SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:06

Buy / Sell

Buy

Quantity

50

Arrival Price

5290.8750

Average Total

5292.0900

Destination Price

5292.5000

Slippage

1.2150

Slippage Sweep

0.4209

Sweep to Fill

5291.6691

Algo Diagnostics

{ "customState": { "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 5290.875 }, "slippage_vwap_pct": { "asDouble": -2433.2979899075026 }, "drift": { "asDouble": 1.625 }, "sweep_residual": { "asDouble": 16 }, "worst_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 3 }, "init_cost_per_share": { "asDouble": 0.7941176470588235 }, "daily_vol_normal": { "asDouble": 41.23880108632099 }, "destination_price": { "asDouble": 5292.5 }, "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 264604.5 }, "curr_half_min_move": { "asDouble": 0.4335456674584033 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 5291.669117647059 }, "order_time_minutes": { "asDouble": 10 }, "curr_liq_cost": { "asDouble": 30.25 }, "total_sent": { "asInt32": 50 }, "last_tactical_qty": { "asInt32": 1 }, "market_vwap": { "asDouble": 134064.40959409595 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "init_liq_cost": { "asDouble": 27 }, "seconds_spent": { "asDouble": 42.403 }, "curr_cost_per_share": { "asDouble": 0.9166666666666666 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage": { "asDouble": 1.2150000000001455 }, "n_kids": { "asInt32": 26 }, "init_half_min_move": { "asDouble": 0.43326676758031096 }, "init_drift": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 3.35937848220064 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_vwap": { "asDouble": -128772.31959409596 }, "total_drift": { "asDouble": 1.625 }, "total_filled": { "asInt32": 50 }, "slippage_sweep": { "asDouble": 0.4208823529415895 }, "init_vol_normal": { "asDouble": 41.212272170317576 }, "avg_total": { "asDouble": 5292.09 }, "total_vol": { "asDouble": 55.38741092868993 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5290.875<br />avg_total: 5292.09<br />curr_cost_per_share: 0.91666666666667<br />curr_half_min_move: 0.4335456674584<br />curr_liq_cost: 30.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.238801086321<br />destination_price: 5292.5<br />drift: 1.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79411764705882<br />init_drift: 0<br />init_half_min_move: 0.43326676758031<br />init_liq_cost: 27<br />init_min_duration: 0<br />init_opt_t_minutes: 3.3593784822006<br />init_vol_normal: 41.212272170318<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 42.403<br />slip_toler: 0<br />slippage: 1.2150000000001<br />slippage_sweep: 0.42088235294159<br />sweep_residual: 16<br />sweep_to_fill: 5291.6691176471<br />total_dollar: 264604.5<br />total_drift: 1.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.38741092869<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.875<br />avg_total: 5292.09<br />destination_price: 5292.5<br />market_vwap: 134064.4095941<br />n_kids: 26<br />slippage: 1.2150000000001<br />slippage_vwap: -128772.3195941<br />slippage_vwap_pct: -2433.2979899075<br />total_dollar: 264604.5<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>2025-04-20T18:05:23.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:25.954</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:34.825</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:45.392</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:45.392</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:49.585</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:49.585</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:51.15</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.192</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.983</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:59.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:00.059</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:01.03</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:01.03</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:01.03</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:02.035</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:02.035</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:03.129</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.153</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.218</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</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>2025-04-20T18:05:23.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:25.954</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:34.825</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.426</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:35.428</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:45.392</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:45.392</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:49.585</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:49.585</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:51.15</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.192</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:53.983</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:59.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:00.059</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:01.03</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:01.03</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:01.03</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:02.035</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:02.035</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:03.129</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.153</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:04.218</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:06:05.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5292.09

Computed VWAP Slippage

-128772.32

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.79

Computed Drift

1.63

Computed Seconds Spent

42.40

Computed Volatility

41.24