Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
70.4750
Average Total
70.4708
Destination Price
70.4450
Slippage
-0.0042
Slippage Sweep
-0.0228
Sweep to Fill
70.4936
Algo Diagnostics
{ "customState": { "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 70.4936 }, "init_half_min_move": { "asDouble": 0.007756172649604106 }, "init_vol_normal": { "asDouble": 0.7377660188909062 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.7508356052556024 }, "init_liq_cost": { "asDouble": 0.9300000000001205 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010765668135669555 }, "curr_cost_per_share": { "asDouble": 0.021200000000003456 }, "init_cost_per_share": { "asDouble": 0.01860000000000241 }, "curr_opt_t_minutes": { "asDouble": 3.923499347131626 }, "drift": { "asDouble": -0.00024935835347287785 }, "slippage": { "asDouble": -0.004200000000025739 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.445 }, "total_dollar": { "asDouble": 3523.5399999999986 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 272 }, "total_vol": { "asDouble": 0.7377660188909061 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0600000000001728 }, "arrival_price": { "asDouble": 70.475 }, "avg_total": { "asDouble": 70.47079999999997 }, "daily_vol_normal": { "asDouble": 1.0240287935775925 }, "total_drift": { "asDouble": -0.18955620045299884 }, "slippage_sweep": { "asDouble": -0.022800000000032128 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 34 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.475<br />avg_total: 70.4708<br />curr_cost_per_share: 0.021200000000003<br />curr_half_min_move: 0.01076566813567<br />curr_liq_cost: 1.0600000000002<br />curr_opt_t_minutes: 3.9234993471316<br />daily_vol_normal: 1.0240287935776<br />destination_price: 70.445<br />drift: -0.00024935835347288<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.018600000000002<br />init_drift: 0<br />init_half_min_move: 0.0077561726496041<br />init_liq_cost: 0.93000000000012<br />init_min_duration: 0<br />init_opt_t_minutes: 5.7508356052556<br />init_vol_normal: 0.73776601889091<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 2<br />n_kids: 34<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 272<br />slip_toler: 0<br />slippage: -0.0042000000000257<br />slippage_sweep: -0.022800000000032<br />sweep_residual: 0<br />sweep_to_fill: 70.4936<br />total_dollar: 3523.54<br />total_drift: -0.189556200453<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73776601889091<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.475<br />avg_total: 70.4708<br />destination_price: 70.445<br />market_vwap: <br />n_kids: 34<br />slippage: -0.0042000000000257<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3523.54<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.4708
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive