Algo Type
VWAP
Algo Symbol
SIM:ESU4
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
5713.6250
Market VWAP
5713.3730
Destination Price
5715.3750
Slippage
-1.0580
SlippagePct
-0.0185
AggressivePct
45.8333
Algo Diagnostics
{ "customState": { "market_vwap": { "asDouble": 5713.373027049229 }, "avg_total": { "asDouble": 5714.431 }, "destination_price": { "asDouble": 5715.375 }, "total_filled": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.018514055918617586 }, "n_kids": { "asInt32": 38 }, "slippage_vwap": { "asDouble": -1.057972950770818 }, "slippage": { "asDouble": -0.8059999999995853 }, "aggressive_pct": { "asDouble": 45.833333333333336 }, "total_dollar": { "asDouble": 2857215.5 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "arrival_price": { "asDouble": 5713.625 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5713.625<br />avg_total: 5714.431<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: 5715.375<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: 38<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.80599999999959<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2857215.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 45.833333333333<br />algo_status: 4<br />arrival_price: 5713.625<br />avg_total: 5714.431<br />destination_price: 5715.375<br />market_vwap: 5713.3730270492<br />n_kids: 38<br />slippage: -0.80599999999959<br />slippage_vwap: -1.0579729507708<br />slippage_vwap_pct: -0.018514055918618<br />total_dollar: 2857215.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5714.4310
Computed VWAP Slippage
-1.06
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
UncertBands