SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:18

Buy / Sell

Buy

Quantity

50

Arrival Price

5287.8750

Average Total

5287.3850

Destination Price

5286.5000

Slippage

-0.4900

Slippage Sweep

-1.2005

Sweep to Fill

5288.5855

Algo Diagnostics

{ "customState": { "destination_price": { "asDouble": 5286.5 }, "last_tactical_qty": { "asInt32": 1 }, "init_vol_normal": { "asDouble": 37.89980274434151 }, "seconds_spent": { "asDouble": 32.774 }, "slippage_vwap_pct": { "asDouble": -3152.0090029470603 }, "total_drift": { "asDouble": 1.375 }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 37.95604208020975 }, "init_opt_t_minutes": { "asDouble": 3.1800122743885484 }, "init_drift": { "asDouble": 0 }, "drift": { "asDouble": 1.375 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": -1.2005263157889203 }, "sweep_to_fill": { "asDouble": 5288.585526315789 }, "curr_liq_cost": { "asDouble": 15.75 }, "init_liq_cost": { "asDouble": 27 }, "model_size": { "asDouble": 2 }, "last_aggressive_qty": { "asInt32": 1 }, "total_dollar": { "asDouble": 264369.25 }, "total_filled": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage": { "asDouble": -0.4899999999997817 }, "slippage_vwap": { "asDouble": -166658.85122047242 }, "init_half_min_move": { "asDouble": 0.398442603676654 }, "total_vol": { "asDouble": 55.35600549333453 }, "worst_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "init_min_duration": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "init_cost_per_share": { "asDouble": 0.7105263157894737 }, "market_vwap": { "asDouble": 171946.23622047243 }, "slip_toler": { "asDouble": 0 }, "sweep_residual": { "asDouble": 12 }, "arrival_price": { "asDouble": 5287.875 }, "total_sent": { "asInt32": 50 }, "curr_half_min_move": { "asDouble": 0.399033850748929 }, "impact_model": { "asInt32": 2 }, "curr_cost_per_share": { "asDouble": 0.7159090909090909 }, "avg_total": { "asDouble": 5287.385 }, "algo_status": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:17:38.977","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:17:40.702","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:42.331","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:44.379","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:45.061","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:45.863","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:46.872","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:48.219","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:48.22","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:53.019","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:53.928","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:53.928","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:59.546","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:17:59.546","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:00.27","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:01.167","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:01.931","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:04.247","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:05.066","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:06.467","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:06.467","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:07.461","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:07.461","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:08.645","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:08.645","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:10.061","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:10.061","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:18:10.232","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:10.232","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.875<br />avg_total: 5287.385<br />curr_cost_per_share: 0.71590909090909<br />curr_half_min_move: 0.39903385074893<br />curr_liq_cost: 15.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 37.95604208021<br />destination_price: 5286.5<br />drift: 1.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.71052631578947<br />init_drift: 0<br />init_half_min_move: 0.39844260367665<br />init_liq_cost: 27<br />init_min_duration: 0<br />init_opt_t_minutes: 3.1800122743885<br />init_vol_normal: 37.899802744342<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 32.774<br />slip_toler: 0<br />slippage: -0.48999999999978<br />slippage_sweep: -1.2005263157889<br />sweep_residual: 12<br />sweep_to_fill: 5288.5855263158<br />total_dollar: 264369.25<br />total_drift: 1.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.356005493335<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.875<br />avg_total: 5287.385<br />destination_price: 5286.5<br />market_vwap: 171946.23622047<br />n_kids: 25<br />slippage: -0.48999999999978<br />slippage_vwap: -166658.85122047<br />slippage_vwap_pct: -3152.0090029471<br />total_dollar: 264369.25<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>2025-04-20T17:17:38.977</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:40.702</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:42.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:44.379</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:45.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:45.863</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:46.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:48.219</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:48.22</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:53.019</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:53.928</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:53.928</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:59.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:59.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:00.27</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:01.167</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:01.931</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:04.247</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:05.066</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:06.467</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:06.467</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:07.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:07.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:08.645</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:08.645</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:10.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:10.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:10.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:10.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</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>2025-04-20T17:17:38.977</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:17:40.702</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:42.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:44.379</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:45.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:45.863</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:46.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:48.219</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:48.22</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:53.019</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:53.928</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:53.928</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:59.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:17:59.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:00.27</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:01.167</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:01.931</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:04.247</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:05.066</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:06.467</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:06.467</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:07.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:07.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:08.645</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:08.645</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:10.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:10.061</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:10.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:10.232</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.39

Computed VWAP Slippage

-166658.85

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.71

Computed Drift

1.38

Computed Seconds Spent

32.77

Computed Volatility

37.96