Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
70.3750
Average Total
70.3884
Destination Price
70.3950
Slippage
-0.0134
Slippage Sweep
-0.0324
Sweep to Fill
70.3560
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9200000000001154 }, "arrival_price": { "asDouble": 70.375 }, "avg_total": { "asDouble": 70.3884 }, "daily_vol_normal": { "asDouble": 0.8099997539834439 }, "total_drift": { "asDouble": -0.18928723103057532 }, "slippage_sweep": { "asDouble": -0.032400000000009754 }, "last_aggressive_qty": { "asInt32": 3 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 14 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.356 }, "init_half_min_move": { "asDouble": 0.00774516708358835 }, "init_vol_normal": { "asDouble": 0.7367191710457258 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9500000000001876 }, "init_opt_t_minutes": { "asDouble": 6.017909048676914 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.008515569675433151 }, "curr_cost_per_share": { "asDouble": 0.018400000000002307 }, "init_cost_per_share": { "asDouble": 0.01900000000000375 }, "curr_opt_t_minutes": { "asDouble": 4.686921679457631 }, "drift": { "asDouble": 7.126747564878076e-05 }, "slippage": { "asDouble": -0.013400000000004297 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.395 }, "total_dollar": { "asDouble": 3519.42 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7367191710457258 }, "seconds_spent": { "asDouble": 25 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.375<br />avg_total: 70.3884<br />curr_cost_per_share: 0.018400000000002<br />curr_half_min_move: 0.0085155696754332<br />curr_liq_cost: 0.92000000000012<br />curr_opt_t_minutes: 4.6869216794576<br />daily_vol_normal: 0.80999975398344<br />destination_price: 70.395<br />drift: 7.1267475648781E-5<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019000000000004<br />init_drift: 0<br />init_half_min_move: 0.0077451670835883<br />init_liq_cost: 0.95000000000019<br />init_min_duration: 0<br />init_opt_t_minutes: 6.0179090486769<br />init_vol_normal: 0.73671917104573<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: 14<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25<br />slip_toler: 0<br />slippage: -0.013400000000004<br />slippage_sweep: -0.03240000000001<br />sweep_residual: 0<br />sweep_to_fill: 70.356<br />total_dollar: 3519.42<br />total_drift: -0.18928723103058<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73671917104573<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.375<br />avg_total: 70.3884<br />destination_price: 70.395<br />market_vwap: <br />n_kids: 14<br />slippage: -0.013400000000004<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3519.42<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.3884
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic