Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
71.6050
Average Total
71.6058
Destination Price
71.6050
Slippage
0.0008
Slippage Sweep
-0.0180
Sweep to Fill
71.6238
Algo Diagnostics
{ "customState": { "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015469686509900186 }, "curr_cost_per_share": { "asDouble": 0.01180000000000348 }, "init_cost_per_share": { "asDouble": 0.018800000000003366 }, "drift": { "asDouble": -0.0009088633987143668 }, "slippage": { "asDouble": 0.0007999999999981355 }, "curr_opt_t_minutes": { "asDouble": 0.6269644272683532 }, "mbo_max": { "asInt32": 2 }, "destination_price": { "asDouble": 71.60499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3580.289999999999 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 0.7495953995414449 }, "seconds_spent": { "asDouble": 74 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.5900000000001739 }, "arrival_price": { "asDouble": 71.60499999999999 }, "avg_total": { "asDouble": 71.60579999999999 }, "daily_vol_normal": { "asDouble": 1.471474339922277 }, "slippage_sweep": { "asDouble": -0.018000000000000682 }, "total_drift": { "asDouble": -0.192595554926385 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 26 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 71.62379999999999 }, "init_half_min_move": { "asDouble": 0.007880535545582148 }, "init_vol_normal": { "asDouble": 0.7495953995414449 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.9400000000001683 }, "init_opt_t_minutes": { "asDouble": 5.691205059847019 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 71.605<br />avg_total: 71.6058<br />curr_cost_per_share: 0.011800000000003<br />curr_half_min_move: 0.0154696865099<br />curr_liq_cost: 0.59000000000017<br />curr_opt_t_minutes: 0.62696442726835<br />daily_vol_normal: 1.4714743399223<br />destination_price: 71.605<br />drift: -0.00090886339871437<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.018800000000003<br />init_drift: 0<br />init_half_min_move: 0.0078805355455821<br />init_liq_cost: 0.94000000000017<br />init_min_duration: 0<br />init_opt_t_minutes: 5.691205059847<br />init_vol_normal: 0.74959539954144<br />last_aggressive_qty: <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: 26<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 74<br />slip_toler: 0<br />slippage: 0.00079999999999814<br />slippage_sweep: -0.018000000000001<br />sweep_residual: 0<br />sweep_to_fill: 71.6238<br />total_dollar: 3580.29<br />total_drift: -0.19259555492638<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74959539954144<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.605<br />avg_total: 71.6058<br />destination_price: 71.605<br />market_vwap: <br />n_kids: 26<br />slippage: 0.00079999999999814<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3580.29<br />total_filled: 50<br />total_sent: 50
Computed Average Total
71.6058
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic