Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
63.3350
Market VWAP
2542.4149
Destination Price
63.2950
Slippage
2479.1096
SlippagePct
3916.1132
AggressivePct
30.3571
Algo Diagnostics
{ "customState": { "slippage_vwap": { "asDouble": 2479.109572432438 }, "market_vwap": { "asDouble": 2542.414932432438 }, "destination_price": { "asDouble": 63.295 }, "n_kids": { "asInt32": 55 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 30.357142857142858 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 63.334999999999994 }, "slippage_vwap_pct": { "asDouble": 3916.1132207958985 }, "avg_total": { "asDouble": 63.30535999999999 }, "total_sent": { "asInt32": 500 }, "slippage": { "asDouble": 0.029640000000000555 }, "total_dollar": { "asDouble": 31652.679999999997 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.335<br />avg_total: 63.30536<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: 63.295<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: 0.029640000000001<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31652.68<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: 63.335<br />avg_total: 63.30536<br />destination_price: 63.295<br />market_vwap: 2542.4149324324<br />n_kids: 55<br />slippage: 0.029640000000001<br />slippage_vwap: 2479.1095724324<br />slippage_vwap_pct: 3916.1132207959<br />total_dollar: 31652.68<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.3054
Computed VWAP Slippage
2479.11
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static