Algo Type
VWAP
Algo Symbol
SIM:ESM5
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
5666.3750
Market VWAP
148315.4105
Destination Price
5666.3750
Slippage
-142647.6420
SlippagePct
-2516.8220
AggressivePct
22.0000
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 500 }, "slippage_vwap": { "asDouble": -142647.6419620084 }, "aggressive_pct": { "asDouble": 22 }, "slippage_vwap_pct": { "asDouble": -2516.821954919443 }, "slippage": { "asDouble": 1.393500000000131 }, "market_vwap": { "asDouble": 148315.4104620084 }, "destination_price": { "asDouble": 5666.375 }, "n_kids": { "asInt32": 50 }, "avg_total": { "asDouble": 5667.7685 }, "total_dollar": { "asDouble": 2833884.25 }, "arrival_price": { "asDouble": 5666.375 }, "algo_status": { "asInt32": 4 }, "total_filled": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 5666.375<br />avg_total: 5667.7685<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: 5666.375<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: 50<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 1.3935000000001<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 2833884.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 22<br />algo_status: 4<br />arrival_price: 5666.375<br />avg_total: 5667.7685<br />destination_price: 5666.375<br />market_vwap: 148315.41046201<br />n_kids: 50<br />slippage: 1.3935000000001<br />slippage_vwap: -142647.64196201<br />slippage_vwap_pct: -2516.8219549194<br />total_dollar: 2833884.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
5667.7685
Computed VWAP Slippage
-142647.64
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static