SIM:ESM5 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/27/2025 - 17:33

Buy / Sell

Buy

Quantity

50

Arrival Price

5540.7500

Average Total

5541.8650

Destination Price

5542.0000

Slippage

1.1150

Slippage Sweep

0.3600

Sweep to Fill

5541.5050

Algo Diagnostics

{ "customState": { "seconds_spent": { "asDouble": 87.192 }, "destination_price": { "asDouble": 5542 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.12027697281140513 }, "drift": { "asDouble": 1.25 }, "total_drift": { "asDouble": 1.25 }, "slippage_vwap_pct": { "asDouble": -3289.920238847254 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 39.4029670215541 }, "init_liq_cost": { "asDouble": 37.75 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_vwap": { "asDouble": -182322.93824459237 }, "curr_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 17 }, "market_vwap": { "asDouble": 187864.80324459236 }, "sweep_to_fill": { "asDouble": 5541.505 }, "total_filled": { "asInt32": 50 }, "impact_model": { "asInt32": 2 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.755 }, "curr_cost_per_share": { "asDouble": 0.8690476190476191 }, "order_time_minutes": { "asDouble": 10 }, "total_vol": { "asDouble": 11.440728230804591 }, "slip_toler": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "avg_total": { "asDouble": 5541.865 }, "daily_vol_normal": { "asDouble": 11.440728230804591 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.3599999999996726 }, "init_vol_normal": { "asDouble": 11.440728230804591 }, "curr_half_min_move": { "asDouble": 0.12027697281140513 }, "slippage": { "asDouble": 1.1149999999997817 }, "init_min_duration": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "arrival_price": { "asDouble": 5540.75 }, "model_size": { "asDouble": 1 }, "curr_liq_cost": { "asDouble": 36.5 }, "total_dollar": { "asDouble": 277093.25 } } }

Fills Array

[{"Timestamp":"2025-04-27T17:32:22.449","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:32:39.718","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:32:49.112","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:32:55.674","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:00.349","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:10.012","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:21.928","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:33:29.783","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5540.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:35.212","Security":"SIM:ESM5","Side":"Buy","LastShares":14.0,"LastPrice":5541.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:36.161","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:36.161","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5542.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:36.851","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:36.851","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5542.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:37.613","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:37.613","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5542.25,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:33:38.012","Security":"SIM:ESM5","Side":"Buy","LastShares":4.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:38.712","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.75,"Aggressor":"Passive"},{"Timestamp":"2025-04-27T17:33:40.561","Security":"SIM:ESM5","Side":"Buy","LastShares":5.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:41.312","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5542.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:33:42.341","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.75,"Aggressor":"Passive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5540.75<br />avg_total: 5541.865<br />curr_cost_per_share: 0.86904761904762<br />curr_half_min_move: 0.12027697281141<br />curr_liq_cost: 36.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 11.440728230805<br />destination_price: 5542<br />drift: 1.25<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: 0.12027697281141<br />init_liq_cost: 37.75<br />init_min_duration: 0<br />init_opt_t_minutes: 39.402967021554<br />init_vol_normal: 11.440728230805<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 17<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 87.192<br />slip_toler: 0<br />slippage: 1.1149999999998<br />slippage_sweep: 0.35999999999967<br />sweep_residual: 0<br />sweep_to_fill: 5541.505<br />total_dollar: 277093.25<br />total_drift: 1.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.440728230805<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5540.75<br />avg_total: 5541.865<br />destination_price: 5542<br />market_vwap: 187864.80324459<br />n_kids: 17<br />slippage: 1.1149999999998<br />slippage_vwap: -182322.93824459<br />slippage_vwap_pct: -3289.9202388473<br />total_dollar: 277093.25<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>2025-04-27T17:32:22.449</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:32:39.718</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:32:49.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:32:55.674</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:00.349</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:10.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:21.928</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:33:29.783</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5540.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:35.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>14</td>
<td>5541.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.161</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.161</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5542.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.851</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.851</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5542.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:37.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:37.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5542.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:33:38.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:38.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:33:40.561</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:41.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:42.341</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Passive</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>2025-04-27T17:32:22.449</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:32:39.718</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:32:49.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:32:55.674</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:00.349</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:10.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:21.928</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:33:29.783</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5540.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:35.212</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>14</td>
<td>5541.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.161</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.161</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5542.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.851</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:36.851</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5542.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:37.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:37.613</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5542.25</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:33:38.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>4</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:38.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Passive</td>
</tr><tr>
<td>2025-04-27T17:33:40.561</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>5</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:41.312</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5542.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:33:42.341</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

5541.87

Computed VWAP Slippage

-182322.94

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.76

Computed Drift

1.25

Computed Seconds Spent

87.19

Computed Volatility

11.44