SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 19:02

Buy / Sell

Buy

Quantity

50

Arrival Price

5291.3750

Average Total

5292.4400

Destination Price

5293.8750

Slippage

1.0650

Slippage Sweep

0.3819

Sweep to Fill

5292.0581

Algo Diagnostics

{ "customState": { "slippage": { "asDouble": 1.0649999999995998 }, "sweep_to_fill": { "asDouble": 5292.058139534884 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "market_vwap": { "asDouble": 84879.46793193718 }, "destination_price": { "asDouble": 5293.875 }, "model_size": { "asDouble": 5 }, "curr_half_min_move": { "asDouble": 0.4552643165120574 }, "daily_vol_normal": { "asDouble": 43.304675838196324 }, "slippage_vwap": { "asDouble": -79587.02793193718 }, "total_sent": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "avg_total": { "asDouble": 5292.44 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 25.665 }, "sweep_residual": { "asDouble": 7 }, "total_vol": { "asDouble": 55.392645167915845 }, "order_time_minutes": { "asDouble": 10 }, "init_liq_cost": { "asDouble": 29.375 }, "slippage_vwap_pct": { "asDouble": -1503.787061014148 }, "init_half_min_move": { "asDouble": 0.4549683439646317 }, "arrival_price": { "asDouble": 5291.375 }, "impact_model": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 0.6831395348837209 }, "slip_toler": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.3818604651160058 }, "total_dollar": { "asDouble": 264622 }, "drift": { "asDouble": 2.5 }, "ready": { "asBool": true }, "total_drift": { "asDouble": 2.5 }, "curr_liq_cost": { "asDouble": 28.5 }, "n_kids": { "asInt32": 18 }, "curr_cost_per_share": { "asDouble": 0.7125 }, "init_drift": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 43.27652297235902 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 2.2545323905753247 } } }

Fills Array

[{"Timestamp":"2025-04-20T19:01:37.793","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:39.839","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:41.912","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5291.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:41.912","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:44.912","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:46.95","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:46.95","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:47.912","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:49.936","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:51.62","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5291.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:56.216","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:56.216","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5292.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:59.151","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:02:00.126","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:02:00.126","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:02:01.122","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:02:02.218","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:02:02.218","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T19:02:13.125","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5294.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:02:13.125","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.25,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5291.375<br />avg_total: 5292.44<br />curr_cost_per_share: 0.7125<br />curr_half_min_move: 0.45526431651206<br />curr_liq_cost: 28.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 43.304675838196<br />destination_price: 5293.875<br />drift: 2.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.68313953488372<br />init_drift: 0<br />init_half_min_move: 0.45496834396463<br />init_liq_cost: 29.375<br />init_min_duration: 0<br />init_opt_t_minutes: 2.2545323905753<br />init_vol_normal: 43.276522972359<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.665<br />slip_toler: 0<br />slippage: 1.0649999999996<br />slippage_sweep: 0.38186046511601<br />sweep_residual: 7<br />sweep_to_fill: 5292.0581395349<br />total_dollar: 264622<br />total_drift: 2.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.392645167916<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291.375<br />avg_total: 5292.44<br />destination_price: 5293.875<br />market_vwap: 84879.467931937<br />n_kids: 18<br />slippage: 1.0649999999996<br />slippage_vwap: -79587.027931937<br />slippage_vwap_pct: -1503.7870610141<br />total_dollar: 264622<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>2025-04-20T19:01:37.793</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:39.839</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:41.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:41.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:44.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:46.95</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:46.95</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:47.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:49.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:51.62</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:56.216</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:56.216</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:59.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:00.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:00.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:01.122</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:02.218</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:02.218</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:02:13.125</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:13.125</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.25</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>2025-04-20T19:01:37.793</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:39.839</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:41.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5291</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:41.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:44.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:46.95</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:46.95</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:47.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:49.936</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:51.62</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5291.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:56.216</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:56.216</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:59.151</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:00.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:00.126</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:01.122</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:02.218</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:02.218</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:02:13.125</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:02:13.125</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.25</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5292.44

Computed VWAP Slippage

-79587.03

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.68

Computed Drift

2.50

Computed Seconds Spent

25.67

Computed Volatility

43.30