Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
56.0000
Market VWAP
2249.3030
Destination Price
55.9750
Slippage
-2193.2694
SlippagePct
-3914.2040
AggressivePct
22.0000
Algo Diagnostics
{ "customState": { "market_vwap": { "asDouble": 2249.3030325814575 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -3914.2040357597175 }, "arrival_price": { "asDouble": 56 }, "slippage": { "asDouble": 0.03360000000000696 }, "slippage_vwap": { "asDouble": -2193.2694325814573 }, "n_kids": { "asInt32": 50 }, "destination_price": { "asDouble": 55.974999999999994 }, "avg_total": { "asDouble": 56.03360000000001 }, "algo_status": { "asInt32": 4 }, "total_filled": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 22 }, "total_dollar": { "asDouble": 28016.800000000003 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 56<br />avg_total: 56.0336<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: 55.975<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: 0.033600000000007<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 28016.8<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: 56<br />avg_total: 56.0336<br />destination_price: 55.975<br />market_vwap: 2249.3030325815<br />n_kids: 50<br />slippage: 0.033600000000007<br />slippage_vwap: -2193.2694325815<br />slippage_vwap_pct: -3914.2040357597<br />total_dollar: 28016.8<br />total_filled: 500<br />total_sent: 500
Computed Average Total
56.0336
Computed VWAP Slippage
-2193.27
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static