SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:58

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.2500

Average Total

5286.8300

Destination Price

5287.0000

Slippage

1.5800

Slippage Sweep

0.7050

Sweep to Fill

5286.1250

Algo Diagnostics

{ "customState": { "last_tactical_qty": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 19.25 }, "total_drift": { "asDouble": 1.75 }, "init_cost_per_share": { "asDouble": 0.875 }, "seconds_spent": { "asDouble": 18.609 }, "impact_model": { "asInt32": 2 }, "market_vwap": { "asDouble": 208339.39252336448 }, "destination_price": { "asDouble": 5287 }, "sweep_to_fill": { "asDouble": 5286.125 }, "slippage": { "asDouble": 1.5799999999999272 }, "last_aggressive_qty": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 40.72995299081647 }, "model_size": { "asDouble": 4 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.8804347826086957 }, "init_half_min_move": { "asDouble": 0.4281961208811722 }, "n_kids": { "asInt32": 18 }, "daily_vol_normal": { "asDouble": 40.733596814268296 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.7049999999999272 }, "drift": { "asDouble": 1.75 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -203052.5625233645 }, "total_vol": { "asDouble": 55.328525737398536 }, "total_sent": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 4.175713069226069 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 28 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": -3840.7242624287996 }, "arrival_price": { "asDouble": 5285.25 }, "curr_liq_cost": { "asDouble": 40.5 }, "curr_half_min_move": { "asDouble": 0.4282344285872381 }, "total_dollar": { "asDouble": 264341.5 }, "avg_total": { "asDouble": 5286.83 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:57:48.342","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:51.181","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:57:51.181","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:57:53.444","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:54.243","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:55.453","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:56.33","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:56.33","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:57.573","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:57:58.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:59.312","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:57:59.312","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:00.312","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:00.312","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:00.312","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:58:01.344","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:01.345","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:02.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:02.412","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:03.551","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:03.551","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:04.885","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:04.885","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:58:06.019","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.25<br />avg_total: 5286.83<br />curr_cost_per_share: 0.8804347826087<br />curr_half_min_move: 0.42823442858724<br />curr_liq_cost: 40.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.733596814268<br />destination_price: 5287<br />drift: 1.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.875<br />init_drift: 0<br />init_half_min_move: 0.42819612088117<br />init_liq_cost: 19.25<br />init_min_duration: 0<br />init_opt_t_minutes: 4.1757130692261<br />init_vol_normal: 40.729952990816<br />last_aggressive_qty: 4<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.609<br />slip_toler: 0<br />slippage: 1.5799999999999<br />slippage_sweep: 0.70499999999993<br />sweep_residual: 28<br />sweep_to_fill: 5286.125<br />total_dollar: 264341.5<br />total_drift: 1.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.328525737399<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.25<br />avg_total: 5286.83<br />destination_price: 5287<br />market_vwap: 208339.39252336<br />n_kids: 18<br />slippage: 1.5799999999999<br />slippage_vwap: -203052.56252336<br />slippage_vwap_pct: -3840.7242624288<br />total_dollar: 264341.5<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>2025-04-20T17:57:48.342</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:51.181</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:51.181</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:53.444</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:54.243</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:55.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:56.33</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:56.33</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:57.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:59.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:59.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:58:01.344</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:01.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:02.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:02.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:03.551</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:03.551</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:04.885</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:04.885</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:06.019</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</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>2025-04-20T17:57:48.342</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:51.181</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:51.181</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:53.444</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:54.243</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:55.453</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:56.33</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:56.33</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:57.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:57:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:59.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:57:59.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:00.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:58:01.344</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:01.345</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:02.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:02.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:03.551</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:03.551</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:04.885</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:04.885</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:58:06.019</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5286.83

Computed VWAP Slippage

-203052.56

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.88

Computed Drift

1.75

Computed Seconds Spent

18.61

Computed Volatility

40.73