SIM:ESM5 | www.cqg.com

Algo Type

ArrivalAI

Algo Symbol

SIM:ESM5

Algo CQG Symbol

EP

Date - Time

04/27/2025 - 17:31

Buy / Sell

Buy

Quantity

50

Arrival Price

5541.6250

Average Total

5541.0700

Destination Price

5540.6250

Slippage

-0.5550

Slippage Sweep

-1.0550

Sweep to Fill

5542.1250

Algo Diagnostics

{ "customState": { "total_dollar": { "asDouble": 277053.5 }, "init_opt_t_minutes": { "asDouble": 17.275788284785563 }, "init_cost_per_share": { "asDouble": 0.5 }, "curr_cost_per_share": { "asDouble": 0.6790540540540541 }, "drift": { "asDouble": 1 }, "total_vol": { "asDouble": 11.44253496043541 }, "sweep_residual": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 12 }, "n_kids": { "asInt32": 16 }, "slippage_vwap": { "asDouble": -121337.20788461537 }, "impact_model": { "asInt32": 2 }, "curr_liq_cost": { "asDouble": 25.125 }, "slippage_vwap_pct": { "asDouble": -2189.779372659349 }, "slip_toler": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.12029596705428021 }, "economic_model": { "asInt32": 0 }, "sweep_to_fill": { "asDouble": 5542.125 }, "seconds_spent": { "asDouble": 50.4 }, "daily_vol_normal": { "asDouble": 11.44253496043541 }, "arrival_price": { "asDouble": 5541.625 }, "ready": { "asBool": true }, "model_size": { "asDouble": 4 }, "algo_status": { "asInt32": 4 }, "slippage_sweep": { "asDouble": -1.055000000000291 }, "curr_half_min_move": { "asDouble": 0.12029596705428021 }, "destination_price": { "asDouble": 5540.625 }, "total_drift": { "asDouble": 1 }, "slippage": { "asDouble": -0.555000000000291 }, "avg_total": { "asDouble": 5541.07 }, "total_sent": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "last_tactical_qty": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 11.44253496043541 }, "init_liq_cost": { "asDouble": 25 }, "market_vwap": { "asDouble": 126878.27788461538 }, "worst_opt_t_minutes": { "asDouble": 0 } } }

Fills Array

[{"Timestamp":"2025-04-27T17:30:58.384","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5542.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:12.512","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:21.984","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:23.712","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:26.64","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:29.012","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:29.012","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:31.778","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:32.716","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:35.083","Security":"SIM:ESM5","Side":"Buy","LastShares":6.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:35.083","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:38.86","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:42.422","Security":"SIM:ESM5","Side":"Buy","LastShares":7.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:42.422","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5541.25,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:43.112","Security":"SIM:ESM5","Side":"Buy","LastShares":12.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:43.112","Security":"SIM:ESM5","Side":"Buy","LastShares":2.0,"LastPrice":5541.0,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:44.612","Security":"SIM:ESM5","Side":"Buy","LastShares":1.0,"LastPrice":5540.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-27T17:31:44.612","Security":"SIM:ESM5","Side":"Buy","LastShares":3.0,"LastPrice":5541.0,"Aggressor":"Aggressive"}]

Source URL

Aggressive

Computed diagnostics AP

algo_status: 4<br />arrival_price: 5541.625<br />avg_total: 5541.07<br />curr_cost_per_share: 0.67905405405405<br />curr_half_min_move: 0.12029596705428<br />curr_liq_cost: 25.125<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 11.442534960435<br />destination_price: 5540.625<br />drift: 1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.5<br />init_drift: 0<br />init_half_min_move: 0.12029596705428<br />init_liq_cost: 25<br />init_min_duration: 0<br />init_opt_t_minutes: 17.275788284786<br />init_vol_normal: 11.442534960435<br />last_aggressive_qty: 12<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 50.4<br />slip_toler: 0<br />slippage: -0.55500000000029<br />slippage_sweep: -1.0550000000003<br />sweep_residual: 0<br />sweep_to_fill: 5542.125<br />total_dollar: 277053.5<br />total_drift: 1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.442534960435<br />worst_opt_t_minutes: 0

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 5541.625<br />avg_total: 5541.07<br />destination_price: 5540.625<br />market_vwap: 126878.27788462<br />n_kids: 16<br />slippage: -0.55500000000029<br />slippage_vwap: -121337.20788462<br />slippage_vwap_pct: -2189.7793726593<br />total_dollar: 277053.5<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>2025-04-27T17:30:58.384</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5542.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:12.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:21.984</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:23.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:26.64</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:29.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:29.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:31.778</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:32.716</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:35.083</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:35.083</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:38.86</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:42.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:42.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:43.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>12</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:43.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:44.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5540.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:44.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5541</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>2025-04-27T17:30:58.384</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5542.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:12.512</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:21.984</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:23.712</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:26.64</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:29.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:29.012</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:31.778</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:32.716</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:35.083</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>6</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:35.083</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:38.86</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:42.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>7</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:42.422</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5541.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:43.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>12</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:43.112</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>2</td>
<td>5541</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:44.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>1</td>
<td>5540.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-27T17:31:44.612</td>
<td>SIM:ESM5</td>
<td>Buy</td>
<td>3</td>
<td>5541</td>
<td>Aggressive</td>
</tr></tbody></table>

Computed Average Total

5541.07

Computed VWAP Slippage

-121337.21

Computed Total Filled

50.00

Algo Model

Aggressive

Computed Liquidity Cost

0.50

Computed Drift

1.00

Computed Seconds Spent

50.40

Computed Volatility

11.44