Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
56.0850
Market VWAP
1893.2443
Destination Price
56.1950
Slippage
1837.0683
SlippagePct
3270.2049
AggressivePct
15.2174
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 15.217391304347826 }, "algo_status": { "asInt32": 4 }, "slippage": { "asDouble": -0.09094000000002467 }, "avg_total": { "asDouble": 56.17594000000002 }, "n_kids": { "asInt32": 46 }, "destination_price": { "asDouble": 56.19499999999999 }, "slippage_vwap_pct": { "asDouble": 3270.204912757836 }, "total_sent": { "asInt32": 500 }, "market_vwap": { "asDouble": 1893.2442896678951 }, "total_dollar": { "asDouble": 28087.97000000001 }, "arrival_price": { "asDouble": 56.084999999999994 }, "slippage_vwap": { "asDouble": 1837.068349667895 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 56.085<br />avg_total: 56.17594<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: 56.195<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: 46<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.090940000000025<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 28087.97<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 15.217391304348<br />algo_status: 4<br />arrival_price: 56.085<br />avg_total: 56.17594<br />destination_price: 56.195<br />market_vwap: 1893.2442896679<br />n_kids: 46<br />slippage: -0.090940000000025<br />slippage_vwap: 1837.0683496679<br />slippage_vwap_pct: 3270.2049127578<br />total_dollar: 28087.97<br />total_filled: 500<br />total_sent: 500
Computed Average Total
56.1759
Computed VWAP Slippage
1837.07
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static