Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
63.2900
Market VWAP
2258.1324
Destination Price
63.4050
Slippage
2194.8098
SlippagePct
3466.0766
AggressivePct
45.8333
Algo Diagnostics
{ "customState": { "arrival_price": { "asDouble": 63.28999999999999 }, "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 2258.1324092409236 }, "destination_price": { "asDouble": 63.405 }, "total_dollar": { "asDouble": 31661.3 }, "avg_total": { "asDouble": 63.3226 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 45.833333333333336 }, "n_kids": { "asInt32": 72 }, "slippage_vwap": { "asDouble": 2194.8098092409236 }, "slippage": { "asDouble": -0.03260000000000929 }, "slippage_vwap_pct": { "asDouble": 3466.0765812536497 }, "total_sent": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.29<br />avg_total: 63.3226<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 63.405<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 72<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.032600000000009<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31661.3<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 45.833333333333<br />algo_status: 4<br />arrival_price: 63.29<br />avg_total: 63.3226<br />destination_price: 63.405<br />market_vwap: 2258.1324092409<br />n_kids: 72<br />slippage: -0.032600000000009<br />slippage_vwap: 2194.8098092409<br />slippage_vwap_pct: 3466.0765812536<br />total_dollar: 31661.3<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.3226
Computed VWAP Slippage
2194.81
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static