SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 19:01

Buy / Sell

Buy

Quantity

50

Arrival Price

5293.2500

Average Total

5293.0100

Destination Price

5292.5000

Slippage

-0.2400

Slippage Sweep

-1.0681

Sweep to Fill

5294.0781

Algo Diagnostics

{ "customState": { "init_cost_per_share": { "asDouble": 0.828125 }, "drift": { "asDouble": 0.75 }, "worst_opt_t_minutes": { "asDouble": 0.2511585062263055 }, "init_drift": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "seconds_spent": { "asDouble": 34.593 }, "last_aggressive_qty": { "asInt32": 8 }, "market_vwap": { "asDouble": 90651.25524475524 }, "sweep_to_fill": { "asDouble": 5294.078125 }, "curr_liq_cost": { "asDouble": 34.75 }, "avg_total": { "asDouble": 5293.01 }, "total_drift": { "asDouble": 0.75 }, "total_filled": { "asInt32": 50 }, "model_size": { "asDouble": 3 }, "init_liq_cost": { "asDouble": 26.5 }, "init_vol_normal": { "asDouble": 43.15120372452538 }, "init_half_min_move": { "asDouble": 0.45365085617361434 }, "slippage_sweep": { "asDouble": -1.0681249999997817 }, "slippage": { "asDouble": -0.23999999999978172 }, "slip_toler": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.4542842799669193 }, "algo_status": { "asInt32": 4 }, "total_vol": { "asDouble": 55.412273565012974 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": -1612.6598144487775 }, "last_tactical_qty": { "asInt32": 3 }, "arrival_price": { "asDouble": 5293.25 }, "total_dollar": { "asDouble": 264650.5 }, "n_kids": { "asInt32": 16 }, "economic_model": { "asInt32": 0 }, "slippage_vwap": { "asDouble": -85358.24524475525 }, "curr_opt_t_minutes": { "asDouble": 0.41301141273465625 }, "curr_cost_per_share": { "asDouble": 0.8081395348837209 }, "init_min_duration": { "asDouble": 0 }, "destination_price": { "asDouble": 5292.5 }, "total_sent": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 43.21145490398839 }, "init_opt_t_minutes": { "asDouble": 3.332332444282671 }, "sweep_residual": { "asDouble": 18 } } }

Fills Array

[{"Timestamp":"2025-04-20T19:00:27.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:28.212","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5294.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:28.212","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:29.112","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:29.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5294.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:39.331","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:40.479","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:41.212","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:42.157","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:44.178","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:44.178","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:45.351","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5292.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:45.351","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:58.451","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:58.451","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5293.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:00.36","Security":"SIM:ESM5","Side":"Buy","LastShares":8.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:00.36","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5292.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:01:01.633","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5292.75,"Aggressor":"Aggressive"}]

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5293.25<br />avg_total: 5293.01<br />curr_cost_per_share: 0.80813953488372<br />curr_half_min_move: 0.45428427996692<br />curr_liq_cost: 34.75<br />curr_opt_t_minutes: 0.41301141273466<br />daily_vol_normal: 43.211454903988<br />destination_price: 5292.5<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.828125<br />init_drift: 0<br />init_half_min_move: 0.45365085617361<br />init_liq_cost: 26.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.3323324442827<br />init_vol_normal: 43.151203724525<br />last_aggressive_qty: 8<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 34.593<br />slip_toler: 0<br />slippage: -0.23999999999978<br />slippage_sweep: -1.0681249999998<br />sweep_residual: 18<br />sweep_to_fill: 5294.078125<br />total_dollar: 264650.5<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.412273565013<br />worst_opt_t_minutes: 0.25115850622631

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5293.25<br />avg_total: 5293.01<br />destination_price: 5292.5<br />market_vwap: 90651.255244755<br />n_kids: 16<br />slippage: -0.23999999999978<br />slippage_vwap: -85358.245244755<br />slippage_vwap_pct: -1612.6598144488<br />total_dollar: 264650.5<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>2025-04-20T19:00:27.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:28.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:28.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:29.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:29.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:39.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:40.479</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:41.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:42.157</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:44.178</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:44.178</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:45.351</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:45.351</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:58.451</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:58.451</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:00.36</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>8</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:00.36</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:01.633</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</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>2025-04-20T19:00:27.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:28.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:28.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:29.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:29.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5294</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:39.331</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:40.479</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:41.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:42.157</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:44.178</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:44.178</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:45.351</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:45.351</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:58.451</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:58.451</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:00.36</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>8</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:00.36</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:01:01.633</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5293.01

Computed VWAP Slippage

-85358.25

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.83

Computed Drift

0.75

Computed Seconds Spent

34.59

Computed Volatility

43.21