Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
62.9100
Market VWAP
2775.9042
Destination Price
62.9550
Slippage
2712.9615
SlippagePct
4310.2097
AggressivePct
29.0909
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 500 }, "slippage": { "asDouble": -0.032680000000013365 }, "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 31471.340000000004 }, "market_vwap": { "asDouble": 2775.9041954022964 }, "slippage_vwap": { "asDouble": 2712.9615154022963 }, "total_sent": { "asInt32": 500 }, "avg_total": { "asDouble": 62.94268000000001 }, "destination_price": { "asDouble": 62.955 }, "n_kids": { "asInt32": 55 }, "arrival_price": { "asDouble": 62.91 }, "aggressive_pct": { "asDouble": 29.09090909090909 }, "slippage_vwap_pct": { "asDouble": 4310.209726376913 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 62.91<br />avg_total: 62.94268<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: 62.955<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: 55<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.032680000000013<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31471.34<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 29.090909090909<br />algo_status: 4<br />arrival_price: 62.91<br />avg_total: 62.94268<br />destination_price: 62.955<br />market_vwap: 2775.9041954023<br />n_kids: 55<br />slippage: -0.032680000000013<br />slippage_vwap: 2712.9615154023<br />slippage_vwap_pct: 4310.2097263769<br />total_dollar: 31471.34<br />total_filled: 500<br />total_sent: 500
Computed Average Total
62.9427
Computed VWAP Slippage
2712.96
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static