Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5520.1250
Market VWAP
160782.8786
Destination Price
5521.5000
Slippage
-155262.0486
SlippagePct
-2812.2954
AggressivePct
30.3571
Algo Diagnostics
{ "customState": { "slippage_vwap": { "asDouble": -155262.0485566477 }, "avg_total": { "asDouble": 5520.83 }, "total_filled": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 30.357142857142858 }, "slippage_vwap_pct": { "asDouble": -2812.295407694997 }, "market_vwap": { "asDouble": 160782.8785566477 }, "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 2760415 }, "n_kids": { "asInt32": 56 }, "total_sent": { "asInt32": 500 }, "destination_price": { "asDouble": 5521.5 }, "slippage": { "asDouble": 0.7049999999999272 }, "arrival_price": { "asDouble": 5520.125 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5520.125<br />avg_total: 5520.83<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: 5521.5<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: 0.70499999999993<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2760415<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: 5520.125<br />avg_total: 5520.83<br />destination_price: 5521.5<br />market_vwap: 160782.87855665<br />n_kids: 56<br />slippage: 0.70499999999993<br />slippage_vwap: -155262.04855665<br />slippage_vwap_pct: -2812.295407695<br />total_dollar: 2760415<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5520.8300
Computed VWAP Slippage
-155262.05
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static