Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
63.2150
Market VWAP
2040.1225
Destination Price
63.2350
Slippage
1976.9110
SlippagePct
3127.4517
AggressivePct
48.6842
Algo Diagnostics
{ "customState": { "slippage_vwap": { "asDouble": 1976.9109860122687 }, "market_vwap": { "asDouble": 2040.1225460122687 }, "total_sent": { "asInt32": 500 }, "avg_total": { "asDouble": 63.21156 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 73 }, "arrival_price": { "asDouble": 63.214999999999996 }, "slippage_vwap_pct": { "asDouble": 3127.451665505912 }, "aggressive_pct": { "asDouble": 48.68421052631579 }, "slippage": { "asDouble": 0.003439999999997667 }, "total_dollar": { "asDouble": 31605.78 }, "destination_price": { "asDouble": 63.235 }, "total_filled": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.215<br />avg_total: 63.21156<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: 63.235<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: 73<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.0034399999999977<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31605.78<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 48.684210526316<br />algo_status: 4<br />arrival_price: 63.215<br />avg_total: 63.21156<br />destination_price: 63.235<br />market_vwap: 2040.1225460123<br />n_kids: 73<br />slippage: 0.0034399999999977<br />slippage_vwap: 1976.9109860123<br />slippage_vwap_pct: 3127.4516655059<br />total_dollar: 31605.78<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.2116
Computed VWAP Slippage
1976.91
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static