Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
63.3050
Market VWAP
2599.9410
Destination Price
63.3750
Slippage
-2536.5884
SlippagePct
-4003.9228
AggressivePct
20.4082
Algo Diagnostics
{ "customState": { "arrival_price": { "asDouble": 63.30499999999999 }, "total_filled": { "asInt32": 500 }, "destination_price": { "asDouble": 63.375 }, "total_dollar": { "asDouble": 31676.29 }, "market_vwap": { "asDouble": 2599.940963026647 }, "slippage_vwap": { "asDouble": -2536.5883830266466 }, "slippage": { "asDouble": 0.047580000000010614 }, "avg_total": { "asDouble": 63.35258 }, "total_sent": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 20.408163265306122 }, "algo_status": { "asInt32": 4 }, "n_kids": { "asInt32": 49 }, "slippage_vwap_pct": { "asDouble": -4003.9227810874418 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.305<br />avg_total: 63.35258<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: 63.375<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: 49<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.047580000000011<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31676.29<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 20.408163265306<br />algo_status: 4<br />arrival_price: 63.305<br />avg_total: 63.35258<br />destination_price: 63.375<br />market_vwap: 2599.9409630266<br />n_kids: 49<br />slippage: 0.047580000000011<br />slippage_vwap: -2536.5883830266<br />slippage_vwap_pct: -4003.9227810874<br />total_dollar: 31676.29<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.3526
Computed VWAP Slippage
-2536.59
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static