Algo Type
ArrivalPrice
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
5291.7500
Average Total
5292.1650
Destination Price
5292.6250
Slippage
-0.4150
Slippage Sweep
-1.2637
Sweep to Fill
5290.9013
Algo Diagnostics
{ "customState": { "curr_liq_cost": { "asDouble": 17.375 }, "total_dollar": { "asDouble": 264608.25 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": -1.2636842105266624 }, "sweep_to_fill": { "asDouble": 5290.901315789473 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_vol": { "asDouble": 55.39657084733527 }, "slippage_vwap": { "asDouble": 183931.33743902438 }, "n_kids": { "asInt32": 21 }, "last_tactical_qty": { "asInt32": 3 }, "init_liq_cost": { "asDouble": 32.25 }, "destination_price": { "asDouble": 5292.625 }, "init_cost_per_share": { "asDouble": 0.8486842105263158 }, "slip_toler": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 6 }, "daily_vol_normal": { "asDouble": 41.291989600845184 }, "market_vwap": { "asDouble": 189223.5024390244 }, "total_sent": { "asInt32": 50 }, "init_drift": { "asDouble": -0 }, "avg_total": { "asDouble": 5292.165 }, "slippage_vwap_pct": { "asDouble": 3475.5404912549848 }, "curr_cost_per_share": { "asDouble": 0.695 }, "drift": { "asDouble": -0.875 }, "model_size": { "asDouble": 3 }, "init_half_min_move": { "asDouble": 0.43396160973174447 }, "total_filled": { "asInt32": 50 }, "total_drift": { "asDouble": -0.875 }, "slippage": { "asDouble": -0.4149999999999636 }, "init_vol_normal": { "asDouble": 41.278365455108855 }, "seconds_spent": { "asDouble": 25.191 }, "arrival_price": { "asDouble": 5291.75 }, "impact_model": { "asInt32": 2 }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 3.8246317123808677 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 12 }, "curr_half_min_move": { "asDouble": 0.4341048410867114 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5291.75<br />avg_total: 5292.165<br />curr_cost_per_share: 0.695<br />curr_half_min_move: 0.43410484108671<br />curr_liq_cost: 17.375<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 41.291989600845<br />destination_price: 5292.625<br />drift: -0.875<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.84868421052632<br />init_drift: 0<br />init_half_min_move: 0.43396160973174<br />init_liq_cost: 32.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.8246317123809<br />init_vol_normal: 41.278365455109<br />last_aggressive_qty: 6<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25.191<br />slip_toler: 0<br />slippage: -0.41499999999996<br />slippage_sweep: -1.2636842105267<br />sweep_residual: 12<br />sweep_to_fill: 5290.9013157895<br />total_dollar: 264608.25<br />total_drift: -0.875<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.396570847335<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5291.75<br />avg_total: 5292.165<br />destination_price: 5292.625<br />market_vwap: 189223.50243902<br />n_kids: 21<br />slippage: -0.41499999999996<br />slippage_vwap: 183931.33743902<br />slippage_vwap_pct: 3475.540491255<br />total_dollar: 264608.25<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5292.1650
Computed VWAP Slippage
183931.34
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model