SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:56

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.7500

Average Total

5285.9250

Destination Price

5285.2500

Slippage

0.1750

Slippage Sweep

-0.5971

Sweep to Fill

5286.5221

Algo Diagnostics

{ "customState": { "total_sent": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 264296.25 }, "sweep_residual": { "asDouble": 16 }, "slippage": { "asDouble": 0.1750000000001819 }, "init_drift": { "asDouble": 0 }, "drift": { "asDouble": 0.5 }, "init_half_min_move": { "asDouble": 0.4273341422968186 }, "market_vwap": { "asDouble": 237334.7541436464 }, "destination_price": { "asDouble": 5285.25 }, "curr_liq_cost": { "asDouble": 21.25 }, "slippage_vwap": { "asDouble": -232048.8291436464 }, "init_opt_t_minutes": { "asDouble": 3.264116089434352 }, "worst_opt_t_minutes": { "asDouble": 0.8307676945717885 }, "init_cost_per_share": { "asDouble": 0.7720588235294118 }, "slippage_vwap_pct": { "asDouble": -4389.937979514397 }, "arrival_price": { "asDouble": 5285.75 }, "seconds_spent": { "asDouble": 54.101 }, "daily_vol_normal": { "asDouble": 40.679468947839354 }, "total_filled": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 26.25 }, "n_kids": { "asInt32": 28 }, "sweep_to_fill": { "asDouble": 5286.52205882353 }, "total_vol": { "asDouble": 55.33375997662444 }, "curr_cost_per_share": { "asDouble": 0.8173076923076923 }, "curr_opt_t_minutes": { "asDouble": 1.5371258081559687 }, "ready": { "asBool": true }, "curr_half_min_move": { "asDouble": 0.42766537950334454 }, "model_size": { "asDouble": 7 }, "impact_model": { "asInt32": 2 }, "order_time_minutes": { "asDouble": 10 }, "init_vol_normal": { "asDouble": 40.64796171273678 }, "total_drift": { "asDouble": 0.5 }, "avg_total": { "asDouble": 5285.925 }, "slippage_sweep": { "asDouble": -0.5970588235295509 }, "algo_status": { "asInt32": 4 }, "last_aggressive_qty": { "asInt32": 3 }, "last_tactical_qty": { "asInt32": 7 }, "init_min_duration": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:55:55.253","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:01.643","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:01.643","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:01.643","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:03.573","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:03.573","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:56:08.531","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:11.664","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:11.664","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:13.453","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:15.731","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:16.34","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:17.336","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:23.379","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:24.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:26.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:31.855","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:31.855","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:34.133","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:35.873","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:38.388","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:44.673","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:45.712","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:46.512","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:46.512","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:56:46.751","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:46.92","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:47.918","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:56:47.918","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5285.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5285.925<br />curr_cost_per_share: 0.81730769230769<br />curr_half_min_move: 0.42766537950334<br />curr_liq_cost: 21.25<br />curr_opt_t_minutes: 1.537125808156<br />daily_vol_normal: 40.679468947839<br />destination_price: 5285.25<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.77205882352941<br />init_drift: 0<br />init_half_min_move: 0.42733414229682<br />init_liq_cost: 26.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2641160894344<br />init_vol_normal: 40.647961712737<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: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 54.101<br />slip_toler: 0<br />slippage: 0.17500000000018<br />slippage_sweep: -0.59705882352955<br />sweep_residual: 16<br />sweep_to_fill: 5286.5220588235<br />total_dollar: 264296.25<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.333759976624<br />worst_opt_t_minutes: 0.83076769457179

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5285.925<br />destination_price: 5285.25<br />market_vwap: 237334.75414365<br />n_kids: 28<br />slippage: 0.17500000000018<br />slippage_vwap: -232048.82914365<br />slippage_vwap_pct: -4389.9379795144<br />total_dollar: 264296.25<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>2025-04-20T17:55:55.253</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:01.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:01.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:01.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:03.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:03.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:56:08.531</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:11.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:11.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:13.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:15.731</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:16.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:17.336</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:23.379</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:24.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:26.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:31.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:31.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:34.133</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:35.873</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:38.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:44.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:45.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:46.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:46.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:56:46.751</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:46.92</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:47.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:47.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</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>2025-04-20T17:55:55.253</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:01.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:01.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:01.643</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:03.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:03.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:56:08.531</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:11.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:11.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:13.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:15.731</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:16.34</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:17.336</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:23.379</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:24.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:26.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:31.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:31.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:34.133</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:35.873</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:38.388</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:44.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:45.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:46.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:46.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:56:46.751</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:46.92</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:47.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:56:47.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5285.93

Computed VWAP Slippage

-232048.83

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.77

Computed Drift

0.50

Computed Seconds Spent

54.10

Computed Volatility

40.68