Algo Type
ArrivalPrice
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
5288.7500
Average Total
5288.6600
Destination Price
5288.2500
Slippage
0.0900
Slippage Sweep
-0.7208
Sweep to Fill
5287.9392
Algo Diagnostics
{ "customState": { "impact_model": { "asInt32": 2 }, "sweep_residual": { "asDouble": 13 }, "worst_opt_t_minutes": { "asDouble": 0.41040903778494486 }, "curr_opt_t_minutes": { "asDouble": 0.8256125158680283 }, "init_half_min_move": { "asDouble": 0.4097752799921098 }, "economic_model": { "asInt32": 0 }, "avg_total": { "asDouble": 5288.66 }, "init_drift": { "asDouble": -0 }, "curr_cost_per_share": { "asDouble": 0.675 }, "init_liq_cost": { "asDouble": 30 }, "total_vol": { "asDouble": 55.36516541197985 }, "model_size": { "asDouble": 16 }, "total_drift": { "asDouble": -0.5 }, "init_vol_normal": { "asDouble": 38.977765273845 }, "drift": { "asDouble": -0.5 }, "slippage_sweep": { "asDouble": -0.7208108108106899 }, "curr_half_min_move": { "asDouble": 0.41037958270992614 }, "curr_liq_cost": { "asDouble": 33.75 }, "total_sent": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.8108108108108109 }, "total_filled": { "asInt32": 50 }, "arrival_price": { "asDouble": 5288.75 }, "sweep_to_fill": { "asDouble": 5287.939189189189 }, "seconds_spent": { "asDouble": 35.082 }, "daily_vol_normal": { "asDouble": 39.03524646082594 }, "slippage": { "asDouble": 0.09000000000014552 }, "last_aggressive_qty": { "asInt32": 10 }, "algo_status": { "asInt32": 4 }, "slip_toler": { "asDouble": 0 }, "market_vwap": { "asDouble": 115480.85341726619 }, "last_tactical_qty": { "asInt32": 6 }, "destination_price": { "asDouble": 5288.25 }, "init_opt_t_minutes": { "asDouble": 3.9151422848117 }, "slippage_vwap": { "asDouble": 110192.19341726619 }, "total_dollar": { "asDouble": 264433 }, "slippage_vwap_pct": { "asDouble": 2083.556012624487 }, "init_min_duration": { "asDouble": 0 }, "ready": { "asBool": true }, "n_kids": { "asInt32": 16 }, "order_time_minutes": { "asDouble": 10 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5288.75<br />avg_total: 5288.66<br />curr_cost_per_share: 0.675<br />curr_half_min_move: 0.41037958270993<br />curr_liq_cost: 33.75<br />curr_opt_t_minutes: 0.82561251586803<br />daily_vol_normal: 39.035246460826<br />destination_price: 5288.25<br />drift: -0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.81081081081081<br />init_drift: 0<br />init_half_min_move: 0.40977527999211<br />init_liq_cost: 30<br />init_min_duration: 0<br />init_opt_t_minutes: 3.9151422848117<br />init_vol_normal: 38.977765273845<br />last_aggressive_qty: 10<br />last_tactical_qty: 6<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 16<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 35.082<br />slip_toler: 0<br />slippage: 0.090000000000146<br />slippage_sweep: -0.72081081081069<br />sweep_residual: 13<br />sweep_to_fill: 5287.9391891892<br />total_dollar: 264433<br />total_drift: -0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.36516541198<br />worst_opt_t_minutes: 0.41040903778494
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.75<br />avg_total: 5288.66<br />destination_price: 5288.25<br />market_vwap: 115480.85341727<br />n_kids: 16<br />slippage: 0.090000000000146<br />slippage_vwap: 110192.19341727<br />slippage_vwap_pct: 2083.5560126245<br />total_dollar: 264433<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5288.6600
Computed VWAP Slippage
110192.19
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model