Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5526.6250
Market VWAP
114263.4197
Destination Price
5520.3750
Slippage
-108737.6252
SlippagePct
-1967.8188
AggressivePct
30.3571
Algo Diagnostics
{ "customState": { "destination_price": { "asDouble": 5520.375 }, "arrival_price": { "asDouble": 5526.625 }, "slippage": { "asDouble": -0.8305000000000291 }, "avg_total": { "asDouble": 5525.7945 }, "total_dollar": { "asDouble": 2762897.25 }, "market_vwap": { "asDouble": 114263.41971584274 }, "aggressive_pct": { "asDouble": 30.357142857142858 }, "slippage_vwap_pct": { "asDouble": -1967.8188397314223 }, "total_sent": { "asInt32": 500 }, "total_filled": { "asInt32": 500 }, "slippage_vwap": { "asDouble": -108737.62521584274 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 56 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5526.625<br />avg_total: 5525.7945<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: 5520.375<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: 56<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.83050000000003<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2762897.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 30.357142857143<br />algo_status: 4<br />arrival_price: 5526.625<br />avg_total: 5525.7945<br />destination_price: 5520.375<br />market_vwap: 114263.41971584<br />n_kids: 56<br />slippage: -0.83050000000003<br />slippage_vwap: -108737.62521584<br />slippage_vwap_pct: -1967.8188397314<br />total_dollar: 2762897.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5525.7945
Computed VWAP Slippage
-108737.63
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static