SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:18

Buy / Sell

Buy

Quantity

50

Arrival Price

5286.5000

Average Total

5287.5100

Destination Price

5287.5000

Slippage

1.0100

Slippage Sweep

0.2725

Sweep to Fill

5287.2375

Algo Diagnostics

{ "customState": { "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 19.667 }, "drift": { "asDouble": 1 }, "slippage_sweep": { "asDouble": 0.2725000000000364 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5287.2375 }, "curr_liq_cost": { "asDouble": 37.25 }, "slippage_vwap_pct": { "asDouble": -2347.030669999874 }, "n_kids": { "asInt32": 20 }, "init_liq_cost": { "asDouble": 14.75 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 5287.5 }, "impact_model": { "asInt32": 2 }, "daily_vol_normal": { "asDouble": 37.95646585811892 }, "init_opt_t_minutes": { "asDouble": 3.4176726140681706 }, "market_vwap": { "asDouble": 129386.99137931035 }, "init_drift": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.7760416666666666 }, "slippage": { "asDouble": 1.0100000000002183 }, "init_min_duration": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.3990383059481987 }, "total_vol": { "asDouble": 55.34161133546329 }, "slippage_vwap": { "asDouble": -124099.48137931035 }, "init_half_min_move": { "asDouble": 0.3989300904397726 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "sweep_residual": { "asDouble": 30 }, "arrival_price": { "asDouble": 5286.5 }, "total_dollar": { "asDouble": 264375.5 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_drift": { "asDouble": 1 }, "avg_total": { "asDouble": 5287.51 }, "last_aggressive_qty": { "asInt32": 9 }, "ready": { "asBool": true }, "model_size": { "asDouble": 1 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 37.94617241463325 }, "total_sent": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.7375 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:18:12.326","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:13.32","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:14.686","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:14.686","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:18.577","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:18.577","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:18:19.345","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:19.85","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:21.028","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:21.714","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:21.714","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:18:22.416","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:23.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:24.797","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:26.039","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:26.039","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:27.219","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:27.613","Security":"SIM:ESM5","Side":"Buy","LastShares":9.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:27.613","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:28.851","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:29.562","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:18:30.63","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.5<br />avg_total: 5287.51<br />curr_cost_per_share: 0.77604166666667<br />curr_half_min_move: 0.3990383059482<br />curr_liq_cost: 37.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 37.956465858119<br />destination_price: 5287.5<br />drift: 1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.7375<br />init_drift: 0<br />init_half_min_move: 0.39893009043977<br />init_liq_cost: 14.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.4176726140682<br />init_vol_normal: 37.946172414633<br />last_aggressive_qty: 9<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 19.667<br />slip_toler: 0<br />slippage: 1.0100000000002<br />slippage_sweep: 0.27250000000004<br />sweep_residual: 30<br />sweep_to_fill: 5287.2375<br />total_dollar: 264375.5<br />total_drift: 1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.341611335463<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.5<br />avg_total: 5287.51<br />destination_price: 5287.5<br />market_vwap: 129386.99137931<br />n_kids: 20<br />slippage: 1.0100000000002<br />slippage_vwap: -124099.48137931<br />slippage_vwap_pct: -2347.0306699999<br />total_dollar: 264375.5<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>2025-04-20T17:18:12.326</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:13.32</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:14.686</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:14.686</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:18.577</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:18.577</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:19.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:19.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:21.028</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:21.714</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:21.714</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:22.416</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:23.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:24.797</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:26.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:26.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:27.219</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>9</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:28.851</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:29.562</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:30.63</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</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>2025-04-20T17:18:12.326</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:13.32</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:14.686</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:14.686</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:18.577</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:18.577</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:19.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:19.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:21.028</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:21.714</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:21.714</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:18:22.416</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:23.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:24.797</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:26.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:26.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:27.219</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>9</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:27.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:28.851</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:29.562</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:18:30.63</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.51

Computed VWAP Slippage

-124099.48

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.74

Computed Drift

1.00

Computed Seconds Spent

19.67

Computed Volatility

37.96