SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:17

Buy / Sell

Buy

Quantity

50

Arrival Price

5287.2500

Average Total

5287.5500

Destination Price

5287.6250

Slippage

0.3000

Slippage Sweep

-0.6389

Sweep to Fill

5288.1889

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 37.84663853506401 }, "init_half_min_move": { "asDouble": 0.39788368557067266 }, "impact_model": { "asInt32": 2 }, "last_aggressive_qty": { "asInt32": 5 }, "slip_toler": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 2.0068958583586234 }, "ready": { "asBool": true }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 37.87738613330747 }, "slippage_vwap_pct": { "asDouble": -3474.6074365596737 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.9388888888888889 }, "n_kids": { "asInt32": 31 }, "init_liq_cost": { "asDouble": 42.25 }, "drift": { "asDouble": 0.375 }, "destination_price": { "asDouble": 5287.625 }, "worst_opt_t_minutes": { "asDouble": 0.9398488636589174 }, "economic_model": { "asInt32": 0 }, "model_size": { "asDouble": 1 }, "total_vol": { "asDouble": 55.34946269430215 }, "curr_half_min_move": { "asDouble": 0.39820693667526463 }, "last_tactical_qty": { "asInt32": 1 }, "seconds_spent": { "asDouble": 61.018 }, "curr_cost_per_share": { "asDouble": 0.7713414634146342 }, "market_vwap": { "asDouble": 189009.15551181103 }, "init_opt_t_minutes": { "asDouble": 5.568216780234777 }, "avg_total": { "asDouble": 5287.55 }, "sweep_to_fill": { "asDouble": 5288.188888888889 }, "slippage_vwap": { "asDouble": -183721.60551181104 }, "slippage": { "asDouble": 0.3000000000001819 }, "slippage_sweep": { "asDouble": -0.6388888888886868 }, "total_drift": { "asDouble": 0.375 }, "init_min_duration": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "sweep_residual": { "asDouble": 5 }, "curr_liq_cost": { "asDouble": 31.625 }, "arrival_price": { "asDouble": 5287.25 }, "total_dollar": { "asDouble": 264377.5 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.55<br />curr_cost_per_share: 0.77134146341463<br />curr_half_min_move: 0.39820693667526<br />curr_liq_cost: 31.625<br />curr_opt_t_minutes: 2.0068958583586<br />daily_vol_normal: 37.877386133307<br />destination_price: 5287.625<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.93888888888889<br />init_drift: 0<br />init_half_min_move: 0.39788368557067<br />init_liq_cost: 42.25<br />init_min_duration: 0<br />init_opt_t_minutes: 5.5682167802348<br />init_vol_normal: 37.846638535064<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: 31<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 61.018<br />slip_toler: 0<br />slippage: 0.30000000000018<br />slippage_sweep: -0.63888888888869<br />sweep_residual: 5<br />sweep_to_fill: 5288.1888888889<br />total_dollar: 264377.5<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.349462694302<br />worst_opt_t_minutes: 0.93984886365892

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.55<br />destination_price: 5287.625<br />market_vwap: 189009.15551181<br />n_kids: 31<br />slippage: 0.30000000000018<br />slippage_vwap: -183721.60551181<br />slippage_vwap_pct: -3474.6074365597<br />total_dollar: 264377.5<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>2025-04-20T17:16:19.552</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.569</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.569</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:26.532</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:26.532</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:39.164</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:39.164</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:42.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:42.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:44.87</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:45.96</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:47.921</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:50.268</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:51.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:53.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:56.953</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:03.069</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:03.818</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:05.019</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:08.637</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:08.943</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:14.06</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:14.06</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:15.969</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:15.969</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:17.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:17.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:18.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</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>2025-04-20T17:16:19.552</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.569</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:21.569</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:26.532</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:26.532</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:34.859</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:16:39.164</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:39.164</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:42.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:42.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:44.87</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:45.96</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:47.921</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:50.268</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:51.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:53.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:16:56.953</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:03.069</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:03.818</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:05.019</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:08.637</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:08.943</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:14.06</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:14.06</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:15.969</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:15.969</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:17.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:17.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:18.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.55

Computed VWAP Slippage

-183721.61

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.94

Computed Drift

0.38

Computed Seconds Spent

61.02

Computed Volatility

37.88