Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
71.3350
Average Total
71.3614
Destination Price
71.3850
Slippage
0.0264
Slippage Sweep
0.0086
Sweep to Fill
71.3528
Algo Diagnostics
{ "customState": { "sweep_to_fill": { "asDouble": 71.3528 }, "init_half_min_move": { "asDouble": 0.007850820517339608 }, "init_vol_normal": { "asDouble": 0.7467689103594578 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.1405537798221435 }, "init_liq_cost": { "asDouble": 0.8900000000001 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.01347985540032429 }, "curr_cost_per_share": { "asDouble": 0.02000000000000398 }, "init_cost_per_share": { "asDouble": 0.017800000000002 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": 0.026399999999995316 }, "drift": { "asDouble": 0.006608521383154624 }, "curr_opt_t_minutes": { "asDouble": 1.4956401019384167 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 71.38499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3568.0699999999997 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 92 }, "total_vol": { "asDouble": 0.7467689103594578 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.000000000000199 }, "arrival_price": { "asDouble": 71.335 }, "avg_total": { "asDouble": 71.36139999999999 }, "daily_vol_normal": { "asDouble": 1.2822018930212893 }, "total_drift": { "asDouble": -0.1918693374858414 }, "slippage_sweep": { "asDouble": 0.008599999999987062 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 41 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 71.335<br />avg_total: 71.3614<br />curr_cost_per_share: 0.020000000000004<br />curr_half_min_move: 0.013479855400324<br />curr_liq_cost: 1.0000000000002<br />curr_opt_t_minutes: 1.4956401019384<br />daily_vol_normal: 1.2822018930213<br />destination_price: 71.385<br />drift: 0.0066085213831546<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.017800000000002<br />init_drift: 0<br />init_half_min_move: 0.0078508205173396<br />init_liq_cost: 0.8900000000001<br />init_min_duration: 0<br />init_opt_t_minutes: 5.1405537798221<br />init_vol_normal: 0.74676891035946<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 1<br />n_kids: 41<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 92<br />slip_toler: 0<br />slippage: 0.026399999999995<br />slippage_sweep: 0.0085999999999871<br />sweep_residual: 0<br />sweep_to_fill: 71.3528<br />total_dollar: 3568.07<br />total_drift: -0.19186933748584<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74676891035946<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.335<br />avg_total: 71.3614<br />destination_price: 71.385<br />market_vwap: <br />n_kids: 41<br />slippage: 0.026399999999995<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3568.07<br />total_filled: 50<br />total_sent: 50
Computed Average Total
71.3614
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic