Algo Type
VWAP
Algo Symbol
SIM:NQM5
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
19406.8750
Market VWAP
619206.3677
Destination Price
19425.3750
Slippage
-599784.9577
SlippagePct
-3088.2668
AggressivePct
31.5789
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 500 }, "market_vwap": { "asDouble": 619206.3676801802 }, "slippage": { "asDouble": 14.534999999999854 }, "total_filled": { "asInt32": 500 }, "destination_price": { "asDouble": 19425.375 }, "total_dollar": { "asDouble": 9710705 }, "avg_total": { "asDouble": 19421.41 }, "arrival_price": { "asDouble": 19406.875 }, "slippage_vwap": { "asDouble": -599784.9576801802 }, "aggressive_pct": { "asDouble": 31.57894736842105 }, "n_kids": { "asInt32": 57 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_pct": { "asDouble": -3088.266802874664 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 19406.875<br />avg_total: 19421.41<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: 19425.375<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: 14.535<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 9710705<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: 19406.875<br />avg_total: 19421.41<br />destination_price: 19425.375<br />market_vwap: 619206.36768018<br />n_kids: 57<br />slippage: 14.535<br />slippage_vwap: -599784.95768018<br />slippage_vwap_pct: -3088.2668028747<br />total_dollar: 9710705<br />total_filled: 500<br />total_sent: 500
Computed Average Total
19421.4100
Computed VWAP Slippage
-599784.96
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static