Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5294.2500
Average Total
5293.7000
Destination Price
5293.2500
Slippage
-0.5500
Slippage Sweep
-1.3603
Sweep to Fill
5295.0603
Algo Diagnostics
{ "customState": { "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 55.42274204346478 }, "init_vol_normal": { "asDouble": 43.01431647062831 }, "sweep_residual": { "asDouble": 21 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage": { "asDouble": -0.5500000000001819 }, "curr_opt_t_minutes": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_half_min_move": { "asDouble": 0.45359567915475435 }, "total_filled": { "asInt32": 50 }, "order_time_minutes": { "asDouble": 10 }, "seconds_spent": { "asDouble": 16.672 }, "ready": { "asBool": true }, "avg_total": { "asDouble": 5293.7 }, "impact_model": { "asInt32": 2 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_drift": { "asDouble": 0 }, "total_drift": { "asDouble": 1 }, "slippage_vwap": { "asDouble": -82363.66029411765 }, "total_dollar": { "asDouble": 264685 }, "model_size": { "asDouble": 1 }, "curr_cost_per_share": { "asDouble": 0.8448275862068966 }, "n_kids": { "asInt32": 20 }, "slippage_vwap_pct": { "asDouble": -1555.880769482926 }, "curr_liq_cost": { "asDouble": 24.5 }, "market_vwap": { "asDouble": 87657.36029411765 }, "arrival_price": { "asDouble": 5294.25 }, "economic_model": { "asInt32": 0 }, "init_opt_t_minutes": { "asDouble": 3.2111163150672613 }, "daily_vol_normal": { "asDouble": 43.14595529448422 }, "drift": { "asDouble": 1 }, "init_min_duration": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 23.5 }, "slippage_sweep": { "asDouble": -1.360344827586232 }, "total_sent": { "asInt32": 50 }, "destination_price": { "asDouble": 5293.25 }, "last_tactical_qty": { "asInt32": 1 }, "init_half_min_move": { "asDouble": 0.45221175333129043 }, "sweep_to_fill": { "asDouble": 5295.060344827586 }, "init_cost_per_share": { "asDouble": 0.8103448275862069 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5294.25<br />avg_total: 5293.7<br />curr_cost_per_share: 0.8448275862069<br />curr_half_min_move: 0.45359567915475<br />curr_liq_cost: 24.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 43.145955294484<br />destination_price: 5293.25<br />drift: 1<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.81034482758621<br />init_drift: 0<br />init_half_min_move: 0.45221175333129<br />init_liq_cost: 23.5<br />init_min_duration: 0<br />init_opt_t_minutes: 3.2111163150673<br />init_vol_normal: 43.014316470628<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 16.672<br />slip_toler: 0<br />slippage: -0.55000000000018<br />slippage_sweep: -1.3603448275862<br />sweep_residual: 21<br />sweep_to_fill: 5295.0603448276<br />total_dollar: 264685<br />total_drift: 1<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.422742043465<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5294.25<br />avg_total: 5293.7<br />destination_price: 5293.25<br />market_vwap: 87657.360294118<br />n_kids: 20<br />slippage: -0.55000000000018<br />slippage_vwap: -82363.660294118<br />slippage_vwap_pct: -1555.8807694829<br />total_dollar: 264685<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5293.7000
Computed VWAP Slippage
-82363.66
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model