SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:57

Buy / Sell

Buy

Quantity

50

Arrival Price

5284.0000

Average Total

5285.3250

Destination Price

5285.2500

Slippage

1.3250

Slippage Sweep

0.4950

Sweep to Fill

5284.8300

Algo Diagnostics

{ "customState": { "curr_liq_cost": { "asDouble": 19 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "drift": { "asDouble": 1.25 }, "last_aggressive_qty": { "asInt32": 4 }, "slippage": { "asDouble": 1.324999999999818 }, "ready": { "asBool": true }, "last_tactical_qty": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 2 }, "total_sent": { "asInt32": 50 }, "init_half_min_move": { "asDouble": 0.4278870862433608 }, "slippage_vwap_pct": { "asDouble": -3853.0012990514474 }, "order_time_minutes": { "asDouble": 10 }, "curr_half_min_move": { "asDouble": 0.428094849389549 }, "init_liq_cost": { "asDouble": 20.75 }, "algo_status": { "asInt32": 4 }, "init_cost_per_share": { "asDouble": 0.83 }, "init_vol_normal": { "asDouble": 40.70055766083382 }, "impact_model": { "asInt32": 2 }, "sweep_to_fill": { "asDouble": 5284.83 }, "init_opt_t_minutes": { "asDouble": 3.762684684329169 }, "slip_toler": { "asDouble": 0 }, "total_drift": { "asDouble": 1.25 }, "sweep_residual": { "asDouble": 25 }, "slippage_vwap": { "asDouble": -203643.6409090909 }, "total_filled": { "asInt32": 50 }, "arrival_price": { "asDouble": 5284 }, "n_kids": { "asInt32": 21 }, "economic_model": { "asInt32": 0 }, "seconds_spent": { "asDouble": 24.071 }, "curr_cost_per_share": { "asDouble": 0.9047619047619048 }, "daily_vol_normal": { "asDouble": 40.7203200612032 }, "total_vol": { "asDouble": 55.31544013933378 }, "avg_total": { "asDouble": 5285.325 }, "total_dollar": { "asDouble": 264266.25 }, "init_drift": { "asDouble": 0 }, "market_vwap": { "asDouble": 208928.9659090909 }, "slippage_sweep": { "asDouble": 0.49499999999989086 }, "destination_price": { "asDouble": 5285.25 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:57:23.766","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:24.754","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:26.779","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:28.569","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:28.754","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:28.754","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:29.817","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:29.817","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:34.934","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:36.119","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:36.119","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:37.08","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:38.017","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:38.017","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:57:38.912","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:38.912","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:40.954","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:40.954","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:57:42.154","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:43.058","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:43.058","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:57:43.961","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:43.961","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:44.957","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:44.957","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:46.447","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:46.447","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5284<br />avg_total: 5285.325<br />curr_cost_per_share: 0.9047619047619<br />curr_half_min_move: 0.42809484938955<br />curr_liq_cost: 19<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.720320061203<br />destination_price: 5285.25<br />drift: 1.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83<br />init_drift: 0<br />init_half_min_move: 0.42788708624336<br />init_liq_cost: 20.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.7626846843292<br />init_vol_normal: 40.700557660834<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 24.071<br />slip_toler: 0<br />slippage: 1.3249999999998<br />slippage_sweep: 0.49499999999989<br />sweep_residual: 25<br />sweep_to_fill: 5284.83<br />total_dollar: 264266.25<br />total_drift: 1.25<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: 5285.325<br />destination_price: 5285.25<br />market_vwap: 208928.96590909<br />n_kids: 21<br />slippage: 1.3249999999998<br />slippage_vwap: -203643.64090909<br />slippage_vwap_pct: -3853.0012990514<br />total_dollar: 264266.25<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>2025-04-20T17:57:23.766</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:24.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:26.779</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:28.569</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:28.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:28.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:29.817</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:29.817</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:34.934</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:37.08</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:38.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:40.954</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:40.954</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:42.154</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:43.058</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:43.058</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:43.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:43.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:46.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:46.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</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>2025-04-20T17:57:23.766</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:24.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:26.779</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:28.569</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:28.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:28.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:29.817</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:29.817</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:34.934</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:36.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:37.08</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:38.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:38.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:40.954</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:40.954</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:42.154</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:43.058</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:43.058</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:43.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:43.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:44.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:46.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:46.447</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.33

Computed VWAP Slippage

-203643.64

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.83

Computed Drift

1.25

Computed Seconds Spent

24.07

Computed Volatility

40.72