SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:10

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.8750

Average Total

5282.4200

Destination Price

5281.0000

Slippage

-3.4550

Slippage Sweep

-4.5175

Sweep to Fill

5286.9375

Algo Diagnostics

{ "customState": { "total_dollar": { "asDouble": 264121 }, "init_half_min_move": { "asDouble": 0.3878616987414617 }, "init_cost_per_share": { "asDouble": 1.0625 }, "curr_liq_cost": { "asDouble": 44.25 }, "init_min_duration": { "asDouble": 0 }, "avg_total": { "asDouble": 5282.42 }, "curr_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 19 }, "arrival_price": { "asDouble": 5285.875 }, "init_liq_cost": { "asDouble": 51 }, "slippage": { "asDouble": -3.4549999999999272 }, "init_vol_normal": { "asDouble": 36.89334859962898 }, "slippage_sweep": { "asDouble": -4.517499999999927 }, "init_drift": { "asDouble": 0 }, "total_drift": { "asDouble": 4.875 }, "market_vwap": { "asDouble": 90038.51018808778 }, "drift": { "asDouble": 4.875 }, "curr_half_min_move": { "asDouble": 0.39044051869537894 }, "destination_price": { "asDouble": 5281 }, "total_sent": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 37.13864558008429 }, "last_tactical_qty": { "asInt32": 1 }, "model_size": { "asDouble": 4 }, "slippage_vwap": { "asDouble": -84756.09018808778 }, "curr_cost_per_share": { "asDouble": 0.885 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "worst_opt_t_minutes": { "asDouble": 0 }, "seconds_spent": { "asDouble": 15.885 }, "ready": { "asBool": true }, "last_aggressive_qty": { "asInt32": 3 }, "sweep_to_fill": { "asDouble": 5286.9375 }, "slippage_vwap_pct": { "asDouble": -1604.4935879405232 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 55.33506853643091 }, "sweep_residual": { "asDouble": 2 }, "init_opt_t_minutes": { "asDouble": 7.504194587368605 }, "total_filled": { "asInt32": 50 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:10:36.249","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:36.249","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:38.312","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:40.445","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:40.445","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:41.355","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:41.355","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:41.355","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:42.566","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:42.566","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:10:43.493","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:43.493","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:10:44.648","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:45.428","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:46.584","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:46.584","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:10:46.584","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:10:46.584","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:10:47.423","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:47.423","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:48.408","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:48.408","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:49.458","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:49.458","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:50.459","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:10:50.859","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.25,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.875<br />avg_total: 5282.42<br />curr_cost_per_share: 0.885<br />curr_half_min_move: 0.39044051869538<br />curr_liq_cost: 44.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 37.138645580084<br />destination_price: 5281<br />drift: 4.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.0625<br />init_drift: 0<br />init_half_min_move: 0.38786169874146<br />init_liq_cost: 51<br />init_min_duration: 0<br />init_opt_t_minutes: 7.5041945873686<br />init_vol_normal: 36.893348599629<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 15.885<br />slip_toler: 0<br />slippage: -3.4549999999999<br />slippage_sweep: -4.5174999999999<br />sweep_residual: 2<br />sweep_to_fill: 5286.9375<br />total_dollar: 264121<br />total_drift: 4.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.335068536431<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.875<br />avg_total: 5282.42<br />destination_price: 5281<br />market_vwap: 90038.510188088<br />n_kids: 19<br />slippage: -3.4549999999999<br />slippage_vwap: -84756.090188088<br />slippage_vwap_pct: -1604.4935879405<br />total_dollar: 264121<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>2025-04-20T17:10:36.249</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:36.249</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:38.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:40.445</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:40.445</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:41.355</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:41.355</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:41.355</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:42.566</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:42.566</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:43.493</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:43.493</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:44.648</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:45.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:47.423</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:47.423</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:48.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:48.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:49.458</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:49.458</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:50.459</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:50.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</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>2025-04-20T17:10:36.249</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:36.249</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:38.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:40.445</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:40.445</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:41.355</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:41.355</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:41.355</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:42.566</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:42.566</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:43.493</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:43.493</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:44.648</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:45.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:46.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:10:47.423</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:47.423</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:48.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:48.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:49.458</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:49.458</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:50.459</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:10:50.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5282.42

Computed VWAP Slippage

-84756.09

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

1.06

Computed Drift

4.88

Computed Seconds Spent

15.89

Computed Volatility

37.14