SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:20

Buy / Sell

Buy

Quantity

50

Arrival Price

5288.7500

Average Total

5288.9800

Destination Price

5288.2500

Slippage

0.2300

Slippage Sweep

-0.6813

Sweep to Fill

5289.6613

Algo Diagnostics

{ "customState": { "destination_price": { "asDouble": 5288.25 }, "arrival_price": { "asDouble": 5288.75 }, "slip_toler": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 28.25 }, "seconds_spent": { "asDouble": 67.143 }, "curr_opt_t_minutes": { "asDouble": 2.179474356975093 }, "curr_liq_cost": { "asDouble": 26.25 }, "total_drift": { "asDouble": 0.5 }, "slippage": { "asDouble": 0.22999999999956344 }, "last_aggressive_qty": { "asInt32": 1 }, "last_tactical_qty": { "asInt32": 4 }, "total_filled": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.4004414093649725 }, "avg_total": { "asDouble": 5288.98 }, "n_kids": { "asInt32": 26 }, "daily_vol_normal": { "asDouble": 38.12334531754114 }, "curr_cost_per_share": { "asDouble": 0.875 }, "init_drift": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -2540.432566250312 }, "total_dollar": { "asDouble": 264449 }, "init_cost_per_share": { "asDouble": 0.9112903225806451 }, "init_vol_normal": { "asDouble": 38.08992885187246 }, "economic_model": { "asInt32": 0 }, "model_size": { "asDouble": 4 }, "curr_half_min_move": { "asDouble": 0.4007927184120543 }, "sweep_residual": { "asDouble": 19 }, "slippage_sweep": { "asDouble": -0.681290322580935 }, "init_min_duration": { "asDouble": 0 }, "ready": { "asBool": true }, "algo_status": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 5.178876495607505 }, "slippage_vwap": { "asDouble": -134362.97034246573 }, "impact_model": { "asInt32": 2 }, "sweep_to_fill": { "asDouble": 5289.6612903225805 }, "market_vwap": { "asDouble": 139651.95034246575 }, "order_time_minutes": { "asDouble": 10 }, "total_vol": { "asDouble": 55.36516541197985 }, "worst_opt_t_minutes": { "asDouble": 1.0333812228187542 }, "drift": { "asDouble": 0.5 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288.75<br />avg_total: 5288.98<br />curr_cost_per_share: 0.875<br />curr_half_min_move: 0.40079271841205<br />curr_liq_cost: 26.25<br />curr_opt_t_minutes: 2.1794743569751<br />daily_vol_normal: 38.123345317541<br />destination_price: 5288.25<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.91129032258065<br />init_drift: 0<br />init_half_min_move: 0.40044140936497<br />init_liq_cost: 28.25<br />init_min_duration: 0<br />init_opt_t_minutes: 5.1788764956075<br />init_vol_normal: 38.089928851872<br />last_aggressive_qty: 1<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 67.143<br />slip_toler: 0<br />slippage: 0.22999999999956<br />slippage_sweep: -0.68129032258094<br />sweep_residual: 19<br />sweep_to_fill: 5289.6612903226<br />total_dollar: 264449<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.36516541198<br />worst_opt_t_minutes: 1.0333812228188

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.75<br />avg_total: 5288.98<br />destination_price: 5288.25<br />market_vwap: 139651.95034247<br />n_kids: 26<br />slippage: 0.22999999999956<br />slippage_vwap: -134362.97034247<br />slippage_vwap_pct: -2540.4325662503<br />total_dollar: 264449<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>2025-04-20T17:19:43.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:45.489</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:47.415</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:47.846</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:47.846</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:54.444</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:54.945</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:56.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:58.967</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:00.192</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:00.192</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:00.326</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:09.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:09.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.826</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.826</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.826</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:19.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:26.779</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:27.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:33.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:39.451</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:41.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:41.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:41.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:47.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:47.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:47.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:48.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:48.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</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>2025-04-20T17:19:43.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:45.489</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:47.415</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:47.846</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:47.846</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:54.444</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:54.945</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:56.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:19:58.967</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:00.192</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:00.192</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:00.326</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:09.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:09.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.826</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.826</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:14.826</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:19.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:26.779</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:27.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:33.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:39.451</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:41.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:41.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:41.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:47.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:47.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:47.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:48.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:48.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.98

Computed VWAP Slippage

-134362.97

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.91

Computed Drift

0.50

Computed Seconds Spent

67.14

Computed Volatility

38.12