SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:50

Buy / Sell

Buy

Quantity

50

Arrival Price

5283.5000

Average Total

5284.2250

Destination Price

5284.2500

Slippage

0.7250

Slippage Sweep

-0.0731

Sweep to Fill

5284.2981

Algo Diagnostics

{ "customState": { "init_drift": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 24 }, "market_vwap": { "asDouble": 139394.16549295775 }, "total_sent": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 264211.25 }, "curr_cost_per_share": { "asDouble": 0.695 }, "arrival_price": { "asDouble": 5283.5 }, "slippage_sweep": { "asDouble": -0.07307692307676916 }, "init_opt_t_minutes": { "asDouble": 3.571660328619257 }, "avg_total": { "asDouble": 5284.225 }, "daily_vol_normal": { "asDouble": 40.20266490666005 }, "init_cost_per_share": { "asDouble": 0.7980769230769231 }, "init_vol_normal": { "asDouble": 40.16806011355005 }, "economic_model": { "asInt32": 0 }, "order_time_minutes": { "asDouble": 10 }, "init_liq_cost": { "asDouble": 20.75 }, "init_min_duration": { "asDouble": 0 }, "total_vol": { "asDouble": 55.31020590010788 }, "slippage": { "asDouble": 0.7250000000003638 }, "slippage_vwap": { "asDouble": -134109.94049295774 }, "init_half_min_move": { "asDouble": 0.42228891174566224 }, "slippage_vwap_pct": { "asDouble": -2537.9301693807083 }, "worst_opt_t_minutes": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "last_tactical_qty": { "asInt32": 7 }, "ready": { "asBool": true }, "destination_price": { "asDouble": 5284.25 }, "model_size": { "asDouble": 7 }, "drift": { "asDouble": 0.75 }, "total_drift": { "asDouble": 0.75 }, "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 34.75 }, "seconds_spent": { "asDouble": 44.183 }, "last_aggressive_qty": { "asInt32": 3 }, "n_kids": { "asInt32": 24 }, "sweep_to_fill": { "asDouble": 5284.298076923077 }, "curr_half_min_move": { "asDouble": 0.4226527137411356 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:49:30.212","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:31.778","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:31.778","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:33.875","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:36.045","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:36.045","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:38.212","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:38.212","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:39.145","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:41.116","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:41.116","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:45.373","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:49:58.013","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:00.132","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:01.475","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:02.388","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5283.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:04.105","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:06.359","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:07.471","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:08.114","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:08.114","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:09.072","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:09.072","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:10.297","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:10.297","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:11.345","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5284.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:11.345","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:12.673","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5284.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:50:12.673","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5284.75,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5283.5<br />avg_total: 5284.225<br />curr_cost_per_share: 0.695<br />curr_half_min_move: 0.42265271374114<br />curr_liq_cost: 34.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.20266490666<br />destination_price: 5284.25<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79807692307692<br />init_drift: 0<br />init_half_min_move: 0.42228891174566<br />init_liq_cost: 20.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5716603286193<br />init_vol_normal: 40.16806011355<br />last_aggressive_qty: 3<br />last_tactical_qty: 7<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 7<br />n_kids: 24<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 44.183<br />slip_toler: 0<br />slippage: 0.72500000000036<br />slippage_sweep: -0.073076923076769<br />sweep_residual: 24<br />sweep_to_fill: 5284.2980769231<br />total_dollar: 264211.25<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.310205900108<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5283.5<br />avg_total: 5284.225<br />destination_price: 5284.25<br />market_vwap: 139394.16549296<br />n_kids: 24<br />slippage: 0.72500000000036<br />slippage_vwap: -134109.94049296<br />slippage_vwap_pct: -2537.9301693807<br />total_dollar: 264211.25<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>2025-04-20T17:49:30.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:31.778</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:31.778</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:33.875</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:36.045</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:36.045</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:38.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:38.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:39.145</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:41.116</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:41.116</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:45.373</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:58.013</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:00.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:01.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:02.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:04.105</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:06.359</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:07.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:08.114</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:08.114</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:09.072</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:09.072</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:10.297</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:10.297</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:11.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:11.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:12.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:12.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</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>2025-04-20T17:49:30.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:31.778</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:31.778</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:33.875</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:36.045</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:36.045</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:38.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:38.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:39.145</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:41.116</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:41.116</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:45.373</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:49:58.013</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:00.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:01.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:02.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5283.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:04.105</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:06.359</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:07.471</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:08.114</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:08.114</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:09.072</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:09.072</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:10.297</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:10.297</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:11.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:11.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:12.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:50:12.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5284.23

Computed VWAP Slippage

-134109.94

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.80

Computed Drift

0.75

Computed Seconds Spent

44.18

Computed Volatility

40.20