SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:39

Buy / Sell

Buy

Quantity

50

Arrival Price

5288.0000

Average Total

5287.9150

Destination Price

5287.2500

Slippage

-0.0850

Slippage Sweep

-0.9085

Sweep to Fill

5288.8235

Algo Diagnostics

{ "customState": { "sweep_residual": { "asDouble": 16 }, "total_filled": { "asInt32": 50 }, "model_size": { "asDouble": 7 }, "daily_vol_normal": { "asDouble": 42.3451897580381 }, "order_time_minutes": { "asDouble": 10 }, "slippage_sweep": { "asDouble": -0.9085294117649028 }, "drift": { "asDouble": 0.75 }, "curr_opt_t_minutes": { "asDouble": 0.44236555232380464 }, "sweep_to_fill": { "asDouble": 5288.823529411765 }, "n_kids": { "asInt32": 23 }, "curr_half_min_move": { "asDouble": 0.4451771892900872 }, "init_half_min_move": { "asDouble": 0.4449443750228551 }, "algo_status": { "asInt32": 4 }, "total_drift": { "asDouble": 0.75 }, "init_opt_t_minutes": { "asDouble": 3.4256799593023284 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_vwap_pct": { "asDouble": -3680.2578479831504 }, "init_liq_cost": { "asDouble": 28 }, "total_sent": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0.2588448015592174 }, "impact_model": { "asInt32": 2 }, "avg_total": { "asDouble": 5287.915 }, "market_vwap": { "asDouble": 199896.82178217822 }, "curr_cost_per_share": { "asDouble": 0.8106060606060606 }, "curr_liq_cost": { "asDouble": 26.75 }, "init_cost_per_share": { "asDouble": 0.8235294117647058 }, "ready": { "asBool": true }, "total_dollar": { "asDouble": 264395.75 }, "init_vol_normal": { "asDouble": 42.32304449866387 }, "arrival_price": { "asDouble": 5288 }, "slippage": { "asDouble": -0.08500000000003638 }, "slippage_vwap": { "asDouble": -194608.9067821782 }, "economic_model": { "asInt32": 0 }, "destination_price": { "asDouble": 5287.25 }, "init_min_duration": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "seconds_spent": { "asDouble": 56.368 }, "total_vol": { "asDouble": 55.357314053141 }, "last_tactical_qty": { "asInt32": 7 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:38:58.986","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:00.361","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:01.226","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:01.226","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:03.369","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:04.374","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:04.374","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:05.245","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:10.595","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:10.595","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:10.597","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:10.597","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:28.933","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:29.663","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:29.663","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:32.562","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:46.555","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:46.555","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:39:46.555","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:39:46.555","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:39:46.612","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:49.187","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:51.85","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:51.85","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:39:51.85","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:39:52.675","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5287.5,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5288<br />avg_total: 5287.915<br />curr_cost_per_share: 0.81060606060606<br />curr_half_min_move: 0.44517718929009<br />curr_liq_cost: 26.75<br />curr_opt_t_minutes: 0.4423655523238<br />daily_vol_normal: 42.345189758038<br />destination_price: 5287.25<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.82352941176471<br />init_drift: 0<br />init_half_min_move: 0.44494437502286<br />init_liq_cost: 28<br />init_min_duration: 0<br />init_opt_t_minutes: 3.4256799593023<br />init_vol_normal: 42.323044498664<br />last_aggressive_qty: 1<br />last_tactical_qty: 7<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 7<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 56.368<br />slip_toler: 0<br />slippage: -0.085000000000036<br />slippage_sweep: -0.9085294117649<br />sweep_residual: 16<br />sweep_to_fill: 5288.8235294118<br />total_dollar: 264395.75<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.357314053141<br />worst_opt_t_minutes: 0.25884480155922

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288<br />avg_total: 5287.915<br />destination_price: 5287.25<br />market_vwap: 199896.82178218<br />n_kids: 23<br />slippage: -0.085000000000036<br />slippage_vwap: -194608.90678218<br />slippage_vwap_pct: -3680.2578479832<br />total_dollar: 264395.75<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>2025-04-20T18:38:58.986</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:00.361</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:01.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:01.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:03.369</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:04.374</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:04.374</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:05.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.595</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.595</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.597</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.597</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:28.933</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:29.663</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:29.663</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:32.562</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:46.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:49.187</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:51.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:51.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:51.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:52.675</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5287.5</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>2025-04-20T18:38:58.986</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:00.361</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:01.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:01.226</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:03.369</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:04.374</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:04.374</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:05.245</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.595</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.595</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.597</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:10.597</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:28.933</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:29.663</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:29.663</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:32.562</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:46.555</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:46.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:49.187</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:51.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:51.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:39:51.85</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:39:52.675</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.92

Computed VWAP Slippage

-194608.91

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.82

Computed Drift

0.75

Computed Seconds Spent

56.37

Computed Volatility

42.35