SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:04

Buy / Sell

Buy

Quantity

50

Arrival Price

5289.2500

Average Total

5291.2150

Destination Price

5291.7500

Slippage

1.9650

Slippage Sweep

1.0687

Sweep to Fill

5290.1463

Algo Diagnostics

{ "customState": { "total_sent": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 41.144625905949155 }, "n_kids": { "asInt32": 13 }, "market_vwap": { "asDouble": 101705.73726851853 }, "avg_total": { "asDouble": 5291.215 }, "slip_toler": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 1.0686585365856445 }, "total_filled": { "asInt32": 50 }, "drift": { "asDouble": 2.5 }, "last_aggressive_qty": { "asInt32": 4 }, "total_dollar": { "asDouble": 264560.75 }, "init_liq_cost": { "asDouble": 36.75 }, "arrival_price": { "asDouble": 5289.25 }, "init_half_min_move": { "asDouble": 0.43255559887355627 }, "ready": { "asBool": true }, "destination_price": { "asDouble": 5291.75 }, "total_vol": { "asDouble": 55.37039965120576 }, "slippage_vwap_pct": { "asDouble": -1822.1622494742421 }, "daily_vol_normal": { "asDouble": 41.1656856563303 }, "seconds_spent": { "asDouble": 11.114 }, "economic_model": { "asInt32": 0 }, "slippage_vwap": { "asDouble": -96414.52226851853 }, "algo_status": { "asInt32": 4 }, "slippage": { "asDouble": 1.9650000000001455 }, "total_drift": { "asDouble": 2.5 }, "init_drift": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 4.294010458391697 }, "curr_cost_per_share": { "asDouble": 0.8546511627906976 }, "init_cost_per_share": { "asDouble": 0.8963414634146342 }, "impact_model": { "asInt32": 2 }, "sweep_to_fill": { "asDouble": 5290.1463414634145 }, "curr_liq_cost": { "asDouble": 36.75 }, "order_time_minutes": { "asDouble": 10 }, "model_size": { "asDouble": 2 }, "curr_half_min_move": { "asDouble": 0.43277700112810746 }, "sweep_residual": { "asDouble": 9 }, "last_tactical_qty": { "asInt32": 2 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:04:34.864","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:36.177","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:36.918","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:37.948","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5290.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:38.957","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:38.957","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:40.676","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:40.676","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:40.976","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:41.269","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:42.151","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:42.151","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:43.142","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:43.142","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:44.86","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:48.431","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:04:48.431","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5291.75,"Aggressor":"Passive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5289.25<br />avg_total: 5291.215<br />curr_cost_per_share: 0.8546511627907<br />curr_half_min_move: 0.43277700112811<br />curr_liq_cost: 36.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.16568565633<br />destination_price: 5291.75<br />drift: 2.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.89634146341463<br />init_drift: 0<br />init_half_min_move: 0.43255559887356<br />init_liq_cost: 36.75<br />init_min_duration: 0<br />init_opt_t_minutes: 4.2940104583917<br />init_vol_normal: 41.144625905949<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 13<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 11.114<br />slip_toler: 0<br />slippage: 1.9650000000001<br />slippage_sweep: 1.0686585365856<br />sweep_residual: 9<br />sweep_to_fill: 5290.1463414634<br />total_dollar: 264560.75<br />total_drift: 2.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.370399651206<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5289.25<br />avg_total: 5291.215<br />destination_price: 5291.75<br />market_vwap: 101705.73726852<br />n_kids: 13<br />slippage: 1.9650000000001<br />slippage_vwap: -96414.522268519<br />slippage_vwap_pct: -1822.1622494742<br />total_dollar: 264560.75<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>2025-04-20T18:04:34.864</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:36.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:36.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:37.948</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:38.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:38.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:40.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:40.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:40.976</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:41.269</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:42.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:42.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:43.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:43.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:44.86</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:48.431</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:48.431</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.75</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>2025-04-20T18:04:34.864</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:36.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:36.918</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:37.948</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5290.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:38.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:38.957</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:40.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:40.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:40.976</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:41.269</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:42.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:42.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:43.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:43.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:44.86</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:48.431</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:04:48.431</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5291.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5291.22

Computed VWAP Slippage

-96414.52

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.90

Computed Drift

2.50

Computed Seconds Spent

11.11

Computed Volatility

41.17