Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5287.2500
Average Total
5287.3100
Destination Price
5286.6250
Slippage
0.0600
Slippage Sweep
-0.7778
Sweep to Fill
5288.0878
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 4 }, "avg_total": { "asDouble": 5287.31 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage": { "asDouble": 0.06000000000040018 }, "destination_price": { "asDouble": 5286.625 }, "drift": { "asDouble": 0.625 }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.41447925603490954 }, "total_drift": { "asDouble": 0.625 }, "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 55.34946269430215 }, "curr_cost_per_share": { "asDouble": 0.7867647058823529 }, "slippage_vwap": { "asDouble": -195805.01983193276 }, "init_liq_cost": { "asDouble": 31 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.375 }, "ready": { "asBool": true }, "order_time_minutes": { "asDouble": 10 }, "daily_vol_normal": { "asDouble": 39.42520679363011 }, "market_vwap": { "asDouble": 201092.32983193276 }, "init_vol_normal": { "asDouble": 39.399635238820586 }, "sweep_to_fill": { "asDouble": 5288.0878378378375 }, "init_half_min_move": { "asDouble": 0.414210420944999 }, "last_tactical_qty": { "asInt32": 4 }, "impact_model": { "asInt32": 2 }, "curr_opt_t_minutes": { "asDouble": 0.9255573293625293 }, "total_sent": { "asInt32": 50 }, "total_dollar": { "asDouble": 264365.5 }, "n_kids": { "asInt32": 24 }, "worst_opt_t_minutes": { "asDouble": 0.46959608287842425 }, "init_cost_per_share": { "asDouble": 0.8378378378378378 }, "init_opt_t_minutes": { "asDouble": 4.091456118692602 }, "slippage_vwap_pct": { "asDouble": -3703.3012974827034 }, "slippage_sweep": { "asDouble": -0.777837837837069 }, "algo_status": { "asInt32": 4 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 65.35 }, "sweep_residual": { "asDouble": 13 }, "arrival_price": { "asDouble": 5287.25 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.31<br />curr_cost_per_share: 0.78676470588235<br />curr_half_min_move: 0.41447925603491<br />curr_liq_cost: 13.375<br />curr_opt_t_minutes: 0.92555732936253<br />daily_vol_normal: 39.42520679363<br />destination_price: 5286.625<br />drift: 0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.83783783783784<br />init_drift: 0<br />init_half_min_move: 0.414210420945<br />init_liq_cost: 31<br />init_min_duration: 0<br />init_opt_t_minutes: 4.0914561186926<br />init_vol_normal: 39.399635238821<br />last_aggressive_qty: 1<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 24<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 65.35<br />slip_toler: 0<br />slippage: 0.0600000000004<br />slippage_sweep: -0.77783783783707<br />sweep_residual: 13<br />sweep_to_fill: 5288.0878378378<br />total_dollar: 264365.5<br />total_drift: 0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.349462694302<br />worst_opt_t_minutes: 0.46959608287842
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.25<br />avg_total: 5287.31<br />destination_price: 5286.625<br />market_vwap: 201092.32983193<br />n_kids: 24<br />slippage: 0.0600000000004<br />slippage_vwap: -195805.01983193<br />slippage_vwap_pct: -3703.3012974827<br />total_dollar: 264365.5<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5287.3100
Computed VWAP Slippage
-195805.02
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model