SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:30

Buy / Sell

Buy

Quantity

50

Arrival Price

5288.6250

Average Total

5289.6150

Destination Price

5287.8750

Slippage

0.9900

Slippage Sweep

0.2079

Sweep to Fill

5289.4071

Algo Diagnostics

{ "customState": { "daily_vol_normal": { "asDouble": 39.03432385986964 }, "curr_cost_per_share": { "asDouble": 0.6607142857142857 }, "total_vol": { "asDouble": 55.363856852173384 }, "last_tactical_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "total_filled": { "asInt32": 50 }, "sweep_residual": { "asDouble": 15 }, "init_liq_cost": { "asDouble": 27.375 }, "order_time_minutes": { "asDouble": 10 }, "init_opt_t_minutes": { "asDouble": 3.641667030987504 }, "init_min_duration": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "total_dollar": { "asDouble": 264480.75 }, "curr_opt_t_minutes": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "destination_price": { "asDouble": 5287.875 }, "curr_liq_cost": { "asDouble": 13.875 }, "init_cost_per_share": { "asDouble": 0.7821428571428571 }, "init_half_min_move": { "asDouble": 0.4098604063680595 }, "arrival_price": { "asDouble": 5288.625 }, "slippage": { "asDouble": 0.9899999999997817 }, "avg_total": { "asDouble": 5289.615 }, "init_vol_normal": { "asDouble": 38.98586248239414 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": 0.20785714285648282 }, "init_drift": { "asDouble": 0 }, "total_drift": { "asDouble": 0.75 }, "drift": { "asDouble": 0.75 }, "model_size": { "asDouble": 3 }, "sweep_to_fill": { "asDouble": 5289.407142857143 }, "curr_half_min_move": { "asDouble": 0.4103698833579358 }, "seconds_spent": { "asDouble": 25.695 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_vwap_pct": { "asDouble": -2227.979664653506 }, "total_sent": { "asInt32": 50 }, "n_kids": { "asInt32": 15 }, "algo_status": { "asInt32": 4 }, "slip_toler": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -117851.54653846154 }, "market_vwap": { "asDouble": 123141.16153846154 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:29:55.289","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:56.068","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:57.817","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:59.865","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:00.741","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:01.741","Security":"SIM:ESM5","Side":"Buy","LastShares":13.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:02.312","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:02.755","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:02.755","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:03.935","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:05.149","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:05.149","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:06.14","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:06.14","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:30:06.718","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:30:06.718","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:30:06.836","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:06.836","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:19.012","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:19.012","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288.625<br />avg_total: 5289.615<br />curr_cost_per_share: 0.66071428571429<br />curr_half_min_move: 0.41036988335794<br />curr_liq_cost: 13.875<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.03432385987<br />destination_price: 5287.875<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78214285714286<br />init_drift: 0<br />init_half_min_move: 0.40986040636806<br />init_liq_cost: 27.375<br />init_min_duration: 0<br />init_opt_t_minutes: 3.6416670309875<br />init_vol_normal: 38.985862482394<br />last_aggressive_qty: 5<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.695<br />slip_toler: 0<br />slippage: 0.98999999999978<br />slippage_sweep: 0.20785714285648<br />sweep_residual: 15<br />sweep_to_fill: 5289.4071428571<br />total_dollar: 264480.75<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.363856852173<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.625<br />avg_total: 5289.615<br />destination_price: 5287.875<br />market_vwap: 123141.16153846<br />n_kids: 15<br />slippage: 0.98999999999978<br />slippage_vwap: -117851.54653846<br />slippage_vwap_pct: -2227.9796646535<br />total_dollar: 264480.75<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>2025-04-20T17:29:55.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:56.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:57.817</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:59.865</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:00.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:01.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>13</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:02.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:02.755</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:02.755</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:03.935</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:05.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:05.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:06.14</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:06.14</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:06.718</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:06.718</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:06.836</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:06.836</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:19.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:19.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</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>2025-04-20T17:29:55.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:56.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:57.817</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:59.865</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:00.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:01.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>13</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:02.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:02.755</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:02.755</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:03.935</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:05.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:05.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:06.14</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:06.14</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:06.718</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:06.718</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:06.836</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:06.836</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:19.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:19.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5289.62

Computed VWAP Slippage

-117851.55

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.78

Computed Drift

0.75

Computed Seconds Spent

25.70

Computed Volatility

39.03