Algo Type
ArrivalPrice
Algo Symbol
SIM:CLG6
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
55.8550
Average Total
55.8296
Destination Price
55.8450
Slippage
-0.0254
Slippage Sweep
-0.0046
Sweep to Fill
55.8342
Algo Diagnostics
{ "customState": { "slippage_twap_ticks": { "asDouble": -1.0688547534194015 }, "sweep_to_fill": { "asDouble": 55.834199999999996 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "slippage_vwap_money": { "asDouble": -12.515384615397807 }, "impact_model": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "slippage_sweep_ticks": { "asDouble": -0.460000000000349 }, "model_size": { "asDouble": 3 }, "slippage_passive_money": { "asDouble": -30.40000000000731 }, "seconds_spent": { "asDouble": 21.731 }, "total_dollar": { "asDouble": 2791.4799999999996 }, "slippage_mid_money": { "asDouble": -25.400000000004752 }, "curr_cost_per_share": { "asDouble": 0.016599999999999396 }, "init_min_duration": { "asDouble": 0 }, "slippage_aggressive_money": { "asDouble": -20.400000000002194 }, "ready": { "asBool": true }, "slippage_aggressive": { "asDouble": -0.020400000000002194 }, "slippage_mid_ticks": { "asDouble": -2.540000000000475 }, "curr_opt_t_minutes": { "asDouble": 0 }, "percentage_passive": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 6 }, "init_vol_normal": { "asDouble": 0.45206873289224536 }, "last_tactical_qty": { "asInt32": 3 }, "order_time_minutes": { "asDouble": 5 }, "avg_total": { "asDouble": 55.82959999999999 }, "slippage_twap": { "asDouble": -0.010688547534194015 }, "sweep_residual": { "asDouble": 0 }, "slippage_passive": { "asDouble": -0.03040000000000731 }, "slippage_sweep": { "asDouble": -0.00460000000000349 }, "destination_price": { "asDouble": 55.845 }, "slippage_mid": { "asDouble": -0.025400000000004752 }, "slippage_sweep_money": { "asDouble": -4.60000000000349 }, "slippage_vwap_ticks": { "asDouble": -1.2515384615397807 }, "init_drift": { "asDouble": -0 }, "algo_status": { "asInt32": 4 }, "slippage": { "asDouble": -0.025400000000004752 }, "arrival_price": { "asDouble": 55.855 }, "init_half_min_move": { "asDouble": 0.004752622175620289 }, "init_cost_per_share": { "asDouble": 0.020799999999999416 }, "init_opt_t_minutes": { "asDouble": 19.154026756420468 }, "market_vwap": { "asDouble": 55.842166666666685 }, "participation_rate": { "asDouble": 0.9615384615384616 }, "slippage_aggressive_ticks": { "asDouble": -2.0400000000002194 }, "total_vol": { "asDouble": 0.13816443024410693 }, "curr_liq_cost": { "asDouble": 0.8299999999999699 }, "interval_vwap": { "asDouble": 55.84211538461539 }, "interval_twap": { "asDouble": 55.840288547534186 }, "slippage_twap_money": { "asDouble": -10.688547534194015 }, "total_sent": { "asInt32": 50 }, "interval_market_size": { "asDouble": 52 }, "slippage_vwap": { "asDouble": -0.012515384615397807 }, "total_drift": { "asDouble": -0.020000000000003126 }, "slippage_passive_ticks": { "asDouble": -3.040000000000731 }, "daily_vol_normal": { "asDouble": 0.4530911168650927 }, "curr_half_min_move": { "asDouble": 0.004763370551669801 }, "worst_opt_t_minutes": { "asDouble": 0 }, "init_liq_cost": { "asDouble": 1.0399999999999707 }, "n_kids": { "asInt32": 12 }, "drift": { "asDouble": -0.020000000000003126 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 55.855<br />avg_total: 55.8296<br />curr_cost_per_share: 0.016599999999999<br />curr_half_min_move: 0.0047633705516698<br />curr_liq_cost: 0.82999999999997<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.45309111686509<br />destination_price: 55.845<br />drift: -0.020000000000003<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.020799999999999<br />init_drift: 0<br />init_half_min_move: 0.0047526221756203<br />init_liq_cost: 1.04<br />init_min_duration: 0<br />init_opt_t_minutes: 19.15402675642<br />init_vol_normal: 0.45206873289225<br />last_aggressive_qty: 6<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 12<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 21.731<br />slip_toler: 0<br />slippage: -0.025400000000005<br />slippage_sweep: -0.0046000000000035<br />sweep_residual: 0<br />sweep_to_fill: 55.8342<br />total_dollar: 2791.48<br />total_drift: -0.020000000000003<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.13816443024411<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 55.855<br />avg_total: 55.8296<br />destination_price: 55.845<br />market_vwap (interval_vwap): 55.842166666667<br />n_kids: 12<br />slippage: -0.025400000000005<br />slippage_vwap: -0.012515384615398<br />slippage_vwap_pct: <br />total_dollar: 2791.48<br />total_filled: 50<br />total_sent: 50
Computed Average Total
55.8296
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive
Version
0.20.8