Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
63.2150
Market VWAP
2633.0325
Destination Price
63.1050
Slippage
2569.8657
SlippagePct
4068.3843
AggressivePct
37.0968
Algo Diagnostics
{ "customState": { "slippage_vwap": { "asDouble": 2569.865730588233 }, "n_kids": { "asInt32": 62 }, "arrival_price": { "asDouble": 63.214999999999996 }, "aggressive_pct": { "asDouble": 37.096774193548384 }, "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 31583.37000000001 }, "market_vwap": { "asDouble": 2633.032470588233 }, "slippage_vwap_pct": { "asDouble": 4068.3842962106833 }, "slippage": { "asDouble": 0.048259999999977765 }, "destination_price": { "asDouble": 63.105 }, "avg_total": { "asDouble": 63.16674000000002 }, "total_sent": { "asInt32": 500 }, "total_filled": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.215<br />avg_total: 63.16674<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: 63.105<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: 62<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.048259999999978<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31583.37<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 37.096774193548<br />algo_status: 4<br />arrival_price: 63.215<br />avg_total: 63.16674<br />destination_price: 63.105<br />market_vwap: 2633.0324705882<br />n_kids: 62<br />slippage: 0.048259999999978<br />slippage_vwap: 2569.8657305882<br />slippage_vwap_pct: 4068.3842962107<br />total_dollar: 31583.37<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.1667
Computed VWAP Slippage
2569.87
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static