Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
62.9250
Market VWAP
453.4761
Destination Price
62.5050
Slippage
390.6959
SlippagePct
622.3233
AggressivePct
2.5641
Algo Diagnostics
{ "customState": { "arrival_price": { "asDouble": 62.925 }, "slippage_vwap_pct": { "asDouble": 622.3232630626829 }, "slippage_vwap": { "asDouble": 390.695913661931 }, "total_sent": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "avg_total": { "asDouble": 62.780219999999986 }, "total_dollar": { "asDouble": 31390.109999999993 }, "n_kids": { "asInt32": 39 }, "market_vwap": { "asDouble": 453.476133661931 }, "slippage": { "asDouble": 0.14478000000001146 }, "total_filled": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 2.5641025641025643 }, "destination_price": { "asDouble": 62.504999999999995 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 62.925<br />avg_total: 62.78022<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: 62.505<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: 39<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.14478000000001<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 31390.11<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 2.5641025641026<br />algo_status: 4<br />arrival_price: 62.925<br />avg_total: 62.78022<br />destination_price: 62.505<br />market_vwap: 453.47613366193<br />n_kids: 39<br />slippage: 0.14478000000001<br />slippage_vwap: 390.69591366193<br />slippage_vwap_pct: 622.32326306268<br />total_dollar: 31390.11<br />total_filled: 500<br />total_sent: 500
Computed Average Total
62.7802
Computed VWAP Slippage
390.70
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static