SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:08

Buy / Sell

Buy

Quantity

50

Arrival Price

5293.6250

Average Total

5293.4300

Destination Price

5292.7500

Slippage

-0.1950

Slippage Sweep

-0.9100

Sweep to Fill

5294.3400

Algo Diagnostics

{ "customState": { "slip_toler": { "asDouble": 0 }, "n_kids": { "asInt32": 17 }, "slippage_vwap": { "asDouble": -165219.62859375 }, "total_dollar": { "asDouble": 264671.5 }, "slippage": { "asDouble": -0.19499999999970896 }, "total_sent": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 35.75 }, "init_cost_per_share": { "asDouble": 0.715 }, "algo_status": { "asInt32": 4 }, "sweep_to_fill": { "asDouble": 5294.34 }, "init_drift": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 2.7035050610723177 }, "last_tactical_qty": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.43492048414827755 }, "sweep_residual": { "asDouble": 0 }, "ready": { "asBool": true }, "impact_model": { "asInt32": 2 }, "daily_vol_normal": { "asDouble": 41.36957345070938 }, "init_half_min_move": { "asDouble": 0.43485297773990195 }, "seconds_spent": { "asDouble": 31.524 }, "arrival_price": { "asDouble": 5293.625 }, "curr_cost_per_share": { "asDouble": 0.72 }, "total_vol": { "asDouble": 55.416199244432406 }, "slippage_sweep": { "asDouble": -0.9099999999998545 }, "destination_price": { "asDouble": 5292.75 }, "total_filled": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -3121.2206186489666 }, "worst_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 4 }, "order_time_minutes": { "asDouble": 10 }, "curr_liq_cost": { "asDouble": 36 }, "last_aggressive_qty": { "asInt32": 16 }, "avg_total": { "asDouble": 5293.43 }, "total_drift": { "asDouble": 0.875 }, "market_vwap": { "asDouble": 170513.05859375 }, "drift": { "asDouble": 0.875 }, "init_min_duration": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "init_vol_normal": { "asDouble": 41.3631522509235 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:08:01.977","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:01.977","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:08:04.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:06.027","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:06.342","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:08.44","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:09.412","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:10.985","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:10.985","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:10.986","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:26.81","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:26.81","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:27.579","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:28.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:29.678","Security":"SIM:ESM5","Side":"Buy","LastShares":16.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:29.678","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:08:30.794","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5293.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5293.625<br />avg_total: 5293.43<br />curr_cost_per_share: 0.72<br />curr_half_min_move: 0.43492048414828<br />curr_liq_cost: 36<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.369573450709<br />destination_price: 5292.75<br />drift: 0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.715<br />init_drift: 0<br />init_half_min_move: 0.4348529777399<br />init_liq_cost: 35.75<br />init_min_duration: 0<br />init_opt_t_minutes: 2.7035050610723<br />init_vol_normal: 41.363152250923<br />last_aggressive_qty: 16<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 31.524<br />slip_toler: 0<br />slippage: -0.19499999999971<br />slippage_sweep: -0.90999999999985<br />sweep_residual: 0<br />sweep_to_fill: 5294.34<br />total_dollar: 264671.5<br />total_drift: 0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.416199244432<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5293.625<br />avg_total: 5293.43<br />destination_price: 5292.75<br />market_vwap: 170513.05859375<br />n_kids: 17<br />slippage: -0.19499999999971<br />slippage_vwap: -165219.62859375<br />slippage_vwap_pct: -3121.220618649<br />total_dollar: 264671.5<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>2025-04-20T18:08:01.977</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:01.977</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:08:04.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:06.027</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:06.342</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:08.44</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:09.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:10.985</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:10.985</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:10.986</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:26.81</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:26.81</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:27.579</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:28.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:29.678</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>16</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:29.678</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:30.794</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293</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>2025-04-20T18:08:01.977</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:01.977</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:08:04.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:06.027</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:06.342</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:08.44</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:09.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:10.985</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:10.985</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:10.986</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:26.81</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:26.81</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:27.579</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:28.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:29.678</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>16</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:29.678</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:30.794</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5293.43

Computed VWAP Slippage

-165219.63

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.72

Computed Drift

0.88

Computed Seconds Spent

31.52

Computed Volatility

41.37