SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:14

Buy / Sell

Buy

Quantity

50

Arrival Price

5289.7500

Average Total

5290.2700

Destination Price

5290.1250

Slippage

0.5200

Slippage Sweep

-0.1150

Sweep to Fill

5290.3850

Algo Diagnostics

{ "customState": { "init_opt_t_minutes": { "asDouble": 2.1054720057729814 }, "model_size": { "asDouble": 3 }, "last_tactical_qty": { "asInt32": 3 }, "total_drift": { "asDouble": 0.375 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 264513.5 }, "order_time_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.375 }, "total_sent": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 0.25748263036833197 }, "economic_model": { "asInt32": 0 }, "slippage_vwap_pct": { "asDouble": -3904.8585085611676 }, "slippage_sweep": { "asDouble": -0.11499999999978172 }, "arrival_price": { "asDouble": 5289.75 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 5290.125 }, "curr_half_min_move": { "asDouble": 0.4377540181745765 }, "daily_vol_normal": { "asDouble": 41.63909879683241 }, "init_min_duration": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "total_vol": { "asDouble": 55.37563389043166 }, "ready": { "asBool": true }, "n_kids": { "asInt32": 19 }, "curr_opt_t_minutes": { "asDouble": 0.45538918839060727 }, "slippage": { "asDouble": 0.5200000000004366 }, "seconds_spent": { "asDouble": 27.388 }, "init_vol_normal": { "asDouble": 41.62652619673957 }, "curr_liq_cost": { "asDouble": 26 }, "curr_cost_per_share": { "asDouble": 0.52 }, "init_liq_cost": { "asDouble": 31.75 }, "slip_toler": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5290.385 }, "avg_total": { "asDouble": 5290.27 }, "init_cost_per_share": { "asDouble": 0.635 }, "impact_model": { "asInt32": 2 }, "slippage_vwap": { "asDouble": -206577.55822085892 }, "algo_status": { "asInt32": 4 }, "market_vwap": { "asDouble": 211867.8282208589 }, "init_half_min_move": { "asDouble": 0.43762184177382407 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:14:14.141","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:16.136","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:16.136","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:19.98","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:19.98","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:27.93","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:33.912","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:14:40.021","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.021","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.023","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.023","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:14:40.023","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.5,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5289.75<br />avg_total: 5290.27<br />curr_cost_per_share: 0.52<br />curr_half_min_move: 0.43775401817458<br />curr_liq_cost: 26<br />curr_opt_t_minutes: 0.45538918839061<br />daily_vol_normal: 41.639098796832<br />destination_price: 5290.125<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.635<br />init_drift: 0<br />init_half_min_move: 0.43762184177382<br />init_liq_cost: 31.75<br />init_min_duration: 0<br />init_opt_t_minutes: 2.105472005773<br />init_vol_normal: 41.62652619674<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 27.388<br />slip_toler: 0<br />slippage: 0.52000000000044<br />slippage_sweep: -0.11499999999978<br />sweep_residual: 0<br />sweep_to_fill: 5290.385<br />total_dollar: 264513.5<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.375633890432<br />worst_opt_t_minutes: 0.25748263036833

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5289.75<br />avg_total: 5290.27<br />destination_price: 5290.125<br />market_vwap: 211867.82822086<br />n_kids: 19<br />slippage: 0.52000000000044<br />slippage_vwap: -206577.55822086<br />slippage_vwap_pct: -3904.8585085612<br />total_dollar: 264513.5<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>2025-04-20T18:14:14.141</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:16.136</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:16.136</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:19.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:19.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:33.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:40.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.023</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.023</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.023</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</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>2025-04-20T18:14:14.141</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:16.136</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:16.136</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:19.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:19.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:27.93</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:33.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:14:40.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.023</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.023</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:14:40.023</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5290.27

Computed VWAP Slippage

-206577.56

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.64

Computed Drift

0.38

Computed Seconds Spent

27.39

Computed Volatility

41.64