Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5523.0000
Market VWAP
161926.7058
Destination Price
5524.1250
Slippage
-156403.1738
SlippagePct
-2831.5790
AggressivePct
25.0000
Algo Diagnostics
{ "customState": { "total_dollar": { "asDouble": 2761766 }, "slippage_vwap": { "asDouble": -156403.17383190393 }, "n_kids": { "asInt32": 52 }, "algo_status": { "asInt32": 4 }, "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 161926.70583190394 }, "destination_price": { "asDouble": 5524.125 }, "avg_total": { "asDouble": 5523.532 }, "total_sent": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 25 }, "slippage_vwap_pct": { "asDouble": -2831.5790300826343 }, "slippage": { "asDouble": 0.5320000000001528 }, "arrival_price": { "asDouble": 5523 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5523<br />avg_total: 5523.532<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: 5524.125<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: 52<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.53200000000015<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2761766<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 25<br />algo_status: 4<br />arrival_price: 5523<br />avg_total: 5523.532<br />destination_price: 5524.125<br />market_vwap: 161926.7058319<br />n_kids: 52<br />slippage: 0.53200000000015<br />slippage_vwap: -156403.1738319<br />slippage_vwap_pct: -2831.5790300826<br />total_dollar: 2761766<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5523.5320
Computed VWAP Slippage
-156403.17
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static