Algo Type
ArrivalPrice
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
5533.8750
Average Total
5539.0000
Destination Price
5542.1250
Slippage
5.1250
Slippage Sweep
4.3714
Sweep to Fill
5534.6286
Algo Diagnostics
{ "customState": { "market_vwap": { "asDouble": 128905.1196143617 }, "init_liq_cost": { "asDouble": 26.375 }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.12012773233167254 }, "slippage_vwap_pct": { "asDouble": -2227.2272903838543 }, "destination_price": { "asDouble": 5542.125 }, "curr_cost_per_share": { "asDouble": 0.7122093023255814 }, "slippage": { "asDouble": 5.125 }, "total_vol": { "asDouble": 11.426532497991023 }, "sweep_residual": { "asDouble": 15 }, "slippage_sweep": { "asDouble": 4.371428571428623 }, "last_tactical_qty": { "asInt32": 1 }, "impact_model": { "asInt32": 2 }, "avg_total": { "asDouble": 5539 }, "arrival_price": { "asDouble": 5533.875 }, "sweep_to_fill": { "asDouble": 5534.628571428571 }, "model_size": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 11.426532497991023 }, "init_drift": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 586.097 }, "total_sent": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 39.35159048739729 }, "init_cost_per_share": { "asDouble": 0.7535714285714286 }, "init_half_min_move": { "asDouble": 0.12012773233167254 }, "n_kids": { "asInt32": 50 }, "slippage_vwap": { "asDouble": -123366.1196143617 }, "drift": { "asDouble": -0.125 }, "total_dollar": { "asDouble": 276950 }, "daily_vol_normal": { "asDouble": 11.426532497991023 }, "curr_liq_cost": { "asDouble": 30.625 }, "algo_status": { "asInt32": 4 }, "total_drift": { "asDouble": -0.125 }, "init_min_duration": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "worst_opt_t_minutes": { "asDouble": 10 }, "curr_opt_t_minutes": { "asDouble": 10 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5533.875<br />avg_total: 5539<br />curr_cost_per_share: 0.71220930232558<br />curr_half_min_move: 0.12012773233167<br />curr_liq_cost: 30.625<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 11.426532497991<br />destination_price: 5542.125<br />drift: -0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.75357142857143<br />init_drift: 0<br />init_half_min_move: 0.12012773233167<br />init_liq_cost: 26.375<br />init_min_duration: 0<br />init_opt_t_minutes: 39.351590487397<br />init_vol_normal: 11.426532497991<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 0<br />n_kids: 50<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 586.097<br />slip_toler: 0<br />slippage: 5.125<br />slippage_sweep: 4.3714285714286<br />sweep_residual: 15<br />sweep_to_fill: 5534.6285714286<br />total_dollar: 276950<br />total_drift: -0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.426532497991<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 5533.875<br />avg_total: 5539<br />destination_price: 5542.125<br />market_vwap: 128905.11961436<br />n_kids: 50<br />slippage: 5.125<br />slippage_vwap: -123366.11961436<br />slippage_vwap_pct: -2227.2272903839<br />total_dollar: 276950<br />total_filled: 50<br />total_sent: 50
Computed Average Total
5539.0000
Computed VWAP Slippage
-123366.12
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model