SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:41

Buy / Sell

Buy

Quantity

50

Arrival Price

5285.7500

Average Total

5286.6450

Destination Price

5286.5000

Slippage

0.8950

Slippage Sweep

0.0546

Sweep to Fill

5286.5904

Algo Diagnostics

{ "customState": { "order_time_minutes": { "asDouble": 10 }, "slippage_vwap_pct": { "asDouble": -3014.390469593421 }, "algo_status": { "asInt32": 4 }, "model_size": { "asDouble": 1 }, "init_liq_cost": { "asDouble": 39.5 }, "init_vol_normal": { "asDouble": 42.377699332846085 }, "slip_toler": { "asDouble": 0 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.8404255319148937 }, "init_opt_t_minutes": { "asDouble": 3.558492748255895 }, "slippage_sweep": { "asDouble": 0.05457446808577515 }, "total_sent": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 42.39392055235008 }, "destination_price": { "asDouble": 5286.5 }, "seconds_spent": { "asDouble": 28.157 }, "impact_model": { "asInt32": 2 }, "market_vwap": { "asDouble": 164646.7680412371 }, "total_dollar": { "asDouble": 264332.25 }, "init_drift": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 23 }, "curr_cost_per_share": { "asDouble": 0.88 }, "drift": { "asDouble": 0.75 }, "sweep_residual": { "asDouble": 3 }, "curr_opt_t_minutes": { "asDouble": 0.7950222374635786 }, "slippage_vwap": { "asDouble": -159360.12304123712 }, "init_half_min_move": { "asDouble": 0.4455189641462333 }, "sweep_to_fill": { "asDouble": 5286.590425531915 }, "total_drift": { "asDouble": 0.75 }, "arrival_price": { "asDouble": 5285.75 }, "worst_opt_t_minutes": { "asDouble": 0.4666659089580982 }, "init_min_duration": { "asDouble": 0 }, "avg_total": { "asDouble": 5286.645 }, "total_filled": { "asInt32": 50 }, "curr_half_min_move": { "asDouble": 0.44568949867322233 }, "total_vol": { "asDouble": 55.33375997662444 }, "curr_liq_cost": { "asDouble": 44 }, "last_tactical_qty": { "asInt32": 1 }, "slippage": { "asDouble": 0.8950000000004366 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:41:10.979","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:13.613","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:15.273","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5285.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:16.496","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:16.619","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5285.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:19.563","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:19.563","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:21.651","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:21.651","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:22.538","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:22.538","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:23.576","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:23.577","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:26.844","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:26.844","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:26.844","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:26.844","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:41:28.025","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:35.142","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:35.142","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:37.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:47.837","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:41:47.837","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:41:47.837","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:41:47.837","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:41:47.837","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:41:47.837","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5286.645<br />curr_cost_per_share: 0.88<br />curr_half_min_move: 0.44568949867322<br />curr_liq_cost: 44<br />curr_opt_t_minutes: 0.79502223746358<br />daily_vol_normal: 42.39392055235<br />destination_price: 5286.5<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.84042553191489<br />init_drift: 0<br />init_half_min_move: 0.44551896414623<br />init_liq_cost: 39.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5584927482559<br />init_vol_normal: 42.377699332846<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 28.157<br />slip_toler: 0<br />slippage: 0.89500000000044<br />slippage_sweep: 0.054574468085775<br />sweep_residual: 3<br />sweep_to_fill: 5286.5904255319<br />total_dollar: 264332.25<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.333759976624<br />worst_opt_t_minutes: 0.4666659089581

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.75<br />avg_total: 5286.645<br />destination_price: 5286.5<br />market_vwap: 164646.76804124<br />n_kids: 23<br />slippage: 0.89500000000044<br />slippage_vwap: -159360.12304124<br />slippage_vwap_pct: -3014.3904695934<br />total_dollar: 264332.25<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>2025-04-20T18:41:10.979</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:13.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:15.273</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:16.496</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:16.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:19.563</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:19.563</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:21.651</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:21.651</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:22.538</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:22.538</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:23.576</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:23.577</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:28.025</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:35.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:35.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:37.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</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>2025-04-20T18:41:10.979</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:13.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:15.273</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5285.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:16.496</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:16.619</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5285.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:19.563</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:19.563</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:21.651</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:21.651</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:22.538</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:22.538</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:23.576</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:23.577</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:26.844</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:28.025</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:35.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:35.142</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:37.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:47.837</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5286.65

Computed VWAP Slippage

-159360.12

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.84

Computed Drift

0.75

Computed Seconds Spent

28.16

Computed Volatility

42.39