Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
70.6550
Average Total
70.6448
Destination Price
70.6400
Slippage
-0.0102
Slippage Sweep
-0.0292
Sweep to Fill
70.6740
Algo Diagnostics
{ "customState": { "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 127 }, "total_vol": { "asDouble": 0.7396503450122309 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.8700000000004451 }, "arrival_price": { "asDouble": 70.655 }, "avg_total": { "asDouble": 70.64480000000002 }, "daily_vol_normal": { "asDouble": 0.7181827782174182 }, "slippage_sweep": { "asDouble": -0.02919999999997458 }, "last_aggressive_qty": { "asInt32": 1 }, "total_drift": { "asDouble": -0.19004034541336126 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 28 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.67399999999999 }, "init_half_min_move": { "asDouble": 0.007775982668432467 }, "init_vol_normal": { "asDouble": 0.739650345012231 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9499999999998039 }, "init_opt_t_minutes": { "asDouble": 5.970306593189127 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.007550293018646499 }, "curr_cost_per_share": { "asDouble": 0.0174000000000089 }, "init_cost_per_share": { "asDouble": 0.01899999999999608 }, "curr_opt_t_minutes": { "asDouble": 5.877768212072857 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.010199999999983334 }, "drift": { "asDouble": -0.0018394400019042002 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.63999999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3532.2400000000007 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.655<br />avg_total: 70.6448<br />curr_cost_per_share: 0.017400000000009<br />curr_half_min_move: 0.0075502930186465<br />curr_liq_cost: 0.87000000000045<br />curr_opt_t_minutes: 5.8777682120729<br />daily_vol_normal: 0.71818277821742<br />destination_price: 70.64<br />drift: -0.0018394400019042<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.018999999999996<br />init_drift: 0<br />init_half_min_move: 0.0077759826684325<br />init_liq_cost: 0.9499999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 5.9703065931891<br />init_vol_normal: 0.73965034501223<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: 0<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 127<br />slip_toler: 0<br />slippage: -0.010199999999983<br />slippage_sweep: -0.029199999999975<br />sweep_residual: 0<br />sweep_to_fill: 70.674<br />total_dollar: 3532.24<br />total_drift: -0.19004034541336<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73965034501223<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.655<br />avg_total: 70.6448<br />destination_price: 70.64<br />market_vwap: <br />n_kids: 28<br />slippage: -0.010199999999983<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3532.24<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.6448
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model