SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:34

Buy / Sell

Buy

Quantity

50

Arrival Price

5287.2500

Average Total

5287.3100

Destination Price

5286.6250

Slippage

0.0600

Slippage Sweep

-0.7778

Sweep to Fill

5288.0878

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 4 }, "avg_total": { "asDouble": 5287.31 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage": { "asDouble": 0.06000000000040018 }, "destination_price": { "asDouble": 5286.625 }, "drift": { "asDouble": 0.625 }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.41447925603490954 }, "total_drift": { "asDouble": 0.625 }, "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 55.34946269430215 }, "curr_cost_per_share": { "asDouble": 0.7867647058823529 }, "slippage_vwap": { "asDouble": -195805.01983193276 }, "init_liq_cost": { "asDouble": 31 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.375 }, "ready": { "asBool": true }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 39.42520679363011 }, "market_vwap": { "asDouble": 201092.32983193276 }, "init_vol_normal": { "asDouble": 39.399635238820586 }, "sweep_to_fill": { "asDouble": 5288.0878378378375 }, "init_half_min_move": { "asDouble": 0.414210420944999 }, "last_tactical_qty": { "asInt32": 4 }, "impact_model": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 0.9255573293625293 }, "total_sent": { "asInt32": 50 }, "total_dollar": { "asDouble": 264365.5 }, "n_kids": { "asInt32": 24 }, "worst_opt_t_minutes": { "asDouble": 0.46959608287842425 }, "init_cost_per_share": { "asDouble": 0.8378378378378378 }, "init_opt_t_minutes": { "asDouble": 4.091456118692602 }, "slippage_vwap_pct": { "asDouble": -3703.3012974827034 }, "slippage_sweep": { "asDouble": -0.777837837837069 }, "algo_status": { "asInt32": 4 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 65.35 }, "sweep_residual": { "asDouble": 13 }, "arrival_price": { "asDouble": 5287.25 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.31<br />curr_cost_per_share: 0.78676470588235<br />curr_half_min_move: 0.41447925603491<br />curr_liq_cost: 13.375<br />curr_opt_t_minutes: 0.92555732936253<br />daily_vol_normal: 39.42520679363<br />destination_price: 5286.625<br />drift: 0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83783783783784<br />init_drift: 0<br />init_half_min_move: 0.414210420945<br />init_liq_cost: 31<br />init_min_duration: 0<br />init_opt_t_minutes: 4.0914561186926<br />init_vol_normal: 39.399635238821<br />last_aggressive_qty: 1<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 24<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 65.35<br />slip_toler: 0<br />slippage: 0.0600000000004<br />slippage_sweep: -0.77783783783707<br />sweep_residual: 13<br />sweep_to_fill: 5288.0878378378<br />total_dollar: 264365.5<br />total_drift: 0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.349462694302<br />worst_opt_t_minutes: 0.46959608287842

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.31<br />destination_price: 5286.625<br />market_vwap: 201092.32983193<br />n_kids: 24<br />slippage: 0.0600000000004<br />slippage_vwap: -195805.01983193<br />slippage_vwap_pct: -3703.3012974827<br />total_dollar: 264365.5<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>2025-04-20T17:33:29.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:32.939</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:32.939</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:35.364</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:37.067</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:42.079</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:49.755</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:50.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:50.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:04.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:05.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:09.935</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:11.429</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:11.429</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:15.267</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:15.267</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:23.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:29.337</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:30.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:30.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:30.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:32.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:32.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</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>2025-04-20T17:33:29.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:32.939</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:32.939</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:35.364</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:37.067</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:42.079</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:49.754</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:49.755</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:33:50.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:33:50.119</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:04.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:05.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:09.935</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:11.429</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:11.429</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:15.267</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:15.267</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:23.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:29.337</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:30.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:30.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:30.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:34:32.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:32.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:34:32.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5287.31

Computed VWAP Slippage

-195805.02

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.84

Computed Drift

0.63

Computed Seconds Spent

65.35

Computed Volatility

39.43