Algo Type
VWAP
Algo Symbol
SIM:ESU4
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5707.3750
Market VWAP
5708.0804
Destination Price
5710.3750
Slippage
-0.5039
SlippagePct
-0.0088
AggressivePct
29.7297
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 26 }, "slippage_vwap_pct": { "asDouble": -0.008829384034361027 }, "total_sent": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "arrival_price": { "asDouble": 5707.375 }, "total_dollar": { "asDouble": 2853788.25 }, "slippage_vwap": { "asDouble": -0.5039438482399419 }, "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 5708.08044384824 }, "destination_price": { "asDouble": 5710.375 }, "aggressive_pct": { "asDouble": 29.72972972972973 }, "slippage": { "asDouble": 0.2015000000001237 }, "avg_total": { "asDouble": 5707.5765 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5707.375<br />avg_total: 5707.5765<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: 5710.375<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: 26<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.20150000000012<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2853788.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 29.72972972973<br />algo_status: 4<br />arrival_price: 5707.375<br />avg_total: 5707.5765<br />destination_price: 5710.375<br />market_vwap: 5708.0804438482<br />n_kids: 26<br />slippage: 0.20150000000012<br />slippage_vwap: -0.50394384823994<br />slippage_vwap_pct: -0.008829384034361<br />total_dollar: 2853788.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5707.5765
Computed VWAP Slippage
-0.50
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
UncertBands