Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
56.0050
Market VWAP
1043.2280
Destination Price
56.0650
Slippage
-987.1857
SlippagePct
-1761.5017
AggressivePct
0.0000
Algo Diagnostics
{ "customState": { "market_vwap": { "asDouble": 1043.2280210157633 }, "aggressive_pct": { "asDouble": 0 }, "n_kids": { "asInt32": 40 }, "impact_model": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "seconds_spent": { "asDouble": 585.053 }, "avg_total": { "asDouble": 56.04228 }, "destination_price": { "asDouble": 56.065 }, "slippage_vwap": { "asDouble": -987.1857410157633 }, "slippage_vwap_pct": { "asDouble": -1761.5017465666338 }, "total_dollar": { "asDouble": 28021.14 }, "arrival_price": { "asDouble": 56.004999999999995 }, "total_filled": { "asInt32": 500 }, "slippage": { "asDouble": 0.037280000000002644 }, "last_tactical_qty": { "asInt32": 12 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 56.005<br />avg_total: 56.04228<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: 56.065<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: 2<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: 12<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: 585.053<br />slip_toler: <br />slippage: 0.037280000000003<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 28021.14<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 0<br />algo_status: 4<br />arrival_price: 56.005<br />avg_total: 56.04228<br />destination_price: 56.065<br />market_vwap: 1043.2280210158<br />n_kids: 40<br />slippage: 0.037280000000003<br />slippage_vwap: -987.18574101576<br />slippage_vwap_pct: -1761.5017465666<br />total_dollar: 28021.14<br />total_filled: 500<br />total_sent: 500
Computed Average Total
56.0423
Computed VWAP Slippage
-987.19
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static