Algo Type
ArrivalPrice
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
71.2800
Average Total
71.2744
Destination Price
71.2650
Slippage
-0.0056
Slippage Sweep
-0.0260
Sweep to Fill
71.3004
Algo Diagnostics
{ "customState": { "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 71.3004 }, "init_half_min_move": { "asDouble": 0.007844767456030941 }, "init_vol_normal": { "asDouble": 0.7461931440446087 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 6.7623895737948905 }, "init_liq_cost": { "asDouble": 1.0199999999998113 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.0162868758695664 }, "curr_cost_per_share": { "asDouble": 0.020000000000009663 }, "init_cost_per_share": { "asDouble": 0.020399999999996227 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.00560000000000116 }, "drift": { "asDouble": 0.005311509241735181 }, "curr_opt_t_minutes": { "asDouble": 1.1170883079065377 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 71.26499999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3563.7200000000003 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 63 }, "total_vol": { "asDouble": 0.7461931440446087 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.0000000000004832 }, "arrival_price": { "asDouble": 71.28 }, "avg_total": { "asDouble": 71.2744 }, "daily_vol_normal": { "asDouble": 1.5492052734377555 }, "total_drift": { "asDouble": -0.19172140430350848 }, "slippage_sweep": { "asDouble": -0.02599999999999625 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 26 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 71.28<br />avg_total: 71.2744<br />curr_cost_per_share: 0.02000000000001<br />curr_half_min_move: 0.016286875869566<br />curr_liq_cost: 1.0000000000005<br />curr_opt_t_minutes: 1.1170883079065<br />daily_vol_normal: 1.5492052734378<br />destination_price: 71.265<br />drift: 0.0053115092417352<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.020399999999996<br />init_drift: 0<br />init_half_min_move: 0.0078447674560309<br />init_liq_cost: 1.0199999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 6.7623895737949<br />init_vol_normal: 0.74619314404461<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: 26<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 63<br />slip_toler: 0<br />slippage: -0.0056000000000012<br />slippage_sweep: -0.025999999999996<br />sweep_residual: 0<br />sweep_to_fill: 71.3004<br />total_dollar: 3563.72<br />total_drift: -0.19172140430351<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.74619314404461<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 71.28<br />avg_total: 71.2744<br />destination_price: 71.265<br />market_vwap: <br />n_kids: 26<br />slippage: -0.0056000000000012<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3563.72<br />total_filled: 50<br />total_sent: 50
Computed Average Total
71.2744
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic