Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
70.3600
Average Total
70.4012
Destination Price
70.4100
Slippage
0.0412
Slippage Sweep
-0.0178
Sweep to Fill
70.4190
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 8 }, "sweep_to_fill": { "asDouble": 70.41900000000001 }, "init_half_min_move": { "asDouble": 0.007743516248685985 }, "init_vol_normal": { "asDouble": 0.7365621438689486 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 15.873177057108718 }, "init_liq_cost": { "asDouble": 1.4500000000004434 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.0047204107759687836 }, "curr_cost_per_share": { "asDouble": 0.02460000000000065 }, "init_cost_per_share": { "asDouble": 0.030851063829796667 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.04120000000004609 }, "drift": { "asDouble": 0.0007602468864906102 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 3 }, "destination_price": { "asDouble": 70.41 }, "total_dollar": { "asDouble": 3520.0600000000013 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7365621438689486 }, "seconds_spent": { "asDouble": 595 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.2300000000000324 }, "arrival_price": { "asDouble": 70.35999999999999 }, "avg_total": { "asDouble": 70.40120000000003 }, "daily_vol_normal": { "asDouble": 0.44900478922345566 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.017799999999979832 }, "total_drift": { "asDouble": -0.18924688561721173 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 41 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.36<br />avg_total: 70.4012<br />curr_cost_per_share: 0.024600000000001<br />curr_half_min_move: 0.0047204107759688<br />curr_liq_cost: 1.23<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.44900478922346<br />destination_price: 70.41<br />drift: 0.00076024688649061<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.030851063829797<br />init_drift: 0<br />init_half_min_move: 0.007743516248686<br />init_liq_cost: 1.4500000000004<br />init_min_duration: 0<br />init_opt_t_minutes: 15.873177057109<br />init_vol_normal: 0.73656214386895<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 8<br />n_kids: 41<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 595<br />slip_toler: 0<br />slippage: 0.041200000000046<br />slippage_sweep: -0.01779999999998<br />sweep_residual: 3<br />sweep_to_fill: 70.419<br />total_dollar: 3520.06<br />total_drift: -0.18924688561721<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73656214386895<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.36<br />avg_total: 70.4012<br />destination_price: 70.41<br />market_vwap: <br />n_kids: 41<br />slippage: 0.041200000000046<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3520.06<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.4012
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive