Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5517.3750
Market VWAP
145817.7394
Destination Price
5519.2500
Slippage
-140298.9269
SlippagePct
-2542.1941
AggressivePct
33.8983
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 5518.8125 }, "n_kids": { "asInt32": 59 }, "slippage_vwap": { "asDouble": -140298.92688742612 }, "total_dollar": { "asDouble": 2759406.25 }, "total_sent": { "asInt32": 500 }, "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 145817.73938742612 }, "slippage": { "asDouble": 1.4375 }, "algo_status": { "asInt32": 4 }, "destination_price": { "asDouble": 5519.25 }, "slippage_vwap_pct": { "asDouble": -2542.1941203370493 }, "arrival_price": { "asDouble": 5517.375 }, "aggressive_pct": { "asDouble": 33.898305084745765 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5517.375<br />avg_total: 5518.8125<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: 5519.25<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: 59<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 1.4375<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2759406.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 33.898305084746<br />algo_status: 4<br />arrival_price: 5517.375<br />avg_total: 5518.8125<br />destination_price: 5519.25<br />market_vwap: 145817.73938743<br />n_kids: 59<br />slippage: 1.4375<br />slippage_vwap: -140298.92688743<br />slippage_vwap_pct: -2542.194120337<br />total_dollar: 2759406.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5518.8125
Computed VWAP Slippage
-140298.93
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static