Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ6
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
69.7650
Average Total
69.7392
Destination Price
69.7900
Slippage
-0.0258
Slippage Sweep
-0.0050
Sweep to Fill
69.7442
Algo Diagnostics
{ "customState": { "init_cost_per_share": { "asDouble": 0.02075757575756506 }, "model_size": { "asDouble": 1 }, "interval_market_size": { "asDouble": 410 }, "slip_toler": { "asDouble": 0 }, "total_vol": { "asDouble": 0.4037613737845293 }, "slippage_twap": { "asDouble": -0.003484328539343551 }, "slippage_twap_ticks": { "asDouble": -0.3484328539343551 }, "init_liq_cost": { "asDouble": 0.684999999999647 }, "slippage_mid": { "asDouble": -0.02579999999998961 }, "impact_model": { "asInt32": 2 }, "slippage_mid_money": { "asDouble": -25.79999999998961 }, "last_aggressive_qty": { "asInt32": 3 }, "total_dollar": { "asDouble": 3486.9599999999996 }, "n_kids": { "asInt32": 48 }, "drift": { "asDouble": -0.020000000000010232 }, "slippage_mid_ticks": { "asDouble": -2.579999999998961 }, "slippage_sweep": { "asDouble": -0.0050424242424185195 }, "init_half_min_move": { "asDouble": 0.00424476438888035 }, "sweep_residual": { "asDouble": 17 }, "slippage_vwap": { "asDouble": -0.003921951219567177 }, "destination_price": { "asDouble": 69.78999999999999 }, "init_opt_t_minutes": { "asDouble": 23.91366190778923 }, "economic_model": { "asInt32": 0 }, "slippage_aggressive_ticks": { "asDouble": -2.0799999999994156 }, "curr_half_min_move": { "asDouble": 0.00424476438888035 }, "avg_total": { "asDouble": 69.7392 }, "sweep_to_fill": { "asDouble": 69.74424242424242 }, "slippage_passive_ticks": { "asDouble": -3.0799999999999272 }, "algo_status": { "asInt32": 4 }, "interval_twap": { "asDouble": 69.74268432853934 }, "slippage_passive_money": { "asDouble": -30.799999999999272 }, "percentage_passive": { "asDouble": 0 }, "slippage": { "asDouble": -0.02579999999998961 }, "slippage_passive": { "asDouble": -0.030799999999999272 }, "participation_rate": { "asDouble": 0.12195121951219512 }, "init_min_duration": { "asDouble": 0 }, "total_drift": { "asDouble": -0.020000000000010232 }, "interval_vwap": { "asDouble": 69.74312195121956 }, "total_filled": { "asInt32": 50 }, "order_time_minutes": { "asDouble": 5 }, "daily_vol_normal": { "asDouble": 0.4037613737845293 }, "arrival_price": { "asDouble": 69.76499999999999 }, "slippage_aggressive": { "asDouble": -0.020799999999994156 }, "curr_cost_per_share": { "asDouble": 0.022187500000000693 }, "market_vwap": { "asDouble": 69.74318840579716 }, "slippage_sweep_ticks": { "asDouble": -0.504242424241852 }, "ready": { "asBool": true }, "slippage_twap_money": { "asDouble": -3.484328539343551 }, "slippage_vwap_ticks": { "asDouble": -0.3921951219567177 }, "init_vol_normal": { "asDouble": 0.4037613737845293 }, "curr_liq_cost": { "asDouble": 0.7100000000000222 }, "slippage_sweep_money": { "asDouble": -5.0424242424185195 }, "total_sent": { "asInt32": 50 }, "slippage_aggressive_money": { "asDouble": -20.799999999994156 }, "seconds_spent": { "asDouble": 281.027 }, "curr_opt_t_minutes": { "asDouble": 4.296703763344236 }, "init_drift": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 4.296703763344236 }, "last_tactical_qty": { "asInt32": 1 }, "slippage_vwap_money": { "asDouble": -3.921951219567177 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 69.765<br />avg_total: 69.7392<br />curr_cost_per_share: 0.022187500000001<br />curr_half_min_move: 0.0042447643888803<br />curr_liq_cost: 0.71000000000002<br />curr_opt_t_minutes: 4.2967037633442<br />daily_vol_normal: 0.40376137378453<br />destination_price: 69.79<br />drift: -0.02000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.020757575757565<br />init_drift: 0<br />init_half_min_move: 0.0042447643888803<br />init_liq_cost: 0.68499999999965<br />init_min_duration: 0<br />init_opt_t_minutes: 23.913661907789<br />init_vol_normal: 0.40376137378453<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 48<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 281.027<br />slip_toler: 0<br />slippage: -0.02579999999999<br />slippage_sweep: -0.0050424242424185<br />sweep_residual: 17<br />sweep_to_fill: 69.744242424242<br />total_dollar: 3486.96<br />total_drift: -0.02000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.40376137378453<br />worst_opt_t_minutes: 4.2967037633442
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 69.765<br />avg_total: 69.7392<br />destination_price: 69.79<br />market_vwap (interval_vwap): 69.743188405797<br />n_kids: 48<br />slippage: -0.02579999999999<br />slippage_vwap: -0.0039219512195672<br />slippage_vwap_pct: <br />total_dollar: 3486.96<br />total_filled: 50<br />total_sent: 50
Computed Average Total
69.7392
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8