SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:52

Buy / Sell

Buy

Quantity

50

Arrival Price

5286.6250

Average Total

5287.0850

Destination Price

5285.6250

Slippage

0.4600

Slippage Sweep

-0.2587

Sweep to Fill

5287.3438

Algo Diagnostics

{ "customState": { "avg_total": { "asDouble": 5287.085 }, "init_drift": { "asDouble": 0 }, "ready": { "asBool": true }, "slippage_vwap": { "asDouble": -46732.495110497235 }, "arrival_price": { "asDouble": 5286.625 }, "destination_price": { "asDouble": 5285.625 }, "total_dollar": { "asDouble": 264354.25 }, "slip_toler": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_cost_per_share": { "asDouble": 0.7916666666666666 }, "init_min_duration": { "asDouble": 0 }, "market_vwap": { "asDouble": 52019.580110497234 }, "slippage_sweep": { "asDouble": -0.2587499999999636 }, "daily_vol_normal": { "asDouble": 40.492104776939286 }, "slippage_vwap_pct": { "asDouble": -883.899069345343 }, "init_opt_t_minutes": { "asDouble": 2.8753722841466067 }, "sweep_residual": { "asDouble": 26 }, "total_drift": { "asDouble": 1 }, "order_time_minutes": { "asDouble": 10 }, "last_aggressive_qty": { "asInt32": 2 }, "last_tactical_qty": { "asInt32": 1 }, "sweep_to_fill": { "asDouble": 5287.34375 }, "worst_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 1 }, "total_sent": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.4256956101989308 }, "drift": { "asDouble": 1 }, "n_kids": { "asInt32": 14 }, "init_liq_cost": { "asDouble": 17.25 }, "total_vol": { "asDouble": 55.34291989526977 }, "init_vol_normal": { "asDouble": 40.318280019918724 }, "slippage": { "asDouble": 0.4600000000000364 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.42386818145905236 }, "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 38 }, "seconds_spent": { "asDouble": 16.68 }, "init_cost_per_share": { "asDouble": 0.71875 }, "impact_model": { "asInt32": 2 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:52:36.762","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:37.909","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:37.909","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:38.927","Security":"SIM:ESM5","Side":"Buy","LastShares":17.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:38.99","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:38.99","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:48.316","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:48.316","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:48.316","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:48.831","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:51.464","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:52:51.464","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:51.464","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:51.464","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:51.464","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:51.464","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:51.464","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:52:52.012","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.625<br />avg_total: 5287.085<br />curr_cost_per_share: 0.79166666666667<br />curr_half_min_move: 0.42569561019893<br />curr_liq_cost: 38<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.492104776939<br />destination_price: 5285.625<br />drift: 1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.71875<br />init_drift: 0<br />init_half_min_move: 0.42386818145905<br />init_liq_cost: 17.25<br />init_min_duration: 0<br />init_opt_t_minutes: 2.8753722841466<br />init_vol_normal: 40.318280019919<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 16.68<br />slip_toler: 0<br />slippage: 0.46000000000004<br />slippage_sweep: -0.25874999999996<br />sweep_residual: 26<br />sweep_to_fill: 5287.34375<br />total_dollar: 264354.25<br />total_drift: 1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.34291989527<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.625<br />avg_total: 5287.085<br />destination_price: 5285.625<br />market_vwap: 52019.580110497<br />n_kids: 14<br />slippage: 0.46000000000004<br />slippage_vwap: -46732.495110497<br />slippage_vwap_pct: -883.89906934534<br />total_dollar: 264354.25<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>2025-04-20T17:52:36.762</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:37.909</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:37.909</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.927</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>17</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.99</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.99</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:52.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</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>2025-04-20T17:52:36.762</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:37.909</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:37.909</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.927</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>17</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.99</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:38.99</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.316</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:48.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:51.464</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:52.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.09

Computed VWAP Slippage

-46732.50

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.72

Computed Drift

1.00

Computed Seconds Spent

16.68

Computed Volatility

40.49