SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:29

Buy / Sell

Buy

Quantity

50

Arrival Price

5291.3750

Average Total

5290.9300

Destination Price

5290.6250

Slippage

-0.4450

Slippage Sweep

-1.1300

Sweep to Fill

5292.0600

Algo Diagnostics

{ "customState": { "last_aggressive_qty": { "asInt32": 1 }, "init_drift": { "asDouble": 0 }, "seconds_spent": { "asDouble": 14.24 }, "avg_total": { "asDouble": 5290.93 }, "slippage_vwap_pct": { "asDouble": -2790.696148801113 }, "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 14 }, "init_half_min_move": { "asDouble": 0.4089148879455182 }, "sweep_residual": { "asDouble": 25 }, "slippage": { "asDouble": -0.44499999999970896 }, "slippage_vwap": { "asDouble": -147653.77974576273 }, "slippage_sweep": { "asDouble": -1.1300000000001091 }, "total_sent": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.592391304347826 }, "init_cost_per_share": { "asDouble": 0.685 }, "daily_vol_normal": { "asDouble": 38.91098708359463 }, "total_dollar": { "asDouble": 264546.5 }, "market_vwap": { "asDouble": 152944.70974576272 }, "economic_model": { "asInt32": 0 }, "init_liq_cost": { "asDouble": 17.125 }, "init_vol_normal": { "asDouble": 38.89592490700741 }, "init_opt_t_minutes": { "asDouble": 2.8061785288282723 }, "total_vol": { "asDouble": 55.392645167915845 }, "destination_price": { "asDouble": 5290.625 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 5292.06 }, "slip_toler": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 1 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.625 }, "arrival_price": { "asDouble": 5291.375 }, "curr_half_min_move": { "asDouble": 0.40907323739384993 }, "algo_status": { "asInt32": 4 }, "total_drift": { "asDouble": 0.75 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "total_filled": { "asInt32": 50 }, "drift": { "asDouble": 0.75 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:29:04.617","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:07.641","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:07.641","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:10.712","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:10.712","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:11.856","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:11.856","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:12.665","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:12.665","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:13.665","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:13.665","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:15.412","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:15.412","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:15.672","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:15.672","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:16.776","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:16.776","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:17.782","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5291.375<br />avg_total: 5290.93<br />curr_cost_per_share: 0.59239130434783<br />curr_half_min_move: 0.40907323739385<br />curr_liq_cost: 13.625<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 38.910987083595<br />destination_price: 5290.625<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.685<br />init_drift: 0<br />init_half_min_move: 0.40891488794552<br />init_liq_cost: 17.125<br />init_min_duration: 0<br />init_opt_t_minutes: 2.8061785288283<br />init_vol_normal: 38.895924907007<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 14.24<br />slip_toler: 0<br />slippage: -0.44499999999971<br />slippage_sweep: -1.1300000000001<br />sweep_residual: 25<br />sweep_to_fill: 5292.06<br />total_dollar: 264546.5<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.392645167916<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291.375<br />avg_total: 5290.93<br />destination_price: 5290.625<br />market_vwap: 152944.70974576<br />n_kids: 14<br />slippage: -0.44499999999971<br />slippage_vwap: -147653.77974576<br />slippage_vwap_pct: -2790.6961488011<br />total_dollar: 264546.5<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>2025-04-20T17:29:04.617</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:07.641</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:07.641</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:10.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:10.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:11.856</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:11.856</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:12.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:12.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.776</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.776</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:17.782</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.75</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>2025-04-20T17:29:04.617</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:07.641</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:07.641</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:10.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:10.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:11.856</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:11.856</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:12.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:12.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.776</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.776</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:17.782</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5290.93

Computed VWAP Slippage

-147653.78

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.69

Computed Drift

0.75

Computed Seconds Spent

14.24

Computed Volatility

38.91