Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
5668.2500
Market VWAP
166023.9608
Destination Price
5667.8750
Slippage
160355.9398
SlippagePct
2829.1345
AggressivePct
13.3333
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 2829.134538668444 }, "total_sent": { "asInt32": 500 }, "n_kids": { "asInt32": 45 }, "total_dollar": { "asDouble": 2834010.5 }, "slippage_vwap": { "asDouble": 160355.9397699805 }, "slippage": { "asDouble": 0.2290000000002692 }, "destination_price": { "asDouble": 5667.875 }, "algo_status": { "asInt32": 4 }, "avg_total": { "asDouble": 5668.021 }, "aggressive_pct": { "asDouble": 13.333333333333334 }, "market_vwap": { "asDouble": 166023.9607699805 }, "arrival_price": { "asDouble": 5668.25 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5668.25<br />avg_total: 5668.021<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: 5667.875<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: 0.22900000000027<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2834010.5<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: 5668.25<br />avg_total: 5668.021<br />destination_price: 5667.875<br />market_vwap: 166023.96076998<br />n_kids: 45<br />slippage: 0.22900000000027<br />slippage_vwap: 160355.93976998<br />slippage_vwap_pct: 2829.1345386684<br />total_dollar: 2834010.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5668.0210
Computed VWAP Slippage
160355.94
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static