SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 19:04

Buy / Sell

Buy

Quantity

50

Arrival Price

5294.5000

Average Total

5293.9150

Destination Price

5293.8750

Slippage

-0.5850

Slippage Sweep

-1.3529

Sweep to Fill

5295.2679

Algo Diagnostics

{ "customState": { "slippage": { "asDouble": -0.5850000000000364 }, "last_aggressive_qty": { "asInt32": 1 }, "model_size": { "asDouble": 2 }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 43.5244630398256 }, "total_drift": { "asDouble": 0.625 }, "curr_opt_t_minutes": { "asDouble": 0.4775631482293381 }, "n_kids": { "asInt32": 18 }, "slippage_vwap_pct": { "asDouble": -2428.6408681341827 }, "total_dollar": { "asDouble": 264695.75 }, "economic_model": { "asInt32": 0 }, "curr_cost_per_share": { "asDouble": 0.7222222222222222 }, "init_vol_normal": { "asDouble": 43.51189537568688 }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0.2944968258690216 }, "slippage_sweep": { "asDouble": -1.3528571428569194 }, "total_filled": { "asInt32": 50 }, "avg_total": { "asDouble": 5293.915 }, "destination_price": { "asDouble": 5293.875 }, "impact_model": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "total_vol": { "asDouble": 55.42535916307773 }, "seconds_spent": { "asDouble": 18.91 }, "market_vwap": { "asDouble": 133864.0982142857 }, "sweep_residual": { "asDouble": 8 }, "init_opt_t_minutes": { "asDouble": 2.817651097322542 }, "slip_toler": { "asDouble": 0 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "arrival_price": { "asDouble": 5294.5 }, "init_liq_cost": { "asDouble": 32.25 }, "curr_liq_cost": { "asDouble": 26 }, "drift": { "asDouble": 0.625 }, "init_half_min_move": { "asDouble": 0.4574428263213925 }, "init_drift": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.45757495083020167 }, "sweep_to_fill": { "asDouble": 5295.267857142857 }, "slippage_vwap": { "asDouble": -128570.18321428572 }, "init_cost_per_share": { "asDouble": 0.7678571428571429 } } }

Fills Array

[{"Timestamp":"2025-04-20T19:04:07.512","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:08.361","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:11.691","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5294.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:12.501","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:15.425","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5294.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:17.554","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:18.659","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:18.659","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:19.514","Security":"SIM:ESM5","Side":"Buy","LastShares":9.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:19.514","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:20.712","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:20.712","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T19:04:21.445","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:21.517","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:22.635","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:22.635","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T19:04:23.673","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:23.673","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:24.513","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:04:24.513","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5294.5<br />avg_total: 5293.915<br />curr_cost_per_share: 0.72222222222222<br />curr_half_min_move: 0.4575749508302<br />curr_liq_cost: 26<br />curr_opt_t_minutes: 0.47756314822934<br />daily_vol_normal: 43.524463039826<br />destination_price: 5293.875<br />drift: 0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.76785714285714<br />init_drift: 0<br />init_half_min_move: 0.45744282632139<br />init_liq_cost: 32.25<br />init_min_duration: 0<br />init_opt_t_minutes: 2.8176510973225<br />init_vol_normal: 43.511895375687<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.91<br />slip_toler: 0<br />slippage: -0.58500000000004<br />slippage_sweep: -1.3528571428569<br />sweep_residual: 8<br />sweep_to_fill: 5295.2678571429<br />total_dollar: 264695.75<br />total_drift: 0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.425359163078<br />worst_opt_t_minutes: 0.29449682586902

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5294.5<br />avg_total: 5293.915<br />destination_price: 5293.875<br />market_vwap: 133864.09821429<br />n_kids: 18<br />slippage: -0.58500000000004<br />slippage_vwap: -128570.18321429<br />slippage_vwap_pct: -2428.6408681342<br />total_dollar: 264695.75<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>2025-04-20T19:04:07.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:08.361</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:11.691</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:12.501</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:15.425</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:17.554</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:18.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:18.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:19.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>9</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:19.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:20.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:20.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:04:21.445</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:21.517</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:22.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:22.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:04:23.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:23.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:24.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:24.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</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>2025-04-20T19:04:07.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:08.361</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:11.691</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:12.501</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:15.425</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:17.554</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:18.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:18.659</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:19.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>9</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:19.514</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:20.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:20.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:04:21.445</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:21.517</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:22.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:22.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:04:23.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:23.673</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:24.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:04:24.513</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5293.92

Computed VWAP Slippage

-128570.18

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.77

Computed Drift

0.63

Computed Seconds Spent

18.91

Computed Volatility

43.52