Algo Type
VWAP
Algo Symbol
SIM:ESU4
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5696.3750
Market VWAP
5697.2382
Destination Price
5699.8750
Slippage
1.6431
SlippagePct
0.0288
AggressivePct
42.3077
Algo Diagnostics
{ "customState": { "total_dollar": { "asDouble": 1116980.75 }, "avg_total": { "asDouble": 5698.881377551021 }, "total_sent": { "asInt32": 196 }, "slippage": { "asDouble": 2.506377551020705 }, "slippage_vwap": { "asDouble": 1.6431276911816894 }, "aggressive_pct": { "asDouble": 42.30769230769231 }, "market_vwap": { "asDouble": 5697.238249859839 }, "algo_status": { "asInt32": 2 }, "destination_price": { "asDouble": 5699.875 }, "n_kids": { "asInt32": 15 }, "total_filled": { "asInt32": 196 }, "arrival_price": { "asDouble": 5696.375 }, "slippage_vwap_pct": { "asDouble": 0.028832459957041437 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 5696.375<br />avg_total: 5698.881377551<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: 5699.875<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: 15<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 2.5063775510207<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 1116980.75<br />total_drift: <br />total_filled: 196<br />total_sent: 196<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 42.307692307692<br />algo_status: 2<br />arrival_price: 5696.375<br />avg_total: 5698.881377551<br />destination_price: 5699.875<br />market_vwap: 5697.2382498598<br />n_kids: 15<br />slippage: 2.5063775510207<br />slippage_vwap: 1.6431276911817<br />slippage_vwap_pct: 0.028832459957041<br />total_dollar: 1116980.75<br />total_filled: 196<br />total_sent: 196
Computed Average Total
5698.8814
Computed VWAP Slippage
1.64
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
196.00
Algo Model
UncertBands