Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
70.4800
Average Total
70.4830
Destination Price
70.4650
Slippage
0.0030
Slippage Sweep
-0.0148
Sweep to Fill
70.4978
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 70.4978 }, "init_half_min_move": { "asDouble": 0.0077567229279048916 }, "init_vol_normal": { "asDouble": 0.7378183612831651 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.266031436707879 }, "init_liq_cost": { "asDouble": 0.8900000000004553 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.010678726837940633 }, "curr_cost_per_share": { "asDouble": 0.02199999999999136 }, "init_cost_per_share": { "asDouble": 0.017800000000009107 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 4.527355465894856 }, "drift": { "asDouble": -0.0014583969921158721 }, "slippage": { "asDouble": 0.0030000000000001137 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 70.465 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3524.1499999999996 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7378183612831651 }, "seconds_spent": { "asDouble": 44 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.099999999999568 }, "arrival_price": { "asDouble": 70.47999999999999 }, "avg_total": { "asDouble": 70.48299999999999 }, "daily_vol_normal": { "asDouble": 1.0157589499317128 }, "slippage_sweep": { "asDouble": -0.01480000000000814 }, "last_aggressive_qty": { "asInt32": 3 }, "total_drift": { "asDouble": -0.18956964892412 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.48<br />avg_total: 70.483<br />curr_cost_per_share: 0.021999999999991<br />curr_half_min_move: 0.010678726837941<br />curr_liq_cost: 1.0999999999996<br />curr_opt_t_minutes: 4.5273554658949<br />daily_vol_normal: 1.0157589499317<br />destination_price: 70.465<br />drift: -0.0014583969921159<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017800000000009<br />init_drift: 0<br />init_half_min_move: 0.0077567229279049<br />init_liq_cost: 0.89000000000046<br />init_min_duration: 0<br />init_opt_t_minutes: 5.2660314367079<br />init_vol_normal: 0.73781836128317<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: 25<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 44<br />slip_toler: 0<br />slippage: 0.0030000000000001<br />slippage_sweep: -0.014800000000008<br />sweep_residual: 0<br />sweep_to_fill: 70.4978<br />total_dollar: 3524.15<br />total_drift: -0.18956964892412<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.73781836128317<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 70.48<br />avg_total: 70.483<br />destination_price: 70.465<br />market_vwap: <br />n_kids: 25<br />slippage: 0.0030000000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3524.15<br />total_filled: 50<br />total_sent: 50
Computed Average Total
70.4830
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic