Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5523.2500
Market VWAP
154022.5637
Destination Price
5522.7500
Slippage
-148499.6107
SlippagePct
-2688.7719
AggressivePct
17.0213
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_pct": { "asDouble": -2688.771943973075 }, "slippage": { "asDouble": -0.2969999999995707 }, "total_filled": { "asInt32": 500 }, "slippage_vwap": { "asDouble": -148499.61074281926 }, "market_vwap": { "asDouble": 154022.56374281927 }, "aggressive_pct": { "asDouble": 17.02127659574468 }, "arrival_price": { "asDouble": 5523.25 }, "total_dollar": { "asDouble": 2761476.5 }, "destination_price": { "asDouble": 5522.75 }, "avg_total": { "asDouble": 5522.953 }, "n_kids": { "asInt32": 47 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5523.25<br />avg_total: 5522.953<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: 5522.75<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: 47<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.29699999999957<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2761476.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 17.021276595745<br />algo_status: 4<br />arrival_price: 5523.25<br />avg_total: 5522.953<br />destination_price: 5522.75<br />market_vwap: 154022.56374282<br />n_kids: 47<br />slippage: -0.29699999999957<br />slippage_vwap: -148499.61074282<br />slippage_vwap_pct: -2688.7719439731<br />total_dollar: 2761476.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5522.9530
Computed VWAP Slippage
-148499.61
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static