Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5687.0000
Market VWAP
158372.0110
Destination Price
5685.1250
Slippage
-152685.0875
SlippagePct
-2684.8451
AggressivePct
4.8780
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 158372.01101398602 }, "slippage_vwap": { "asDouble": -152685.087513986 }, "slippage": { "asDouble": -0.07650000000012369 }, "avg_total": { "asDouble": 5686.9235 }, "arrival_price": { "asDouble": 5687 }, "destination_price": { "asDouble": 5685.125 }, "total_dollar": { "asDouble": 2843461.75 }, "n_kids": { "asInt32": 41 }, "slippage_vwap_pct": { "asDouble": -2684.845110260161 }, "aggressive_pct": { "asDouble": 4.878048780487805 }, "total_sent": { "asInt32": 500 }, "algo_status": { "asInt32": 4 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5687<br />avg_total: 5686.9235<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: 5685.125<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: 41<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.076500000000124<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2843461.75<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 4.8780487804878<br />algo_status: 4<br />arrival_price: 5687<br />avg_total: 5686.9235<br />destination_price: 5685.125<br />market_vwap: 158372.01101399<br />n_kids: 41<br />slippage: -0.076500000000124<br />slippage_vwap: -152685.08751399<br />slippage_vwap_pct: -2684.8451102602<br />total_dollar: 2843461.75<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5686.9235
Computed VWAP Slippage
-152685.09
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static