Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
61.7650
Market VWAP
805.1877
Destination Price
61.9650
Slippage
-743.3471
SlippagePct
-1202.0378
AggressivePct
2.5000
Algo Diagnostics
{ "customState": { "market_vwap": { "asDouble": 805.1877286543391 }, "slippage": { "asDouble": 0.0755800000000093 }, "arrival_price": { "asDouble": 61.765 }, "slippage_vwap_pct": { "asDouble": -1202.0378021265956 }, "aggressive_pct": { "asDouble": 2.5 }, "total_dollar": { "asDouble": 30920.290000000005 }, "n_kids": { "asInt32": 40 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "destination_price": { "asDouble": 61.964999999999996 }, "slippage_vwap": { "asDouble": -743.3471486543391 }, "avg_total": { "asDouble": 61.84058000000001 }, "total_filled": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 61.765<br />avg_total: 61.84058<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: 61.965<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: 40<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.075580000000009<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 30920.29<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 2.5<br />algo_status: 4<br />arrival_price: 61.765<br />avg_total: 61.84058<br />destination_price: 61.965<br />market_vwap: 805.18772865434<br />n_kids: 40<br />slippage: 0.075580000000009<br />slippage_vwap: -743.34714865434<br />slippage_vwap_pct: -1202.0378021266<br />total_dollar: 30920.29<br />total_filled: 500<br />total_sent: 500
Computed Average Total
61.8406
Computed VWAP Slippage
-743.35
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static