SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:36

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.7500

Average Total

5285.3850

Destination Price

5285.0000

Slippage

-0.3650

Slippage Sweep

-1.1491

Sweep to Fill

5286.5341

Algo Diagnostics

{ "customState": { "curr_opt_t_minutes": { "asDouble": 0.39894553803132266 }, "curr_liq_cost": { "asDouble": 14.25 }, "slippage_vwap_pct": { "asDouble": -2069.1732303712233 }, "drift": { "asDouble": 0.75 }, "init_min_duration": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 17.25 }, "market_vwap": { "asDouble": 114649.15654205608 }, "init_cost_per_share": { "asDouble": 0.7840909090909091 }, "init_half_min_move": { "asDouble": 0.41539976396529843 }, "last_aggressive_qty": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 3.5628730351717004 }, "ready": { "asBool": true }, "avg_total": { "asDouble": 5285.385 }, "arrival_price": { "asDouble": 5285.75 }, "impact_model": { "asInt32": 2 }, "init_vol_normal": { "asDouble": 39.51276537462626 }, "slip_toler": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -1.1490909090907735 }, "worst_opt_t_minutes": { "asDouble": 0.2035000698977562 }, "n_kids": { "asInt32": 13 }, "init_drift": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -109363.77154205609 }, "sweep_residual": { "asDouble": 28 }, "slippage": { "asDouble": -0.3649999999997817 }, "sweep_to_fill": { "asDouble": 5286.534090909091 }, "curr_half_min_move": { "asDouble": 0.41547459866508885 }, "model_size": { "asDouble": 4 }, "destination_price": { "asDouble": 5285 }, "last_tactical_qty": { "asInt32": 4 }, "total_vol": { "asDouble": 55.33375997662444 }, "total_sent": { "asInt32": 50 }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 39.51988364042996 }, "total_dollar": { "asDouble": 264269.25 }, "total_filled": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.7916666666666666 }, "total_drift": { "asDouble": 0.75 }, "algo_status": { "asInt32": 4 }, "economic_model": { "asInt32": 0 }, "seconds_spent": { "asDouble": 13.051 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:36:05.12","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:06.068","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:06.068","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:07.074","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:07.074","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:07.075","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:07.075","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:07.075","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:08.716","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:08.716","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:09.34","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:10.126","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:10.126","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:11.148","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:11.148","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:12.112","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:12.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:13.167","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:13.167","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:36:14.708","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:14.708","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:16.213","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:16.213","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5285.385<br />curr_cost_per_share: 0.79166666666667<br />curr_half_min_move: 0.41547459866509<br />curr_liq_cost: 14.25<br />curr_opt_t_minutes: 0.39894553803132<br />daily_vol_normal: 39.51988364043<br />destination_price: 5285<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78409090909091<br />init_drift: 0<br />init_half_min_move: 0.4153997639653<br />init_liq_cost: 17.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5628730351717<br />init_vol_normal: 39.512765374626<br />last_aggressive_qty: 4<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 13<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 13.051<br />slip_toler: 0<br />slippage: -0.36499999999978<br />slippage_sweep: -1.1490909090908<br />sweep_residual: 28<br />sweep_to_fill: 5286.5340909091<br />total_dollar: 264269.25<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.333759976624<br />worst_opt_t_minutes: 0.20350006989776

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5285.385<br />destination_price: 5285<br />market_vwap: 114649.15654206<br />n_kids: 13<br />slippage: -0.36499999999978<br />slippage_vwap: -109363.77154206<br />slippage_vwap_pct: -2069.1732303712<br />total_dollar: 264269.25<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>2025-04-20T17:36:05.12</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:06.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:06.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.074</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.074</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.075</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.075</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.075</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:08.716</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:08.716</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:09.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:10.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:10.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:11.148</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:11.148</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:12.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:12.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:13.167</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:13.167</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:14.708</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:14.708</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:16.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:16.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</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>2025-04-20T17:36:05.12</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:06.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:06.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.074</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.074</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.075</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.075</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:07.075</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:08.716</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:08.716</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:09.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:10.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:10.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:11.148</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:11.148</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:12.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:12.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:13.167</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:13.167</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:14.708</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:14.708</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:16.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:16.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.39

Computed VWAP Slippage

-109363.77

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.78

Computed Drift

0.75

Computed Seconds Spent

13.05

Computed Volatility

39.52