Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
5287.8750
Average Total
5287.7300
Destination Price
5287.2500
Slippage
0.1450
Slippage Sweep
-0.7773
Sweep to Fill
5286.9527
Algo Diagnostics
{ "customState": { "init_opt_t_minutes": { "asDouble": 4.273288912345437 }, "slippage": { "asDouble": 0.14500000000043656 }, "daily_vol_normal": { "asDouble": 42.45037407186288 }, "init_drift": { "asDouble": -0 }, "curr_half_min_move": { "asDouble": 0.44628299746932754 }, "worst_opt_t_minutes": { "asDouble": 0.7532479517522683 }, "total_vol": { "asDouble": 55.35600549333453 }, "economic_model": { "asInt32": 0 }, "slippage_sweep": { "asDouble": -0.777297297297082 }, "total_drift": { "asDouble": -0.625 }, "sweep_residual": { "asDouble": 13 }, "arrival_price": { "asDouble": 5287.875 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.9222972972972973 }, "slippage_vwap_pct": { "asDouble": 5193.9714452054 }, "total_dollar": { "asDouble": 264386.5 }, "curr_opt_t_minutes": { "asDouble": 1.280868082423112 }, "init_vol_normal": { "asDouble": 42.43859409995922 }, "destination_price": { "asDouble": 5287.25 }, "seconds_spent": { "asDouble": 49.946 }, "last_tactical_qty": { "asInt32": 2 }, "curr_cost_per_share": { "asDouble": 0.877906976744186 }, "avg_total": { "asDouble": 5287.73 }, "sweep_to_fill": { "asDouble": 5286.9527027027025 }, "order_time_minutes": { "asDouble": 10 }, "init_min_duration": { "asDouble": 0 }, "drift": { "asDouble": -0.625 }, "last_aggressive_qty": { "asInt32": 3 }, "init_half_min_move": { "asDouble": 0.4461591540100833 }, "n_kids": { "asInt32": 27 }, "curr_liq_cost": { "asDouble": 37.75 }, "model_size": { "asDouble": 2 }, "slippage_vwap": { "asDouble": 274643.1862995595 }, "market_vwap": { "asDouble": 279930.91629955947 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "algo_status": { "asInt32": 4 }, "impact_model": { "asInt32": 2 }, "init_liq_cost": { "asDouble": 34.125 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5287.875<br />avg_total: 5287.73<br />curr_cost_per_share: 0.87790697674419<br />curr_half_min_move: 0.44628299746933<br />curr_liq_cost: 37.75<br />curr_opt_t_minutes: 1.2808680824231<br />daily_vol_normal: 42.450374071863<br />destination_price: 5287.25<br />drift: -0.625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.9222972972973<br />init_drift: 0<br />init_half_min_move: 0.44615915401008<br />init_liq_cost: 34.125<br />init_min_duration: 0<br />init_opt_t_minutes: 4.2732889123454<br />init_vol_normal: 42.438594099959<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: 27<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 49.946<br />slip_toler: 0<br />slippage: 0.14500000000044<br />slippage_sweep: -0.77729729729708<br />sweep_residual: 13<br />sweep_to_fill: 5286.9527027027<br />total_dollar: 264386.5<br />total_drift: -0.625<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.356005493335<br />worst_opt_t_minutes: 0.75324795175227
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5287.875<br />avg_total: 5287.73<br />destination_price: 5287.25<br />market_vwap: 279930.91629956<br />n_kids: 27<br />slippage: 0.14500000000044<br />slippage_vwap: 274643.18629956<br />slippage_vwap_pct: 5193.9714452054<br />total_dollar: 264386.5<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5287.7300
Computed VWAP Slippage
274643.19
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model