SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 18:52

Buy / Sell

Buy

Quantity

50

Arrival Price

5292.5000

Average Total

5292.7150

Destination Price

5292.8750

Slippage

0.2150

Slippage Sweep

-0.6253

Sweep to Fill

5293.3403

Algo Diagnostics

{ "customState": { "total_drift": { "asDouble": -0.125 }, "total_dollar": { "asDouble": 264635.75 }, "market_vwap": { "asDouble": 211788.8701171875 }, "worst_opt_t_minutes": { "asDouble": 1.9524231412286408 }, "total_filled": { "asInt32": 50 }, "economic_model": { "asInt32": 0 }, "total_sent": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.8402777777777778 }, "init_liq_cost": { "asDouble": 30.25 }, "n_kids": { "asInt32": 23 }, "init_opt_t_minutes": { "asDouble": 3.497201373980089 }, "slip_toler": { "asDouble": 0 }, "sweep_residual": { "asDouble": 14 }, "drift": { "asDouble": -0.125 }, "model_size": { "asDouble": 1 }, "daily_vol_normal": { "asDouble": 42.79070615462634 }, "seconds_spent": { "asDouble": 119.272 }, "slippage_vwap": { "asDouble": -206496.1551171875 }, "curr_liq_cost": { "asDouble": 32.375 }, "last_tactical_qty": { "asInt32": 1 }, "curr_opt_t_minutes": { "asDouble": 3.2731348619689618 }, "slippage": { "asDouble": 0.21500000000014552 }, "curr_cost_per_share": { "asDouble": 0.752906976744186 }, "sweep_to_fill": { "asDouble": 5293.340277777777 }, "slippage_sweep": { "asDouble": -0.625277777777228 }, "total_vol": { "asDouble": 55.40442220617412 }, "impact_model": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "avg_total": { "asDouble": 5292.715 }, "init_drift": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 1 }, "order_time_minutes": { "asDouble": 10 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 5292.5 }, "init_half_min_move": { "asDouble": 0.449327043428045 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": -3901.516615143409 }, "destination_price": { "asDouble": 5292.875 }, "init_vol_normal": { "asDouble": 42.73992328250334 }, "curr_half_min_move": { "asDouble": 0.44986092641227476 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5292.5<br />avg_total: 5292.715<br />curr_cost_per_share: 0.75290697674419<br />curr_half_min_move: 0.44986092641227<br />curr_liq_cost: 32.375<br />curr_opt_t_minutes: 3.273134861969<br />daily_vol_normal: 42.790706154626<br />destination_price: 5292.875<br />drift: -0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.84027777777778<br />init_drift: 0<br />init_half_min_move: 0.44932704342805<br />init_liq_cost: 30.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.4972013739801<br />init_vol_normal: 42.739923282503<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 119.272<br />slip_toler: 0<br />slippage: 0.21500000000015<br />slippage_sweep: -0.62527777777723<br />sweep_residual: 14<br />sweep_to_fill: 5293.3402777778<br />total_dollar: 264635.75<br />total_drift: -0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.404422206174<br />worst_opt_t_minutes: 1.9524231412286

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292.5<br />avg_total: 5292.715<br />destination_price: 5292.875<br />market_vwap: 211788.87011719<br />n_kids: 23<br />slippage: 0.21500000000015<br />slippage_vwap: -206496.15511719<br />slippage_vwap_pct: -3901.5166151434<br />total_dollar: 264635.75<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>2025-04-20T18:50:54.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:50:54.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:50:56.221</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:50:58.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:00.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:03.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:07.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:08.637</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:10.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:10.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:17.537</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:18.631</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:22.642</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:22.642</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:33.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.571</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.677</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.746</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.746</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:18.525</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:19.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:52:48.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</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>2025-04-20T18:50:54.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:50:54.855</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:50:56.221</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:50:58.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:00.635</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:03.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:07.546</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:08.637</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:10.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:10.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:17.537</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:18.631</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:22.642</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:22.642</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:33.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.571</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.676</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:34.677</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.746</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5292.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:51:36.746</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5292.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:18.525</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5293.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:19.446</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T18:52:48.032</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.034</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T18:52:48.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5293</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5292.72

Computed VWAP Slippage

-206496.16

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.84

Computed Drift

-0.13

Computed Seconds Spent

119.27

Computed Volatility

42.79