SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:46

Buy / Sell

Buy

Quantity

50

Arrival Price

5282.0000

Average Total

5282.7150

Destination Price

5282.5000

Slippage

0.7150

Slippage Sweep

-0.0850

Sweep to Fill

5282.8000

Algo Diagnostics

{ "customState": { "last_tactical_qty": { "asInt32": 1 }, "arrival_price": { "asDouble": 5282 }, "economic_model": { "asInt32": 0 }, "init_opt_t_minutes": { "asDouble": 3.6074914214906064 }, "slippage_vwap": { "asDouble": -201840.76987903228 }, "seconds_spent": { "asDouble": 35.446 }, "algo_status": { "asInt32": 4 }, "sweep_to_fill": { "asDouble": 5282.8 }, "n_kids": { "asInt32": 19 }, "last_aggressive_qty": { "asInt32": 2 }, "daily_vol_normal": { "asDouble": 40.073356849637356 }, "init_half_min_move": { "asDouble": 0.4211990019927174 }, "worst_opt_t_minutes": { "asDouble": 0.11451709357740203 }, "drift": { "asDouble": 0.5 }, "curr_opt_t_minutes": { "asDouble": 0.21803328103867192 }, "slippage": { "asDouble": 0.7150000000001455 }, "slip_toler": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "total_vol": { "asDouble": 55.29450318243018 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.8 }, "slippage_sweep": { "asDouble": -0.08500000000003638 }, "market_vwap": { "asDouble": 207123.48487903227 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "total_drift": { "asDouble": 0.5 }, "slippage_vwap_pct": { "asDouble": -3820.777192769859 }, "init_vol_normal": { "asDouble": 40.06438805573149 }, "total_dollar": { "asDouble": 264135.75 }, "init_liq_cost": { "asDouble": 40 }, "model_size": { "asDouble": 3 }, "impact_model": { "asInt32": 2 }, "curr_liq_cost": { "asDouble": 27 }, "destination_price": { "asDouble": 5282.5 }, "sweep_residual": { "asDouble": 0 }, "avg_total": { "asDouble": 5282.715 }, "curr_cost_per_share": { "asDouble": 0.54 }, "curr_half_min_move": { "asDouble": 0.4212932913909973 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:45:29.976","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:31.223","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:31.223","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:32.895","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:32.895","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:32.895","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:32.895","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:33.712","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:33.712","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:34.741","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:35.662","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:35.662","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:36.831","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:51.119","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:51.119","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:51.119","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:52.371","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:52.371","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:52.371","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:45:53.48","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:59.471","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:45:59.471","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:46:01.612","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:01.612","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:46:01.612","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:46:01.612","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5282<br />avg_total: 5282.715<br />curr_cost_per_share: 0.54<br />curr_half_min_move: 0.421293291391<br />curr_liq_cost: 27<br />curr_opt_t_minutes: 0.21803328103867<br />daily_vol_normal: 40.073356849637<br />destination_price: 5282.5<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.8<br />init_drift: 0<br />init_half_min_move: 0.42119900199272<br />init_liq_cost: 40<br />init_min_duration: 0<br />init_opt_t_minutes: 3.6074914214906<br />init_vol_normal: 40.064388055731<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 35.446<br />slip_toler: 0<br />slippage: 0.71500000000015<br />slippage_sweep: -0.085000000000036<br />sweep_residual: 0<br />sweep_to_fill: 5282.8<br />total_dollar: 264135.75<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.29450318243<br />worst_opt_t_minutes: 0.1145170935774

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5282<br />avg_total: 5282.715<br />destination_price: 5282.5<br />market_vwap: 207123.48487903<br />n_kids: 19<br />slippage: 0.71500000000015<br />slippage_vwap: -201840.76987903<br />slippage_vwap_pct: -3820.7771927699<br />total_dollar: 264135.75<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>2025-04-20T17:45:29.976</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:31.223</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:31.223</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:33.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:33.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:34.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:35.662</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:35.662</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:36.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:51.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:51.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:51.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:52.371</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:52.371</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:52.371</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:53.48</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:59.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:59.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</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>2025-04-20T17:45:29.976</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:31.223</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:31.223</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:32.895</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:33.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:33.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:34.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:35.662</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:35.662</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:36.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:51.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:51.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:51.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:52.371</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:52.371</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:52.371</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:53.48</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:59.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:59.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:46:01.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5282.72

Computed VWAP Slippage

-201840.77

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.80

Computed Drift

0.50

Computed Seconds Spent

35.45

Computed Volatility

40.07