SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:29

Buy / Sell

Buy

Quantity

50

Arrival Price

5291.2500

Average Total

5290.8800

Destination Price

5290.5000

Slippage

-0.3700

Slippage Sweep

-1.1200

Sweep to Fill

5292.0000

Algo Diagnostics

{ "customState": { "sweep_residual": { "asDouble": 21 }, "n_kids": { "asInt32": 10 }, "slip_toler": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -1.1199999999998909 }, "curr_half_min_move": { "asDouble": 0.409065684655653 }, "destination_price": { "asDouble": 5290.5 }, "curr_liq_cost": { "asDouble": 15.5 }, "slippage": { "asDouble": -0.36999999999989086 }, "slippage_vwap": { "asDouble": -155978.63960784313 }, "seconds_spent": { "asDouble": 10.236 }, "ready": { "asBool": true }, "algo_status": { "asInt32": 4 }, "sweep_to_fill": { "asDouble": 5292 }, "slippage_vwap_pct": { "asDouble": -2948.0660987934543 }, "init_liq_cost": { "asDouble": 21.75 }, "model_size": { "asDouble": 8 }, "impact_model": { "asInt32": 2 }, "total_vol": { "asDouble": 55.39133660810936 }, "total_sent": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "avg_total": { "asDouble": 5290.88 }, "init_min_duration": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.4089664595097028 }, "curr_cost_per_share": { "asDouble": 0.7045454545454546 }, "total_drift": { "asDouble": 0.75 }, "last_tactical_qty": { "asInt32": 8 }, "daily_vol_normal": { "asDouble": 38.9102686682314 }, "init_vol_normal": { "asDouble": 38.90083038672212 }, "market_vwap": { "asDouble": 161269.51960784313 }, "arrival_price": { "asDouble": 5291.25 }, "order_time_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.75 }, "total_filled": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "total_dollar": { "asDouble": 264544 }, "init_opt_t_minutes": { "asDouble": 3.3631570124494283 }, "init_cost_per_share": { "asDouble": 0.75 }, "curr_opt_t_minutes": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-20T17:29:09.659","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:10.712","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:13.413","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:13.413","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5290.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:13.665","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:13.665","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:13.665","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:15.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:15.412","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:15.412","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:15.672","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:15.672","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:16.776","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:16.777","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5291.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T17:29:17.782","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:17.782","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:18.812","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5290.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T17:29:18.812","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.0,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5291.25<br />avg_total: 5290.88<br />curr_cost_per_share: 0.70454545454545<br />curr_half_min_move: 0.40906568465565<br />curr_liq_cost: 15.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 38.910268668231<br />destination_price: 5290.5<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.75<br />init_drift: 0<br />init_half_min_move: 0.4089664595097<br />init_liq_cost: 21.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.3631570124494<br />init_vol_normal: 38.900830386722<br />last_aggressive_qty: <br />last_tactical_qty: 8<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 8<br />n_kids: 10<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 10.236<br />slip_toler: 0<br />slippage: -0.36999999999989<br />slippage_sweep: -1.1199999999999<br />sweep_residual: 21<br />sweep_to_fill: 5292<br />total_dollar: 264544<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.391336608109<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291.25<br />avg_total: 5290.88<br />destination_price: 5290.5<br />market_vwap: 161269.51960784<br />n_kids: 10<br />slippage: -0.36999999999989<br />slippage_vwap: -155978.63960784<br />slippage_vwap_pct: -2948.0660987935<br />total_dollar: 264544<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>2025-04-20T17:29:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:10.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:13.413</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:13.413</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.776</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.777</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:17.782</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:17.782</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:18.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:18.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</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>2025-04-20T17:29:09.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:10.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:13.413</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:13.413</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:13.665</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:15.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:15.672</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.776</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:16.777</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5291</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:29:17.782</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:17.782</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:18.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5290.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:29:18.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5290.88

Computed VWAP Slippage

-155978.64

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.75

Computed Drift

0.75

Computed Seconds Spent

10.24

Computed Volatility

38.91