SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:31

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.8750

Average Total

5286.9600

Destination Price

5287.0000

Slippage

1.0850

Slippage Sweep

0.3738

Sweep to Fill

5286.5862

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.7112068965517241 }, "slippage_vwap": { "asDouble": -121432.4549484536 }, "total_sent": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.41175251306987015 }, "curr_liq_cost": { "asDouble": 24.5 }, "order_time_minutes": { "asDouble": 10 }, "init_liq_cost": { "asDouble": 20.625 }, "destination_price": { "asDouble": 5287 }, "total_vol": { "asDouble": 55.33506853643091 }, "worst_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 19 }, "curr_cost_per_share": { "asDouble": 0.765625 }, "last_tactical_qty": { "asInt32": 1 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 5285.875 }, "slippage_sweep": { "asDouble": 0.3737931034484063 }, "slippage": { "asDouble": 1.0850000000000364 }, "init_opt_t_minutes": { "asDouble": 2.983454381438299 }, "slippage_vwap_pct": { "asDouble": -2296.829462459591 }, "avg_total": { "asDouble": 5286.96 }, "daily_vol_normal": { "asDouble": 39.194750993626876 }, "curr_opt_t_minutes": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "init_drift": { "asDouble": 0 }, "total_drift": { "asDouble": 1.125 }, "market_vwap": { "asDouble": 126719.4149484536 }, "last_aggressive_qty": { "asInt32": 2 }, "sweep_residual": { "asDouble": 21 }, "sweep_to_fill": { "asDouble": 5286.586206896552 }, "model_size": { "asDouble": 3 }, "ready": { "asBool": true }, "impact_model": { "asInt32": 2 }, "total_dollar": { "asDouble": 264348 }, "seconds_spent": { "asDouble": 22.789 }, "algo_status": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.41205646218542485 }, "total_filled": { "asInt32": 50 }, "drift": { "asDouble": 1.125 }, "init_vol_normal": { "asDouble": 39.16583939778461 }, "slip_toler": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:31:30.766","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:31.786","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:32.715","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:35.021","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:35.847","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:40.793","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:41.966","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:42.151","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:31:42.152","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:31:43.012","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:43.012","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:46.144","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:46.997","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:48.07","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:48.07","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:49.119","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:49.119","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:49.936","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:49.936","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:31:51.012","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:51.012","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:52.112","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:52.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.875<br />avg_total: 5286.96<br />curr_cost_per_share: 0.765625<br />curr_half_min_move: 0.41205646218542<br />curr_liq_cost: 24.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.194750993627<br />destination_price: 5287<br />drift: 1.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.71120689655172<br />init_drift: 0<br />init_half_min_move: 0.41175251306987<br />init_liq_cost: 20.625<br />init_min_duration: 0<br />init_opt_t_minutes: 2.9834543814383<br />init_vol_normal: 39.165839397785<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 22.789<br />slip_toler: 0<br />slippage: 1.085<br />slippage_sweep: 0.37379310344841<br />sweep_residual: 21<br />sweep_to_fill: 5286.5862068966<br />total_dollar: 264348<br />total_drift: 1.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.335068536431<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.875<br />avg_total: 5286.96<br />destination_price: 5287<br />market_vwap: 126719.41494845<br />n_kids: 19<br />slippage: 1.085<br />slippage_vwap: -121432.45494845<br />slippage_vwap_pct: -2296.8294624596<br />total_dollar: 264348<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>2025-04-20T17:31:30.766</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:31.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:32.715</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:35.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:35.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:40.793</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:41.966</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:42.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:42.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:43.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:43.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:46.144</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:46.997</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:48.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:48.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:51.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:51.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:52.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:52.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</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>2025-04-20T17:31:30.766</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:31.786</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:32.715</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:35.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:35.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:40.793</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:41.966</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:42.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:42.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:43.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:43.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:46.144</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:46.997</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:48.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:48.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:49.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:31:51.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:51.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:52.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:52.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.96

Computed VWAP Slippage

-121432.45

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.71

Computed Drift

1.13

Computed Seconds Spent

22.79

Computed Volatility

39.19