SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:02

Buy / Sell

Buy

Quantity

50

Arrival Price

5289.3750

Average Total

5288.9350

Destination Price

5288.2500

Slippage

-0.4400

Slippage Sweep

-1.3555

Sweep to Fill

5290.2905

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 41.07926059222765 }, "slippage_sweep": { "asDouble": -1.35554054054046 }, "n_kids": { "asInt32": 22 }, "slippage_vwap_pct": { "asDouble": -4279.716501986864 }, "total_dollar": { "asDouble": 264446.75 }, "worst_opt_t_minutes": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "arrival_price": { "asDouble": 5289.375 }, "sweep_residual": { "asDouble": 13 }, "model_size": { "asDouble": 4 }, "curr_half_min_move": { "asDouble": 0.4321222901606725 }, "seconds_spent": { "asDouble": 35.578 }, "ready": { "asBool": true }, "drift": { "asDouble": 1.125 }, "init_opt_t_minutes": { "asDouble": 4.49419885024575 }, "avg_total": { "asDouble": 5288.935 }, "sweep_to_fill": { "asDouble": 5290.290540540541 }, "init_cost_per_share": { "asDouble": 0.9155405405405406 }, "impact_model": { "asInt32": 2 }, "market_vwap": { "asDouble": 231640.35897435897 }, "destination_price": { "asDouble": 5288.25 }, "order_time_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "init_min_duration": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 33.875 }, "last_tactical_qty": { "asInt32": 4 }, "curr_opt_t_minutes": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 41.10340964394764 }, "slippage_vwap": { "asDouble": -226351.42397435897 }, "curr_liq_cost": { "asDouble": 36.25 }, "init_half_min_move": { "asDouble": 0.43186840991996134 }, "total_drift": { "asDouble": 1.125 }, "total_vol": { "asDouble": 55.37170821101223 }, "curr_cost_per_share": { "asDouble": 0.8055555555555556 }, "total_sent": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "slippage": { "asDouble": -0.4399999999995998 }, "algo_status": { "asInt32": 4 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:01:40.764","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:43.017","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:43.774","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:44.847","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:46.758","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:51.592","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:51.593","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:51.593","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:01:54.213","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:01:54.213","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:01:54.213","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:02:01.034","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:02.947","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:02.947","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:04.309","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:06.935","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:07.991","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:07.991","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:08.97","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:08.97","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:08.97","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:10.491","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:10.491","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:11.127","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:11.127","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:11.961","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:11.961","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:13.602","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:14.375","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5288.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5289.375<br />avg_total: 5288.935<br />curr_cost_per_share: 0.80555555555556<br />curr_half_min_move: 0.43212229016067<br />curr_liq_cost: 36.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.103409643948<br />destination_price: 5288.25<br />drift: 1.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.91554054054054<br />init_drift: 0<br />init_half_min_move: 0.43186840991996<br />init_liq_cost: 33.875<br />init_min_duration: 0<br />init_opt_t_minutes: 4.4941988502458<br />init_vol_normal: 41.079260592228<br />last_aggressive_qty: <br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 22<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 35.578<br />slip_toler: 0<br />slippage: -0.4399999999996<br />slippage_sweep: -1.3555405405405<br />sweep_residual: 13<br />sweep_to_fill: 5290.2905405405<br />total_dollar: 264446.75<br />total_drift: 1.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.371708211012<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5289.375<br />avg_total: 5288.935<br />destination_price: 5288.25<br />market_vwap: 231640.35897436<br />n_kids: 22<br />slippage: -0.4399999999996<br />slippage_vwap: -226351.42397436<br />slippage_vwap_pct: -4279.7165019869<br />total_dollar: 264446.75<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>2025-04-20T18:01:40.764</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:43.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:43.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:44.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:46.758</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.592</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.593</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.593</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:54.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:54.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:54.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:01.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:02.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:02.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:04.309</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:06.935</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:07.991</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:07.991</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:08.97</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:08.97</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:08.97</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:10.491</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:10.491</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:13.602</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:14.375</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</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>2025-04-20T18:01:40.764</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:43.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:43.774</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:44.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:46.758</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.592</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.593</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:51.593</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:01:54.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:54.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:01:54.213</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:01.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:02.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:02.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:04.309</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:06.935</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:07.991</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:07.991</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:08.97</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:08.97</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:08.97</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:10.491</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:10.491</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:11.961</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:13.602</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:14.375</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.94

Computed VWAP Slippage

-226351.42

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.92

Computed Drift

1.13

Computed Seconds Spent

35.58

Computed Volatility

41.10