SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:25

Buy / Sell

Buy

Quantity

50

Arrival Price

5287.8750

Average Total

5288.5450

Destination Price

5288.2500

Slippage

0.6700

Slippage Sweep

-0.0250

Sweep to Fill

5288.5700

Algo Diagnostics

{ "customState": { "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 31 }, "algo_status": { "asInt32": 4 }, "economic_model": { "asInt32": 0 }, "sweep_to_fill": { "asDouble": 5288.57 }, "curr_liq_cost": { "asDouble": 26.5 }, "init_cost_per_share": { "asDouble": 0.695 }, "seconds_spent": { "asDouble": 62.985 }, "total_filled": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "drift": { "asDouble": 0.375 }, "init_liq_cost": { "asDouble": 17.375 }, "slippage_vwap_pct": { "asDouble": -1556.9293547744144 }, "slippage": { "asDouble": 0.6700000000000728 }, "init_min_duration": { "asDouble": 0 }, "total_dollar": { "asDouble": 264427.25 }, "total_vol": { "asDouble": 55.35600549333453 }, "init_drift": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.6973684210526315 }, "init_half_min_move": { "asDouble": 0.4049339774678509 }, "init_opt_t_minutes": { "asDouble": 2.9457858413910305 }, "destination_price": { "asDouble": 5288.25 }, "market_vwap": { "asDouble": 87627.45454545454 }, "init_vol_normal": { "asDouble": 38.51726127903626 }, "last_aggressive_qty": { "asInt32": 2 }, "model_size": { "asDouble": 1 }, "worst_opt_t_minutes": { "asDouble": 0.700486017544364 }, "slippage_sweep": { "asDouble": -0.024999999999636202 }, "daily_vol_normal": { "asDouble": 38.56975751415544 }, "last_tactical_qty": { "asInt32": 1 }, "arrival_price": { "asDouble": 5287.875 }, "curr_opt_t_minutes": { "asDouble": 1.4428963714010745 }, "ready": { "asBool": true }, "curr_half_min_move": { "asDouble": 0.40548587312665435 }, "total_drift": { "asDouble": 0.375 }, "sweep_residual": { "asDouble": 25 }, "avg_total": { "asDouble": 5288.545 }, "impact_model": { "asInt32": 2 }, "total_sent": { "asInt32": 50 }, "slippage_vwap": { "asDouble": -82338.90954545455 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.875<br />avg_total: 5288.545<br />curr_cost_per_share: 0.69736842105263<br />curr_half_min_move: 0.40548587312665<br />curr_liq_cost: 26.5<br />curr_opt_t_minutes: 1.4428963714011<br />daily_vol_normal: 38.569757514155<br />destination_price: 5288.25<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.695<br />init_drift: 0<br />init_half_min_move: 0.40493397746785<br />init_liq_cost: 17.375<br />init_min_duration: 0<br />init_opt_t_minutes: 2.945785841391<br />init_vol_normal: 38.517261279036<br />last_aggressive_qty: 2<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: 62.985<br />slip_toler: 0<br />slippage: 0.67000000000007<br />slippage_sweep: -0.024999999999636<br />sweep_residual: 25<br />sweep_to_fill: 5288.57<br />total_dollar: 264427.25<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.356005493335<br />worst_opt_t_minutes: 0.70048601754436

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.875<br />avg_total: 5288.545<br />destination_price: 5288.25<br />market_vwap: 87627.454545455<br />n_kids: 31<br />slippage: 0.67000000000007<br />slippage_vwap: -82338.909545455<br />slippage_vwap_pct: -1556.9293547744<br />total_dollar: 264427.25<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>2025-04-20T17:24:30.361</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:30.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:30.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:32.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:34.57</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:35.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:35.874</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:39.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:44.83</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:46.46</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:46.975</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:48.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:48.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:48.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:50.73</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:52.252</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:04.314</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:04.314</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:05.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:05.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:07.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:17.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:17.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:17.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:42.159</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Passive</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>2025-04-20T17:24:30.361</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:30.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:30.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:32.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:34.57</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:35.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:35.874</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:39.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:44.83</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:46.46</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:46.975</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:48.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:48.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:48.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:50.73</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:52.252</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:24:53.958</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:04.314</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:04.314</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:05.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:05.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:07.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:17.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:17.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:17.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:18.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:25:42.159</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5288.55

Computed VWAP Slippage

-82338.91

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.70

Computed Drift

0.38

Computed Seconds Spent

62.99

Computed Volatility

38.57