SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 17:45

Buy / Sell

Buy

Quantity

50

Arrival Price

5281.5000

Average Total

5281.8250

Destination Price

5282.2500

Slippage

0.3250

Slippage Sweep

-0.4573

Sweep to Fill

5282.2823

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 8 }, "last_tactical_qty": { "asInt32": 4 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "destination_price": { "asDouble": 5282.25 }, "curr_half_min_move": { "asDouble": 0.4208844010585137 }, "init_liq_cost": { "asDouble": 24.25 }, "curr_liq_cost": { "asDouble": 33.25 }, "slippage_vwap_pct": { "asDouble": -2495.002044994027 }, "slippage": { "asDouble": 0.3249999999998181 }, "arrival_price": { "asDouble": 5281.5 }, "init_vol_normal": { "asDouble": 39.98466993591721 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.4203609212398103 }, "daily_vol_normal": { "asDouble": 40.03446326044232 }, "worst_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 19 }, "n_kids": { "asInt32": 25 }, "total_drift": { "asDouble": 0.75 }, "init_cost_per_share": { "asDouble": 0.782258064516129 }, "total_filled": { "asInt32": 50 }, "drift": { "asDouble": 0.75 }, "slippage_sweep": { "asDouble": -0.4572580645162816 }, "total_dollar": { "asDouble": 264091.25 }, "slippage_vwap": { "asDouble": -131781.64176300575 }, "total_vol": { "asDouble": 55.28926894320427 }, "curr_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "init_drift": { "asDouble": 0 }, "avg_total": { "asDouble": 5281.825 }, "market_vwap": { "asDouble": 137063.46676300577 }, "economic_model": { "asInt32": 0 }, "order_time_minutes": { "asDouble": 10 }, "impact_model": { "asInt32": 2 }, "sweep_to_fill": { "asDouble": 5282.282258064516 }, "curr_cost_per_share": { "asDouble": 0.665 }, "seconds_spent": { "asDouble": 63.744 }, "last_aggressive_qty": { "asInt32": 4 }, "init_opt_t_minutes": { "asDouble": 3.4630234142929646 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5281.5<br />avg_total: 5281.825<br />curr_cost_per_share: 0.665<br />curr_half_min_move: 0.42088440105851<br />curr_liq_cost: 33.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.034463260442<br />destination_price: 5282.25<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78225806451613<br />init_drift: 0<br />init_half_min_move: 0.42036092123981<br />init_liq_cost: 24.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.463023414293<br />init_vol_normal: 39.984669935917<br />last_aggressive_qty: 4<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 8<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 63.744<br />slip_toler: 0<br />slippage: 0.32499999999982<br />slippage_sweep: -0.45725806451628<br />sweep_residual: 19<br />sweep_to_fill: 5282.2822580645<br />total_dollar: 264091.25<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.289268943204<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5281.5<br />avg_total: 5281.825<br />destination_price: 5282.25<br />market_vwap: 137063.46676301<br />n_kids: 25<br />slippage: 0.32499999999982<br />slippage_vwap: -131781.64176301<br />slippage_vwap_pct: -2495.002044994<br />total_dollar: 264091.25<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>2025-04-20T17:43:44.352</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:49.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:49.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:51.397</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:51.397</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:57.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:57.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:57.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:59.389</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:59.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:59.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:59.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:01.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:06.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:06.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:35.873</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:37.433</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:45.17</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:45.171</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:46.04</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:46.04</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:47.411</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:47.972</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:16.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:16.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</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>2025-04-20T17:43:44.352</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:49.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:49.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:51.397</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:51.397</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:57.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:57.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:57.516</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:59.389</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:43:59.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:59.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:43:59.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:01.418</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.477</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:03.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:06.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:06.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:44:35.873</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5281.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:37.433</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:45.17</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:45.171</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:46.04</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:46.04</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:47.411</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:44:47.972</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5282.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T17:45:16.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T17:45:16.98</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5281.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5281.83

Computed VWAP Slippage

-131781.64

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.78

Computed Drift

0.75

Computed Seconds Spent

63.74

Computed Volatility

40.03