SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:38

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.3750

Average Total

5286.1700

Destination Price

5286.3750

Slippage

0.7950

Slippage Sweep

0.0613

Sweep to Fill

5286.1087

Algo Diagnostics

{ "customState": { "init_drift": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 39.6670423126017 }, "curr_half_min_move": { "asDouble": 0.41702168546364643 }, "init_opt_t_minutes": { "asDouble": 3.098337911877663 }, "n_kids": { "asInt32": 21 }, "arrival_price": { "asDouble": 5285.375 }, "slip_toler": { "asDouble": 0 }, "avg_total": { "asDouble": 5286.17 }, "drift": { "asDouble": 1 }, "total_dollar": { "asDouble": 264308.5 }, "algo_status": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 16.875 }, "init_vol_normal": { "asDouble": 39.648132414557864 }, "seconds_spent": { "asDouble": 31.716 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "slippage_sweep": { "asDouble": 0.06130434782608063 }, "model_size": { "asDouble": 7 }, "ready": { "asBool": true }, "slippage_vwap": { "asDouble": -194009.783125 }, "slippage": { "asDouble": 0.7950000000000728 }, "curr_cost_per_share": { "asDouble": 0.555 }, "order_time_minutes": { "asDouble": 10 }, "last_aggressive_qty": { "asInt32": 5 }, "market_vwap": { "asDouble": 199295.953125 }, "total_vol": { "asDouble": 55.32983429720502 }, "sweep_to_fill": { "asDouble": 5286.108695652174 }, "init_half_min_move": { "asDouble": 0.416822884718886 }, "curr_liq_cost": { "asDouble": 27.75 }, "total_sent": { "asInt32": 50 }, "destination_price": { "asDouble": 5286.375 }, "sweep_residual": { "asDouble": 27 }, "init_min_duration": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "total_drift": { "asDouble": 1 }, "slippage_vwap_pct": { "asDouble": -3670.1389309273063 }, "economic_model": { "asInt32": 0 }, "last_tactical_qty": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 0.7336956521739131 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:38:05.074","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:09.132","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:09.132","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:09.502","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:12.373","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:12.559","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:15.269","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:15.269","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:16.186","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:19.85","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:25.148","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:28.213","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:28.812","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:28.812","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:30.063","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:30.063","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:31.012","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:31.012","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:31.738","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:33.179","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:34.226","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:34.226","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:38:34.812","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:34.812","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.375<br />avg_total: 5286.17<br />curr_cost_per_share: 0.555<br />curr_half_min_move: 0.41702168546365<br />curr_liq_cost: 27.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.667042312602<br />destination_price: 5286.375<br />drift: 1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.73369565217391<br />init_drift: 0<br />init_half_min_move: 0.41682288471889<br />init_liq_cost: 16.875<br />init_min_duration: 0<br />init_opt_t_minutes: 3.0983379118777<br />init_vol_normal: 39.648132414558<br />last_aggressive_qty: 5<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 7<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 31.716<br />slip_toler: 0<br />slippage: 0.79500000000007<br />slippage_sweep: 0.061304347826081<br />sweep_residual: 27<br />sweep_to_fill: 5286.1086956522<br />total_dollar: 264308.5<br />total_drift: 1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.329834297205<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.375<br />avg_total: 5286.17<br />destination_price: 5286.375<br />market_vwap: 199295.953125<br />n_kids: 21<br />slippage: 0.79500000000007<br />slippage_vwap: -194009.783125<br />slippage_vwap_pct: -3670.1389309273<br />total_dollar: 264308.5<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>2025-04-20T17:38:05.074</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:09.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:09.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:09.502</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:12.373</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:12.559</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:15.269</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:15.269</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:16.186</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:19.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:25.148</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:28.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:28.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:28.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:30.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:30.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:31.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:31.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:31.738</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:33.179</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:34.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:34.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:34.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:34.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</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>2025-04-20T17:38:05.074</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:09.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:09.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:09.502</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:12.373</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:12.559</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:15.269</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:15.269</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:16.186</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:19.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:25.148</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:28.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:28.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:28.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:30.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:30.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:31.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:31.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:31.738</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:33.179</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:34.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:34.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:34.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:34.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.17

Computed VWAP Slippage

-194009.78

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.73

Computed Drift

1.00

Computed Seconds Spent

31.72

Computed Volatility

39.67