Algo Type
ArrivalAI
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5293.0000
Average Total
5293.4700
Destination Price
5293.5000
Slippage
0.4700
Slippage Sweep
-0.2850
Sweep to Fill
5293.7550
Algo Diagnostics
{ "customState": { "total_dollar": { "asDouble": 264673.5 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "avg_total": { "asDouble": 5293.47 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "total_drift": { "asDouble": 0.5 }, "init_opt_t_minutes": { "asDouble": 2.806330002533986 }, "slippage": { "asDouble": 0.47000000000025466 }, "curr_opt_t_minutes": { "asDouble": 0.44605375298164746 }, "impact_model": { "asInt32": 2 }, "drift": { "asDouble": 0.5 }, "sweep_to_fill": { "asDouble": 5293.755 }, "order_time_minutes": { "asDouble": 10 }, "sweep_residual": { "asDouble": 0 }, "seconds_spent": { "asDouble": 44.982 }, "worst_opt_t_minutes": { "asDouble": 0.2674873831733556 }, "arrival_price": { "asDouble": 5293 }, "daily_vol_normal": { "asDouble": 42.90851747731964 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 42.869533951902575 }, "total_filled": { "asInt32": 50 }, "slippage_vwap_pct": { "asDouble": -3036.5533660885944 }, "algo_status": { "asInt32": 4 }, "last_aggressive_qty": { "asInt32": 2 }, "destination_price": { "asDouble": 5293.5 }, "n_kids": { "asInt32": 22 }, "init_drift": { "asDouble": 0 }, "total_vol": { "asDouble": 55.409656445400024 }, "last_tactical_qty": { "asInt32": 3 }, "model_size": { "asDouble": 5 }, "init_cost_per_share": { "asDouble": 0.755 }, "curr_cost_per_share": { "asDouble": 0.615 }, "curr_half_min_move": { "asDouble": 0.45109948299456515 }, "curr_liq_cost": { "asDouble": 30.75 }, "slippage_vwap": { "asDouble": -160739.0414678899 }, "slippage_sweep": { "asDouble": -0.2849999999998545 }, "init_half_min_move": { "asDouble": 0.4506896471578868 }, "market_vwap": { "asDouble": 166032.5114678899 }, "init_liq_cost": { "asDouble": 37.75 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5293<br />avg_total: 5293.47<br />curr_cost_per_share: 0.615<br />curr_half_min_move: 0.45109948299457<br />curr_liq_cost: 30.75<br />curr_opt_t_minutes: 0.44605375298165<br />daily_vol_normal: 42.90851747732<br />destination_price: 5293.5<br />drift: 0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.755<br />init_drift: 0<br />init_half_min_move: 0.45068964715789<br />init_liq_cost: 37.75<br />init_min_duration: 0<br />init_opt_t_minutes: 2.806330002534<br />init_vol_normal: 42.869533951903<br />last_aggressive_qty: 2<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 5<br />n_kids: 22<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 44.982<br />slip_toler: 0<br />slippage: 0.47000000000025<br />slippage_sweep: -0.28499999999985<br />sweep_residual: 0<br />sweep_to_fill: 5293.755<br />total_dollar: 264673.5<br />total_drift: 0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 55.4096564454<br />worst_opt_t_minutes: 0.26748738317336
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5293<br />avg_total: 5293.47<br />destination_price: 5293.5<br />market_vwap: 166032.51146789<br />n_kids: 22<br />slippage: 0.47000000000025<br />slippage_vwap: -160739.04146789<br />slippage_vwap_pct: -3036.5533660886<br />total_dollar: 264673.5<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5293.4700
Computed VWAP Slippage
-160739.04
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model