Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
56.1150
Market VWAP
2139.6086
Destination Price
56.1200
Slippage
2083.5508
SlippagePct
3716.7928
AggressivePct
18.7500
Algo Diagnostics
{ "customState": { "slippage_vwap": { "asDouble": 2083.550797268731 }, "total_sent": { "asInt32": 500 }, "total_filled": { "asInt32": 500 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 18.75 }, "market_vwap": { "asDouble": 2139.608557268731 }, "destination_price": { "asDouble": 56.12 }, "total_dollar": { "asDouble": 28028.87999999999 }, "slippage_vwap_pct": { "asDouble": 3716.792817388229 }, "arrival_price": { "asDouble": 56.114999999999995 }, "avg_total": { "asDouble": 56.05775999999998 }, "slippage": { "asDouble": 0.05724000000001439 }, "n_kids": { "asInt32": 48 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 56.115<br />avg_total: 56.05776<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: 56.12<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: 48<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.057240000000014<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 28028.88<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 18.75<br />algo_status: 4<br />arrival_price: 56.115<br />avg_total: 56.05776<br />destination_price: 56.12<br />market_vwap: 2139.6085572687<br />n_kids: 48<br />slippage: 0.057240000000014<br />slippage_vwap: 2083.5507972687<br />slippage_vwap_pct: 3716.7928173882<br />total_dollar: 28028.88<br />total_filled: 500<br />total_sent: 500
Computed Average Total
56.0578
Computed VWAP Slippage
2083.55
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static