Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
70.2650
Average Total
70.2526
Destination Price
70.2500
Slippage
-0.0124
Slippage Sweep
-0.0304
Sweep to Fill
70.2830
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.283 }, "init_half_min_move": { "asDouble": 0.007733060960971017 }, "init_vol_normal": { "asDouble": 0.7355676384160272 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9000000000005173 }, "init_opt_t_minutes": { "asDouble": 5.41803919661421 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.009849122842367764 }, "curr_cost_per_share": { "asDouble": 0.0181999999999951 }, "init_cost_per_share": { "asDouble": 0.018000000000010345 }, "slippage": { "asDouble": -0.012399999999985312 }, "drift": { "asDouble": -0.0032072533661030994 }, "curr_opt_t_minutes": { "asDouble": 4.026023967304589 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 70.25 }, "total_dollar": { "asDouble": 3512.63 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7355676384160271 }, "seconds_spent": { "asDouble": 6 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.909999999999755 }, "arrival_price": { "asDouble": 70.26499999999999 }, "avg_total": { "asDouble": 70.2526 }, "daily_vol_normal": { "asDouble": 0.9368471380471455 }, "last_aggressive_qty": { "asInt32": 2 }, "total_drift": { "asDouble": -0.18899136466590938 }, "slippage_sweep": { "asDouble": -0.030400000000000205 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 21 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.265<br />avg_total: 70.2526<br />curr_cost_per_share: 0.018199999999995<br />curr_half_min_move: 0.0098491228423678<br />curr_liq_cost: 0.90999999999976<br />curr_opt_t_minutes: 4.0260239673046<br />daily_vol_normal: 0.93684713804715<br />destination_price: 70.25<br />drift: -0.0032072533661031<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01800000000001<br />init_drift: 0<br />init_half_min_move: 0.007733060960971<br />init_liq_cost: 0.90000000000052<br />init_min_duration: 0<br />init_opt_t_minutes: 5.4180391966142<br />init_vol_normal: 0.73556763841603<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: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.012399999999985<br />slippage_sweep: -0.0304<br />sweep_residual: 0<br />sweep_to_fill: 70.283<br />total_dollar: 3512.63<br />total_drift: -0.18899136466591<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73556763841603<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.265<br />avg_total: 70.2526<br />destination_price: 70.25<br />market_vwap: <br />n_kids: 21<br />slippage: -0.012399999999985<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3512.63<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.2526
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model