SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:22

Buy / Sell

Buy

Quantity

50

Arrival Price

5288.2500

Average Total

5288.2200

Destination Price

5288.3750

Slippage

-0.0300

Slippage Sweep

-0.9050

Sweep to Fill

5289.1250

Algo Diagnostics

{ "customState": { "slippage_vwap": { "asDouble": -100206.05686915887 }, "init_vol_normal": { "asDouble": 38.119741125121614 }, "init_cost_per_share": { "asDouble": 0.875 }, "init_min_duration": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 2.4062382312437034 }, "total_drift": { "asDouble": 0.125 }, "drift": { "asDouble": 0.125 }, "curr_half_min_move": { "asDouble": 0.4016265372634703 }, "arrival_price": { "asDouble": 5288.25 }, "economic_model": { "asInt32": 0 }, "destination_price": { "asDouble": 5288.375 }, "impact_model": { "asInt32": 2 }, "seconds_spent": { "asDouble": 76.074 }, "market_vwap": { "asDouble": 105494.27686915887 }, "model_size": { "asDouble": 4 }, "slippage": { "asDouble": -0.02999999999974534 }, "init_drift": { "asDouble": 0 }, "sweep_residual": { "asDouble": 20 }, "last_tactical_qty": { "asInt32": 2 }, "order_time_minutes": { "asDouble": 10 }, "worst_opt_t_minutes": { "asDouble": 1.1458682918808365 }, "curr_liq_cost": { "asDouble": 16.5 }, "last_aggressive_qty": { "asInt32": 2 }, "init_liq_cost": { "asDouble": 26.25 }, "daily_vol_normal": { "asDouble": 38.20265804590295 }, "curr_cost_per_share": { "asDouble": 0.6875 }, "algo_status": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 4.767147407856299 }, "init_half_min_move": { "asDouble": 0.4007548273490988 }, "total_filled": { "asInt32": 50 }, "ready": { "asBool": true }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 264411 }, "avg_total": { "asDouble": 5288.22 }, "n_kids": { "asInt32": 21 }, "total_sent": { "asInt32": 50 }, "sweep_to_fill": { "asDouble": 5289.125 }, "slippage_sweep": { "asDouble": -0.9049999999997453 }, "total_vol": { "asDouble": 55.35993117275395 }, "slippage_vwap_pct": { "asDouble": -1894.891983865249 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:20:50.674","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:51.184","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:53.258","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:54.461","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:54.461","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:55.312","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:56.477","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:57.386","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:57.386","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:20:59.453","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:20:59.453","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:12.432","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:13.512","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:14.997","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:14.997","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:16.623","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:17.683","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:19.688","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:19.688","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:27.807","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:21:27.807","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:21:27.964","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:21:27.964","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:21:28.938","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:05.068","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:22:05.068","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288.25<br />avg_total: 5288.22<br />curr_cost_per_share: 0.6875<br />curr_half_min_move: 0.40162653726347<br />curr_liq_cost: 16.5<br />curr_opt_t_minutes: 2.4062382312437<br />daily_vol_normal: 38.202658045903<br />destination_price: 5288.375<br />drift: 0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.875<br />init_drift: 0<br />init_half_min_move: 0.4007548273491<br />init_liq_cost: 26.25<br />init_min_duration: 0<br />init_opt_t_minutes: 4.7671474078563<br />init_vol_normal: 38.119741125122<br />last_aggressive_qty: 2<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 76.074<br />slip_toler: 0<br />slippage: -0.029999999999745<br />slippage_sweep: -0.90499999999975<br />sweep_residual: 20<br />sweep_to_fill: 5289.125<br />total_dollar: 264411<br />total_drift: 0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.359931172754<br />worst_opt_t_minutes: 1.1458682918808

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.25<br />avg_total: 5288.22<br />destination_price: 5288.375<br />market_vwap: 105494.27686916<br />n_kids: 21<br />slippage: -0.029999999999745<br />slippage_vwap: -100206.05686916<br />slippage_vwap_pct: -1894.8919838652<br />total_dollar: 264411<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>2025-04-20T17:20:50.674</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:51.184</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:53.258</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:54.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:54.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:55.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:56.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:57.386</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:57.386</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:59.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:59.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:12.432</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:13.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:14.997</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:14.997</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:16.623</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:17.683</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:19.688</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:19.688</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:27.807</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:27.807</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:21:27.964</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:21:27.964</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:21:28.938</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:05.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:05.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</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>2025-04-20T17:20:50.674</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:51.184</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:53.258</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:54.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:54.461</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:55.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:56.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:57.386</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:57.386</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:20:59.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:20:59.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:12.432</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:13.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:14.997</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:14.997</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:16.623</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:17.683</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:19.688</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:19.688</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:27.807</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:21:27.807</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:21:27.964</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:21:27.964</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:21:28.938</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:05.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:22:05.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.22

Computed VWAP Slippage

-100206.06

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.88

Computed Drift

0.13

Computed Seconds Spent

76.07

Computed Volatility

38.20