Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5292.7500
Average Total
5293.2100
Destination Price
5293.1250
Slippage
0.4600
Slippage Sweep
-0.4900
Sweep to Fill
5293.7000
Algo Diagnostics
{ "customState": { "init_opt_t_minutes": { "asDouble": 4.446227049958975 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 5292.75 }, "total_vol": { "asDouble": 55.40703932578707 }, "sweep_to_fill": { "asDouble": 5293.7 }, "algo_status": { "asInt32": 4 }, "worst_opt_t_minutes": { "asDouble": 0.5632085096022919 }, "model_size": { "asDouble": 1 }, "init_cost_per_share": { "asDouble": 0.95 }, "curr_cost_per_share": { "asDouble": 0.65 }, "daily_vol_normal": { "asDouble": 42.86678021932122 }, "slippage": { "asDouble": 0.4600000000000364 }, "market_vwap": { "asDouble": 243261.60763888888 }, "init_half_min_move": { "asDouble": 0.4505342240927427 }, "slippage_sweep": { "asDouble": -0.4899999999997817 }, "total_drift": { "asDouble": 0.375 }, "total_sent": { "asInt32": 50 }, "sweep_residual": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "init_vol_normal": { "asDouble": 42.854750132460254 }, "init_drift": { "asDouble": 0 }, "curr_opt_t_minutes": { "asDouble": 0.9409301135470607 }, "avg_total": { "asDouble": 5293.21 }, "init_min_duration": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "seconds_spent": { "asDouble": 34.05 }, "drift": { "asDouble": 0.375 }, "last_tactical_qty": { "asInt32": 1 }, "total_dollar": { "asDouble": 264660.5 }, "slippage_vwap": { "asDouble": -237968.39763888888 }, "curr_half_min_move": { "asDouble": 0.45066069702358275 }, "destination_price": { "asDouble": 5293.125 }, "n_kids": { "asInt32": 26 }, "economic_model": { "asInt32": 0 }, "total_filled": { "asInt32": 50 }, "ready": { "asBool": true }, "slippage_vwap_pct": { "asDouble": -4495.729389895524 }, "curr_liq_cost": { "asDouble": 32.5 }, "impact_model": { "asInt32": 2 }, "init_liq_cost": { "asDouble": 47.5 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5292.75<br />avg_total: 5293.21<br />curr_cost_per_share: 0.65<br />curr_half_min_move: 0.45066069702358<br />curr_liq_cost: 32.5<br />curr_opt_t_minutes: 0.94093011354706<br />daily_vol_normal: 42.866780219321<br />destination_price: 5293.125<br />drift: 0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.95<br />init_drift: 0<br />init_half_min_move: 0.45053422409274<br />init_liq_cost: 47.5<br />init_min_duration: 0<br />init_opt_t_minutes: 4.446227049959<br />init_vol_normal: 42.85475013246<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 34.05<br />slip_toler: 0<br />slippage: 0.46000000000004<br />slippage_sweep: -0.48999999999978<br />sweep_residual: 0<br />sweep_to_fill: 5293.7<br />total_dollar: 264660.5<br />total_drift: 0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.407039325787<br />worst_opt_t_minutes: 0.56320850960229
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5292.75<br />avg_total: 5293.21<br />destination_price: 5293.125<br />market_vwap: 243261.60763889<br />n_kids: 26<br />slippage: 0.46000000000004<br />slippage_vwap: -237968.39763889<br />slippage_vwap_pct: -4495.7293898955<br />total_dollar: 264660.5<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5293.2100
Computed VWAP Slippage
-237968.40
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model