Algo Type
VWAP
Algo Symbol
SIM:NQM5
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
19462.5000
Market VWAP
548575.7341
Destination Price
19431.8750
Slippage
529131.5621
SlippagePct
2721.2862
AggressivePct
31.5789
Algo Diagnostics
{ "customState": { "destination_price": { "asDouble": 19431.875 }, "market_vwap": { "asDouble": 548575.7340651558 }, "slippage_vwap_pct": { "asDouble": 2721.286162584634 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 31.57894736842105 }, "slippage_vwap": { "asDouble": 529131.5620651558 }, "slippage": { "asDouble": 18.32800000000134 }, "total_dollar": { "asDouble": 9722086 }, "n_kids": { "asInt32": 57 }, "total_sent": { "asInt32": 500 }, "avg_total": { "asDouble": 19444.172 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 19462.5 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 19462.5<br />avg_total: 19444.172<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: 19431.875<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: 57<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 18.328000000001<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 9722086<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 31.578947368421<br />algo_status: 4<br />arrival_price: 19462.5<br />avg_total: 19444.172<br />destination_price: 19431.875<br />market_vwap: 548575.73406516<br />n_kids: 57<br />slippage: 18.328000000001<br />slippage_vwap: 529131.56206516<br />slippage_vwap_pct: 2721.2861625846<br />total_dollar: 9722086<br />total_filled: 500<br />total_sent: 500
Computed Average Total
19444.1720
Computed VWAP Slippage
529131.56
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static