Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
5290.2500
Average Total
5290.2000
Destination Price
5290.3750
Slippage
0.0500
Slippage Sweep
-0.8105
Sweep to Fill
5289.3895
Algo Diagnostics
{ "customState": { "init_liq_cost": { "asDouble": 37 }, "total_drift": { "asDouble": -0.125 }, "curr_half_min_move": { "asDouble": 0.43672313567958926 }, "total_vol": { "asDouble": 55.38086812965756 }, "slippage_sweep": { "asDouble": -0.8104651162784648 }, "total_dollar": { "asDouble": 264510 }, "seconds_spent": { "asDouble": 89.257 }, "daily_vol_normal": { "asDouble": 41.541041403240236 }, "total_sent": { "asInt32": 50 }, "impact_model": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 7 }, "init_half_min_move": { "asDouble": 0.4363176525718088 }, "drift": { "asDouble": -0.125 }, "avg_total": { "asDouble": 5290.2 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 1 }, "init_vol_normal": { "asDouble": 41.50247190876541 }, "curr_cost_per_share": { "asDouble": 0.7416666666666667 }, "slippage_vwap_pct": { "asDouble": 4211.2260738659525 }, "worst_opt_t_minutes": { "asDouble": 1.3533986205081112 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_vwap": { "asDouble": 222782.28175965665 }, "market_vwap": { "asDouble": 228072.48175965666 }, "init_cost_per_share": { "asDouble": 0.8604651162790697 }, "ready": { "asBool": true }, "init_opt_t_minutes": { "asDouble": 3.8892061949893995 }, "sweep_to_fill": { "asDouble": 5289.389534883721 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 5290.25 }, "slippage": { "asDouble": 0.0500000000001819 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 5290.375 }, "model_size": { "asDouble": 1 }, "n_kids": { "asInt32": 35 }, "init_drift": { "asDouble": -0 }, "curr_liq_cost": { "asDouble": 33.375 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "curr_opt_t_minutes": { "asDouble": 2.4054176234044076 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5290.25<br />avg_total: 5290.2<br />curr_cost_per_share: 0.74166666666667<br />curr_half_min_move: 0.43672313567959<br />curr_liq_cost: 33.375<br />curr_opt_t_minutes: 2.4054176234044<br />daily_vol_normal: 41.54104140324<br />destination_price: 5290.375<br />drift: -0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.86046511627907<br />init_drift: 0<br />init_half_min_move: 0.43631765257181<br />init_liq_cost: 37<br />init_min_duration: 0<br />init_opt_t_minutes: 3.8892061949894<br />init_vol_normal: 41.502471908765<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 35<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 89.257<br />slip_toler: 0<br />slippage: 0.050000000000182<br />slippage_sweep: -0.81046511627846<br />sweep_residual: 7<br />sweep_to_fill: 5289.3895348837<br />total_dollar: 264510<br />total_drift: -0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.380868129658<br />worst_opt_t_minutes: 1.3533986205081
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.25<br />avg_total: 5290.2<br />destination_price: 5290.375<br />market_vwap: 228072.48175966<br />n_kids: 35<br />slippage: 0.050000000000182<br />slippage_vwap: 222782.28175966<br />slippage_vwap_pct: 4211.226073866<br />total_dollar: 264510<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5290.2000
Computed VWAP Slippage
222782.28
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model