SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:05

Buy / Sell

Buy

Quantity

50

Arrival Price

5291.6250

Average Total

5291.1850

Destination Price

5290.7500

Slippage

-0.4400

Slippage Sweep

-1.2364

Sweep to Fill

5292.4214

Algo Diagnostics

{ "customState": { "curr_opt_t_minutes": { "asDouble": 0.2570463140116028 }, "ready": { "asBool": true }, "init_half_min_move": { "asDouble": 0.4329713283725522 }, "curr_half_min_move": { "asDouble": 0.43346568610736025 }, "total_drift": { "asDouble": 0.875 }, "init_liq_cost": { "asDouble": 27.875 }, "curr_cost_per_share": { "asDouble": 0.8881578947368421 }, "model_size": { "asDouble": 2 }, "algo_status": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 41.18417003567213 }, "slippage_sweep": { "asDouble": -1.2364285714284051 }, "seconds_spent": { "asDouble": 37.616 }, "slip_toler": { "asDouble": 0 }, "n_kids": { "asInt32": 20 }, "destination_price": { "asDouble": 5290.75 }, "init_cost_per_share": { "asDouble": 0.7964285714285714 }, "total_vol": { "asDouble": 55.395262287528794 }, "init_min_duration": { "asDouble": 0 }, "drift": { "asDouble": 0.875 }, "init_drift": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -131334.2119465649 }, "economic_model": { "asInt32": 0 }, "slippage_vwap_pct": { "asDouble": -2482.132300166501 }, "last_tactical_qty": { "asInt32": 1 }, "arrival_price": { "asDouble": 5291.625 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.383571726545059 }, "sweep_to_fill": { "asDouble": 5292.421428571429 }, "slippage": { "asDouble": -0.4399999999995998 }, "avg_total": { "asDouble": 5291.185 }, "daily_vol_normal": { "asDouble": 41.23119327179567 }, "order_time_minutes": { "asDouble": 10 }, "total_dollar": { "asDouble": 264559.25 }, "market_vwap": { "asDouble": 136625.3969465649 }, "total_filled": { "asInt32": 50 }, "sweep_residual": { "asDouble": 15 }, "last_aggressive_qty": { "asInt32": 1 }, "impact_model": { "asInt32": 2 }, "worst_opt_t_minutes": { "asDouble": 0.14240260771945845 }, "curr_liq_cost": { "asDouble": 33.75 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:04:51.032","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:04:52.132","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:52.622","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:54.173","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:04:55.129","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:56.712","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:57.161","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:58.214","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:06.377","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:06.377","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:12.139","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:19.417","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:19.417","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:21.55","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:05:21.55","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:05:21.55","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:05:21.55","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:05:21.55","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:05:22.417","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:22.417","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:23.417","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:23.417","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:24.612","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:25.954","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:26.647","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:26.647","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:05:27.717","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5290.75,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5291.625<br />avg_total: 5291.185<br />curr_cost_per_share: 0.88815789473684<br />curr_half_min_move: 0.43346568610736<br />curr_liq_cost: 33.75<br />curr_opt_t_minutes: 0.2570463140116<br />daily_vol_normal: 41.231193271796<br />destination_price: 5290.75<br />drift: 0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79642857142857<br />init_drift: 0<br />init_half_min_move: 0.43297132837255<br />init_liq_cost: 27.875<br />init_min_duration: 0<br />init_opt_t_minutes: 3.3835717265451<br />init_vol_normal: 41.184170035672<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 37.616<br />slip_toler: 0<br />slippage: -0.4399999999996<br />slippage_sweep: -1.2364285714284<br />sweep_residual: 15<br />sweep_to_fill: 5292.4214285714<br />total_dollar: 264559.25<br />total_drift: 0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.395262287529<br />worst_opt_t_minutes: 0.14240260771946

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291.625<br />avg_total: 5291.185<br />destination_price: 5290.75<br />market_vwap: 136625.39694656<br />n_kids: 20<br />slippage: -0.4399999999996<br />slippage_vwap: -131334.21194656<br />slippage_vwap_pct: -2482.1323001665<br />total_dollar: 264559.25<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>2025-04-20T18:04:51.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:52.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:52.622</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:54.173</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:55.129</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:56.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:57.161</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:58.214</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:06.377</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:06.377</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:12.139</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:22.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:22.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:23.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:23.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:24.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</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>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:26.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:26.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:27.717</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.75</td>
<td>Passive</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>2025-04-20T18:04:51.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:52.132</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:52.622</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:54.173</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:04:55.129</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:56.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:57.161</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:58.214</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:06.377</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:06.377</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:12.139</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:19.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:21.55</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:05:22.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:22.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:23.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:23.417</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:24.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</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>2</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:26.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:26.647</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:05:27.717</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5291.19

Computed VWAP Slippage

-131334.21

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.80

Computed Drift

0.88

Computed Seconds Spent

37.62

Computed Volatility

41.23