Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5292.8750
Average Total
5293.3700
Destination Price
5292.6250
Slippage
0.4950
Slippage Sweep
-0.1250
Sweep to Fill
5293.4950
Algo Diagnostics
{ "customState": { "init_half_min_move": { "asDouble": 0.43485886467898927 }, "drift": { "asDouble": 0.25 }, "seconds_spent": { "asDouble": 79.826 }, "curr_liq_cost": { "asDouble": 21 }, "ready": { "asBool": true }, "init_vol_normal": { "asDouble": 41.36371221571672 }, "slippage_sweep": { "asDouble": -0.125 }, "sweep_to_fill": { "asDouble": 5293.495 }, "worst_opt_t_minutes": { "asDouble": 1.1217610461354277 }, "destination_price": { "asDouble": 5292.625 }, "total_sent": { "asInt32": 50 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 264668.5 }, "impact_model": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage": { "asDouble": 0.49499999999989086 }, "n_kids": { "asInt32": 35 }, "slip_toler": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "init_cost_per_share": { "asDouble": 0.62 }, "avg_total": { "asDouble": 5293.37 }, "last_tactical_qty": { "asInt32": 2 }, "arrival_price": { "asDouble": 5292.875 }, "total_vol": { "asDouble": 55.40834788559355 }, "init_liq_cost": { "asDouble": 31 }, "init_opt_t_minutes": { "asDouble": 2.0327628899377808 }, "model_size": { "asDouble": 2 }, "market_vwap": { "asDouble": 219725.4356060606 }, "daily_vol_normal": { "asDouble": 41.42146016212195 }, "slippage_vwap_pct": { "asDouble": -4050.955546392197 }, "curr_half_min_move": { "asDouble": 0.4354659718525515 }, "curr_opt_t_minutes": { "asDouble": 2.0072429819173334 }, "total_drift": { "asDouble": 0.25 }, "init_min_duration": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.75 }, "slippage_vwap": { "asDouble": -214432.0656060606 }, "init_drift": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5292.875<br />avg_total: 5293.37<br />curr_cost_per_share: 0.75<br />curr_half_min_move: 0.43546597185255<br />curr_liq_cost: 21<br />curr_opt_t_minutes: 2.0072429819173<br />daily_vol_normal: 41.421460162122<br />destination_price: 5292.625<br />drift: 0.25<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.62<br />init_drift: 0<br />init_half_min_move: 0.43485886467899<br />init_liq_cost: 31<br />init_min_duration: 0<br />init_opt_t_minutes: 2.0327628899378<br />init_vol_normal: 41.363712215717<br />last_aggressive_qty: 3<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 35<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 79.826<br />slip_toler: 0<br />slippage: 0.49499999999989<br />slippage_sweep: -0.125<br />sweep_residual: 0<br />sweep_to_fill: 5293.495<br />total_dollar: 264668.5<br />total_drift: 0.25<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.408347885594<br />worst_opt_t_minutes: 1.1217610461354
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292.875<br />avg_total: 5293.37<br />destination_price: 5292.625<br />market_vwap: 219725.43560606<br />n_kids: 35<br />slippage: 0.49499999999989<br />slippage_vwap: -214432.06560606<br />slippage_vwap_pct: -4050.9555463922<br />total_dollar: 264668.5<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5293.3700
Computed VWAP Slippage
-214432.07
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model