SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:26

Buy / Sell

Buy

Quantity

50

Arrival Price

5292.1250

Average Total

5292.5700

Destination Price

5292.6250

Slippage

0.4450

Slippage Sweep

-0.2883

Sweep to Fill

5292.8583

Algo Diagnostics

{ "customState": { "init_min_duration": { "asDouble": 0 }, "slippage": { "asDouble": 0.44499999999970896 }, "slippage_sweep": { "asDouble": -0.2883333333338669 }, "last_tactical_qty": { "asInt32": 3 }, "init_opt_t_minutes": { "asDouble": 3.252147324062832 }, "curr_half_min_move": { "asDouble": 0.40711485455800184 }, "total_dollar": { "asDouble": 264628.5 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_pct": { "asDouble": -1740.3646815137113 }, "curr_opt_t_minutes": { "asDouble": 0.3335311043415345 }, "init_liq_cost": { "asDouble": 22 }, "worst_opt_t_minutes": { "asDouble": 0.16296160207444346 }, "total_drift": { "asDouble": 0.5 }, "seconds_spent": { "asDouble": 33.817 }, "economic_model": { "asInt32": 0 }, "total_sent": { "asInt32": 50 }, "n_kids": { "asInt32": 17 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "model_size": { "asDouble": 3 }, "market_vwap": { "asDouble": 97402.58902439024 }, "avg_total": { "asDouble": 5292.57 }, "total_vol": { "asDouble": 55.40049652675469 }, "slip_toler": { "asDouble": 0 }, "ready": { "asBool": true }, "sweep_to_fill": { "asDouble": 5292.858333333334 }, "sweep_residual": { "asDouble": 20 }, "arrival_price": { "asDouble": 5292.125 }, "init_cost_per_share": { "asDouble": 0.7333333333333333 }, "destination_price": { "asDouble": 5292.625 }, "slippage_vwap": { "asDouble": -92110.01902439023 }, "curr_liq_cost": { "asDouble": 28.25 }, "daily_vol_normal": { "asDouble": 38.72470599193511 }, "curr_cost_per_share": { "asDouble": 0.565 }, "last_aggressive_qty": { "asInt32": 11 }, "init_vol_normal": { "asDouble": 38.68009221206588 }, "drift": { "asDouble": 0.5 }, "order_time_minutes": { "asDouble": 10 }, "init_half_min_move": { "asDouble": 0.4066458275625089 }, "impact_model": { "asInt32": 2 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:25:43.912","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:45.147","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:48.022","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:50.034","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:51.2","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:54.063","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:54.063","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:56.319","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:25:59.068","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:01.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:03.063","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:03.063","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:04.615","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:05.14","Security":"SIM:ESM5","Side":"Buy","LastShares":11.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:06.212","Security":"SIM:ESM5","Side":"Buy","LastShares":11.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:06.212","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:06.212","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5292.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:26:06.614","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:06.614","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:12.166","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:16.352","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:26:16.352","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5292.125<br />avg_total: 5292.57<br />curr_cost_per_share: 0.565<br />curr_half_min_move: 0.407114854558<br />curr_liq_cost: 28.25<br />curr_opt_t_minutes: 0.33353110434153<br />daily_vol_normal: 38.724705991935<br />destination_price: 5292.625<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.73333333333333<br />init_drift: 0<br />init_half_min_move: 0.40664582756251<br />init_liq_cost: 22<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2521473240628<br />init_vol_normal: 38.680092212066<br />last_aggressive_qty: 11<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 33.817<br />slip_toler: 0<br />slippage: 0.44499999999971<br />slippage_sweep: -0.28833333333387<br />sweep_residual: 20<br />sweep_to_fill: 5292.8583333333<br />total_dollar: 264628.5<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.400496526755<br />worst_opt_t_minutes: 0.16296160207444

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292.125<br />avg_total: 5292.57<br />destination_price: 5292.625<br />market_vwap: 97402.58902439<br />n_kids: 17<br />slippage: 0.44499999999971<br />slippage_vwap: -92110.01902439<br />slippage_vwap_pct: -1740.3646815137<br />total_dollar: 264628.5<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>2025-04-20T17:25:43.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:45.147</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:48.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:50.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:51.2</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:54.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:54.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:56.319</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:59.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:01.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:03.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:03.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:04.615</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:05.14</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>11</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>11</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:26:06.614</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.614</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:12.166</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.352</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.352</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</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>2025-04-20T17:25:43.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:45.147</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:48.022</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:50.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:51.2</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:54.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:54.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:56.319</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:25:59.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:01.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:03.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:03.063</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:04.615</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:05.14</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>11</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>11</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:26:06.614</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:06.614</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:12.166</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.352</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:26:16.352</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5292.57

Computed VWAP Slippage

-92110.02

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.73

Computed Drift

0.50

Computed Seconds Spent

33.82

Computed Volatility

38.72