SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:42

Buy / Sell

Buy

Quantity

50

Arrival Price

5286.2500

Average Total

5287.2550

Destination Price

5288.0000

Slippage

1.0050

Slippage Sweep

0.1140

Sweep to Fill

5287.1410

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 11 }, "slippage": { "asDouble": 1.0050000000001091 }, "sweep_to_fill": { "asDouble": 5287.141025641025 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 264362.75 }, "curr_opt_t_minutes": { "asDouble": 0 }, "seconds_spent": { "asDouble": 48.681 }, "drift": { "asDouble": 1.75 }, "destination_price": { "asDouble": 5288 }, "slippage_sweep": { "asDouble": 0.11397435897470132 }, "curr_cost_per_share": { "asDouble": 0.8 }, "init_cost_per_share": { "asDouble": 0.8910256410256411 }, "slippage_vwap_pct": { "asDouble": -2828.954068879701 }, "curr_half_min_move": { "asDouble": 0.4458575421370303 }, "total_vol": { "asDouble": 55.33899421585034 }, "init_opt_t_minutes": { "asDouble": 3.9953788019729255 }, "order_time_minutes": { "asDouble": 10 }, "market_vwap": { "asDouble": 154861.27045454545 }, "last_tactical_qty": { "asInt32": 1 }, "slippage_vwap": { "asDouble": -149574.01545454544 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "init_vol_normal": { "asDouble": 42.4016153123142 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 5286.25 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 24 }, "init_liq_cost": { "asDouble": 34.75 }, "avg_total": { "asDouble": 5287.255 }, "daily_vol_normal": { "asDouble": 42.40990482228515 }, "init_min_duration": { "asDouble": 0 }, "model_size": { "asDouble": 1 }, "curr_liq_cost": { "asDouble": 40 }, "init_drift": { "asDouble": 0 }, "total_drift": { "asDouble": 1.75 }, "last_aggressive_qty": { "asInt32": 4 }, "init_half_min_move": { "asDouble": 0.44577039408619984 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:41:54.012","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:55.613","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:41:57.568","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:59.212","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:41:59.376","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:00.557","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:03.904","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:03.904","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:05.612","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:05.612","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:06.612","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:06.612","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:42:09.248","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:09.248","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:09.813","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5287.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:24.987","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:24.988","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5286.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:33.938","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:33.938","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5287.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:35.427","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5287.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:35.634","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:35.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:35.812","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:37.177","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:37.177","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5288.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:42:40.815","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5288.25,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5286.25<br />avg_total: 5287.255<br />curr_cost_per_share: 0.8<br />curr_half_min_move: 0.44585754213703<br />curr_liq_cost: 40<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 42.409904822285<br />destination_price: 5288<br />drift: 1.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.89102564102564<br />init_drift: 0<br />init_half_min_move: 0.4457703940862<br />init_liq_cost: 34.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.9953788019729<br />init_vol_normal: 42.401615312314<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: 24<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 48.681<br />slip_toler: 0<br />slippage: 1.0050000000001<br />slippage_sweep: 0.1139743589747<br />sweep_residual: 11<br />sweep_to_fill: 5287.141025641<br />total_dollar: 264362.75<br />total_drift: 1.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.33899421585<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5286.25<br />avg_total: 5287.255<br />destination_price: 5288<br />market_vwap: 154861.27045455<br />n_kids: 24<br />slippage: 1.0050000000001<br />slippage_vwap: -149574.01545455<br />slippage_vwap_pct: -2828.9540688797<br />total_dollar: 264362.75<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>2025-04-20T18:41:54.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:55.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:57.568</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:59.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:59.376</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:00.557</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:03.904</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:03.904</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:05.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:05.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:06.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:06.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:42:09.248</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:09.248</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:09.813</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:24.987</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:24.988</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:33.938</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:33.938</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.427</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.634</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:37.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:37.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:40.815</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</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>2025-04-20T18:41:54.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:55.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:41:57.568</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:59.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:41:59.376</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:00.557</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:03.904</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:03.904</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:05.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:05.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:06.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:06.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:42:09.248</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:09.248</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:09.813</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5287</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:24.987</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:24.988</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5286.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:33.938</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:33.938</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5287.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.427</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5287.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.634</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:35.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:37.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:37.177</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:42:40.815</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5288.25</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5287.26

Computed VWAP Slippage

-149574.02

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.89

Computed Drift

1.75

Computed Seconds Spent

48.68

Computed Volatility

42.41