Algo Type
VWAP
Algo Symbol
SIM:ESU4
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
5694.6250
Market VWAP
5695.4641
Destination Price
5695.6250
Slippage
-0.8894
SlippagePct
-0.0156
AggressivePct
43.7500
Algo Diagnostics
{ "customState": { "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 43.75 }, "n_kids": { "asInt32": 38 }, "arrival_price": { "asDouble": 5694.625 }, "slippage": { "asDouble": -1.7285000000001673 }, "market_vwap": { "asDouble": 5695.464062398229 }, "avg_total": { "asDouble": 5696.3535 }, "total_dollar": { "asDouble": 2848176.75 }, "total_sent": { "asInt32": 500 }, "destination_price": { "asDouble": 5695.625 }, "total_filled": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.015614157403881853 }, "slippage_vwap": { "asDouble": -0.8894376017715331 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5694.625<br />avg_total: 5696.3535<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: 5695.625<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: -1.7285000000002<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2848176.75<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 43.75<br />algo_status: 4<br />arrival_price: 5694.625<br />avg_total: 5696.3535<br />destination_price: 5695.625<br />market_vwap: 5695.4640623982<br />n_kids: 38<br />slippage: -1.7285000000002<br />slippage_vwap: -0.88943760177153<br />slippage_vwap_pct: -0.015614157403882<br />total_dollar: 2848176.75<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5696.3535
Computed VWAP Slippage
-0.89
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
UncertBands