Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5288.2500
Average Total
5288.4300
Destination Price
5288.7500
Slippage
0.1800
Slippage Sweep
-0.6033
Sweep to Fill
5289.0333
Algo Diagnostics
{ "customState": { "slippage_vwap_pct": { "asDouble": -4280.528786139714 }, "total_filled": { "asInt32": 50 }, "ready": { "asBool": true }, "curr_half_min_move": { "asDouble": 0.43223821157535264 }, "avg_total": { "asDouble": 5288.43 }, "sweep_to_fill": { "asDouble": 5289.033333333334 }, "last_tactical_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "init_vol_normal": { "asDouble": 41.094667337749 }, "algo_status": { "asInt32": 4 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 28 }, "init_cost_per_share": { "asDouble": 0.7833333333333333 }, "arrival_price": { "asDouble": 5288.25 }, "total_drift": { "asDouble": 0.5 }, "last_aggressive_qty": { "asInt32": 2 }, "drift": { "asDouble": 0.5 }, "total_vol": { "asDouble": 55.35993117275395 }, "slippage_sweep": { "asDouble": -0.6033333333334667 }, "impact_model": { "asInt32": 2 }, "slippage": { "asDouble": 0.18000000000029104 }, "total_dollar": { "asDouble": 264421.5 }, "init_min_duration": { "asDouble": 0 }, "model_size": { "asDouble": 3 }, "init_half_min_move": { "asDouble": 0.4320303818394756 }, "market_vwap": { "asDouble": 231661.1984848485 }, "slippage_vwap": { "asDouble": -226372.7684848485 }, "daily_vol_normal": { "asDouble": 41.114436072119936 }, "seconds_spent": { "asDouble": 56.184 }, "destination_price": { "asDouble": 5288.75 }, "init_liq_cost": { "asDouble": 35.25 }, "curr_opt_t_minutes": { "asDouble": 1.155248860869521 }, "worst_opt_t_minutes": { "asDouble": 0.6371961478232677 }, "n_kids": { "asInt32": 24 }, "curr_cost_per_share": { "asDouble": 0.7567567567567568 }, "slip_toler": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "init_opt_t_minutes": { "asDouble": 3.2874914894288385 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 5 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5288.25<br />avg_total: 5288.43<br />curr_cost_per_share: 0.75675675675676<br />curr_half_min_move: 0.43223821157535<br />curr_liq_cost: 28<br />curr_opt_t_minutes: 1.1552488608695<br />daily_vol_normal: 41.11443607212<br />destination_price: 5288.75<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.78333333333333<br />init_drift: 0<br />init_half_min_move: 0.43203038183948<br />init_liq_cost: 35.25<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2874914894288<br />init_vol_normal: 41.094667337749<br />last_aggressive_qty: 2<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 24<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 56.184<br />slip_toler: 0<br />slippage: 0.18000000000029<br />slippage_sweep: -0.60333333333347<br />sweep_residual: 5<br />sweep_to_fill: 5289.0333333333<br />total_dollar: 264421.5<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.359931172754<br />worst_opt_t_minutes: 0.63719614782327
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5288.25<br />avg_total: 5288.43<br />destination_price: 5288.75<br />market_vwap: 231661.19848485<br />n_kids: 24<br />slippage: 0.18000000000029<br />slippage_vwap: -226372.76848485<br />slippage_vwap_pct: -4280.5287861397<br />total_dollar: 264421.5<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5288.4300
Computed VWAP Slippage
-226372.77
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model