SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:30

Buy / Sell

Buy

Quantity

50

Arrival Price

5287.7500

Average Total

5289.4400

Destination Price

5289.2500

Slippage

1.6900

Slippage Sweep

0.9504

Sweep to Fill

5288.4896

Algo Diagnostics

{ "customState": { "init_liq_cost": { "asDouble": 17.75 }, "destination_price": { "asDouble": 5289.25 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 26 }, "daily_vol_normal": { "asDouble": 39.05307131519347 }, "curr_half_min_move": { "asDouble": 0.4105669763339053 }, "ready": { "asBool": true }, "slip_toler": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 2 }, "curr_liq_cost": { "asDouble": 19.5 }, "total_vol": { "asDouble": 55.35469693352805 }, "total_sent": { "asInt32": 50 }, "total_filled": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.7395833333333334 }, "curr_cost_per_share": { "asDouble": 0.78 }, "slippage": { "asDouble": 1.6899999999995998 }, "init_opt_t_minutes": { "asDouble": 3.249129259480496 }, "init_drift": { "asDouble": 0 }, "n_kids": { "asInt32": 20 }, "slippage_vwap": { "asDouble": -146228.4080392157 }, "slippage_vwap_pct": { "asDouble": -2764.5347719080983 }, "impact_model": { "asInt32": 2 }, "init_vol_normal": { "asDouble": 39.02786565317558 }, "init_min_duration": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "last_aggressive_qty": { "asInt32": 4 }, "slippage_sweep": { "asDouble": 0.9504166666665697 }, "drift": { "asDouble": 1.5 }, "arrival_price": { "asDouble": 5287.75 }, "sweep_to_fill": { "asDouble": 5288.489583333333 }, "market_vwap": { "asDouble": 151517.8480392157 }, "total_drift": { "asDouble": 1.5 }, "init_half_min_move": { "asDouble": 0.41030198789400374 }, "avg_total": { "asDouble": 5289.44 }, "seconds_spent": { "asDouble": 18.056 }, "total_dollar": { "asDouble": 264472 }, "model_size": { "asDouble": 2 }, "economic_model": { "asInt32": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:30:21.422","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:21.422","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:23.138","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:24.338","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:25.212","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:26.127","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:26.127","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:28.098","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:28.098","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:28.172","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:28.661","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:29.227","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:29.227","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:30.695","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:30.695","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:31.327","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:32.235","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:32.235","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:33.228","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:33.235","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:34.263","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:35.435","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:36.301","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5289.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:30:36.301","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:30:38.38","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5289.5,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.75<br />avg_total: 5289.44<br />curr_cost_per_share: 0.78<br />curr_half_min_move: 0.41056697633391<br />curr_liq_cost: 19.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.053071315193<br />destination_price: 5289.25<br />drift: 1.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.73958333333333<br />init_drift: 0<br />init_half_min_move: 0.410301987894<br />init_liq_cost: 17.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2491292594805<br />init_vol_normal: 39.027865653176<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.056<br />slip_toler: 0<br />slippage: 1.6899999999996<br />slippage_sweep: 0.95041666666657<br />sweep_residual: 26<br />sweep_to_fill: 5288.4895833333<br />total_dollar: 264472<br />total_drift: 1.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.354696933528<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.75<br />avg_total: 5289.44<br />destination_price: 5289.25<br />market_vwap: 151517.84803922<br />n_kids: 20<br />slippage: 1.6899999999996<br />slippage_vwap: -146228.40803922<br />slippage_vwap_pct: -2764.5347719081<br />total_dollar: 264472<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>2025-04-20T17:30:21.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:21.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:23.138</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:24.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:25.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:26.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:26.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.098</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.098</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.172</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.661</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:29.227</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:29.227</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:30.695</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:30.695</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:31.327</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:32.235</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:32.235</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:33.228</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:33.235</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:34.263</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:35.435</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:36.301</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:36.301</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:38.38</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.5</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>2025-04-20T17:30:21.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:21.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:23.138</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:24.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:25.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:26.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:26.127</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.098</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.098</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.172</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:28.661</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:29.227</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:29.227</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:30.695</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:30.695</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:31.327</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:32.235</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:32.235</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:33.228</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:33.235</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:34.263</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:35.435</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:36.301</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:30:36.301</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:30:38.38</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5289.44

Computed VWAP Slippage

-146228.41

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.74

Computed Drift

1.50

Computed Seconds Spent

18.06

Computed Volatility

39.05