asDouble": -2581.6287239550234 }, "total_filled": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 36.58743982109334 }, "slippage": { "asDouble": 1.4899999999997817 }, "ready": { "asBool": true }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.38452442960853744 }, "last_tactical_qty": { "asInt32": 1 }, "total_vol": { "asDouble": 55.348154134495665 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 2.037789069127634 }, "init_vol_normal": { "asDouble": 36.57590804313354 }, "arrival_price": { "asDouble": 5287.125 }, "drift": { "asDouble": 1.25 }, "total_drift": { "asDouble": 1.25 }, "init_cost_per_share": { "asDouble": 0.5489130434782609 }, "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 19 }, "sweep_residual": { "asDouble": 27 }, "worst_opt_t_minutes": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "total_dollar": { "asDouble": 264430.75 }, "curr_half_min_move": { "asDouble": 0.3846456637919003 }, "slippage_vwap": { "asDouble": -136532.40393939396 }, "destination_price": { "asDouble": 5288.375 }, "curr_opt_t_minutes": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 25.125 }, "seconds_spent": { "asDouble": 15.002 }, "curr_cost_per_share": { "asDouble": 0.7178571428571429 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:08:51.339","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:52.814","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:54.244","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:54.245","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:54.78","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:54.78","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:08:55.786","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:55.786","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:08:56.839","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:56.839","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:57.93","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:58.84","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:08:58.84","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:08:59.846","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:00.871","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:00.871","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:01.992","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:02.261","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:09:03.121","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:03.121","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:04.187","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:04.187","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:09:05.212","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.125<br />avg_total: 5288.615<br />curr_cost_per_share: 0.71785714285714<br />curr_half_min_move: 0.3846456637919<br />curr_liq_cost: 25.125<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 36.587439821093<br />destination_price: 5288.375<br />drift: 1.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.54891304347826<br />init_drift: 0<br />init_half_min_move: 0.38452442960854<br />init_liq_cost: 12.625<br />init_min_duration: 0<br />init_opt_t_minutes: 2.0377890691276<br />init_vol_normal: 36.575908043134<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 15.002<br />slip_toler: 0<br />slippage: 1.4899999999998<br />slippage_sweep: 0.94108695652176<br />sweep_residual: 27<br />sweep_to_fill: 5287.6739130435<br />total_dollar: 264430.75<br />total_drift: 1.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.348154134496<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.125<br />avg_total: 5288.615<br />destination_price: 5288.375<br />market_vwap: 141821.01893939<br />n_kids: 19<br />slippage: 1.4899999999998<br />slippage_vwap: -136532.40393939<br />slippage_vwap_pct: -2581.628723955<br />total_dollar: 264430.75<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>2025-04-20T17:08:51.339</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:52.814</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.244</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:55.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:55.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:56.839</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:56.839</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:57.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:58.84</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:58.84</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:59.846</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:00.871</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:00.871</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:01.992</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:02.261</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:09:03.121</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:03.121</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:04.187</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:04.187</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:05.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</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>2025-04-20T17:08:51.339</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:52.814</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.244</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:54.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:55.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:55.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:56.839</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:56.839</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:57.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:58.84</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:08:58.84</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:08:59.846</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:00.871</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:00.871</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:01.992</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:02.261</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:09:03.121</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:03.121</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:04.187</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:04.187</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:09:05.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.62

Computed VWAP Slippage

-136532.40

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.55

Computed Drift

1.25

Computed Seconds Spent

15.00

Computed Volatility

36.59