SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:03

Buy / Sell

Buy

Quantity

50

Arrival Price

5288.2500

Average Total

5288.4300

Destination Price

5288.7500

Slippage

0.1800

Slippage Sweep

-0.6033

Sweep to Fill

5289.0333

Algo Diagnostics

{ "customState": { "slippage_vwap_pct": { "asDouble": -4280.528786139714 }, "total_filled": { "asInt32": 50 }, "ready": { "asBool": true }, "curr_half_min_move": { "asDouble": 0.43223821157535264 }, "avg_total": { "asDouble": 5288.43 }, "sweep_to_fill": { "asDouble": 5289.033333333334 }, "last_tactical_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "init_vol_normal": { "asDouble": 41.094667337749 }, "algo_status": { "asInt32": 4 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 28 }, "init_cost_per_share": { "asDouble": 0.7833333333333333 }, "arrival_price": { "asDouble": 5288.25 }, "total_drift": { "asDouble": 0.5 }, "last_aggressive_qty": { "asInt32": 2 }, "drift": { "asDouble": 0.5 }, "total_vol": { "asDouble": 55.35993117275395 }, "slippage_sweep": { "asDouble": -0.6033333333334667 }, "impact_model": { "asInt32": 2 }, "slippage": { "asDouble": 0.18000000000029104 }, "total_dollar": { "asDouble": 264421.5 }, "init_min_duration": { "asDouble": 0 }, "model_size": { "asDouble": 3 }, "init_half_min_move": { "asDouble": 0.4320303818394756 }, "market_vwap": { "asDouble": 231661.1984848485 }, "slippage_vwap": { "asDouble": -226372.7684848485 }, "daily_vol_normal": { "asDouble": 41.114436072119936 }, "seconds_spent": { "asDouble": 56.184 }, "destination_price": { "asDouble": 5288.75 }, "init_liq_cost": { "asDouble": 35.25 }, "curr_opt_t_minutes": { "asDouble": 1.155248860869521 }, "worst_opt_t_minutes": { "asDouble": 0.6371961478232677 }, "n_kids": { "asInt32": 24 }, "curr_cost_per_share": { "asDouble": 0.7567567567567568 }, "slip_toler": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.2874914894288385 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 5 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:02:17.921","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:18.679","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:21.003","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:22.32","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:24.343","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:28.289","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:29.653","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:32.45","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:32.45","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:34.035","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:36.916","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:40.012","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:43.612","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5288.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:43.749","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:44.768","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:45.818","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:55.012","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:55.664","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:55.664","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:02:56.712","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:59.613","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:02:59.613","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:08.761","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:08.761","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:09.912","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:09.912","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5289.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:03:11.462","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5289.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288.25<br />avg_total: 5288.43<br />curr_cost_per_share: 0.75675675675676<br />curr_half_min_move: 0.43223821157535<br />curr_liq_cost: 28<br />curr_opt_t_minutes: 1.1552488608695<br />daily_vol_normal: 41.11443607212<br />destination_price: 5288.75<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78333333333333<br />init_drift: 0<br />init_half_min_move: 0.43203038183948<br />init_liq_cost: 35.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2874914894288<br />init_vol_normal: 41.094667337749<br />last_aggressive_qty: 2<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 24<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 56.184<br />slip_toler: 0<br />slippage: 0.18000000000029<br />slippage_sweep: -0.60333333333347<br />sweep_residual: 5<br />sweep_to_fill: 5289.0333333333<br />total_dollar: 264421.5<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.359931172754<br />worst_opt_t_minutes: 0.63719614782327

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.25<br />avg_total: 5288.43<br />destination_price: 5288.75<br />market_vwap: 231661.19848485<br />n_kids: 24<br />slippage: 0.18000000000029<br />slippage_vwap: -226372.76848485<br />slippage_vwap_pct: -4280.5287861397<br />total_dollar: 264421.5<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>2025-04-20T18:02:17.921</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:18.679</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:21.003</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:22.32</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:24.343</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:28.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:29.653</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:32.45</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:32.45</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:34.035</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:36.916</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:40.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:43.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:43.749</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:44.768</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:45.818</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:56.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:59.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:59.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:08.761</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:08.761</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:09.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:09.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:11.462</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289</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>2025-04-20T18:02:17.921</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:18.679</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:21.003</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:22.32</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:24.343</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:28.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:29.653</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:32.45</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:32.45</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:34.035</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:36.916</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:40.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:43.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5288.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:43.749</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:44.768</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:45.818</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:55.664</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:02:56.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:59.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:02:59.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:08.761</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:08.761</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:09.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:09.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:03:11.462</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5289</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5288.43

Computed VWAP Slippage

-226372.77

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.78

Computed Drift

0.50

Computed Seconds Spent

56.18

Computed Volatility

41.11