Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
63.3550
Market VWAP
2295.1582
Destination Price
63.3250
Slippage
-2231.8370
SlippagePct
-3524.6283
AggressivePct
29.0909
Algo Diagnostics
{ "customState": { "algo_status": { "asInt32": 4 }, "destination_price": { "asDouble": 63.324999999999996 }, "slippage_vwap_pct": { "asDouble": -3524.6283471388024 }, "slippage": { "asDouble": -0.033799999999999386 }, "arrival_price": { "asDouble": 63.355 }, "slippage_vwap": { "asDouble": -2231.8369649484553 }, "total_filled": { "asInt32": 500 }, "avg_total": { "asDouble": 63.3212 }, "total_dollar": { "asDouble": 31660.6 }, "n_kids": { "asInt32": 55 }, "total_sent": { "asInt32": 500 }, "market_vwap": { "asDouble": 2295.158164948455 }, "aggressive_pct": { "asDouble": 29.09090909090909 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.355<br />avg_total: 63.3212<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: 63.325<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: -0.033799999999999<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31660.6<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 29.090909090909<br />algo_status: 4<br />arrival_price: 63.355<br />avg_total: 63.3212<br />destination_price: 63.325<br />market_vwap: 2295.1581649485<br />n_kids: 55<br />slippage: -0.033799999999999<br />slippage_vwap: -2231.8369649485<br />slippage_vwap_pct: -3524.6283471388<br />total_dollar: 31660.6<br />total_filled: 500<br />total_sent: 500
Computed Average Total
63.3212
Computed VWAP Slippage
-2231.84
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static