SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:09

Buy / Sell

Buy

Quantity

50

Arrival Price

5292.8750

Average Total

5293.3700

Destination Price

5292.6250

Slippage

0.4950

Slippage Sweep

-0.1250

Sweep to Fill

5293.4950

Algo Diagnostics

{ "customState": { "init_half_min_move": { "asDouble": 0.43485886467898927 }, "drift": { "asDouble": 0.25 }, "seconds_spent": { "asDouble": 79.826 }, "curr_liq_cost": { "asDouble": 21 }, "ready": { "asBool": true }, "init_vol_normal": { "asDouble": 41.36371221571672 }, "slippage_sweep": { "asDouble": -0.125 }, "sweep_to_fill": { "asDouble": 5293.495 }, "worst_opt_t_minutes": { "asDouble": 1.1217610461354277 }, "destination_price": { "asDouble": 5292.625 }, "total_sent": { "asInt32": 50 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 264668.5 }, "impact_model": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage": { "asDouble": 0.49499999999989086 }, "n_kids": { "asInt32": 35 }, "slip_toler": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "init_cost_per_share": { "asDouble": 0.62 }, "avg_total": { "asDouble": 5293.37 }, "last_tactical_qty": { "asInt32": 2 }, "arrival_price": { "asDouble": 5292.875 }, "total_vol": { "asDouble": 55.40834788559355 }, "init_liq_cost": { "asDouble": 31 }, "init_opt_t_minutes": { "asDouble": 2.0327628899377808 }, "model_size": { "asDouble": 2 }, "market_vwap": { "asDouble": 219725.4356060606 }, "daily_vol_normal": { "asDouble": 41.42146016212195 }, "slippage_vwap_pct": { "asDouble": -4050.955546392197 }, "curr_half_min_move": { "asDouble": 0.4354659718525515 }, "curr_opt_t_minutes": { "asDouble": 2.0072429819173334 }, "total_drift": { "asDouble": 0.25 }, "init_min_duration": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.75 }, "slippage_vwap": { "asDouble": -214432.0656060606 }, "init_drift": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5292.875<br />avg_total: 5293.37<br />curr_cost_per_share: 0.75<br />curr_half_min_move: 0.43546597185255<br />curr_liq_cost: 21<br />curr_opt_t_minutes: 2.0072429819173<br />daily_vol_normal: 41.421460162122<br />destination_price: 5292.625<br />drift: 0.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.62<br />init_drift: 0<br />init_half_min_move: 0.43485886467899<br />init_liq_cost: 31<br />init_min_duration: 0<br />init_opt_t_minutes: 2.0327628899378<br />init_vol_normal: 41.363712215717<br />last_aggressive_qty: 3<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 35<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 79.826<br />slip_toler: 0<br />slippage: 0.49499999999989<br />slippage_sweep: -0.125<br />sweep_residual: 0<br />sweep_to_fill: 5293.495<br />total_dollar: 264668.5<br />total_drift: 0.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.408347885594<br />worst_opt_t_minutes: 1.1217610461354

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292.875<br />avg_total: 5293.37<br />destination_price: 5292.625<br />market_vwap: 219725.43560606<br />n_kids: 35<br />slippage: 0.49499999999989<br />slippage_vwap: -214432.06560606<br />slippage_vwap_pct: -4050.9555463922<br />total_dollar: 264668.5<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>2025-04-20T18:08:33.789</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:35.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:38.018</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:40.713</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:41.617</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:42.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:44.494</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:45.875</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:48.964</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:50.176</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:50.317</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:51.29</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:51.29</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:52.313</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:52.313</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.013</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.013</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:57.535</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:57.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:08:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:48.913</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:50.587</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:50.587</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:51.394</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:51.394</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</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>2025-04-20T18:08:33.789</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:35.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:38.018</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:40.713</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:41.617</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:42.978</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:44.494</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:45.875</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:48.964</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:50.176</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:50.317</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:51.29</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:51.29</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:52.313</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:52.313</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.013</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.013</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:53.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:57.535</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:08:57.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:08:58.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:25.289</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:33.408</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:09:48.913</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:50.587</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:50.587</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:51.394</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:09:51.394</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5293.37

Computed VWAP Slippage

-214432.07

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.62

Computed Drift

0.25

Computed Seconds Spent

79.83

Computed Volatility

41.42