Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
55.8600
Market VWAP
1243.6298
Destination Price
56.1700
Slippage
-1187.6503
SlippagePct
-2121.5815
AggressivePct
7.3171
Algo Diagnostics
{ "customState": { "aggressive_pct": { "asDouble": 7.317073170731708 }, "slippage_vwap_pct": { "asDouble": -2121.581490807569 }, "total_dollar": { "asDouble": 27989.74000000001 }, "arrival_price": { "asDouble": 55.86 }, "algo_status": { "asInt32": 4 }, "slippage": { "asDouble": 0.11948000000001713 }, "n_kids": { "asInt32": 41 }, "total_filled": { "asInt32": 500 }, "destination_price": { "asDouble": 56.17 }, "total_sent": { "asInt32": 500 }, "slippage_vwap": { "asDouble": -1187.6502863303253 }, "market_vwap": { "asDouble": 1243.6297663303253 }, "avg_total": { "asDouble": 55.97948000000002 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 55.86<br />avg_total: 55.97948<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: 56.17<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: 0.11948000000002<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 27989.74<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 7.3170731707317<br />algo_status: 4<br />arrival_price: 55.86<br />avg_total: 55.97948<br />destination_price: 56.17<br />market_vwap: 1243.6297663303<br />n_kids: 41<br />slippage: 0.11948000000002<br />slippage_vwap: -1187.6502863303<br />slippage_vwap_pct: -2121.5814908076<br />total_dollar: 27989.74<br />total_filled: 500<br />total_sent: 500
Computed Average Total
55.9795
Computed VWAP Slippage
-1187.65
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static