Algo Type
ArrivalPrice
Algo Symbol
SIM:CLG6
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
55.8450
Average Total
55.8528
Destination Price
55.8650
Slippage
0.0078
Slippage Sweep
0.0202
Sweep to Fill
55.8326
Algo Diagnostics
{ "customState": { "interval_vwap": { "asDouble": 55.85464285714284 }, "last_tactical_qty": { "asInt32": 1 }, "n_kids": { "asInt32": 23 }, "slippage_sweep": { "asDouble": 0.020199999999981344 }, "avg_total": { "asDouble": 55.85279999999998 }, "slippage_sweep_ticks": { "asDouble": 2.0199999999981344 }, "total_filled": { "asInt32": 50 }, "algo_status": { "asInt32": 4 }, "slippage_aggressive": { "asDouble": 0.01279999999998438 }, "slippage": { "asDouble": 0.0077999999999818215 }, "total_drift": { "asDouble": -0.01999999999999602 }, "interval_twap": { "asDouble": 55.85620013823087 }, "economic_model": { "asInt32": 0 }, "interval_market_size": { "asDouble": 28 }, "drift": { "asDouble": -0.01999999999999602 }, "impact_model": { "asInt32": 2 }, "slippage_passive": { "asDouble": 0.002799999999986369 }, "order_time_minutes": { "asDouble": 5 }, "slippage_vwap_ticks": { "asDouble": -0.1842857142861476 }, "init_half_min_move": { "asDouble": 0.0046153155734836035 }, "ready": { "asBool": true }, "last_aggressive_qty": { "asInt32": 2 }, "curr_liq_cost": { "asDouble": 0.9799999999999542 }, "daily_vol_normal": { "asDouble": 0.44093949201512816 }, "seconds_spent": { "asDouble": 157.16 }, "slippage_mid_money": { "asDouble": 7.7999999999818215 }, "slippage_aggressive_ticks": { "asDouble": 1.279999999998438 }, "slippage_mid_ticks": { "asDouble": 0.7799999999981821 }, "curr_cost_per_share": { "asDouble": 0.019599999999999083 }, "total_vol": { "asDouble": 0.13813969397515266 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_cost_per_share": { "asDouble": 0.012400000000001512 }, "sweep_to_fill": { "asDouble": 55.8326 }, "market_vwap": { "asDouble": 55.85384615384615 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "slippage_aggressive_money": { "asDouble": 12.79999999998438 }, "slippage_vwap": { "asDouble": -0.001842857142861476 }, "init_drift": { "asDouble": -0 }, "slippage_twap_ticks": { "asDouble": -0.3400138230887251 }, "participation_rate": { "asDouble": 1.7857142857142858 }, "slippage_mid": { "asDouble": 0.0077999999999818215 }, "model_size": { "asDouble": 1 }, "slippage_twap_money": { "asDouble": -3.4001382308872508 }, "slippage_twap": { "asDouble": -0.0034001382308872508 }, "slippage_sweep_money": { "asDouble": 20.199999999981344 }, "init_vol_normal": { "asDouble": 0.43900814878688893 }, "slippage_passive_money": { "asDouble": 2.799999999986369 }, "init_opt_t_minutes": { "asDouble": 7.218393737202603 }, "slippage_vwap_money": { "asDouble": -1.842857142861476 }, "destination_price": { "asDouble": 55.864999999999995 }, "total_dollar": { "asDouble": 2792.639999999999 }, "curr_half_min_move": { "asDouble": 0.004635619885610078 }, "init_liq_cost": { "asDouble": 0.6200000000000756 }, "sweep_residual": { "asDouble": 0 }, "arrival_price": { "asDouble": 55.845 }, "percentage_passive": { "asDouble": 0 }, "slippage_passive_ticks": { "asDouble": 0.2799999999986369 }, "slip_toler": { "asDouble": 0 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 55.845<br />avg_total: 55.8528<br />curr_cost_per_share: 0.019599999999999<br />curr_half_min_move: 0.0046356198856101<br />curr_liq_cost: 0.97999999999995<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.44093949201513<br />destination_price: 55.865<br />drift: -0.019999999999996<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.012400000000002<br />init_drift: 0<br />init_half_min_move: 0.0046153155734836<br />init_liq_cost: 0.62000000000008<br />init_min_duration: 0<br />init_opt_t_minutes: 7.2183937372026<br />init_vol_normal: 0.43900814878689<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 23<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 157.16<br />slip_toler: 0<br />slippage: 0.0077999999999818<br />slippage_sweep: 0.020199999999981<br />sweep_residual: 0<br />sweep_to_fill: 55.8326<br />total_dollar: 2792.64<br />total_drift: -0.019999999999996<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.13813969397515<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 55.845<br />avg_total: 55.8528<br />destination_price: 55.865<br />market_vwap (interval_vwap): 55.853846153846<br />n_kids: 23<br />slippage: 0.0077999999999818<br />slippage_vwap: -0.0018428571428615<br />slippage_vwap_pct: <br />total_dollar: 2792.64<br />total_filled: 50<br />total_sent: 50
Computed Average Total
55.8528
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive
Version
0.20.8