SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:36

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.1250

Average Total

5284.8750

Destination Price

5284.5000

Slippage

-0.2500

Slippage Sweep

-0.9167

Sweep to Fill

5285.7917

Algo Diagnostics

{ "customState": { "init_vol_normal": { "asDouble": 39.53161811800455 }, "total_vol": { "asDouble": 55.32721717759207 }, "init_drift": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "market_vwap": { "asDouble": 126142.34027777778 }, "init_min_duration": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.4155979638400778 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_pct": { "asDouble": -2286.8557019376576 }, "last_aggressive_qty": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 2.573182917660941 }, "curr_liq_cost": { "asDouble": 17 }, "arrival_price": { "asDouble": 5285.125 }, "slippage_vwap": { "asDouble": -120857.46527777778 }, "order_time_minutes": { "asDouble": 10 }, "model_size": { "asDouble": 3 }, "seconds_spent": { "asDouble": 28.56 }, "daily_vol_normal": { "asDouble": 39.57724222170171 }, "curr_opt_t_minutes": { "asDouble": 0.8408489808575725 }, "total_filled": { "asInt32": 50 }, "avg_total": { "asDouble": 5284.875 }, "drift": { "asDouble": 0.625 }, "total_drift": { "asDouble": 0.625 }, "init_cost_per_share": { "asDouble": 0.6666666666666666 }, "impact_model": { "asInt32": 2 }, "n_kids": { "asInt32": 20 }, "init_liq_cost": { "asDouble": 12 }, "last_tactical_qty": { "asInt32": 3 }, "curr_cost_per_share": { "asDouble": 0.7727272727272727 }, "sweep_residual": { "asDouble": 32 }, "total_dollar": { "asDouble": 264243.75 }, "sweep_to_fill": { "asDouble": 5285.791666666667 }, "curr_half_min_move": { "asDouble": 0.4160776124226875 }, "total_sent": { "asInt32": 50 }, "slippage": { "asDouble": -0.25 }, "destination_price": { "asDouble": 5284.5 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0.43026042935695114 }, "slippage_sweep": { "asDouble": -0.9166666666669698 }, "ready": { "asBool": true } } }

Fills Array

[{"Timestamp":"2025-04-20T17:36:17.868","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:19.857","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:20.773","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:23.593","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:23.828","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:24.852","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:24.852","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:26.853","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:27.838","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:36.068","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:38.471","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:39.338","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:39.338","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:40.039","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:40.039","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:36:41.831","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:41.831","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:42.112","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:42.112","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:36:43.872","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:43.872","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:44.952","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:44.952","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:36:45.112","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5284.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.125<br />avg_total: 5284.875<br />curr_cost_per_share: 0.77272727272727<br />curr_half_min_move: 0.41607761242269<br />curr_liq_cost: 17<br />curr_opt_t_minutes: 0.84084898085757<br />daily_vol_normal: 39.577242221702<br />destination_price: 5284.5<br />drift: 0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.66666666666667<br />init_drift: 0<br />init_half_min_move: 0.41559796384008<br />init_liq_cost: 12<br />init_min_duration: 0<br />init_opt_t_minutes: 2.5731829176609<br />init_vol_normal: 39.531618118005<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 28.56<br />slip_toler: 0<br />slippage: -0.25<br />slippage_sweep: -0.91666666666697<br />sweep_residual: 32<br />sweep_to_fill: 5285.7916666667<br />total_dollar: 264243.75<br />total_drift: 0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.327217177592<br />worst_opt_t_minutes: 0.43026042935695

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.125<br />avg_total: 5284.875<br />destination_price: 5284.5<br />market_vwap: 126142.34027778<br />n_kids: 20<br />slippage: -0.25<br />slippage_vwap: -120857.46527778<br />slippage_vwap_pct: -2286.8557019377<br />total_dollar: 264243.75<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>2025-04-20T17:36:17.868</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:19.857</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:20.773</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:23.593</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:23.828</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:24.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:24.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:26.853</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:27.838</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:36.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:38.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:39.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:39.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:40.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:40.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:41.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:41.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:42.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:42.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:43.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:43.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:44.952</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:44.952</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:45.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</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>2025-04-20T17:36:17.868</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:19.857</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:20.773</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:23.593</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:23.828</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:24.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:24.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:26.853</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:27.838</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:36.068</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:38.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:39.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:39.338</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:40.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:40.039</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:41.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:41.831</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:42.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:42.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:36:43.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:43.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:44.952</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:44.952</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:36:45.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5284.88

Computed VWAP Slippage

-120857.47

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.67

Computed Drift

0.63

Computed Seconds Spent

28.56

Computed Volatility

39.58