SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:55

Buy / Sell

Buy

Quantity

50

Arrival Price

5284.6250

Average Total

5285.9150

Destination Price

5285.6250

Slippage

1.2900

Slippage Sweep

0.5474

Sweep to Fill

5285.3676

Algo Diagnostics

{ "customState": { "sweep_residual": { "asDouble": 33 }, "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 55.321982938366155 }, "curr_cost_per_share": { "asDouble": 0.8964285714285715 }, "init_min_duration": { "asDouble": 0 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -2901.796078356495 }, "init_drift": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 2 }, "curr_liq_cost": { "asDouble": 31.375 }, "init_half_min_move": { "asDouble": 0.4268772412315835 }, "drift": { "asDouble": 1 }, "init_cost_per_share": { "asDouble": 0.7426470588235294 }, "destination_price": { "asDouble": 5285.625 }, "daily_vol_normal": { "asDouble": 40.625083162234596 }, "arrival_price": { "asDouble": 5284.625 }, "seconds_spent": { "asDouble": 12.827 }, "total_filled": { "asInt32": 50 }, "impact_model": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 3.026627183940518 }, "market_vwap": { "asDouble": 158672.38917525773 }, "total_drift": { "asDouble": 1 }, "n_kids": { "asInt32": 15 }, "slippage": { "asDouble": 1.2899999999999636 }, "model_size": { "asDouble": 5 }, "sweep_to_fill": { "asDouble": 5285.367647058823 }, "economic_model": { "asInt32": 0 }, "init_vol_normal": { "asDouble": 40.60450134959714 }, "slippage_vwap": { "asDouble": -153386.47417525772 }, "total_dollar": { "asDouble": 264295.75 }, "curr_half_min_move": { "asDouble": 0.4270936189016988 }, "slippage_sweep": { "asDouble": 0.5473529411765412 }, "init_liq_cost": { "asDouble": 12.625 }, "worst_opt_t_minutes": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 3 }, "avg_total": { "asDouble": 5285.915 }, "order_time_minutes": { "asDouble": 10 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:55:38.27","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:41.661","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:42.912","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:42.912","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:43.554","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:43.753","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:45.312","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:45.463","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:47.628","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:47.628","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:55:47.628","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:55:49.071","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:49.071","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:55:49.76","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:49.76","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:55:53.225","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:55:53.225","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284.625<br />avg_total: 5285.915<br />curr_cost_per_share: 0.89642857142857<br />curr_half_min_move: 0.4270936189017<br />curr_liq_cost: 31.375<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.625083162235<br />destination_price: 5285.625<br />drift: 1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.74264705882353<br />init_drift: 0<br />init_half_min_move: 0.42687724123158<br />init_liq_cost: 12.625<br />init_min_duration: 0<br />init_opt_t_minutes: 3.0266271839405<br />init_vol_normal: 40.604501349597<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: 12.827<br />slip_toler: 0<br />slippage: 1.29<br />slippage_sweep: 0.54735294117654<br />sweep_residual: 33<br />sweep_to_fill: 5285.3676470588<br />total_dollar: 264295.75<br />total_drift: 1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.321982938366<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5284.625<br />avg_total: 5285.915<br />destination_price: 5285.625<br />market_vwap: 158672.38917526<br />n_kids: 15<br />slippage: 1.29<br />slippage_vwap: -153386.47417526<br />slippage_vwap_pct: -2901.7960783565<br />total_dollar: 264295.75<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>2025-04-20T17:55:38.27</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:41.661</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:42.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:42.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:43.554</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:43.753</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:45.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:45.463</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:47.628</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:47.628</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:47.628</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:49.071</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:49.071</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:49.76</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:49.76</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:53.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:53.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</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>2025-04-20T17:55:38.27</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:41.661</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:42.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:42.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:43.554</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:43.753</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:45.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:45.463</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:47.628</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:47.628</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:47.628</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:49.071</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:49.071</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:49.76</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:49.76</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:55:53.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:55:53.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.92

Computed VWAP Slippage

-153386.47

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.74

Computed Drift

1.00

Computed Seconds Spent

12.83

Computed Volatility

40.63