SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:43

Buy / Sell

Buy

Quantity

50

Arrival Price

5282.3750

Average Total

5281.6400

Destination Price

5281.7500

Slippage

-0.7350

Slippage Sweep

-1.4462

Sweep to Fill

5283.0862

Algo Diagnostics

{ "customState": { "last_aggressive_qty": { "asInt32": 5 }, "sweep_residual": { "asDouble": 21 }, "init_opt_t_minutes": { "asDouble": 2.8863574710054998 }, "curr_cost_per_share": { "asDouble": 0.9761904761904762 }, "slippage": { "asDouble": -0.7349999999996726 }, "model_size": { "asDouble": 2 }, "init_cost_per_share": { "asDouble": 0.7112068965517241 }, "curr_opt_t_minutes": { "asDouble": 2.1334114365337826 }, "slip_toler": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 1.1144644324277013 }, "seconds_spent": { "asDouble": 69.643 }, "impact_model": { "asInt32": 2 }, "init_half_min_move": { "asDouble": 0.41862089408243897 }, "total_vol": { "asDouble": 55.29842886184961 }, "slippage_sweep": { "asDouble": -1.4462068965513026 }, "daily_vol_normal": { "asDouble": 39.96764776276474 }, "sweep_to_fill": { "asDouble": 5283.086206896552 }, "avg_total": { "asDouble": 5281.64 }, "ready": { "asBool": true }, "curr_half_min_move": { "asDouble": 0.42018196624532506 }, "algo_status": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 39.81915880476396 }, "init_drift": { "asDouble": 0 }, "destination_price": { "asDouble": 5281.75 }, "slippage_vwap_pct": { "asDouble": -1081.9415828589154 }, "total_drift": { "asDouble": 0.625 }, "economic_model": { "asInt32": 0 }, "total_dollar": { "asDouble": 264082 }, "last_tactical_qty": { "asInt32": 2 }, "total_sent": { "asInt32": 50 }, "market_vwap": { "asDouble": 62425.89941690962 }, "n_kids": { "asInt32": 17 }, "arrival_price": { "asDouble": 5282.375 }, "curr_liq_cost": { "asDouble": 41 }, "total_filled": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 20.625 }, "order_time_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.625 }, "init_min_duration": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -57144.25941690962 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:41:58.792","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:00.34","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:00.34","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:00.83","Security":"SIM:ESM5","Side":"Buy","LastShares":9.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:01.257","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:01.257","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:06.888","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:09.659","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:42:09.659","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:42:09.659","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:42:09.894","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:09.894","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:11.006","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5281.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:11.006","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:42:11.904","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:13.177","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:13.177","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:14.524","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:14.524","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:14.947","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:16.031","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5281.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:42:16.031","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5281.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:43:06.491","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:43:07.596","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5282.375<br />avg_total: 5281.64<br />curr_cost_per_share: 0.97619047619048<br />curr_half_min_move: 0.42018196624533<br />curr_liq_cost: 41<br />curr_opt_t_minutes: 2.1334114365338<br />daily_vol_normal: 39.967647762765<br />destination_price: 5281.75<br />drift: 0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.71120689655172<br />init_drift: 0<br />init_half_min_move: 0.41862089408244<br />init_liq_cost: 20.625<br />init_min_duration: 0<br />init_opt_t_minutes: 2.8863574710055<br />init_vol_normal: 39.819158804764<br />last_aggressive_qty: 5<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 69.643<br />slip_toler: 0<br />slippage: -0.73499999999967<br />slippage_sweep: -1.4462068965513<br />sweep_residual: 21<br />sweep_to_fill: 5283.0862068966<br />total_dollar: 264082<br />total_drift: 0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.29842886185<br />worst_opt_t_minutes: 1.1144644324277

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5282.375<br />avg_total: 5281.64<br />destination_price: 5281.75<br />market_vwap: 62425.89941691<br />n_kids: 17<br />slippage: -0.73499999999967<br />slippage_vwap: -57144.25941691<br />slippage_vwap_pct: -1081.9415828589<br />total_dollar: 264082<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>2025-04-20T17:41:58.792</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:00.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:00.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:00.83</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>9</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:01.257</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:01.257</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:06.888</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:09.894</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:09.894</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:11.006</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:11.006</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:11.904</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:13.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:13.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:14.524</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:14.524</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:14.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:16.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:16.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:06.491</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:07.596</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</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>2025-04-20T17:41:58.792</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:00.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:00.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:00.83</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>9</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:01.257</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:01.257</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:06.888</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:09.894</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:09.894</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:11.006</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:11.006</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:42:11.904</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:13.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:13.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:14.524</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:14.524</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:14.947</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:16.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:42:16.031</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:06.491</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:07.596</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5281.64

Computed VWAP Slippage

-57144.26

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.71

Computed Drift

0.63

Computed Seconds Spent

69.64

Computed Volatility

39.97