Algo Type
VWAP
Algo Symbol
SIM:ESH6
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
6843.8750
Market VWAP
6844.1983
Destination Price
6845.8750
Slippage
-0.2460
Algo Diagnostics
{ "customState": { "slippage_mid_money": { "asDouble": -12.30000000000473 }, "slippage_passive_ticks": { "asDouble": -1.4840000000003783 }, "slippage_aggressive_ticks": { "asDouble": -0.48400000000037835 }, "algo_status": { "asInt32": 4 }, "slippage_twap": { "asDouble": 0.010650966048160626 }, "slippage_mid_ticks": { "asDouble": -0.9840000000003783 }, "slippage_twap_money": { "asDouble": 0.5325483024080313 }, "slippage_sweep": { "asDouble": 0.46977380952375825 }, "sweep_to_fill": { "asDouble": 6844.590773809524 }, "slippage_vwap": { "asDouble": 0.07726158940386085 }, "interval_market_size": { "asDouble": 3020 }, "interval_vwap": { "asDouble": 6844.198261589404 }, "total_sent": { "asInt32": 500 }, "n_kids": { "asInt32": 40 }, "slippage_sweep_ticks": { "asDouble": 1.879095238095033 }, "interval_twap": { "asDouble": 6844.131650966048 }, "participation_rate": { "asDouble": 0.16556291390728478 }, "slippage": { "asDouble": -0.2460000000000946 }, "slippage_vwap_money": { "asDouble": 3.8630794701930427 }, "slippage_passive": { "asDouble": -0.3710000000000946 }, "destination_price": { "asDouble": 6845.875 }, "percentage_passive": { "asDouble": 2.2 }, "avg_total": { "asDouble": 6844.121 }, "arrival_price": { "asDouble": 6843.875 }, "aggressive_pct": { "asDouble": 2.5 }, "slippage_mid": { "asDouble": -0.2460000000000946 }, "slippage_aggressive_money": { "asDouble": -6.050000000004729 }, "slippage_sweep_money": { "asDouble": 23.488690476187912 }, "slippage_aggressive": { "asDouble": -0.12100000000009459 }, "total_filled": { "asInt32": 500 }, "total_dollar": { "asDouble": 3422060.5 }, "slippage_passive_money": { "asDouble": -18.55000000000473 }, "slippage_vwap_ticks": { "asDouble": 0.3090463576154434 }, "slippage_twap_ticks": { "asDouble": 0.042603864192642504 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 6843.875<br />avg_total: 6844.121<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 6845.875<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 40<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.24600000000009<br />slippage_sweep: 0.46977380952376<br />sweep_residual: <br />sweep_to_fill: 6844.5907738095<br />total_dollar: 3422060.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 2.5<br />algo_status: 4<br />arrival_price: 6843.875<br />avg_total: 6844.121<br />destination_price: 6845.875<br />market_vwap (interval_vwap): 6844.1982615894<br />n_kids: 40<br />slippage: -0.24600000000009<br />slippage_vwap: 0.077261589403861<br />slippage_vwap_pct: <br />total_dollar: 3422060.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
6844.1210
Computed VWAP Slippage
0.08
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Version
0.20.8