Algo Type
VWAP
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
70.6700
Market VWAP
70.6824
Destination Price
70.6750
Slippage
0.0126
SlippagePct
0.0178
AggressivePct
44.2857
Algo Diagnostics
{ "customState": { "arrival_price": { "asDouble": 70.66999999999999 }, "avg_total": { "asDouble": 70.66978000000002 }, "slippage_vwap": { "asDouble": 0.012600952380935837 }, "n_kids": { "asInt32": 70 }, "market_vwap": { "asDouble": 70.68238095238095 }, "slippage": { "asDouble": 0.00021999999997035502 }, "destination_price": { "asDouble": 70.675 }, "total_dollar": { "asDouble": 35334.89000000001 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 44.285714285714285 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.017830750825792628 }, "total_filled": { "asInt32": 500 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.67<br />avg_total: 70.66978<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 70.675<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 70<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.00021999999997036<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 35334.89<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 44.285714285714<br />algo_status: 4<br />arrival_price: 70.67<br />avg_total: 70.66978<br />destination_price: 70.675<br />market_vwap: 70.682380952381<br />n_kids: 70<br />slippage: 0.00021999999997036<br />slippage_vwap: 0.012600952380936<br />slippage_vwap_pct: 0.017830750825793<br />total_dollar: 35334.89<br />total_filled: 500<br />total_sent: 500
Computed Average Total
70.6698
Computed VWAP Slippage
0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
UncertBands