SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:41

Buy / Sell

Buy

Quantity

50

Arrival Price

5283.8750

Average Total

5283.6350

Destination Price

5283.0000

Slippage

-0.2400

Slippage Sweep

-1.0620

Sweep to Fill

5284.6970

Algo Diagnostics

{ "customState": { "impact_model": { "asInt32": 2 }, "n_kids": { "asInt32": 18 }, "last_aggressive_qty": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 0.41843861723207576 }, "total_drift": { "asDouble": 0.875 }, "sweep_residual": { "asDouble": 17 }, "init_opt_t_minutes": { "asDouble": 3.865091462304243 }, "drift": { "asDouble": 0.875 }, "seconds_spent": { "asDouble": 38.192 }, "sweep_to_fill": { "asDouble": 5284.69696969697 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 5283.875 }, "init_min_duration": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "slippage": { "asDouble": -0.23999999999978172 }, "slippage_vwap_pct": { "asDouble": -1729.5366917587335 }, "total_vol": { "asDouble": 55.31413157952731 }, "destination_price": { "asDouble": 5283 }, "order_time_minutes": { "asDouble": 10 }, "market_vwap": { "asDouble": 96666.04098360655 }, "economic_model": { "asInt32": 0 }, "init_drift": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.41809591017079767 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_cost_per_share": { "asDouble": 0.821969696969697 }, "ready": { "asBool": true }, "daily_vol_normal": { "asDouble": 39.80182065716157 }, "total_dollar": { "asDouble": 264181.75 }, "model_size": { "asDouble": 6 }, "init_vol_normal": { "asDouble": 39.769222411136475 }, "avg_total": { "asDouble": 5283.635 }, "total_sent": { "asInt32": 50 }, "total_filled": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 27.125 }, "slippage_vwap": { "asDouble": -91382.40598360656 }, "slippage_sweep": { "asDouble": -1.0619696969697543 }, "curr_cost_per_share": { "asDouble": 0.7847222222222222 }, "worst_opt_t_minutes": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 28.25 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:41:20.054","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:23.441","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:41:25.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:26.141","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:27.131","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:27.131","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:30.165","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:30.165","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:30.165","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:41:33.199","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:33.199","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:41:46.366","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:47.635","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:48.302","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:54.536","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5283.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:54.536","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:41:56.038","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5283.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:56.038","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:41:56.734","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5283.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:56.734","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:41:56.734","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.25,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5283.875<br />avg_total: 5283.635<br />curr_cost_per_share: 0.78472222222222<br />curr_half_min_move: 0.41843861723208<br />curr_liq_cost: 28.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.801820657162<br />destination_price: 5283<br />drift: 0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.8219696969697<br />init_drift: 0<br />init_half_min_move: 0.4180959101708<br />init_liq_cost: 27.125<br />init_min_duration: 0<br />init_opt_t_minutes: 3.8650914623042<br />init_vol_normal: 39.769222411136<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 6<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 38.192<br />slip_toler: 0<br />slippage: -0.23999999999978<br />slippage_sweep: -1.0619696969698<br />sweep_residual: 17<br />sweep_to_fill: 5284.696969697<br />total_dollar: 264181.75<br />total_drift: 0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.314131579527<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5283.875<br />avg_total: 5283.635<br />destination_price: 5283<br />market_vwap: 96666.040983607<br />n_kids: 18<br />slippage: -0.23999999999978<br />slippage_vwap: -91382.405983607<br />slippage_vwap_pct: -1729.5366917587<br />total_dollar: 264181.75<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>2025-04-20T17:41:20.054</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:23.441</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:25.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:26.141</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:27.131</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:27.131</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:30.165</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:30.165</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:30.165</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:33.199</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:33.199</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:46.366</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:47.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:48.302</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:54.536</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:54.536</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:56.038</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:56.038</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:56.734</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:56.734</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:56.734</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.25</td>
<td>Passive</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>2025-04-20T17:41:20.054</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:23.441</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:25.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:26.141</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:27.131</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:27.131</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:30.165</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:30.165</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:30.165</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:33.199</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:33.199</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:46.366</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:47.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:48.302</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:54.536</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:54.536</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:56.038</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:56.038</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:41:56.734</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:56.734</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:41:56.734</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5283.64

Computed VWAP Slippage

-91382.41

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.82

Computed Drift

0.88

Computed Seconds Spent

38.19

Computed Volatility

39.80