SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:05

Buy / Sell

Buy

Quantity

50

Arrival Price

5292.0000

Average Total

5291.4700

Destination Price

5291.2500

Slippage

-0.5300

Slippage Sweep

-1.3017

Sweep to Fill

5292.7717

Algo Diagnostics

{ "customState": { "drift": { "asDouble": 0.75 }, "init_half_min_move": { "asDouble": 0.43307579923705347 }, "daily_vol_normal": { "asDouble": 41.22103514547605 }, "sweep_residual": { "asDouble": 4 }, "slippage": { "asDouble": -0.5299999999997453 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.1755080034596213 }, "arrival_price": { "asDouble": 5292 }, "model_size": { "asDouble": 3 }, "last_tactical_qty": { "asInt32": 3 }, "slippage_vwap": { "asDouble": -139520.2461016949 }, "total_filled": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 41.194107289170105 }, "seconds_spent": { "asDouble": 31.398 }, "impact_model": { "asInt32": 2 }, "total_dollar": { "asDouble": 264573.5 }, "total_drift": { "asDouble": 0.75 }, "economic_model": { "asInt32": 0 }, "algo_status": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.43335889319536103 }, "sweep_to_fill": { "asDouble": 5292.771739130435 }, "curr_cost_per_share": { "asDouble": 0.8229166666666666 }, "avg_total": { "asDouble": 5291.47 }, "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 18 }, "init_liq_cost": { "asDouble": 35.5 }, "total_vol": { "asDouble": 55.39918796694822 }, "init_drift": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -1.3017391304347257 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_vwap_pct": { "asDouble": -2636.7010698670674 }, "destination_price": { "asDouble": 5291.25 }, "market_vwap": { "asDouble": 144811.7161016949 }, "init_min_duration": { "asDouble": 0 }, "ready": { "asBool": true }, "curr_opt_t_minutes": { "asDouble": 0.5315513334098914 }, "curr_liq_cost": { "asDouble": 39.5 }, "worst_opt_t_minutes": { "asDouble": 0.29429047180845025 }, "init_cost_per_share": { "asDouble": 0.7717391304347826 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:04:51.212","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:52.621","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:52.621","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:54.173","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:54.413","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:55.512","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:55.512","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:55.512","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:04:56.712","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:04:57.443","Security":"SIM:ESM5","Side":"Buy","LastShares":8.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:57.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:57.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:58.312","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:05.338","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:06.377","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:09.092","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:19.712","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:19.712","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:20.884","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:20.884","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:05:21.547","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5292<br />avg_total: 5291.47<br />curr_cost_per_share: 0.82291666666667<br />curr_half_min_move: 0.43335889319536<br />curr_liq_cost: 39.5<br />curr_opt_t_minutes: 0.53155133340989<br />daily_vol_normal: 41.221035145476<br />destination_price: 5291.25<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.77173913043478<br />init_drift: 0<br />init_half_min_move: 0.43307579923705<br />init_liq_cost: 35.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.1755080034596<br />init_vol_normal: 41.19410728917<br />last_aggressive_qty: 5<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 31.398<br />slip_toler: 0<br />slippage: -0.52999999999975<br />slippage_sweep: -1.3017391304347<br />sweep_residual: 4<br />sweep_to_fill: 5292.7717391304<br />total_dollar: 264573.5<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.399187966948<br />worst_opt_t_minutes: 0.29429047180845

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292<br />avg_total: 5291.47<br />destination_price: 5291.25<br />market_vwap: 144811.71610169<br />n_kids: 18<br />slippage: -0.52999999999975<br />slippage_vwap: -139520.24610169<br />slippage_vwap_pct: -2636.7010698671<br />total_dollar: 264573.5<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>2025-04-20T18:04:51.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:52.621</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:52.621</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:54.173</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:54.413</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:55.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:55.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:55.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:56.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:57.443</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>8</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:57.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:57.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:58.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:05.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:06.377</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:09.092</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:20.884</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:20.884</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.547</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</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>2025-04-20T18:04:51.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:52.621</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:52.621</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:54.173</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:54.413</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:55.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:55.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:55.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:56.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:57.443</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>8</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:57.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:57.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:58.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:05.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:06.377</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:09.092</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:20.884</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:20.884</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.547</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5291.47

Computed VWAP Slippage

-139520.25

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.77

Computed Drift

0.75

Computed Seconds Spent

31.40

Computed Volatility

41.22