SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:46

Buy / Sell

Buy

Quantity

50

Arrival Price

5282.5000

Average Total

5283.1650

Destination Price

5283.3750

Slippage

0.6650

Slippage Sweep

0.1350

Sweep to Fill

5283.0300

Algo Diagnostics

{ "customState": { "economic_model": { "asInt32": 0 }, "sweep_to_fill": { "asDouble": 5283.03 }, "total_drift": { "asDouble": 0.875 }, "init_half_min_move": { "asDouble": 0.4213331714829503 }, "init_drift": { "asDouble": 0 }, "seconds_spent": { "asDouble": 16.921 }, "order_time_minutes": { "asDouble": 10 }, "curr_opt_t_minutes": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_vol": { "asDouble": 55.299737421656076 }, "init_liq_cost": { "asDouble": 26.5 }, "avg_total": { "asDouble": 5283.165 }, "ready": { "asBool": true }, "slippage": { "asDouble": 0.6649999999999636 }, "total_dollar": { "asDouble": 264158.25 }, "last_tactical_qty": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "drift": { "asDouble": 0.875 }, "impact_model": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.4214007971706484 }, "total_filled": { "asInt32": 50 }, "slippage_vwap": { "asDouble": -92315.35785714287 }, "model_size": { "asDouble": 4 }, "init_vol_normal": { "asDouble": 40.07715023820699 }, "slippage_sweep": { "asDouble": 0.13500000000021828 }, "algo_status": { "asInt32": 4 }, "daily_vol_normal": { "asDouble": 40.083582783824745 }, "curr_liq_cost": { "asDouble": 31.75 }, "market_vwap": { "asDouble": 97598.52285714286 }, "n_kids": { "asInt32": 19 }, "curr_cost_per_share": { "asDouble": 0.6614583333333334 }, "destination_price": { "asDouble": 5283.375 }, "sweep_residual": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 7 }, "arrival_price": { "asDouble": 5282.5 }, "init_opt_t_minutes": { "asDouble": 1.5823422868197146 }, "init_cost_per_share": { "asDouble": 0.53 }, "init_min_duration": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": -1747.3495122174468 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:46:04.294","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:04.44","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:07.011","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:07.452","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:07.452","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:08.423","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:09.573","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:11.575","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:11.575","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:12.516","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:14.584","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:14.584","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:15.605","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5282.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:17.404","Security":"SIM:ESM5","Side":"Buy","LastShares":11.0,"LastPrice":5283.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:18.543","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:19.012","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:20.412","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:26.999","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:26.999","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:26.999","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:27.053","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:46:27.053","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5282.5<br />avg_total: 5283.165<br />curr_cost_per_share: 0.66145833333333<br />curr_half_min_move: 0.42140079717065<br />curr_liq_cost: 31.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.083582783825<br />destination_price: 5283.375<br />drift: 0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.53<br />init_drift: 0<br />init_half_min_move: 0.42133317148295<br />init_liq_cost: 26.5<br />init_min_duration: 0<br />init_opt_t_minutes: 1.5823422868197<br />init_vol_normal: 40.077150238207<br />last_aggressive_qty: 7<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 19<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 16.921<br />slip_toler: 0<br />slippage: 0.66499999999996<br />slippage_sweep: 0.13500000000022<br />sweep_residual: 0<br />sweep_to_fill: 5283.03<br />total_dollar: 264158.25<br />total_drift: 0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.299737421656<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5282.5<br />avg_total: 5283.165<br />destination_price: 5283.375<br />market_vwap: 97598.522857143<br />n_kids: 19<br />slippage: 0.66499999999996<br />slippage_vwap: -92315.357857143<br />slippage_vwap_pct: -1747.3495122174<br />total_dollar: 264158.25<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>2025-04-20T17:46:04.294</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:04.44</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:07.011</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:07.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:07.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:08.423</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:09.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:11.575</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:11.575</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:12.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:14.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:14.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:15.605</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:17.404</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>11</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:18.543</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:19.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:20.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:26.999</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:26.999</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:26.999</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:27.053</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:27.053</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</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>2025-04-20T17:46:04.294</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:04.44</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:07.011</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:07.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:07.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:08.423</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:09.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:11.575</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:11.575</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:12.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:14.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:14.584</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:15.605</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:17.404</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>11</td>
<td>5283</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:18.543</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:19.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:20.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:26.999</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:26.999</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:26.999</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:27.053</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:46:27.053</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5283.17

Computed VWAP Slippage

-92315.36

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.53

Computed Drift

0.88

Computed Seconds Spent

16.92

Computed Volatility

40.08