Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5662.7500
Market VWAP
132043.9259
Destination Price
5668.1250
Slippage
-126379.7479
SlippagePct
-2231.2107
AggressivePct
13.3333
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 500 }, "arrival_price": { "asDouble": 5662.75 }, "total_dollar": { "asDouble": 2832089 }, "algo_status": { "asInt32": 4 }, "market_vwap": { "asDouble": 132043.925922292 }, "avg_total": { "asDouble": 5664.178 }, "destination_price": { "asDouble": 5668.125 }, "slippage_vwap_pct": { "asDouble": -2231.210740945853 }, "total_filled": { "asInt32": 500 }, "slippage_vwap": { "asDouble": -126379.747922292 }, "slippage": { "asDouble": 1.4279999999998836 }, "aggressive_pct": { "asDouble": 13.333333333333334 }, "n_kids": { "asInt32": 45 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5662.75<br />avg_total: 5664.178<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: 5668.125<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: 45<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 1.4279999999999<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2832089<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 13.333333333333<br />algo_status: 4<br />arrival_price: 5662.75<br />avg_total: 5664.178<br />destination_price: 5668.125<br />market_vwap: 132043.92592229<br />n_kids: 45<br />slippage: 1.4279999999999<br />slippage_vwap: -126379.74792229<br />slippage_vwap_pct: -2231.2107409459<br />total_dollar: 2832089<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5664.1780
Computed VWAP Slippage
-126379.75
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static