Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
61.8650
Market VWAP
2275.5031
Destination Price
61.8100
Slippage
-2213.6586
SlippagePct
-3579.3921
AggressivePct
36.0656
Algo Diagnostics
{ "customState": { "total_dollar": { "asDouble": 30922.27000000001 }, "avg_total": { "asDouble": 61.84454000000002 }, "aggressive_pct": { "asDouble": 36.0655737704918 }, "slippage_vwap_pct": { "asDouble": -3579.3921129267587 }, "n_kids": { "asInt32": 61 }, "total_sent": { "asInt32": 500 }, "arrival_price": { "asDouble": 61.864999999999995 }, "slippage_vwap": { "asDouble": -2213.6585870358354 }, "total_filled": { "asInt32": 500 }, "slippage": { "asDouble": -0.0204599999999715 }, "algo_status": { "asInt32": 4 }, "destination_price": { "asDouble": 61.809999999999995 }, "market_vwap": { "asDouble": 2275.5031270358354 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 61.865<br />avg_total: 61.84454<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: 61.81<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: 61<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.020459999999972<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 30922.27<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 36.065573770492<br />algo_status: 4<br />arrival_price: 61.865<br />avg_total: 61.84454<br />destination_price: 61.81<br />market_vwap: 2275.5031270358<br />n_kids: 61<br />slippage: -0.020459999999972<br />slippage_vwap: -2213.6585870358<br />slippage_vwap_pct: -3579.3921129268<br />total_dollar: 30922.27<br />total_filled: 500<br />total_sent: 500
Computed Average Total
61.8445
Computed VWAP Slippage
-2213.66
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static