Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
70.5400
Average Total
70.5404
Destination Price
70.5650
Slippage
-0.0004
Slippage Sweep
-0.0178
Sweep to Fill
70.5226
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 70.54040000000003 }, "daily_vol_normal": { "asDouble": 0.6090639714264633 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.017800000000036675 }, "total_drift": { "asDouble": -0.18973103057757415 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 41 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.5226 }, "init_half_min_move": { "asDouble": 0.007763326267514346 }, "init_vol_normal": { "asDouble": 0.7384464699902734 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.0234585079209975 }, "init_liq_cost": { "asDouble": 0.8699999999997345 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.006403121309570279 }, "curr_cost_per_share": { "asDouble": 0.0212000000000009 }, "init_cost_per_share": { "asDouble": 0.01739999999999469 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": -0.0015885684387176029 }, "slippage": { "asDouble": -0.00040000000004170033 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.565 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3527.020000000002 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 232 }, "total_vol": { "asDouble": 0.7384464699902734 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.060000000000045 }, "arrival_price": { "asDouble": 70.53999999999999 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.54<br />avg_total: 70.5404<br />curr_cost_per_share: 0.021200000000001<br />curr_half_min_move: 0.0064031213095703<br />curr_liq_cost: 1.06<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.60906397142646<br />destination_price: 70.565<br />drift: -0.0015885684387176<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017399999999995<br />init_drift: 0<br />init_half_min_move: 0.0077633262675143<br />init_liq_cost: 0.86999999999973<br />init_min_duration: 0<br />init_opt_t_minutes: 5.023458507921<br />init_vol_normal: 0.73844646999027<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: 41<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 232<br />slip_toler: 0<br />slippage: -0.0004000000000417<br />slippage_sweep: -0.017800000000037<br />sweep_residual: 0<br />sweep_to_fill: 70.5226<br />total_dollar: 3527.02<br />total_drift: -0.18973103057757<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73844646999027<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.54<br />avg_total: 70.5404<br />destination_price: 70.565<br />market_vwap: <br />n_kids: 41<br />slippage: -0.0004000000000417<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3527.02<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.5404
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic