SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:33

Buy / Sell

Buy

Quantity

50

Arrival Price

5286.6250

Average Total

5287.5500

Destination Price

5287.2500

Slippage

0.9250

Slippage Sweep

0.2167

Sweep to Fill

5287.3333

Algo Diagnostics

{ "customState": { "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 31 }, "total_filled": { "asInt32": 50 }, "curr_half_min_move": { "asDouble": 0.4141614575872818 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": 0.21666666666715173 }, "init_cost_per_share": { "asDouble": 0.7083333333333334 }, "init_liq_cost": { "asDouble": 19.125 }, "curr_opt_t_minutes": { "asDouble": 1.2296879689081621 }, "worst_opt_t_minutes": { "asDouble": 0.6230924768417777 }, "curr_cost_per_share": { "asDouble": 0.8378378378378378 }, "last_tactical_qty": { "asInt32": 1 }, "sweep_to_fill": { "asDouble": 5287.333333333333 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 5286.625 }, "init_vol_normal": { "asDouble": 39.36740525160047 }, "n_kids": { "asInt32": 25 }, "avg_total": { "asDouble": 5287.55 }, "daily_vol_normal": { "asDouble": 39.394977851327226 }, "algo_status": { "asInt32": 4 }, "init_half_min_move": { "asDouble": 0.41387158540775165 }, "init_opt_t_minutes": { "asDouble": 2.9291670352795993 }, "total_vol": { "asDouble": 55.34291989526977 }, "market_vwap": { "asDouble": 189968.1326530612 }, "last_aggressive_qty": { "asInt32": 2 }, "model_size": { "asDouble": 1 }, "drift": { "asDouble": 0.625 }, "destination_price": { "asDouble": 5287.25 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 23 }, "slippage_vwap_pct": { "asDouble": -3492.743948578476 }, "total_dollar": { "asDouble": 264377.5 }, "seconds_spent": { "asDouble": 40.76 }, "slippage": { "asDouble": 0.9250000000001819 }, "total_drift": { "asDouble": 0.625 }, "slippage_vwap": { "asDouble": -184680.58265306122 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "init_drift": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:32:46.637","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:48.699","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:49.712","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:54.087","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:54.883","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:55.912","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:55.912","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:57.947","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:57.947","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:58.812","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:58.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:33:00.433","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:00.775","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:02.031","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:02.031","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:02.032","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:02.032","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:12.571","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:13.247","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:14.312","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:14.92","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:14.92","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:19.149","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:21.884","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:22.118","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:33:26.747","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.625<br />avg_total: 5287.55<br />curr_cost_per_share: 0.83783783783784<br />curr_half_min_move: 0.41416145758728<br />curr_liq_cost: 31<br />curr_opt_t_minutes: 1.2296879689082<br />daily_vol_normal: 39.394977851327<br />destination_price: 5287.25<br />drift: 0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.70833333333333<br />init_drift: 0<br />init_half_min_move: 0.41387158540775<br />init_liq_cost: 19.125<br />init_min_duration: 0<br />init_opt_t_minutes: 2.9291670352796<br />init_vol_normal: 39.3674052516<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: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 40.76<br />slip_toler: 0<br />slippage: 0.92500000000018<br />slippage_sweep: 0.21666666666715<br />sweep_residual: 23<br />sweep_to_fill: 5287.3333333333<br />total_dollar: 264377.5<br />total_drift: 0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.34291989527<br />worst_opt_t_minutes: 0.62309247684178

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.625<br />avg_total: 5287.55<br />destination_price: 5287.25<br />market_vwap: 189968.13265306<br />n_kids: 25<br />slippage: 0.92500000000018<br />slippage_vwap: -184680.58265306<br />slippage_vwap_pct: -3492.7439485785<br />total_dollar: 264377.5<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>2025-04-20T17:32:46.637</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.699</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:49.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:54.087</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:54.883</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:55.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:55.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:57.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:57.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:00.433</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:00.775</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:12.571</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:13.247</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:14.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:14.92</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:14.92</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:19.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:21.884</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:22.118</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:26.747</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</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>2025-04-20T17:32:46.637</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:48.699</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:49.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:54.087</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:54.883</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:55.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:55.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:57.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:57.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:00.433</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:00.775</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:02.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:12.571</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:13.247</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:14.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:14.92</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:14.92</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:19.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:21.884</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:22.118</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:26.747</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.55

Computed VWAP Slippage

-184680.58

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.71

Computed Drift

0.63

Computed Seconds Spent

40.76

Computed Volatility

39.40