SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:57

Buy / Sell

Buy

Quantity

50

Arrival Price

5293.0000

Average Total

5293.4700

Destination Price

5293.5000

Slippage

0.4700

Slippage Sweep

-0.2850

Sweep to Fill

5293.7550

Algo Diagnostics

{ "customState": { "total_dollar": { "asDouble": 264673.5 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "avg_total": { "asDouble": 5293.47 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "total_drift": { "asDouble": 0.5 }, "init_opt_t_minutes": { "asDouble": 2.806330002533986 }, "slippage": { "asDouble": 0.47000000000025466 }, "curr_opt_t_minutes": { "asDouble": 0.44605375298164746 }, "impact_model": { "asInt32": 2 }, "drift": { "asDouble": 0.5 }, "sweep_to_fill": { "asDouble": 5293.755 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 0 }, "seconds_spent": { "asDouble": 44.982 }, "worst_opt_t_minutes": { "asDouble": 0.2674873831733556 }, "arrival_price": { "asDouble": 5293 }, "daily_vol_normal": { "asDouble": 42.90851747731964 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 42.869533951902575 }, "total_filled": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -3036.5533660885944 }, "algo_status": { "asInt32": 4 }, "last_aggressive_qty": { "asInt32": 2 }, "destination_price": { "asDouble": 5293.5 }, "n_kids": { "asInt32": 22 }, "init_drift": { "asDouble": 0 }, "total_vol": { "asDouble": 55.409656445400024 }, "last_tactical_qty": { "asInt32": 3 }, "model_size": { "asDouble": 5 }, "init_cost_per_share": { "asDouble": 0.755 }, "curr_cost_per_share": { "asDouble": 0.615 }, "curr_half_min_move": { "asDouble": 0.45109948299456515 }, "curr_liq_cost": { "asDouble": 30.75 }, "slippage_vwap": { "asDouble": -160739.0414678899 }, "slippage_sweep": { "asDouble": -0.2849999999998545 }, "init_half_min_move": { "asDouble": 0.4506896471578868 }, "market_vwap": { "asDouble": 166032.5114678899 }, "init_liq_cost": { "asDouble": 37.75 } } }

Fills Array

[{"Timestamp":"2025-04-20T18:56:54.636","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:56:54.636","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:56:56.283","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:56:59.736","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:56:59.736","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:01.265","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:04.042","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:07.35","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:07.35","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:09.318","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:09.318","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:11.263","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:11.263","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:12.282","Security":"SIM:ESM5","Side":"Buy","LastShares":14.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:12.317","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:12.317","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:17.874","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:18.42","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:18.42","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.5,"Aggressor":"Passive"},{"Timestamp":"2025-04-20T18:57:18.441","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:29.612","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:29.612","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:35.612","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T18:57:35.612","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5293.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5293<br />avg_total: 5293.47<br />curr_cost_per_share: 0.615<br />curr_half_min_move: 0.45109948299457<br />curr_liq_cost: 30.75<br />curr_opt_t_minutes: 0.44605375298165<br />daily_vol_normal: 42.90851747732<br />destination_price: 5293.5<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.755<br />init_drift: 0<br />init_half_min_move: 0.45068964715789<br />init_liq_cost: 37.75<br />init_min_duration: 0<br />init_opt_t_minutes: 2.806330002534<br />init_vol_normal: 42.869533951903<br />last_aggressive_qty: 2<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 22<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 44.982<br />slip_toler: 0<br />slippage: 0.47000000000025<br />slippage_sweep: -0.28499999999985<br />sweep_residual: 0<br />sweep_to_fill: 5293.755<br />total_dollar: 264673.5<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.4096564454<br />worst_opt_t_minutes: 0.26748738317336

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5293<br />avg_total: 5293.47<br />destination_price: 5293.5<br />market_vwap: 166032.51146789<br />n_kids: 22<br />slippage: 0.47000000000025<br />slippage_vwap: -160739.04146789<br />slippage_vwap_pct: -3036.5533660886<br />total_dollar: 264673.5<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>2025-04-20T18:56:54.636</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:54.636</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:56.283</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:59.736</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:59.736</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:01.265</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:04.042</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:07.35</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:07.35</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:09.318</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:09.318</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:11.263</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:11.263</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:12.282</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>14</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:12.317</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:12.317</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:17.874</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:18.42</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:18.42</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:57:18.441</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:29.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:29.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:35.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:35.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.75</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>2025-04-20T18:56:54.636</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:54.636</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:56.283</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:59.736</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:56:59.736</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:01.265</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:04.042</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:07.35</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:07.35</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:09.318</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:09.318</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:11.263</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:11.263</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:12.282</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>14</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:12.317</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:12.317</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:17.874</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:18.42</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:18.42</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:57:18.441</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:29.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:29.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:35.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:57:35.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5293.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5293.47

Computed VWAP Slippage

-160739.04

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.76

Computed Drift

0.50

Computed Seconds Spent

44.98

Computed Volatility

42.91