Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
56.0800
Market VWAP
2413.0194
Destination Price
56.1150
Slippage
-2356.8879
SlippagePct
-4198.8731
AggressivePct
38.0952
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 56.13144 }, "total_sent": { "asInt32": 500 }, "slippage_vwap": { "asDouble": -2356.8879212334755 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 38.095238095238095 }, "total_dollar": { "asDouble": 28065.719999999998 }, "slippage": { "asDouble": 0.051439999999999486 }, "slippage_vwap_pct": { "asDouble": -4198.873075826089 }, "destination_price": { "asDouble": 56.114999999999995 }, "market_vwap": { "asDouble": 2413.0193612334756 }, "n_kids": { "asInt32": 63 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 56.08 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 56.08<br />avg_total: 56.13144<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: 56.115<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: 63<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.051439999999999<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 28065.72<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 38.095238095238<br />algo_status: 4<br />arrival_price: 56.08<br />avg_total: 56.13144<br />destination_price: 56.115<br />market_vwap: 2413.0193612335<br />n_kids: 63<br />slippage: 0.051439999999999<br />slippage_vwap: -2356.8879212335<br />slippage_vwap_pct: -4198.8730758261<br />total_dollar: 28065.72<br />total_filled: 500<br />total_sent: 500
Computed Average Total
56.1314
Computed VWAP Slippage
-2356.89
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static