Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ6
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
69.3800
Average Total
69.3964
Destination Price
69.4150
Slippage
0.0164
Slippage Sweep
0.0434
Sweep to Fill
69.3530
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 50 }, "model_size": { "asDouble": 4 }, "slippage_vwap_ticks": { "asDouble": -0.053333333332261645 }, "total_filled": { "asInt32": 50 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": 0.0433767441860482 }, "init_drift": { "asDouble": 0 }, "participation_rate": { "asDouble": 0.6666666666666666 }, "last_tactical_qty": { "asInt32": 4 }, "slippage": { "asDouble": 0.01640000000000441 }, "interval_market_size": { "asDouble": 75 }, "slippage_passive_ticks": { "asDouble": 0.6399999999999295 }, "slippage_vwap": { "asDouble": -0.0005333333333226165 }, "curr_liq_cost": { "asDouble": 0.9900000000000091 }, "slippage_mid": { "asDouble": 0.01640000000000441 }, "slippage_mid_money": { "asDouble": 16.40000000000441 }, "total_dollar": { "asDouble": 3469.8199999999997 }, "slippage_vwap_money": { "asDouble": -0.5333333333226165 }, "last_aggressive_qty": { "asInt32": 6 }, "total_vol": { "asDouble": 0.40153320595098757 }, "daily_vol_normal": { "asDouble": 0.40153320595098757 }, "percentage_passive": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 0.40153320595098757 }, "seconds_spent": { "asDouble": 79.25 }, "init_opt_t_minutes": { "asDouble": 40.83931932920149 }, "interval_vwap": { "asDouble": 69.39693333333332 }, "init_cost_per_share": { "asDouble": 0.026976744186045773 }, "slippage_mid_ticks": { "asDouble": 1.640000000000441 }, "curr_half_min_move": { "asDouble": 0.004221339544191482 }, "slippage_aggressive_money": { "asDouble": 26.400000000009527 }, "destination_price": { "asDouble": 69.41499999999999 }, "avg_total": { "asDouble": 69.3964 }, "slippage_aggressive_ticks": { "asDouble": 2.6400000000009527 }, "slippage_sweep_money": { "asDouble": 43.3767441860482 }, "market_vwap": { "asDouble": 69.3964935064935 }, "init_half_min_move": { "asDouble": 0.004221339544191482 }, "arrival_price": { "asDouble": 69.38 }, "economic_model": { "asInt32": 0 }, "impact_model": { "asInt32": 2 }, "total_drift": { "asDouble": -0.030000000000001137 }, "sweep_residual": { "asDouble": 7 }, "slip_toler": { "asDouble": 0 }, "slippage_passive": { "asDouble": 0.006399999999999295 }, "slippage_aggressive": { "asDouble": 0.026400000000009527 }, "slippage_twap_money": { "asDouble": -1.5330856655282332 }, "curr_cost_per_share": { "asDouble": 0.030000000000000276 }, "init_min_duration": { "asDouble": 0 }, "interval_twap": { "asDouble": 69.39793308566553 }, "drift": { "asDouble": -0.030000000000001137 }, "curr_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 21 }, "order_time_minutes": { "asDouble": 5 }, "algo_status": { "asInt32": 4 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_twap_ticks": { "asDouble": -0.15330856655282332 }, "sweep_to_fill": { "asDouble": 69.35302325581395 }, "slippage_twap": { "asDouble": -0.0015330856655282332 }, "slippage_sweep_ticks": { "asDouble": 4.33767441860482 }, "slippage_passive_money": { "asDouble": 6.399999999999295 }, "init_liq_cost": { "asDouble": 1.1599999999999682 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 69.38<br />avg_total: 69.3964<br />curr_cost_per_share: 0.03<br />curr_half_min_move: 0.0042213395441915<br />curr_liq_cost: 0.99000000000001<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.40153320595099<br />destination_price: 69.415<br />drift: -0.030000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.026976744186046<br />init_drift: 0<br />init_half_min_move: 0.0042213395441915<br />init_liq_cost: 1.16<br />init_min_duration: 0<br />init_opt_t_minutes: 40.839319329201<br />init_vol_normal: 0.40153320595099<br />last_aggressive_qty: 6<br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 21<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 79.25<br />slip_toler: 0<br />slippage: 0.016400000000004<br />slippage_sweep: 0.043376744186048<br />sweep_residual: 7<br />sweep_to_fill: 69.353023255814<br />total_dollar: 3469.82<br />total_drift: -0.030000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.40153320595099<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 69.38<br />avg_total: 69.3964<br />destination_price: 69.415<br />market_vwap (interval_vwap): 69.396493506493<br />n_kids: 21<br />slippage: 0.016400000000004<br />slippage_vwap: -0.00053333333332262<br />slippage_vwap_pct: <br />total_dollar: 3469.82<br />total_filled: 50<br />total_sent: 50
Computed Average Total
69.3964
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8