SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:45

Buy / Sell

Buy

Quantity

50

Arrival Price

5282.5000

Average Total

5282.3700

Destination Price

5281.3750

Slippage

-0.1300

Slippage Sweep

-0.6800

Sweep to Fill

5283.0500

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.55 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 3 }, "init_liq_cost": { "asDouble": 27.5 }, "ready": { "asBool": true }, "seconds_spent": { "asDouble": 27.239 }, "slippage_vwap_pct": { "asDouble": -1672.4601149890448 }, "total_sent": { "asInt32": 50 }, "init_vol_normal": { "asDouble": 40.04204339170436 }, "curr_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 15 }, "init_half_min_move": { "asDouble": 0.42096409137396545 }, "total_drift": { "asDouble": 1.125 }, "curr_liq_cost": { "asDouble": 17 }, "daily_vol_normal": { "asDouble": 40.06818059530511 }, "curr_half_min_move": { "asDouble": 0.42123887315913094 }, "impact_model": { "asInt32": 2 }, "model_size": { "asDouble": 5 }, "curr_cost_per_share": { "asDouble": 0.6538461538461539 }, "order_time_minutes": { "asDouble": 10 }, "slippage_vwap": { "asDouble": -88345.5313761468 }, "drift": { "asDouble": 1.125 }, "total_vol": { "asDouble": 55.299737421656076 }, "economic_model": { "asInt32": 0 }, "last_tactical_qty": { "asInt32": 2 }, "market_vwap": { "asDouble": 93627.9013761468 }, "total_dollar": { "asDouble": 264118.5 }, "arrival_price": { "asDouble": 5282.5 }, "algo_status": { "asInt32": 4 }, "sweep_residual": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5283.05 }, "slip_toler": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 1.7070068960353686 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.680000000000291 }, "destination_price": { "asDouble": 5281.375 }, "avg_total": { "asDouble": 5282.37 }, "slippage": { "asDouble": -0.13000000000010914 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:44:52.753","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:53.712","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:58.141","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:58.142","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:44:58.142","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:44:58.142","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:00.75","Security":"SIM:ESM5","Side":"Buy","LastShares":14.0,"LastPrice":5283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:01.774","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:01.774","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:01.774","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:16.979","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:16.979","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:17.836","Security":"SIM:ESM5","Side":"Buy","LastShares":8.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:17.912","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:19.152","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:19.152","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:19.152","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5282.5<br />avg_total: 5282.37<br />curr_cost_per_share: 0.65384615384615<br />curr_half_min_move: 0.42123887315913<br />curr_liq_cost: 17<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.068180595305<br />destination_price: 5281.375<br />drift: 1.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.55<br />init_drift: 0<br />init_half_min_move: 0.42096409137397<br />init_liq_cost: 27.5<br />init_min_duration: 0<br />init_opt_t_minutes: 1.7070068960354<br />init_vol_normal: 40.042043391704<br />last_aggressive_qty: 3<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 27.239<br />slip_toler: 0<br />slippage: -0.13000000000011<br />slippage_sweep: -0.68000000000029<br />sweep_residual: 0<br />sweep_to_fill: 5283.05<br />total_dollar: 264118.5<br />total_drift: 1.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.299737421656<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5282.5<br />avg_total: 5282.37<br />destination_price: 5281.375<br />market_vwap: 93627.901376147<br />n_kids: 15<br />slippage: -0.13000000000011<br />slippage_vwap: -88345.531376147<br />slippage_vwap_pct: -1672.460114989<br />total_dollar: 264118.5<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>2025-04-20T17:44:52.753</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:53.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:58.141</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:58.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:58.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:58.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:00.75</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>14</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:01.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:01.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:01.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:16.979</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:16.979</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:17.836</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>8</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:17.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:19.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:19.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:19.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</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>2025-04-20T17:44:52.753</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:53.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:58.141</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:58.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:58.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:58.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:00.75</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>14</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:01.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:01.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:01.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:16.979</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:16.979</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:17.836</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>8</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:17.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:19.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:19.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:19.152</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5282.37

Computed VWAP Slippage

-88345.53

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.55

Computed Drift

1.13

Computed Seconds Spent

27.24

Computed Volatility

40.07