Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
70.3950
Average Total
70.4090
Destination Price
70.4150
Slippage
-0.0140
Slippage Sweep
-0.0340
Sweep to Fill
70.3750
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.375 }, "init_half_min_move": { "asDouble": 0.007747368196791502 }, "init_vol_normal": { "asDouble": 0.7369285406147619 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 6.664254875422572 }, "init_liq_cost": { "asDouble": 1.0000000000001563 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.008518313994233452 }, "curr_cost_per_share": { "asDouble": 0.01959999999999553 }, "init_cost_per_share": { "asDouble": 0.020000000000003126 }, "slippage": { "asDouble": -0.013999999999995794 }, "drift": { "asDouble": 0.00024104241414541627 }, "curr_opt_t_minutes": { "asDouble": 5.359436901053527 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.41499999999999 }, "total_dollar": { "asDouble": 3520.4499999999994 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 17 }, "total_vol": { "asDouble": 0.7369285406147619 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9799999999997766 }, "arrival_price": { "asDouble": 70.395 }, "avg_total": { "asDouble": 70.40899999999999 }, "daily_vol_normal": { "asDouble": 0.8102607931901935 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.033999999999991815 }, "total_drift": { "asDouble": -0.18934102491506002 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 11 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.395<br />avg_total: 70.409<br />curr_cost_per_share: 0.019599999999996<br />curr_half_min_move: 0.0085183139942335<br />curr_liq_cost: 0.97999999999978<br />curr_opt_t_minutes: 5.3594369010535<br />daily_vol_normal: 0.81026079319019<br />destination_price: 70.415<br />drift: 0.00024104241414542<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020000000000003<br />init_drift: 0<br />init_half_min_move: 0.0077473681967915<br />init_liq_cost: 1.0000000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 6.6642548754226<br />init_vol_normal: 0.73692854061476<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 0<br />n_kids: 11<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 17<br />slip_toler: 0<br />slippage: -0.013999999999996<br />slippage_sweep: -0.033999999999992<br />sweep_residual: 0<br />sweep_to_fill: 70.375<br />total_dollar: 3520.45<br />total_drift: -0.18934102491506<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73692854061476<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.395<br />avg_total: 70.409<br />destination_price: 70.415<br />market_vwap: <br />n_kids: 11<br />slippage: -0.013999999999996<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3520.45<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.4090
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive