Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5283.5000
Average Total
5284.2250
Destination Price
5284.2500
Slippage
0.7250
Slippage Sweep
-0.0731
Sweep to Fill
5284.2981
Algo Diagnostics
{ "customState": { "init_drift": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 24 }, "market_vwap": { "asDouble": 139394.16549295775 }, "total_sent": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "total_dollar": { "asDouble": 264211.25 }, "curr_cost_per_share": { "asDouble": 0.695 }, "arrival_price": { "asDouble": 5283.5 }, "slippage_sweep": { "asDouble": -0.07307692307676916 }, "init_opt_t_minutes": { "asDouble": 3.571660328619257 }, "avg_total": { "asDouble": 5284.225 }, "daily_vol_normal": { "asDouble": 40.20266490666005 }, "init_cost_per_share": { "asDouble": 0.7980769230769231 }, "init_vol_normal": { "asDouble": 40.16806011355005 }, "economic_model": { "asInt32": 0 }, "order_time_minutes": { "asDouble": 10 }, "init_liq_cost": { "asDouble": 20.75 }, "init_min_duration": { "asDouble": 0 }, "total_vol": { "asDouble": 55.31020590010788 }, "slippage": { "asDouble": 0.7250000000003638 }, "slippage_vwap": { "asDouble": -134109.94049295774 }, "init_half_min_move": { "asDouble": 0.42228891174566224 }, "slippage_vwap_pct": { "asDouble": -2537.9301693807083 }, "worst_opt_t_minutes": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "last_tactical_qty": { "asInt32": 7 }, "ready": { "asBool": true }, "destination_price": { "asDouble": 5284.25 }, "model_size": { "asDouble": 7 }, "drift": { "asDouble": 0.75 }, "total_drift": { "asDouble": 0.75 }, "total_filled": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 34.75 }, "seconds_spent": { "asDouble": 44.183 }, "last_aggressive_qty": { "asInt32": 3 }, "n_kids": { "asInt32": 24 }, "sweep_to_fill": { "asDouble": 5284.298076923077 }, "curr_half_min_move": { "asDouble": 0.4226527137411356 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5283.5<br />avg_total: 5284.225<br />curr_cost_per_share: 0.695<br />curr_half_min_move: 0.42265271374114<br />curr_liq_cost: 34.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.20266490666<br />destination_price: 5284.25<br />drift: 0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79807692307692<br />init_drift: 0<br />init_half_min_move: 0.42228891174566<br />init_liq_cost: 20.75<br />init_min_duration: 0<br />init_opt_t_minutes: 3.5716603286193<br />init_vol_normal: 40.16806011355<br />last_aggressive_qty: 3<br />last_tactical_qty: 7<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 7<br />n_kids: 24<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 44.183<br />slip_toler: 0<br />slippage: 0.72500000000036<br />slippage_sweep: -0.073076923076769<br />sweep_residual: 24<br />sweep_to_fill: 5284.2980769231<br />total_dollar: 264211.25<br />total_drift: 0.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.310205900108<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5283.5<br />avg_total: 5284.225<br />destination_price: 5284.25<br />market_vwap: 139394.16549296<br />n_kids: 24<br />slippage: 0.72500000000036<br />slippage_vwap: -134109.94049296<br />slippage_vwap_pct: -2537.9301693807<br />total_dollar: 264211.25<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5284.2250
Computed VWAP Slippage
-134109.94
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model