SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:18

Buy / Sell

Buy

Quantity

50

Arrival Price

5289.6250

Average Total

5289.9800

Destination Price

5289.3750

Slippage

0.3550

Slippage Sweep

-0.3169

Sweep to Fill

5290.2969

Algo Diagnostics

{ "customState": { "sweep_residual": { "asDouble": 2 }, "init_cost_per_share": { "asDouble": 0.671875 }, "drift": { "asDouble": 0.25 }, "slippage": { "asDouble": 0.35499999999956344 }, "slippage_vwap": { "asDouble": -250232.62114503817 }, "model_size": { "asDouble": 2 }, "avg_total": { "asDouble": 5289.98 }, "market_vwap": { "asDouble": 255522.60114503818 }, "total_dollar": { "asDouble": 264499 }, "n_kids": { "asInt32": 28 }, "slippage_sweep": { "asDouble": -0.31687500000043656 }, "init_half_min_move": { "asDouble": 0.4385712881620568 }, "ready": { "asBool": true }, "total_vol": { "asDouble": 55.374325330625176 }, "total_filled": { "asInt32": 50 }, "total_drift": { "asDouble": 0.25 }, "total_sent": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -4730.31317972919 }, "destination_price": { "asDouble": 5289.375 }, "arrival_price": { "asDouble": 5289.625 }, "daily_vol_normal": { "asDouble": 41.732377925988715 }, "init_opt_t_minutes": { "asDouble": 2.346910728893553 }, "curr_cost_per_share": { "asDouble": 0.75 }, "economic_model": { "asInt32": 0 }, "algo_status": { "asInt32": 4 }, "impact_model": { "asInt32": 2 }, "sweep_to_fill": { "asDouble": 5290.296875 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 41.71683739965388 }, "init_min_duration": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 2 }, "worst_opt_t_minutes": { "asDouble": 1.1231399126467272 }, "seconds_spent": { "asDouble": 80.165 }, "last_aggressive_qty": { "asInt32": 6 }, "curr_liq_cost": { "asDouble": 33 }, "curr_half_min_move": { "asDouble": 0.43873466652624316 }, "init_liq_cost": { "asDouble": 32.25 }, "order_time_minutes": { "asDouble": 10 }, "curr_opt_t_minutes": { "asDouble": 1.9774453658652422 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5289.625<br />avg_total: 5289.98<br />curr_cost_per_share: 0.75<br />curr_half_min_move: 0.43873466652624<br />curr_liq_cost: 33<br />curr_opt_t_minutes: 1.9774453658652<br />daily_vol_normal: 41.732377925989<br />destination_price: 5289.375<br />drift: 0.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.671875<br />init_drift: 0<br />init_half_min_move: 0.43857128816206<br />init_liq_cost: 32.25<br />init_min_duration: 0<br />init_opt_t_minutes: 2.3469107288936<br />init_vol_normal: 41.716837399654<br />last_aggressive_qty: 6<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 80.165<br />slip_toler: 0<br />slippage: 0.35499999999956<br />slippage_sweep: -0.31687500000044<br />sweep_residual: 2<br />sweep_to_fill: 5290.296875<br />total_dollar: 264499<br />total_drift: 0.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.374325330625<br />worst_opt_t_minutes: 1.1231399126467

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5289.625<br />avg_total: 5289.98<br />destination_price: 5289.375<br />market_vwap: 255522.60114504<br />n_kids: 28<br />slippage: 0.35499999999956<br />slippage_vwap: -250232.62114504<br />slippage_vwap_pct: -4730.3131797292<br />total_dollar: 264499<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>2025-04-20T18:16:51.939</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:53.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:55.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:58.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:58.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:02.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:04.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:04.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:04.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:07.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:07.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:10.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:10.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:10.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:13.385</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:14.433</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:15.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:15.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:17.968</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:17.968</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:38.955</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:42.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:42.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:00.759</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:00.759</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:18:01.722</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:01.722</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:01.722</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:11.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.5</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>2025-04-20T18:16:51.939</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:53.872</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:55.452</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:58.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:16:58.021</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:01.372</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:02.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:04.149</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:04.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:04.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:07.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:07.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:10.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:10.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:10.852</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:17:13.385</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:14.433</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:15.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:15.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:17.968</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:17.968</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5290.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:38.955</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:42.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:17:42.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:00.759</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:00.759</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5289.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:18:01.722</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:01.722</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:01.722</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5290</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:18:11.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5289.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5289.98

Computed VWAP Slippage

-250232.62

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.67

Computed Drift

0.25

Computed Seconds Spent

80.17

Computed Volatility

41.73