Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5285.6250
Average Total
5285.3000
Destination Price
5284.5000
Slippage
-0.3250
Slippage Sweep
-1.1167
Sweep to Fill
5286.4167
Algo Diagnostics
{ "customState": { "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "slippage": { "asDouble": -0.3249999999998181 }, "total_drift": { "asDouble": 1.125 }, "impact_model": { "asInt32": 2 }, "avg_total": { "asDouble": 5285.3 }, "drift": { "asDouble": 1.125 }, "slippage_vwap_pct": { "asDouble": -2924.29569406602 }, "init_half_min_move": { "asDouble": 0.42561508706551415 }, "model_size": { "asDouble": 3 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "last_aggressive_qty": { "asInt32": 3 }, "total_vol": { "asDouble": 55.33245141681797 }, "init_liq_cost": { "asDouble": 38 }, "last_tactical_qty": { "asInt32": 3 }, "curr_half_min_move": { "asDouble": 0.4260145785296887 }, "init_cost_per_share": { "asDouble": 0.7916666666666666 }, "economic_model": { "asInt32": 0 }, "slippage_vwap": { "asDouble": -154557.80031847136 }, "slippage_sweep": { "asDouble": -1.116666666666788 }, "seconds_spent": { "asDouble": 52.469 }, "total_dollar": { "asDouble": 264265 }, "daily_vol_normal": { "asDouble": 40.522444998356036 }, "market_vwap": { "asDouble": 159843.10031847135 }, "sweep_to_fill": { "asDouble": 5286.416666666667 }, "sweep_residual": { "asDouble": 2 }, "curr_cost_per_share": { "asDouble": 0.8452380952380952 }, "destination_price": { "asDouble": 5284.5 }, "arrival_price": { "asDouble": 5285.625 }, "init_vol_normal": { "asDouble": 40.484445428153066 }, "curr_opt_t_minutes": { "asDouble": 0 }, "ready": { "asBool": true }, "curr_liq_cost": { "asDouble": 17.75 }, "order_time_minutes": { "asDouble": 10 }, "total_filled": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.4597975747089342 }, "n_kids": { "asInt32": 29 }, "init_drift": { "asDouble": 0 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5285.625<br />avg_total: 5285.3<br />curr_cost_per_share: 0.8452380952381<br />curr_half_min_move: 0.42601457852969<br />curr_liq_cost: 17.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.522444998356<br />destination_price: 5284.5<br />drift: 1.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.79166666666667<br />init_drift: 0<br />init_half_min_move: 0.42561508706551<br />init_liq_cost: 38<br />init_min_duration: 0<br />init_opt_t_minutes: 3.4597975747089<br />init_vol_normal: 40.484445428153<br />last_aggressive_qty: 3<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 29<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 52.469<br />slip_toler: 0<br />slippage: -0.32499999999982<br />slippage_sweep: -1.1166666666668<br />sweep_residual: 2<br />sweep_to_fill: 5286.4166666667<br />total_dollar: 264265<br />total_drift: 1.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.332451416818<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.625<br />avg_total: 5285.3<br />destination_price: 5284.5<br />market_vwap: 159843.10031847<br />n_kids: 29<br />slippage: -0.32499999999982<br />slippage_vwap: -154557.80031847<br />slippage_vwap_pct: -2924.295694066<br />total_dollar: 264265<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5285.3000
Computed VWAP Slippage
-154557.80
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model