Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
70.6350
Average Total
70.6638
Destination Price
70.6400
Slippage
0.0288
Slippage Sweep
0.0074
Sweep to Fill
70.6564
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 47 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 4 }, "sweep_to_fill": { "asDouble": 70.65639999999999 }, "init_half_min_move": { "asDouble": 0.007773781555229315 }, "init_vol_normal": { "asDouble": 0.7394409754431949 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 7.578144485027414 }, "init_liq_cost": { "asDouble": 1.0700000000002063 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007637089795017595 }, "curr_cost_per_share": { "asDouble": 0.021000000000010743 }, "init_cost_per_share": { "asDouble": 0.021400000000004128 }, "curr_opt_t_minutes": { "asDouble": 8.308942031157137 }, "drift": { "asDouble": -0.002058823724074504 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.028800000000046566 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.63999999999999 }, "total_dollar": { "asDouble": 3533.190000000002 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 598 }, "total_vol": { "asDouble": 0.7394409754431948 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0500000000005372 }, "arrival_price": { "asDouble": 70.63499999999999 }, "avg_total": { "asDouble": 70.66380000000004 }, "daily_vol_normal": { "asDouble": 0.7264388750126767 }, "total_drift": { "asDouble": -0.18998655152887653 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": 0.0074000000000467026 }, "economic_model": { "asInt32": 0 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.635<br />avg_total: 70.6638<br />curr_cost_per_share: 0.021000000000011<br />curr_half_min_move: 0.0076370897950176<br />curr_liq_cost: 1.0500000000005<br />curr_opt_t_minutes: 8.3089420311571<br />daily_vol_normal: 0.72643887501268<br />destination_price: 70.64<br />drift: -0.0020588237240745<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.021400000000004<br />init_drift: 0<br />init_half_min_move: 0.0077737815552293<br />init_liq_cost: 1.0700000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 7.5781444850274<br />init_vol_normal: 0.73944097544319<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: 4<br />n_kids: 47<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 598<br />slip_toler: 0<br />slippage: 0.028800000000047<br />slippage_sweep: 0.0074000000000467<br />sweep_residual: 0<br />sweep_to_fill: 70.6564<br />total_dollar: 3533.19<br />total_drift: -0.18998655152888<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73944097544319<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.635<br />avg_total: 70.6638<br />destination_price: 70.64<br />market_vwap: <br />n_kids: 47<br />slippage: 0.028800000000047<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3533.19<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.6638
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive