Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
5290.7500
Average Total
5290.8200
Destination Price
5291.2500
Slippage
-0.0700
Slippage Sweep
-0.9606
Sweep to Fill
5289.8594
Algo Diagnostics
{ "customState": { "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "slippage": { "asDouble": -0.06999999999970896 }, "model_size": { "asDouble": 2 }, "worst_opt_t_minutes": { "asDouble": 0.9023833863284468 }, "drift": { "asDouble": -0.5 }, "n_kids": { "asInt32": 28 }, "init_half_min_move": { "asDouble": 0.447221407329692 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.960624999999709 }, "daily_vol_normal": { "asDouble": 42.57304512051592 }, "total_vol": { "asDouble": 55.38610236888346 }, "curr_liq_cost": { "asDouble": 26 }, "curr_half_min_move": { "asDouble": 0.4475726446041892 }, "last_tactical_qty": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 3.9659259000545735 }, "market_vwap": { "asDouble": 229319.79555555555 }, "arrival_price": { "asDouble": 5290.75 }, "total_drift": { "asDouble": -0.5 }, "init_liq_cost": { "asDouble": 28.5 }, "init_vol_normal": { "asDouble": 42.53963548184508 }, "curr_opt_t_minutes": { "asDouble": 1.5272961920955328 }, "destination_price": { "asDouble": 5291.25 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.890625 }, "slippage_vwap_pct": { "asDouble": 4234.295923043225 }, "curr_cost_per_share": { "asDouble": 0.8387096774193549 }, "total_sent": { "asInt32": 50 }, "total_dollar": { "asDouble": 264541 }, "avg_total": { "asDouble": 5290.82 }, "sweep_to_fill": { "asDouble": 5289.859375 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 18 }, "last_aggressive_qty": { "asInt32": 2 }, "init_drift": { "asDouble": -0 }, "slippage_vwap": { "asDouble": 224028.97555555555 }, "economic_model": { "asInt32": 0 }, "seconds_spent": { "asDouble": 56.639 }, "impact_model": { "asInt32": 2 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5290.75<br />avg_total: 5290.82<br />curr_cost_per_share: 0.83870967741935<br />curr_half_min_move: 0.44757264460419<br />curr_liq_cost: 26<br />curr_opt_t_minutes: 1.5272961920955<br />daily_vol_normal: 42.573045120516<br />destination_price: 5291.25<br />drift: -0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.890625<br />init_drift: 0<br />init_half_min_move: 0.44722140732969<br />init_liq_cost: 28.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.9659259000546<br />init_vol_normal: 42.539635481845<br />last_aggressive_qty: 2<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 56.639<br />slip_toler: 0<br />slippage: -0.069999999999709<br />slippage_sweep: -0.96062499999971<br />sweep_residual: 18<br />sweep_to_fill: 5289.859375<br />total_dollar: 264541<br />total_drift: -0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.386102368883<br />worst_opt_t_minutes: 0.90238338632845
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5290.75<br />avg_total: 5290.82<br />destination_price: 5291.25<br />market_vwap: 229319.79555556<br />n_kids: 28<br />slippage: -0.069999999999709<br />slippage_vwap: 224028.97555556<br />slippage_vwap_pct: 4234.2959230432<br />total_dollar: 264541<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5290.8200
Computed VWAP Slippage
224028.98
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model