Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
71.6000
Average Total
71.5924
Destination Price
71.5850
Slippage
-0.0076
Slippage Sweep
-0.0238
Sweep to Fill
71.6162
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7700000000000387 }, "arrival_price": { "asDouble": 71.6 }, "avg_total": { "asDouble": 71.59240000000001 }, "daily_vol_normal": { "asDouble": 1.471439557483288 }, "total_drift": { "asDouble": -0.19258210645526383 }, "slippage_sweep": { "asDouble": -0.02379999999998006 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 12 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 71.61619999999999 }, "init_half_min_move": { "asDouble": 0.007879985267281361 }, "init_vol_normal": { "asDouble": 0.749543057149186 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8099999999999739 }, "init_opt_t_minutes": { "asDouble": 4.226483891243454 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015469320840304319 }, "curr_cost_per_share": { "asDouble": 0.015400000000000772 }, "init_cost_per_share": { "asDouble": 0.01619999999999948 }, "slippage": { "asDouble": -0.007599999999982288 }, "drift": { "asDouble": -0.0012787063905191922 }, "curr_opt_t_minutes": { "asDouble": 1.073968639495986 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 71.585 }, "total_dollar": { "asDouble": 3579.620000000001 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 5 }, "total_vol": { "asDouble": 0.749543057149186 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 71.6<br />avg_total: 71.5924<br />curr_cost_per_share: 0.015400000000001<br />curr_half_min_move: 0.015469320840304<br />curr_liq_cost: 0.77000000000004<br />curr_opt_t_minutes: 1.073968639496<br />daily_vol_normal: 1.4714395574833<br />destination_price: 71.585<br />drift: -0.0012787063905192<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016199999999999<br />init_drift: 0<br />init_half_min_move: 0.0078799852672814<br />init_liq_cost: 0.80999999999997<br />init_min_duration: 0<br />init_opt_t_minutes: 4.2264838912435<br />init_vol_normal: 0.74954305714919<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: 0<br />n_kids: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 5<br />slip_toler: 0<br />slippage: -0.0075999999999823<br />slippage_sweep: -0.02379999999998<br />sweep_residual: 0<br />sweep_to_fill: 71.6162<br />total_dollar: 3579.62<br />total_drift: -0.19258210645526<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74954305714919<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.6<br />avg_total: 71.5924<br />destination_price: 71.585<br />market_vwap: <br />n_kids: 12<br />slippage: -0.0075999999999823<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3579.62<br />total_filled: 50<br />total_sent: 50
Computed Average Total
71.5924
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive