SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:49

Buy / Sell

Buy

Quantity

50

Arrival Price

5284.0000

Average Total

5284.3100

Destination Price

5283.1250

Slippage

0.3100

Slippage Sweep

-0.4050

Sweep to Fill

5284.7150

Algo Diagnostics

{ "customState": { "last_tactical_qty": { "asInt32": 3 }, "model_size": { "asDouble": 3 }, "slippage_vwap": { "asDouble": -127899.35287878787 }, "total_filled": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -2420.360517811935 }, "market_vwap": { "asDouble": 133183.66287878787 }, "init_cost_per_share": { "asDouble": 0.715 }, "total_dollar": { "asDouble": 264215.5 }, "order_time_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "init_vol_normal": { "asDouble": 40.155716493805464 }, "slippage": { "asDouble": 0.3100000000004002 }, "init_opt_t_minutes": { "asDouble": 2.868531909301152 }, "avg_total": { "asDouble": 5284.31 }, "drift": { "asDouble": 0.875 }, "ready": { "asBool": true }, "sweep_residual": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.42232887473532305 }, "init_liq_cost": { "asDouble": 35.75 }, "worst_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 21 }, "init_min_duration": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "total_vol": { "asDouble": 55.31544013933378 }, "sweep_to_fill": { "asDouble": 5284.715 }, "algo_status": { "asInt32": 4 }, "curr_liq_cost": { "asDouble": 17.25 }, "slip_toler": { "asDouble": 0 }, "total_drift": { "asDouble": 0.875 }, "arrival_price": { "asDouble": 5284 }, "curr_cost_per_share": { "asDouble": 0.71875 }, "last_aggressive_qty": { "asInt32": 3 }, "daily_vol_normal": { "asDouble": 40.17186138733765 }, "destination_price": { "asDouble": 5283.125 }, "init_half_min_move": { "asDouble": 0.42215914262725796 }, "seconds_spent": { "asDouble": 25.472 }, "slippage_sweep": { "asDouble": -0.40499999999974534 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:49:04.247","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:05.417","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:06.738","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:07.365","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:11.325","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:12.528","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:12.528","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:13.374","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:13.376","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:14.388","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:14.388","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:49:15.447","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:15.447","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:17.026","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:17.026","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:49:22.475","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:22.475","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:23.644","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:23.645","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:49:24.781","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:24.781","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:27.613","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:27.613","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284<br />avg_total: 5284.31<br />curr_cost_per_share: 0.71875<br />curr_half_min_move: 0.42232887473532<br />curr_liq_cost: 17.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.171861387338<br />destination_price: 5283.125<br />drift: 0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.715<br />init_drift: 0<br />init_half_min_move: 0.42215914262726<br />init_liq_cost: 35.75<br />init_min_duration: 0<br />init_opt_t_minutes: 2.8685319093012<br />init_vol_normal: 40.155716493805<br />last_aggressive_qty: 3<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.472<br />slip_toler: 0<br />slippage: 0.3100000000004<br />slippage_sweep: -0.40499999999975<br />sweep_residual: 0<br />sweep_to_fill: 5284.715<br />total_dollar: 264215.5<br />total_drift: 0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.315440139334<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5284<br />avg_total: 5284.31<br />destination_price: 5283.125<br />market_vwap: 133183.66287879<br />n_kids: 21<br />slippage: 0.3100000000004<br />slippage_vwap: -127899.35287879<br />slippage_vwap_pct: -2420.3605178119<br />total_dollar: 264215.5<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>2025-04-20T17:49:04.247</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:05.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:06.738</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:07.365</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:11.325</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:12.528</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:12.528</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:13.374</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:13.376</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:14.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:14.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:15.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:15.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:17.026</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:17.026</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:22.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:22.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:23.644</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:23.645</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:24.781</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:24.781</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</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>2025-04-20T17:49:04.247</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:05.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:06.738</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:07.365</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:11.325</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:12.528</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:12.528</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:13.374</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:13.376</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:14.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:14.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:15.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:15.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:17.026</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:17.026</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:22.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:22.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:23.644</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:23.645</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:49:24.781</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:24.781</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5284.31

Computed VWAP Slippage

-127899.35

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.72

Computed Drift

0.88

Computed Seconds Spent

25.47

Computed Volatility

40.17