SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:39

Buy / Sell

Buy

Quantity

50

Arrival Price

5286.3750

Average Total

5286.9450

Destination Price

5286.7500

Slippage

0.5700

Slippage Sweep

0.0150

Sweep to Fill

5286.9300

Algo Diagnostics

{ "customState": { "n_kids": { "asInt32": 28 }, "init_opt_t_minutes": { "asDouble": 1.7705343836825063 }, "worst_opt_t_minutes": { "asDouble": 0.8678207081152557 }, "slip_toler": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 27.75 }, "avg_total": { "asDouble": 5286.945 }, "total_filled": { "asInt32": 50 }, "total_drift": { "asDouble": 0.375 }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 39.69620378585478 }, "ready": { "asBool": true }, "total_dollar": { "asDouble": 264347.25 }, "curr_opt_t_minutes": { "asDouble": 1.6866117363881679 }, "total_sent": { "asInt32": 50 }, "last_tactical_qty": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "economic_model": { "asInt32": 0 }, "init_cost_per_share": { "asDouble": 0.555 }, "sweep_to_fill": { "asDouble": 5286.93 }, "seconds_spent": { "asDouble": 53.332 }, "slippage": { "asDouble": 0.569999999999709 }, "market_vwap": { "asDouble": 153203.68835616438 }, "slippage_vwap_pct": { "asDouble": -2797.773446785703 }, "init_half_min_move": { "asDouble": 0.41710058652278864 }, "impact_model": { "asInt32": 2 }, "init_vol_normal": { "asDouble": 39.6745473699179 }, "last_aggressive_qty": { "asInt32": 2 }, "init_min_duration": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "total_vol": { "asDouble": 55.34030277565682 }, "drift": { "asDouble": 0.375 }, "curr_liq_cost": { "asDouble": 20.25 }, "model_size": { "asDouble": 2 }, "arrival_price": { "asDouble": 5286.375 }, "init_drift": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.014999999999417923 }, "curr_cost_per_share": { "asDouble": 0.75 }, "curr_half_min_move": { "asDouble": 0.4173282615534583 }, "slippage_vwap": { "asDouble": -147916.74335616437 }, "destination_price": { "asDouble": 5286.75 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:38:36.459","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:38.024","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:38.337","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:39.35","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:42.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:38:42.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:38:43.452","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:38:45.223","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:45.769","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:46.55","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:50.091","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:50.091","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:50.091","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:50.934","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:51.612","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:54.412","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:54.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:55.78","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:55.781","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:56.47","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:38:56.47","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:39:04.791","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:10.07","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:10.07","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:12.25","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:25.701","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:27.391","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:27.793","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:39:29.197","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.375<br />avg_total: 5286.945<br />curr_cost_per_share: 0.75<br />curr_half_min_move: 0.41732826155346<br />curr_liq_cost: 20.25<br />curr_opt_t_minutes: 1.6866117363882<br />daily_vol_normal: 39.696203785855<br />destination_price: 5286.75<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.555<br />init_drift: 0<br />init_half_min_move: 0.41710058652279<br />init_liq_cost: 27.75<br />init_min_duration: 0<br />init_opt_t_minutes: 1.7705343836825<br />init_vol_normal: 39.674547369918<br />last_aggressive_qty: 2<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 53.332<br />slip_toler: 0<br />slippage: 0.56999999999971<br />slippage_sweep: 0.014999999999418<br />sweep_residual: 0<br />sweep_to_fill: 5286.93<br />total_dollar: 264347.25<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.340302775657<br />worst_opt_t_minutes: 0.86782070811526

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.375<br />avg_total: 5286.945<br />destination_price: 5286.75<br />market_vwap: 153203.68835616<br />n_kids: 28<br />slippage: 0.56999999999971<br />slippage_vwap: -147916.74335616<br />slippage_vwap_pct: -2797.7734467857<br />total_dollar: 264347.25<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>2025-04-20T17:38:36.459</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:38.024</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:38.337</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:39.35</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:42.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:42.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:43.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:45.223</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:45.769</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:46.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.091</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.091</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.091</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.934</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:51.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:54.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:54.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:55.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:55.781</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:56.47</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:56.47</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:39:04.791</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:10.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:10.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:12.25</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:25.701</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:27.391</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:27.793</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:29.197</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</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>2025-04-20T17:38:36.459</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:38.024</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:38.337</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:39.35</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:42.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:42.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:43.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:38:45.223</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:45.769</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:46.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.091</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.091</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.091</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:50.934</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:51.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:54.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:54.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:55.78</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:55.781</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:56.47</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:38:56.47</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:39:04.791</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:10.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:10.07</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:12.25</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:25.701</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:27.391</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:27.793</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:39:29.197</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.95

Computed VWAP Slippage

-147916.74

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.56

Computed Drift

0.38

Computed Seconds Spent

53.33

Computed Volatility

39.70