Algo Type
VWAP
Algo Symbol
SIM:ESU4
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5686.6250
Market VWAP
5685.9567
Destination Price
5686.3750
Slippage
-0.2622
SlippagePct
-0.0046
AggressivePct
32.7586
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_pct": { "asDouble": -0.004611882064712141 }, "n_kids": { "asInt32": 45 }, "arrival_price": { "asDouble": 5686.625 }, "destination_price": { "asDouble": 5686.375 }, "slippage_vwap": { "asDouble": -0.26221752489982464 }, "market_vwap": { "asDouble": 5685.956717524899 }, "aggressive_pct": { "asDouble": 32.758620689655174 }, "total_filled": { "asInt32": 500 }, "total_dollar": { "asDouble": 2842847.25 }, "slippage": { "asDouble": -0.9305000000003929 }, "avg_total": { "asDouble": 5685.6945 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5686.625<br />avg_total: 5685.6945<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: 5686.375<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: 45<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.93050000000039<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2842847.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 32.758620689655<br />algo_status: 4<br />arrival_price: 5686.625<br />avg_total: 5685.6945<br />destination_price: 5686.375<br />market_vwap: 5685.9567175249<br />n_kids: 45<br />slippage: -0.93050000000039<br />slippage_vwap: -0.26221752489982<br />slippage_vwap_pct: -0.0046118820647121<br />total_dollar: 2842847.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5685.6945
Computed VWAP Slippage
-0.26
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
UncertBands