Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
55.9400
Market VWAP
883.4223
Destination Price
55.9950
Slippage
827.6379
SlippagePct
1483.6385
AggressivePct
2.5000
Algo Diagnostics
{ "customState": { "slippage": { "asDouble": 0.15566000000000457 }, "slippage_vwap": { "asDouble": 827.6379414814827 }, "total_filled": { "asInt32": 500 }, "destination_price": { "asDouble": 55.995 }, "slippage_vwap_pct": { "asDouble": 1483.6384933145805 }, "avg_total": { "asDouble": 55.78433999999999 }, "total_sent": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 2.5 }, "market_vwap": { "asDouble": 883.4222814814827 }, "algo_status": { "asInt32": 4 }, "arrival_price": { "asDouble": 55.94 }, "n_kids": { "asInt32": 40 }, "total_dollar": { "asDouble": 27892.17 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 55.94<br />avg_total: 55.78434<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: 55.995<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: 0.15566<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 27892.17<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: 55.94<br />avg_total: 55.78434<br />destination_price: 55.995<br />market_vwap: 883.42228148148<br />n_kids: 40<br />slippage: 0.15566<br />slippage_vwap: 827.63794148148<br />slippage_vwap_pct: 1483.6384933146<br />total_dollar: 27892.17<br />total_filled: 500<br />total_sent: 500
Computed Average Total
55.7843
Computed VWAP Slippage
827.64
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static