Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5285.2500
Average Total
5286.8300
Destination Price
5287.0000
Slippage
1.5800
Slippage Sweep
0.7050
Sweep to Fill
5286.1250
Algo Diagnostics
{ "customState": { "last_tactical_qty": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 19.25 }, "total_drift": { "asDouble": 1.75 }, "init_cost_per_share": { "asDouble": 0.875 }, "seconds_spent": { "asDouble": 18.609 }, "impact_model": { "asInt32": 2 }, "market_vwap": { "asDouble": 208339.39252336448 }, "destination_price": { "asDouble": 5287 }, "sweep_to_fill": { "asDouble": 5286.125 }, "slippage": { "asDouble": 1.5799999999999272 }, "last_aggressive_qty": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 40.72995299081647 }, "model_size": { "asDouble": 4 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "curr_cost_per_share": { "asDouble": 0.8804347826086957 }, "init_half_min_move": { "asDouble": 0.4281961208811722 }, "n_kids": { "asInt32": 18 }, "daily_vol_normal": { "asDouble": 40.733596814268296 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.7049999999999272 }, "drift": { "asDouble": 1.75 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -203052.5625233645 }, "total_vol": { "asDouble": 55.328525737398536 }, "total_sent": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 4.175713069226069 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 28 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": -3840.7242624287996 }, "arrival_price": { "asDouble": 5285.25 }, "curr_liq_cost": { "asDouble": 40.5 }, "curr_half_min_move": { "asDouble": 0.4282344285872381 }, "total_dollar": { "asDouble": 264341.5 }, "avg_total": { "asDouble": 5286.83 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5285.25<br />avg_total: 5286.83<br />curr_cost_per_share: 0.8804347826087<br />curr_half_min_move: 0.42823442858724<br />curr_liq_cost: 40.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 40.733596814268<br />destination_price: 5287<br />drift: 1.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.875<br />init_drift: 0<br />init_half_min_move: 0.42819612088117<br />init_liq_cost: 19.25<br />init_min_duration: 0<br />init_opt_t_minutes: 4.1757130692261<br />init_vol_normal: 40.729952990816<br />last_aggressive_qty: 4<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 18.609<br />slip_toler: 0<br />slippage: 1.5799999999999<br />slippage_sweep: 0.70499999999993<br />sweep_residual: 28<br />sweep_to_fill: 5286.125<br />total_dollar: 264341.5<br />total_drift: 1.75<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.328525737399<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5285.25<br />avg_total: 5286.83<br />destination_price: 5287<br />market_vwap: 208339.39252336<br />n_kids: 18<br />slippage: 1.5799999999999<br />slippage_vwap: -203052.56252336<br />slippage_vwap_pct: -3840.7242624288<br />total_dollar: 264341.5<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5286.8300
Computed VWAP Slippage
-203052.56
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model