SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:29

Buy / Sell

Buy

Quantity

50

Arrival Price

5291.8750

Average Total

5292.1450

Destination Price

5291.2500

Slippage

0.2700

Slippage Sweep

-0.6292

Sweep to Fill

5292.7742

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 38.867855609649894 }, "last_tactical_qty": { "asInt32": 3 }, "total_sent": { "asInt32": 50 }, "slippage_vwap": { "asDouble": -125138.38396341463 }, "init_drift": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": -2364.6061089296422 }, "sweep_residual": { "asDouble": 19 }, "drift": { "asDouble": 0.625 }, "daily_vol_normal": { "asDouble": 38.89960031509198 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 0.6382666892425484 }, "total_dollar": { "asDouble": 264607.25 }, "seconds_spent": { "asDouble": 46.337 }, "market_vwap": { "asDouble": 130430.52896341463 }, "curr_cost_per_share": { "asDouble": 0.73 }, "impact_model": { "asInt32": 2 }, "last_aggressive_qty": { "asInt32": 3 }, "curr_liq_cost": { "asDouble": 18.25 }, "ready": { "asBool": true }, "init_opt_t_minutes": { "asDouble": 4.842476964816996 }, "algo_status": { "asInt32": 4 }, "total_drift": { "asDouble": 0.625 }, "sweep_to_fill": { "asDouble": 5292.774193548387 }, "worst_opt_t_minutes": { "asDouble": 0.31470683586136494 }, "slip_toler": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 27.875 }, "total_vol": { "asDouble": 55.397879407141744 }, "model_size": { "asDouble": 3 }, "arrival_price": { "asDouble": 5291.875 }, "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 25 }, "init_half_min_move": { "asDouble": 0.4086197939578807 }, "slippage_sweep": { "asDouble": -0.6291935483868656 }, "init_cost_per_share": { "asDouble": 0.8991935483870968 }, "avg_total": { "asDouble": 5292.145 }, "destination_price": { "asDouble": 5291.25 }, "curr_half_min_move": { "asDouble": 0.408953527702476 }, "slippage": { "asDouble": 0.27000000000043656 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:28:17.308","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:18.811","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:19.393","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:20.446","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:21.407","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:27.464","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:31.828","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:33.944","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:34.647","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:34.647","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:39.112","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:39.112","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:39.728","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:39.728","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:41.332","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:45.786","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:49.78","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:52.038","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:53.174","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:54.855","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:58.981","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:28:58.981","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:00.012","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:00.983","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:01.292","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:01.292","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:02.332","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5291.875<br />avg_total: 5292.145<br />curr_cost_per_share: 0.73<br />curr_half_min_move: 0.40895352770248<br />curr_liq_cost: 18.25<br />curr_opt_t_minutes: 0.63826668924255<br />daily_vol_normal: 38.899600315092<br />destination_price: 5291.25<br />drift: 0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.8991935483871<br />init_drift: 0<br />init_half_min_move: 0.40861979395788<br />init_liq_cost: 27.875<br />init_min_duration: 0<br />init_opt_t_minutes: 4.842476964817<br />init_vol_normal: 38.86785560965<br />last_aggressive_qty: 3<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 46.337<br />slip_toler: 0<br />slippage: 0.27000000000044<br />slippage_sweep: -0.62919354838687<br />sweep_residual: 19<br />sweep_to_fill: 5292.7741935484<br />total_dollar: 264607.25<br />total_drift: 0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.397879407142<br />worst_opt_t_minutes: 0.31470683586136

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291.875<br />avg_total: 5292.145<br />destination_price: 5291.25<br />market_vwap: 130430.52896341<br />n_kids: 25<br />slippage: 0.27000000000044<br />slippage_vwap: -125138.38396341<br />slippage_vwap_pct: -2364.6061089296<br />total_dollar: 264607.25<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>2025-04-20T17:28:17.308</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:18.811</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:19.393</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:20.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:21.407</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:27.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:31.828</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:33.944</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.728</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.728</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:41.332</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:45.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:49.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:52.038</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:53.174</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:54.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:58.981</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:58.981</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:00.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:00.983</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:01.292</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:01.292</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:02.332</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</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>2025-04-20T17:28:17.308</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:18.811</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:19.393</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:20.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:21.407</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:27.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:31.828</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:33.944</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:34.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.728</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:39.728</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:41.332</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:45.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:49.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:52.038</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:53.174</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:54.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:58.981</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:28:58.981</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:00.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:00.983</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:01.292</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:01.292</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:02.332</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5292.15

Computed VWAP Slippage

-125138.38

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.90

Computed Drift

0.63

Computed Seconds Spent

46.34

Computed Volatility

38.90