Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
62.8300
Market VWAP
1193.0542
Destination Price
62.9750
Slippage
1130.1425
SlippagePct
1796.3971
AggressivePct
9.5238
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 500 }, "destination_price": { "asDouble": 62.974999999999994 }, "slippage_vwap_pct": { "asDouble": 1796.3971220261776 }, "aggressive_pct": { "asDouble": 9.523809523809524 }, "total_sent": { "asInt32": 500 }, "slippage_vwap": { "asDouble": 1130.1425311000455 }, "avg_total": { "asDouble": 62.91162000000001 }, "n_kids": { "asInt32": 42 }, "arrival_price": { "asDouble": 62.83 }, "algo_status": { "asInt32": 4 }, "total_dollar": { "asDouble": 31455.810000000005 }, "market_vwap": { "asDouble": 1193.0541511000456 }, "slippage": { "asDouble": -0.08162000000001512 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 62.83<br />avg_total: 62.91162<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: 62.975<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: 42<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.081620000000015<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31455.81<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 9.5238095238095<br />algo_status: 4<br />arrival_price: 62.83<br />avg_total: 62.91162<br />destination_price: 62.975<br />market_vwap: 1193.0541511<br />n_kids: 42<br />slippage: -0.081620000000015<br />slippage_vwap: 1130.1425311<br />slippage_vwap_pct: 1796.3971220262<br />total_dollar: 31455.81<br />total_filled: 500<br />total_sent: 500
Computed Average Total
62.9116
Computed VWAP Slippage
1130.14
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static