Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
70.6250
Average Total
70.6252
Destination Price
70.6450
Slippage
-0.0002
Slippage Sweep
-0.0212
Sweep to Fill
70.6040
Algo Diagnostics
{ "customState": { "curr_cost_per_share": { "asDouble": 0.024200000000001297 }, "init_cost_per_share": { "asDouble": 0.02100000000000449 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": 0.00046020540014957525 }, "slippage": { "asDouble": -0.0001999999999497959 }, "mbo_max": { "asInt32": 3 }, "destination_price": { "asDouble": 70.645 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3531.2599999999975 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 510 }, "total_vol": { "asDouble": 0.7393362906586768 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.2100000000000648 }, "arrival_price": { "asDouble": 70.625 }, "avg_total": { "asDouble": 70.62519999999995 }, "daily_vol_normal": { "asDouble": 0.6859818266722493 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.02119999999995059 }, "total_drift": { "asDouble": -0.1899596545866342 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 46 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.604 }, "init_half_min_move": { "asDouble": 0.007772680998627741 }, "init_vol_normal": { "asDouble": 0.7393362906586769 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 7.299563676166977 }, "init_liq_cost": { "asDouble": 1.0500000000002245 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007211762734964786 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.625<br />avg_total: 70.6252<br />curr_cost_per_share: 0.024200000000001<br />curr_half_min_move: 0.0072117627349648<br />curr_liq_cost: 1.2100000000001<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.68598182667225<br />destination_price: 70.645<br />drift: 0.00046020540014958<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.021000000000004<br />init_drift: 0<br />init_half_min_move: 0.0077726809986277<br />init_liq_cost: 1.0500000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 7.299563676167<br />init_vol_normal: 0.73933629065868<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 3<br />mbo_min: 1<br />model_size: 0<br />n_kids: 46<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 510<br />slip_toler: 0<br />slippage: -0.0001999999999498<br />slippage_sweep: -0.021199999999951<br />sweep_residual: 0<br />sweep_to_fill: 70.604<br />total_dollar: 3531.26<br />total_drift: -0.18995965458663<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73933629065868<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.625<br />avg_total: 70.6252<br />destination_price: 70.645<br />market_vwap: <br />n_kids: 46<br />slippage: -0.0001999999999498<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3531.26<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.6252
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive