Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
63.3100
Market VWAP
2098.0187
Destination Price
63.3450
Slippage
-2034.6812
SlippagePct
-3212.4401
AggressivePct
43.4783
Algo Diagnostics
{ "customState": { "total_dollar": { "asDouble": 31668.780000000002 }, "aggressive_pct": { "asDouble": 43.47826086956522 }, "destination_price": { "asDouble": 63.345 }, "total_sent": { "asInt32": 500 }, "arrival_price": { "asDouble": 63.309999999999995 }, "total_filled": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "market_vwap": { "asDouble": 2098.0187353324695 }, "slippage_vwap": { "asDouble": -2034.6811753324696 }, "slippage_vwap_pct": { "asDouble": -3212.44009925938 }, "avg_total": { "asDouble": 63.33756 }, "slippage": { "asDouble": 0.027560000000008245 }, "n_kids": { "asInt32": 69 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.31<br />avg_total: 63.33756<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: 63.345<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: 69<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.027560000000008<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31668.78<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 43.478260869565<br />algo_status: 4<br />arrival_price: 63.31<br />avg_total: 63.33756<br />destination_price: 63.345<br />market_vwap: 2098.0187353325<br />n_kids: 69<br />slippage: 0.027560000000008<br />slippage_vwap: -2034.6811753325<br />slippage_vwap_pct: -3212.4400992594<br />total_dollar: 31668.78<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.3376
Computed VWAP Slippage
-2034.68
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static