SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:32

Buy / Sell

Buy

Quantity

50

Arrival Price

5286.7500

Average Total

5285.8000

Destination Price

5285.2500

Slippage

-0.9500

Slippage Sweep

-1.7887

Sweep to Fill

5287.5887

Algo Diagnostics

{ "customState": { "slippage_vwap_pct": { "asDouble": -2369.0052173328118 }, "init_half_min_move": { "asDouble": 0.41214143237940515 }, "total_vol": { "asDouble": 55.34422845507625 }, "algo_status": { "asInt32": 4 }, "slippage_vwap": { "asDouble": -125220.87777777777 }, "total_sent": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "drift": { "asDouble": 1.5 }, "curr_half_min_move": { "asDouble": 0.41232158695568755 }, "last_tactical_qty": { "asInt32": 2 }, "total_filled": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "init_cost_per_share": { "asDouble": 0.8387096774193549 }, "init_liq_cost": { "asDouble": 26 }, "seconds_spent": { "asDouble": 12.032 }, "worst_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 19 }, "ready": { "asBool": true }, "daily_vol_normal": { "asDouble": 39.21996962336897 }, "slippage_sweep": { "asDouble": -1.7887096774193196 }, "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 14 }, "avg_total": { "asDouble": 5285.8 }, "destination_price": { "asDouble": 5285.25 }, "total_drift": { "asDouble": 1.5 }, "slippage": { "asDouble": -0.9499999999998181 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.7 }, "curr_liq_cost": { "asDouble": 14 }, "market_vwap": { "asDouble": 130506.67777777778 }, "last_aggressive_qty": { "asInt32": 4 }, "impact_model": { "asInt32": 2 }, "init_vol_normal": { "asDouble": 39.20283334616972 }, "arrival_price": { "asDouble": 5286.75 }, "init_opt_t_minutes": { "asDouble": 4.141243392944519 }, "model_size": { "asDouble": 6 }, "init_min_duration": { "asDouble": 0 }, "total_dollar": { "asDouble": 264290 }, "sweep_to_fill": { "asDouble": 5287.5887096774195 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:31:56.86","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:58.169","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:58.924","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:31:58.924","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:00.143","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:01.764","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:01.936","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:01.936","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:02.918","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:02.918","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:02.918","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:04.012","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:04.012","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:05.017","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:05.017","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:32:05.936","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:05.936","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:06.936","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:32:06.936","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.75<br />avg_total: 5285.8<br />curr_cost_per_share: 0.7<br />curr_half_min_move: 0.41232158695569<br />curr_liq_cost: 14<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 39.219969623369<br />destination_price: 5285.25<br />drift: 1.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83870967741935<br />init_drift: 0<br />init_half_min_move: 0.41214143237941<br />init_liq_cost: 26<br />init_min_duration: 0<br />init_opt_t_minutes: 4.1412433929445<br />init_vol_normal: 39.20283334617<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 6<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 12.032<br />slip_toler: 0<br />slippage: -0.94999999999982<br />slippage_sweep: -1.7887096774193<br />sweep_residual: 19<br />sweep_to_fill: 5287.5887096774<br />total_dollar: 264290<br />total_drift: 1.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.344228455076<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.75<br />avg_total: 5285.8<br />destination_price: 5285.25<br />market_vwap: 130506.67777778<br />n_kids: 14<br />slippage: -0.94999999999982<br />slippage_vwap: -125220.87777778<br />slippage_vwap_pct: -2369.0052173328<br />total_dollar: 264290<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>2025-04-20T17:31:56.86</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:58.169</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:58.924</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:58.924</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:00.143</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:01.764</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:01.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:01.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:02.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:02.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:02.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:04.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:04.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:05.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:05.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:32:05.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:05.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:06.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:06.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</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>2025-04-20T17:31:56.86</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:58.169</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:58.924</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:31:58.924</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:00.143</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:01.764</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:01.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:01.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:02.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:02.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:02.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:04.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:04.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:05.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:05.017</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:32:05.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:05.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:06.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:32:06.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.80

Computed VWAP Slippage

-125220.88

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.84

Computed Drift

1.50

Computed Seconds Spent

12.03

Computed Volatility

39.22