SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/20/2025 - 19:44

Buy / Sell

Buy

Quantity

50

Arrival Price

5301.5000

Average Total

5301.7100

Destination Price

5301.8750

Slippage

0.2100

Slippage Sweep

-0.6233

Sweep to Fill

5302.3333

Algo Diagnostics

{ "customState": { "worst_opt_t_minutes": { "asDouble": 0.9046810571937274 }, "model_size": { "asDouble": 2 }, "algo_status": { "asInt32": 4 }, "market_vwap": { "asDouble": 268712.9960106383 }, "curr_half_min_move": { "asDouble": 0.4758954249206898 }, "total_dollar": { "asDouble": 265085.5 }, "total_drift": { "asDouble": 0.375 }, "init_drift": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 60.516 }, "ready": { "asBool": true }, "last_aggressive_qty": { "asInt32": 1 }, "init_cost_per_share": { "asDouble": 0.8333333333333334 }, "slippage_sweep": { "asDouble": -0.6233333333329938 }, "last_tactical_qty": { "asInt32": 1 }, "init_vol_normal": { "asDouble": 45.243107229102776 }, "daily_vol_normal": { "asDouble": 45.26710388145556 }, "impact_model": { "asInt32": 2 }, "slippage": { "asDouble": 0.21000000000003638 }, "curr_liq_cost": { "asDouble": 30.5 }, "drift": { "asDouble": 0.375 }, "slippage_vwap_pct": { "asDouble": -4968.421245421539 }, "init_liq_cost": { "asDouble": 27.5 }, "slippage_vwap": { "asDouble": -263411.2860106383 }, "slip_toler": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 3.069552179725172 }, "destination_price": { "asDouble": 5301.875 }, "curr_cost_per_share": { "asDouble": 0.7625 }, "total_vol": { "asDouble": 55.498638512240355 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "sweep_residual": { "asDouble": 17 }, "sweep_to_fill": { "asDouble": 5302.333333333333 }, "avg_total": { "asDouble": 5301.71 }, "init_half_min_move": { "asDouble": 0.47564314686247755 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 28 }, "order_time_minutes": { "asDouble": 10 }, "curr_opt_t_minutes": { "asDouble": 1.3598616787549642 }, "arrival_price": { "asDouble": 5301.5 } } }

Fills Array

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5301.5<br />avg_total: 5301.71<br />curr_cost_per_share: 0.7625<br />curr_half_min_move: 0.47589542492069<br />curr_liq_cost: 30.5<br />curr_opt_t_minutes: 1.359861678755<br />daily_vol_normal: 45.267103881456<br />destination_price: 5301.875<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83333333333333<br />init_drift: 0<br />init_half_min_move: 0.47564314686248<br />init_liq_cost: 27.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.0695521797252<br />init_vol_normal: 45.243107229103<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 60.516<br />slip_toler: 0<br />slippage: 0.21000000000004<br />slippage_sweep: -0.62333333333299<br />sweep_residual: 17<br />sweep_to_fill: 5302.3333333333<br />total_dollar: 265085.5<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.49863851224<br />worst_opt_t_minutes: 0.90468105719373

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5301.5<br />avg_total: 5301.71<br />destination_price: 5301.875<br />market_vwap: 268712.99601064<br />n_kids: 28<br />slippage: 0.21000000000004<br />slippage_vwap: -263411.28601064<br />slippage_vwap_pct: -4968.4212454215<br />total_dollar: 265085.5<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>2025-04-20T19:43:12.184</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:13.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:14.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:15.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:15.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:16.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:17.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:17.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:17.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:19.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:19.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:20.518</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:20.518</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:20.518</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:39.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:49.078</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:49.078</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:51.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:53.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:56.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:56.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:58.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:58.864</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:00.118</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:00.814</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:03.158</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:05.228</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:06.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:06.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:09.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5302.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:09.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5302.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:44:10.016</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5302.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:11.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:11.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</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>2025-04-20T19:43:12.184</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:13.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:14.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:15.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:15.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:16.573</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:17.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:17.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:17.77</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:19.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:19.043</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:20.518</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:20.518</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5301.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:20.518</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5301.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:39.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:49.078</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:49.078</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:51.912</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:53.475</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:56.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:56.812</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:58.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:43:58.864</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:00.118</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:00.814</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:03.158</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:05.228</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:06.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:06.225</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5301.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:09.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5302.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:09.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5302.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-20T19:44:10.016</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5302.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:11.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:44:11.412</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5302</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5301.71

Computed VWAP Slippage

-263411.29

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.83

Computed Drift

0.38

Computed Seconds Spent

60.52

Computed Volatility

45.27