SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:53

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.6250

Average Total

5285.3000

Destination Price

5284.5000

Slippage

-0.3250

Slippage Sweep

-1.1167

Sweep to Fill

5286.4167

Algo Diagnostics

{ "customState": { "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "slippage": { "asDouble": -0.3249999999998181 }, "total_drift": { "asDouble": 1.125 }, "impact_model": { "asInt32": 2 }, "avg_total": { "asDouble": 5285.3 }, "drift": { "asDouble": 1.125 }, "slippage_vwap_pct": { "asDouble": -2924.29569406602 }, "init_half_min_move": { "asDouble": 0.42561508706551415 }, "model_size": { "asDouble": 3 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "last_aggressive_qty": { "asInt32": 3 }, "total_vol": { "asDouble": 55.33245141681797 }, "init_liq_cost": { "asDouble": 38 }, "last_tactical_qty": { "asInt32": 3 }, "curr_half_min_move": { "asDouble": 0.4260145785296887 }, "init_cost_per_share": { "asDouble": 0.7916666666666666 }, "economic_model": { "asInt32": 0 }, "slippage_vwap": { "asDouble": -154557.80031847136 }, "slippage_sweep": { "asDouble": -1.116666666666788 }, "seconds_spent": { "asDouble": 52.469 }, "total_dollar": { "asDouble": 264265 }, "daily_vol_normal": { "asDouble": 40.522444998356036 }, "market_vwap": { "asDouble": 159843.10031847135 }, "sweep_to_fill": { "asDouble": 5286.416666666667 }, "sweep_residual": { "asDouble": 2 }, "curr_cost_per_share": { "asDouble": 0.8452380952380952 }, "destination_price": { "asDouble": 5284.5 }, "arrival_price": { "asDouble": 5285.625 }, "init_vol_normal": { "asDouble": 40.484445428153066 }, "curr_opt_t_minutes": { "asDouble": 0 }, "ready": { "asBool": true }, "curr_liq_cost": { "asDouble": 17.75 }, "order_time_minutes": { "asDouble": 10 }, "total_filled": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.4597975747089342 }, "n_kids": { "asInt32": 29 }, "init_drift": { "asDouble": 0 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.625<br />avg_total: 5285.3<br />curr_cost_per_share: 0.8452380952381<br />curr_half_min_move: 0.42601457852969<br />curr_liq_cost: 17.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.522444998356<br />destination_price: 5284.5<br />drift: 1.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79166666666667<br />init_drift: 0<br />init_half_min_move: 0.42561508706551<br />init_liq_cost: 38<br />init_min_duration: 0<br />init_opt_t_minutes: 3.4597975747089<br />init_vol_normal: 40.484445428153<br />last_aggressive_qty: 3<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 29<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 52.469<br />slip_toler: 0<br />slippage: -0.32499999999982<br />slippage_sweep: -1.1166666666668<br />sweep_residual: 2<br />sweep_to_fill: 5286.4166666667<br />total_dollar: 264265<br />total_drift: 1.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.332451416818<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.625<br />avg_total: 5285.3<br />destination_price: 5284.5<br />market_vwap: 159843.10031847<br />n_kids: 29<br />slippage: -0.32499999999982<br />slippage_vwap: -154557.80031847<br />slippage_vwap_pct: -2924.295694066<br />total_dollar: 264265<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>2025-04-20T17:52:54.072</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:54.878</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:58.28</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:58.28</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:58.299</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:59.507</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:00.346</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:01.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:03.717</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:03.717</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:05.444</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:06.544</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:12.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:13.556</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:16.015</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:16.96</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:18.058</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:19.965</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:20.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:29.853</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:31.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:33.181</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:34.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:40.702</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:40.702</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:42.153</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:42.153</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:42.74</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:42.74</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:43.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:43.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:45.378</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:45.378</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</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>2025-04-20T17:52:54.072</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:54.878</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:58.28</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:58.28</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:52:58.299</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:52:59.507</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:00.346</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:01.353</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:03.717</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:03.717</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:05.444</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:06.544</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:12.481</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:13.556</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:16.015</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:16.96</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:18.058</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:19.965</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:20.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:29.853</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:31.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:33.181</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:34.847</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:40.702</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:40.702</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5284.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:53:42.153</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:42.153</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:42.74</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:42.74</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:43.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:43.741</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:45.378</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5284.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:53:45.378</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.30

Computed VWAP Slippage

-154557.80

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.79

Computed Drift

1.13

Computed Seconds Spent

52.47

Computed Volatility

40.52