Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
70.4050
Average Total
70.4206
Destination Price
70.4350
Slippage
-0.0156
Slippage Sweep
-0.0438
Sweep to Fill
70.3768
Algo Diagnostics
{ "customState": { "curr_cost_per_share": { "asDouble": 0.025600000000007412 }, "init_cost_per_share": { "asDouble": 0.028200000000007604 }, "drift": { "asDouble": -0.0004996080035361932 }, "slippage": { "asDouble": -0.015600000000006276 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 70.435 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3521.0300000000007 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.73703322539928 }, "seconds_spent": { "asDouble": 211 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.2800000000003706 }, "arrival_price": { "asDouble": 70.405 }, "avg_total": { "asDouble": 70.42060000000001 }, "daily_vol_normal": { "asDouble": 0.49968479967375545 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_sweep": { "asDouble": -0.04380000000001871 }, "total_drift": { "asDouble": -0.1893679218573024 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 20 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.37679999999999 }, "init_half_min_move": { "asDouble": 0.007748468753393077 }, "init_vol_normal": { "asDouble": 0.73703322539928 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 13.245441673703073 }, "init_liq_cost": { "asDouble": 1.4100000000003803 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.005253212370066588 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.4206<br />curr_cost_per_share: 0.025600000000007<br />curr_half_min_move: 0.0052532123700666<br />curr_liq_cost: 1.2800000000004<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.49968479967376<br />destination_price: 70.435<br />drift: -0.00049960800353619<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.028200000000008<br />init_drift: 0<br />init_half_min_move: 0.0077484687533931<br />init_liq_cost: 1.4100000000004<br />init_min_duration: 0<br />init_opt_t_minutes: 13.245441673703<br />init_vol_normal: 0.73703322539928<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 0<br />n_kids: 20<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 211<br />slip_toler: 0<br />slippage: -0.015600000000006<br />slippage_sweep: -0.043800000000019<br />sweep_residual: 0<br />sweep_to_fill: 70.3768<br />total_dollar: 3521.03<br />total_drift: -0.1893679218573<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73703322539928<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.405<br />avg_total: 70.4206<br />destination_price: 70.435<br />market_vwap: <br />n_kids: 20<br />slippage: -0.015600000000006<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3521.03<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.4206
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive