Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
63.0850
Market VWAP
2142.3401
Destination Price
62.9750
Slippage
2079.3250
SlippagePct
3299.7218
AggressivePct
15.2174
Algo Diagnostics
{ "customState": { "market_vwap": { "asDouble": 2142.3401233721656 }, "slippage_vwap_pct": { "asDouble": 3299.721786586221 }, "avg_total": { "asDouble": 63.01516000000001 }, "total_sent": { "asInt32": 500 }, "total_dollar": { "asDouble": 31507.580000000005 }, "n_kids": { "asInt32": 46 }, "destination_price": { "asDouble": 62.974999999999994 }, "arrival_price": { "asDouble": 63.084999999999994 }, "slippage": { "asDouble": 0.06983999999998503 }, "aggressive_pct": { "asDouble": 15.217391304347826 }, "algo_status": { "asInt32": 4 }, "slippage_vwap": { "asDouble": 2079.3249633721657 }, "total_filled": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.085<br />avg_total: 63.01516<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: 62.975<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: 46<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.069839999999985<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31507.58<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 15.217391304348<br />algo_status: 4<br />arrival_price: 63.085<br />avg_total: 63.01516<br />destination_price: 62.975<br />market_vwap: 2142.3401233722<br />n_kids: 46<br />slippage: 0.069839999999985<br />slippage_vwap: 2079.3249633722<br />slippage_vwap_pct: 3299.7217865862<br />total_dollar: 31507.58<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.0152
Computed VWAP Slippage
2079.33
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static