SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:12

Buy / Sell

Buy

Quantity

50

Arrival Price

5284.5000

Average Total

5285.4450

Destination Price

5285.5000

Slippage

0.9450

Slippage Sweep

0.5000

Sweep to Fill

5284.9450

Algo Diagnostics

{ "customState": { "total_drift": { "asDouble": 1 }, "avg_total": { "asDouble": 5285.445 }, "last_tactical_qty": { "asInt32": 3 }, "total_dollar": { "asDouble": 264272.25 }, "slippage": { "asDouble": 0.944999999999709 }, "total_filled": { "asInt32": 50 }, "total_sent": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.5 }, "market_vwap": { "asDouble": 42928.443396226416 }, "sweep_to_fill": { "asDouble": 5284.945 }, "total_vol": { "asDouble": 55.32067437855969 }, "daily_vol_normal": { "asDouble": 37.44727147760548 }, "slippage_vwap": { "asDouble": -37642.998396226416 }, "ready": { "asBool": true }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.3924286239603966 }, "curr_cost_per_share": { "asDouble": 0.8809523809523809 }, "worst_opt_t_minutes": { "asDouble": 0 }, "seconds_spent": { "asDouble": 19.822 }, "arrival_price": { "asDouble": 5284.5 }, "curr_opt_t_minutes": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 18.5 }, "impact_model": { "asInt32": 2 }, "last_aggressive_qty": { "asInt32": 5 }, "init_min_duration": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 1.2858747454697794 }, "order_time_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": 0 }, "drift": { "asDouble": 1 }, "n_kids": { "asInt32": 21 }, "algo_status": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 22.25 }, "model_size": { "asDouble": 3 }, "init_vol_normal": { "asDouble": 37.3277538649009 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 5285.5 }, "slippage_vwap_pct": { "asDouble": -712.2011182828771 }, "curr_half_min_move": { "asDouble": 0.3936851188586014 }, "init_cost_per_share": { "asDouble": 0.445 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:12:14.521","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:12:15.549","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:16.541","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:17.859","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:18.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:19.264","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:19.264","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:24.77","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:24.77","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:24.77","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:24.77","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:24.77","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:24.77","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:12:27.605","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:28.316","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:28.316","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:12:29.53","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:29.53","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:12:30.36","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:31.43","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:31.43","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:32.414","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:32.414","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:33.514","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:12:33.514","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284.5<br />avg_total: 5285.445<br />curr_cost_per_share: 0.88095238095238<br />curr_half_min_move: 0.3936851188586<br />curr_liq_cost: 18.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 37.447271477605<br />destination_price: 5285.5<br />drift: 1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.445<br />init_drift: 0<br />init_half_min_move: 0.3924286239604<br />init_liq_cost: 22.25<br />init_min_duration: 0<br />init_opt_t_minutes: 1.2858747454698<br />init_vol_normal: 37.327753864901<br />last_aggressive_qty: 5<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 19.822<br />slip_toler: 0<br />slippage: 0.94499999999971<br />slippage_sweep: 0.5<br />sweep_residual: 0<br />sweep_to_fill: 5284.945<br />total_dollar: 264272.25<br />total_drift: 1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.32067437856<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5284.5<br />avg_total: 5285.445<br />destination_price: 5285.5<br />market_vwap: 42928.443396226<br />n_kids: 21<br />slippage: 0.94499999999971<br />slippage_vwap: -37642.998396226<br />slippage_vwap_pct: -712.20111828288<br />total_dollar: 264272.25<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>2025-04-20T17:12:14.521</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:15.549</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:16.541</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:17.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:18.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:19.264</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:19.264</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:27.605</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:28.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:28.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:29.53</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:29.53</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:30.36</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:31.43</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:31.43</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:32.414</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:32.414</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:33.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:33.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</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>2025-04-20T17:12:14.521</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:15.549</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:16.541</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:17.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:18.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:19.264</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:19.264</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:24.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:27.605</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:28.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:28.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:29.53</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:29.53</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:12:30.36</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:31.43</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:31.43</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:32.414</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:32.414</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:33.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:12:33.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.45

Computed VWAP Slippage

-37643.00

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.45

Computed Drift

1.00

Computed Seconds Spent

19.82

Computed Volatility

37.45