Algo Type
VWAP
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
56.1650
Market VWAP
1410.8343
Destination Price
56.3750
Slippage
-1354.6288
SlippagePct
-2410.1322
AggressivePct
22.0000
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 500 }, "total_dollar": { "asDouble": 28102.789999999997 }, "avg_total": { "asDouble": 56.20558 }, "slippage": { "asDouble": 0.04058000000000561 }, "slippage_vwap_pct": { "asDouble": -2410.132171189216 }, "n_kids": { "asInt32": 50 }, "arrival_price": { "asDouble": 56.16499999999999 }, "aggressive_pct": { "asDouble": 22 }, "destination_price": { "asDouble": 56.375 }, "market_vwap": { "asDouble": 1410.8343455834918 }, "slippage_vwap": { "asDouble": -1354.6287655834917 }, "total_filled": { "asInt32": 500 }, "algo_status": { "asInt32": 4 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 56.165<br />avg_total: 56.20558<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: 56.375<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: 0.040580000000006<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 28102.79<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: 56.165<br />avg_total: 56.20558<br />destination_price: 56.375<br />market_vwap: 1410.8343455835<br />n_kids: 50<br />slippage: 0.040580000000006<br />slippage_vwap: -1354.6287655835<br />slippage_vwap_pct: -2410.1321711892<br />total_dollar: 28102.79<br />total_filled: 500<br />total_sent: 500
Computed Average Total
56.2056
Computed VWAP Slippage
-1354.63
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static